0001752724-23-161015.txt : 20230725 0001752724-23-161015.hdr.sgml : 20230725 20230725082502 ACCESSION NUMBER: 0001752724-23-161015 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20230531 FILED AS OF DATE: 20230725 DATE AS OF CHANGE: 20230725 PERIOD START: 20231130 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MFS CHARTER INCOME TRUST CENTRAL INDEX KEY: 0000851170 IRS NUMBER: 043055815 FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-05822 FILM NUMBER: 231106545 BUSINESS ADDRESS: STREET 1: 111 HUNTINGTON AVENUE STREET 2: 24TH FLOOR CITY: BOSTON STATE: MA ZIP: 02199 BUSINESS PHONE: 18006372929 MAIL ADDRESS: STREET 1: 111 HUNTINGTON AVENUE STREET 2: 24TH FLOOR CITY: BOSTON STATE: MA ZIP: 02199 FORMER COMPANY: FORMER CONFORMED NAME: MFS PRINCIPAL INCOME TRUST DATE OF NAME CHANGE: 19890906 NPORT-P 1 primary_doc.xml NPORT-P false 0000851170 XXXXXXXX MFS CHARTER INCOME TRUST 811-05822 0000851170 1LFFWFMKO22SVR346G33 111 HUNTINGTON AVENUE BOSTON 02199 617-954-5000 MFS CHARTER INCOME TRUST 1LFFWFMKO22SVR346G33 2023-11-30 2023-05-31 N 392594533.80 99332819.29 293261714.51 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 95000000.00000000 0.00000000 0.00000000 0.00000000 1019329.46000000 0.00000000 0.00000000 4782782.78000000 AUD CAD EUR GBP JPY KRW MXN USD N 42% BBG US HY 2% Issuer Cap, 20% BBG US Gov/Mtge BI, 15.2% FTSE WGBI non Dollar, 12.8% JPM GBI-EM Gbl Div, 10% BBG US Credit 42% LF89TRUU, 20% LUMSTRUU, 15.2% SBNUU, 12.8% JGENVUUG, 10% LUCRTRUU CROWN CASTLE INC 54930012H97VSM0I2R19 22822VAC5 100000.00000000 PA USD 95813.33000000 0.032671612167 Long DBT CORP US N 2 2026-06-15 Fixed 3.70000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -1610.79000000 -0.00054926706 N/A DFE CA N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 93388.78000000 USD 124443.71000000 CAD 2023-07-21 -1610.79000000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 000000000 100000.00000000 PA 108017.50000000 0.036833140725 Long DBT CORP GB N 2 2032-03-10 Fixed 4.79000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 000000000 100000.00000000 PA 107381.72000000 0.036616344611 Long DBT CORP GB N 2 2034-02-28 Fixed 5.76000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137F4X56 38000000.00000000 PA USD 121607.60000000 0.041467260805 Long ABS-MBS USGSE US N 2 2025-02-25 Variable 0.14000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 343.72000000 0.000117205889 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 39881.60000000 EUR 43092.20000000 USD 2023-07-21 343.72000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 409862.13000000 0.139759849213 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 17219937.30000000 AUD 11630946.63000000 USD 2023-07-21 409862.13000000 N N N NATIONSTAR MTG HLD INC N/A 63861CAA7 1204000.00000000 PA USD 1098048.00000000 0.374425963455 Long DBT CORP US Y 2 2027-01-15 Fixed 6.00000000 N N N N N N MACY'S RETAIL HLDGS LLC N/A 55617LAP7 462000.00000000 PA USD 408406.85000000 0.139263609872 Long DBT CORP US Y 2 2029-04-01 Fixed 5.88000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DX5 23000.00000000 PA USD 23087.26000000 0.007872578948 Long DBT CORP US N 2 2031-01-30 Fixed 5.25000000 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05578QAD5 250000.00000000 PA USD 241148.81000000 0.082229898438 Long DBT CORP FR Y 2 2025-03-15 Fixed 4.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -1218.45000000 -0.00041548212 N/A DFE TW N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 254724.56000000 USD 7735985.00000000 TWD 2023-08-03 -1218.45000000 N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397XL2 1785000.00000000 PA USD 1689986.41000000 0.576272430522 Long DBT CORP US N 2 2025-08-04 Fixed 4.13000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468P7 227000.00000000 PA USD 205176.13000000 0.069963489895 Long DBT CORP US N 2 2031-04-01 Fixed 3.62000000 N N N N N N Acres PLC N/A 00500JAC7 154500.00000000 PA USD 149847.46000000 0.051096836915 Long ABS-CBDO CORP KY Y 2 2037-01-15 Floating 6.86000000 N N N N N N HOSPITAL SPECIAL SURGERY 549300U0XV0GGBTV6I72 44107HAF9 179000.00000000 PA USD 111609.35000000 0.038057934083 Long DBT CORP US N 2 2050-10-01 Fixed 2.67000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDB5 904000.00000000 PA USD 782428.36000000 0.266802081992 Long DBT CORP MX N 2 2027-01-23 Fixed 6.49000000 N N N N N N SES SA 5493008JPA4HYMH1HX51 000000000 100000.00000000 PA 97367.62000000 0.033201613160 Long DBT CORP LU N 2 2029-01-14 Fixed 3.50000000 N N N N N N COMMONWEALTH BANK AUST MSFSBD3QN1GSN7Q6C537 202712BN4 221000.00000000 PA USD 174158.04000000 0.059386558620 Long DBT CORP AU Y 2 2031-03-11 Fixed 2.69000000 N N N N N N RITCHIE BROS HLDGS INC 5493002H8U24DJXQ4886 76774LAC1 988000.00000000 PA USD 1029762.76000000 0.351141219275 Long DBT CORP US Y 2 2031-03-15 Fixed 7.75000000 N N N N N N ENERGEAN ISRAEL FINANCE 98450044QACBL3F8EB03 000000000 500000.00000000 PA USD 434927.00000000 0.148306778035 Long DBT CORP IL N 2 2031-03-30 Fixed 5.88000000 N N N N N N HANESBRANDS INC GX5LWVWZLL5S4W1L2F20 410345AQ5 296000.00000000 PA USD 296031.67000000 0.100944533620 Long DBT CORP US Y 2 2031-02-15 Fixed 9.00000000 N N N N N N NEPTUNE BIDCO US INC 549300VG15T3VCYZ4531 640695AA0 649000.00000000 PA USD 593835.00000000 0.202493189740 Long DBT CORP US Y 2 2029-04-15 Fixed 9.29000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 3727.06000000 0.001270898932 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 199982.00000000 EUR 218084.71000000 USD 2023-07-21 3727.06000000 N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CQ3 122000.00000000 PA USD 94982.10000000 0.032388169099 Long DBT CORP US N 2 2052-04-15 Fixed 3.63000000 N N N N N N LA BANQUE POSTALE 96950066U5XAAIRCPA78 000000000 100000.00000000 PA 106420.37000000 0.036288531620 Long DBT CORP FR N 2 2028-05-03 Fixed 4.00000000 N N N N N N TRANSURBAN FINANCE CO 54930081LPJMUMEA6E57 000000000 100000.00000000 PA 108052.56000000 0.036845095917 Long DBT CORP AU N 2 2033-04-26 Fixed 4.23000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -250.00000000 NC USD -8529.75000000 -0.00290857946 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 5 Year U.S. Treasury Notes FVU3 Comdty 2023-09-29 -27261001.50000000 USD -8529.75000000 N N N SPECTRUM BRANDS INC 549300VU3EH2E73C1Q04 84762LAX3 591000.00000000 PA USD 482734.71000000 0.164608841221 Long DBT CORP US Y 2 2031-03-15 Fixed 3.88000000 N N N N N N Shelter Growth CRE N/A 822866AG4 157500.00000000 PA USD 147180.38000000 0.050187383049 Long ABS-CBDO CORP KY Y 2 2036-09-15 Floating 7.26000000 N N N N N N ARROW ELECTRONICS INC 549300YNNLBXT8N8R512 04273WAC5 131000.00000000 PA USD 107818.33000000 0.036765225280 Long DBT CORP US N 2 2032-02-15 Fixed 2.95000000 N N N N N N KENVUE INC 5493008HSF8L4M2LIJ82 49177JAN2 118000.00000000 PA USD 118780.21000000 0.040503142457 Long DBT CORP US Y 2 2053-03-22 Fixed 5.05000000 N N N N N N CROWN AMER/CAP CORP V N/A 22819KAB6 920000.00000000 PA USD 872874.09000000 0.297643383644 Long DBT CORP US N 2 2026-09-30 Fixed 4.25000000 N N N N N N REPUBLIC OF PHILIPPINES 529900RAHBALMYIJ3T08 718286CR6 334000.00000000 PA USD 307520.56000000 0.104862157173 Long DBT NUSS PH N 2 2032-09-29 Fixed 3.56000000 N N N N N N Minnesota Housing Finance Agency 549300R89XDTQBK4GE22 60416TSV1 195000.00000000 PA USD 188805.75000000 0.064381315616 Long DBT MUN US N 2 2047-01-01 Fixed 4.34000000 N N N N N N UMBS, TBA N/A 01F052664 75000.00000000 PA USD 74953.13000000 0.025558443632 Long ABS-MBS USGSE US N 2 2053-06-15 Fixed 5.50000000 N N N N N N OMAN GOV INTERNTL BOND 549300SZ20F0QTKNQC75 000000000 800000.00000000 PA USD 774008.00000000 0.263930803682 Long DBT NUSS OM N 2 2051-01-25 Fixed 7.00000000 N N N N N N ALLIANT HOLD / CO-ISSUER N/A 01883LAD5 637000.00000000 PA USD 546425.67000000 0.186326971085 Long DBT CORP US Y 2 2029-11-01 Fixed 5.88000000 N N N N N N SOUTHWESTERN ENERGY CO EFWMP121W54QV9MGOP87 845467AP4 185000.00000000 PA USD 192829.39000000 0.065753346058 Long DBT CORP US N 2 2028-09-15 Fixed 8.38000000 N N N N N N RITCHIE BROS HLDGS INC 5493002H8U24DJXQ4886 76774LAB3 524000.00000000 PA USD 530230.36000000 0.180804494335 Long DBT CORP US Y 2 2028-03-15 Fixed 6.75000000 N N N N N N AMERIPRISE FINANCIAL INC 6ZLKQF7QB6JAEKQS5388 03076CAL0 36000.00000000 PA USD 34434.16000000 0.011741784998 Long DBT CORP US N 2 2032-05-13 Fixed 4.50000000 N N N N N N MOOG INC 549300WM2I4U7OBAHG07 615394AM5 885000.00000000 PA USD 825222.84000000 0.281394672120 Long DBT CORP US Y 2 2027-12-15 Fixed 4.25000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -5490.55000000 -0.00187223552 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 2297809792.00000000 KRW 1729392.93000000 USD 2023-07-10 -5490.55000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNA37 530325.26000000 PA USD 453906.07000000 0.154778495637 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBH0 104000.00000000 PA USD 84910.97000000 0.028953990854 Long DBT CORP US N 2 2031-08-01 Fixed 2.25000000 N N N N N N DISH NETWORK CORP 529900U350CWHH15G169 25470MAG4 255000.00000000 PA USD 244062.18000000 0.083223335309 Long DBT CORP US Y 2 2027-11-15 Fixed 11.75000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAT7 641000.00000000 PA USD 612187.54000000 0.208751265409 Long DBT NUSS MX N 2 2033-05-19 Fixed 4.88000000 N N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AG2 682000.00000000 PA USD 575857.61000000 0.196363037351 Long DBT CORP US Y 2 2030-07-15 Fixed 4.38000000 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 000000000 100000.00000000 PA 89108.23000000 0.030385224388 Long DBT CORP NL N 2 2032-11-16 Fixed 1.00000000 N N N N N N BAFFINLAND IRON CORP/LP N/A 056623AA9 788000.00000000 PA USD 756856.66000000 0.258082328020 Long DBT CORP CA Y 2 2026-07-15 Fixed 8.75000000 N N N N N N INDIAN RAILWAY FINANCE 335800F2JHSOGXQEBY56 45434L2C7 299000.00000000 PA USD 249753.60000000 0.085164065966 Long DBT CORP IN Y 2 2031-02-10 Fixed 2.80000000 N N N N N N OSLO KOMMUNE 5967007LIEEXZXGVU850 000000000 3000000.00000000 PA 242487.52000000 0.082686388301 Long DBT NUSS NO N 2 2029-05-18 Fixed 2.17000000 N N N N N N ACRISURE LLC / FIN INC N/A 00489LAA1 399000.00000000 PA USD 378062.48000000 0.128916411960 Long DBT CORP US Y 2 2025-11-15 Fixed 7.00000000 N N N N N N CROWNROCK LP/CROWNROCK F N/A 228701AG3 815000.00000000 PA USD 764062.50000000 0.260539464306 Long DBT CORP US Y 2 2029-05-01 Fixed 5.00000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 3137.20000000 0.001069761187 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 100000.00000000 EUR 110325.67000000 USD 2023-07-21 3137.20000000 N N N SS&C Technologies Inc 549300KY09TR3J12JU49 78466CAC0 1210000.00000000 PA USD 1154935.20000000 0.393824063236 Long DBT CORP US Y 2 2027-09-30 Fixed 5.50000000 N N N N N N BXMT Ltd N/A 05609GAE8 549000.00000000 PA USD 513813.27000000 0.175206392303 Long ABS-CBDO CORP US Y 2 2038-05-15 Floating 6.66000000 N N N N N N CANPACK SA/CANPACK US N/A 13806CAA0 1376000.00000000 PA USD 1105182.46000000 0.376858759707 Long DBT CORP N/A Y 2 2029-11-15 Fixed 3.88000000 N N N N N N HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 000000000 40000.00000000 PA USD 39700.00000000 0.013537396133 Long DBT CORP GB N 2 2023-09-29 Floating 5.46000000 N N N N N N PETSMART INC/PETSMART FI N/A 71677KAB4 620000.00000000 PA USD 601904.68000000 0.205244888854 Long DBT CORP US Y 2 2029-02-15 Fixed 7.75000000 N N N N N N REGAL REXNORD CORP QH78R09VCJGQKPBPYU33 758750AD5 132000.00000000 PA USD 130447.45000000 0.044481581995 Long DBT CORP US Y 2 2028-04-15 Fixed 6.05000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390ABV1 2907.72000000 PA USD 2976.27000000 0.001014885289 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 6.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -11382.05000000 -0.00388119193 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 301857.84000000 USD 445765.73000000 AUD 2023-07-21 -11382.05000000 N N N BELGIUM KINGDOM 549300SZ25JZFHRHWD76 000000000 425000.00000000 PA 283290.63000000 0.096599936501 Long DBT NUSS BE N 2 2040-06-22 Fixed 0.40000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -600.95000000 -0.00020491935 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 61995305.00000000 TWD 2030968.22000000 USD 2023-08-03 -600.95000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2V4 73000.00000000 PA USD 68420.62000000 0.023330907723 Long DBT CORP US N 2 2028-03-24 Fixed 3.53000000 N N N N N N NCR CORP 549300YKTY8JX1DV2R67 62886EAY4 744000.00000000 PA USD 654082.69000000 0.223037190890 Long DBT CORP US Y 2 2028-10-01 Fixed 5.00000000 N N N N N N AG TTMT ESCROW ISSUER N/A 00840KAA7 757000.00000000 PA USD 766613.90000000 0.261409472177 Long DBT CORP US Y 2 2027-09-30 Fixed 8.63000000 N N N N N N ADAPTHEALTH LLC N/A 00653VAC5 264000.00000000 PA USD 203382.96000000 0.069352032651 Long DBT CORP US Y 2 2029-08-01 Fixed 4.63000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 91282CFF3 18224000.00000000 PA USD 16946184.33000000 5.778519149120 Long DBT UST US N 2 2032-08-15 Fixed 2.75000000 N N N N N N Visa Inc 549300JZ4OKEHW3DPJ59 92826CAJ1 118000.00000000 PA USD 100328.43000000 0.034211226708 Long DBT CORP US N 2 2047-09-15 Fixed 3.65000000 N N N N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03881EAG2 275500.00000000 PA USD 258095.01000000 0.088008422930 Long ABS-CBDO CORP KY Y 2 2036-05-15 Floating 7.06000000 N N N N N N KINETIK HOLDINGS LP 549300RD6AJIMYC0HY12 49461MAA8 1165000.00000000 PA USD 1103837.50000000 0.376400138642 Long DBT CORP US Y 2 2030-06-15 Fixed 5.88000000 N N N N N N MATADOR RESOURCES CO 549300CI3Q2UUK5R4G79 576485AF3 374000.00000000 PA USD 370941.05000000 0.126488058838 Long DBT CORP US Y 2 2028-04-15 Fixed 6.88000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 1676.58000000 0.000571700947 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 84337.29000000 EUR 92076.43000000 USD 2023-07-21 1676.58000000 N N N BENCHMARK Mortgage Trust N/A 08163CBE8 1993553.61000000 PA USD 118990.23000000 0.040574757669 Long ABS-MBS CORP US N 2 2054-03-15 Variable 1.15000000 N N N N N N ENEL SPA WOCMU6HCI0OJWNPRZS33 000000000 150000.00000000 PA 115715.40000000 0.039458065705 Long DBT CORP IT N 2 2030-06-08 Fixed 1.88000000 N N N N N N CLARIOS GLOBAL LP/US FIN N/A 18060TAC9 448000.00000000 PA USD 448000.00000000 0.152764570973 Long DBT CORP N/A Y 2 2028-05-15 Fixed 6.75000000 N N N N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 780153BG6 690000.00000000 PA USD 633880.78000000 0.216148494207 Long DBT CORP LR Y 2 2028-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371KML2 9930.92000000 PA USD 10282.20000000 0.003506151499 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XTD8 74992.99000000 PA USD 74961.88000000 0.025561427315 Long ABS-MBS USGA US N 2 2053-02-20 Fixed 5.50000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 3728.81000000 0.001271495669 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 110269.50000000 EUR 121925.00000000 USD 2023-07-21 3728.81000000 N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BG7 90000.00000000 PA USD 75681.52000000 0.025806819047 Long DBT CORP US N 2 2031-04-15 Fixed 2.85000000 N N N N N N FINNISH GOVERNMENT 743700M6Y2OQRVSBRD14 000000000 370000.00000000 PA 398786.76000000 0.135983232815 Long DBT NUSS FI N 2 2033-09-15 Fixed 3.00000000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 000000000 100000.00000000 PA 94798.41000000 0.032325532215 Long DBT CORP DE N 2 2032-06-24 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179W7K8 24048.98000000 PA USD 21639.13000000 0.007378777702 Long ABS-MBS USGA US N 2 2052-06-20 Fixed 3.00000000 N N N N N N TALLGRASS NRG PRTNR/FIN N/A 87470LAG6 203000.00000000 PA USD 189811.89000000 0.064724401655 Long DBT CORP US Y 2 2027-03-01 Fixed 6.00000000 N N N N N N MATTAMY GROUP CORP 5493008TNY7A82WCXU31 57701RAJ1 280000.00000000 PA USD 258375.52000000 0.088104074693 Long DBT CORP CA Y 2 2027-12-15 Fixed 5.25000000 N N N N N N CAESARS ENTERTAIN INC 549300FA4CTCW903Y781 28470RAK8 683000.00000000 PA USD 695970.27000000 0.237320535059 Long DBT CORP US Y 2 2027-07-01 Fixed 8.13000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCP6 581000.00000000 PA USD 429828.91000000 0.146568368366 Long DBT CORP US Y 2 2034-01-15 Fixed 4.25000000 N N N N N N B&G Foods Inc 549300TRW1LZMDJZAQ78 05508RAE6 470000.00000000 PA USD 442881.79000000 0.151019300538 Long DBT CORP US N 2 2025-04-01 Fixed 5.25000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -2415.87000000 -0.00082379317 N/A DFE CA N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 128909.43000000 USD 171515.29000000 CAD 2023-07-21 -2415.87000000 N N N KOREA DEVELOPMENT BANK 549300ML2LNRZUCS7149 500630DU9 531000.00000000 PA USD 516885.36000000 0.176253951479 Long DBT NUSS KR N 2 2032-09-08 Fixed 4.25000000 N N N N N N PATRICK INDUSTRIES INC 549300FZ5ZTCCJ3Z5W14 703343AC7 830000.00000000 PA USD 800950.00000000 0.273117819466 Long DBT CORP US Y 2 2027-10-15 Fixed 7.50000000 N N N N N N AXALTA COAT/DUTCH HLD BV N/A 05454NAA7 540000.00000000 PA USD 510284.23000000 0.174003016674 Long DBT CORP N/A Y 2 2027-06-15 Fixed 4.75000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 29351.02000000 0.010008473165 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 6269462.38000000 NOK 595463.09000000 USD 2023-07-21 29351.02000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405GT91 1659.69000000 PA USD 1678.89000000 0.000572488639 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6.00000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPBT9 528000.00000000 PA USD 489098.28000000 0.166778769883 Long DBT CORP US Y 2 2027-05-01 Fixed 5.13000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -79.50000000 -0.00002710889 N/A DFE GB N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 95945.07000000 USD 76990.72000000 GBP 2023-07-21 -79.50000000 N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 70782.35000000 0.024136239576 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 8400072.58000000 CAD 6265886.56000000 USD 2023-07-21 70782.35000000 N N N TPG Real Estate Finance N/A 87276WAE3 310000.00000000 PA USD 301194.76000000 0.102705107791 Long ABS-CBDO CORP KY Y 2 2038-03-15 Floating 6.96000000 N N N N N N NOVELIS SHEET INGOT GMBH 9845005E95899E77AY49 000000000 150000.00000000 PA 139053.77000000 0.047416271241 Long DBT CORP DE N 2 2029-04-15 Fixed 3.38000000 N N N N N N SASOL FINANCING USA LLC 549300XRB1PFMESFEL85 80386WAD7 550000.00000000 PA USD 427136.88000000 0.145650406741 Long DBT CORP US N 2 2031-03-18 Fixed 5.50000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 000000000 90000.00000000 PA USD 75319.20000000 0.025683270701 Long DBT CORP FR N 2 2023-09-29 Floating 5.28000000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BL5 542000.00000000 PA USD 513875.78000000 0.175227707734 Long DBT CORP PA Y 2 2026-03-01 Fixed 7.63000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 2897.95000000 0.000988178768 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 436725000.00000000 KRW 332153.21000000 USD 2023-06-15 2897.95000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYJ7 118000.00000000 PA USD 95010.19000000 0.032397747574 Long DBT CORP US N 2 2032-07-21 Fixed 2.38000000 N N N N N N ENTEGRIS INC IYX6OWO7BT5DKO3BYG52 29362UAD6 480000.00000000 PA USD 414196.80000000 0.141237938505 Long DBT CORP US Y 2 2029-05-01 Fixed 3.63000000 N N N N N N ZI TECH LLC/ZI FIN CORP N/A 98981BAA0 697000.00000000 PA USD 603739.10000000 0.205870412034 Long DBT CORP US Y 2 2029-02-01 Fixed 3.88000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 26158.88000000 0.008919977857 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 31397051.10000000 THB 932631.85000000 USD 2023-07-19 26158.88000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 695.41000000 0.000237129487 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 99640.00000000 EUR 107498.01000000 USD 2023-07-21 695.41000000 N N N GALP ENERGIA SGPS SA 2138003319Y7NM75FG53 000000000 100000.00000000 PA 100900.33000000 0.034406240231 Long DBT CORP PT N 2 2026-01-15 Fixed 2.00000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 000000000 200000.00000000 PA 189018.16000000 0.064453745800 Long DBT CORP GB N 2 2028-03-31 Fixed 4.50000000 N N N N N N LYB INT FINANCE III N/A 50249AAD5 139000.00000000 PA USD 104301.88000000 0.035566142745 Long DBT CORP US N 2 2050-05-01 Fixed 4.20000000 N N N N N N QBE INSURANCE GROUP LTD 549300D2FBW76FPUSG65 000000000 100000.00000000 PA 96583.49000000 0.032934230832 Long DBT CORP AU N 2 2038-09-13 Fixed 2.50000000 N N N N N N FREEPORT INDONESIA PT 549300T4HTQHRKLNE619 69377FAB2 200000.00000000 PA USD 187225.94000000 0.063842612498 Long DBT CORP ID Y 2 2032-04-14 Fixed 5.32000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDD1 100000.00000000 PA USD 64814.11000000 0.022101115417 Long DBT CORP MX N 2 2050-01-23 Fixed 7.69000000 N N N N N N SLM CORP 4K8SLPBF5DXXGPW03H93 78442PGE0 827000.00000000 PA USD 708970.90000000 0.241753650381 Long DBT CORP US N 2 2026-11-02 Fixed 3.13000000 N N N N N N AVANTOR FUNDING INC 5493003VM0XB4U8YD238 05352TAA7 1024000.00000000 PA USD 947168.05000000 0.322977055352 Long DBT CORP US Y 2 2028-07-15 Fixed 4.63000000 N N N N N N NEXTERA ENERGY OPERATING 549300KJEC5IUVJWR786 65342QAC6 102000.00000000 PA USD 97792.50000000 0.033346493988 Long DBT CORP US Y 2 2024-09-15 Fixed 4.25000000 N N N N N N VENTURE GLOBAL LNG INC 54930011XLBUWMQUC829 92332YAA9 193000.00000000 PA USD 193965.00000000 0.066140580376 Long DBT CORP US Y 2 2028-06-01 Fixed 8.13000000 N N N N N N Oklahoma Development Finance Authority 549300PXGPHUWC32DJ91 67884XCQ8 221000.00000000 PA USD 204847.07000000 0.069851282954 Long DBT MUN US N 2 2030-08-15 Fixed 4.65000000 N N N N N N PRESTIGE BRANDS INC 549300JBVP4J6D42I235 74112BAM7 227000.00000000 PA USD 186809.65000000 0.063700660794 Long DBT CORP US Y 2 2031-04-01 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KG3Z4 24561.98000000 PA USD 21381.16000000 0.007290811906 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 384.62000000 0.000131152476 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 546258.30000000 AUD 356344.72000000 USD 2023-07-21 384.62000000 N N N ILIAD HOLDING SAS 9695009PXA7OI9NXN582 449691AA2 200000.00000000 PA USD 188292.07000000 0.064206154667 Long DBT CORP FR Y 2 2026-10-15 Fixed 6.50000000 N N N N N N AXALTA COATING SYSTEMS 549300G80QONCHILSF69 05453GAC9 1340000.00000000 PA USD 1148004.80000000 0.391460849882 Long DBT CORP US Y 2 2029-02-15 Fixed 3.38000000 N N N N N N AIR CANADA 4B4HI3CGXMBDC0G6BM51 008911BK4 680000.00000000 PA USD 631234.75000000 0.215246218230 Long DBT CORP CA Y 2 2026-08-15 Fixed 3.88000000 N N N N N N TRIVIUM PACKAGING FIN 724500GMZWW3PVYET548 89686QAB2 625000.00000000 PA USD 588499.63000000 0.200673869408 Long DBT CORP NL Y 2 2027-08-15 Fixed 8.50000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -60655.34000000 -0.02068300667 N/A DFE NO N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 904879.26000000 USD 9349438.70000000 NOK 2023-07-21 -60655.34000000 N N N QNB FINANCE LTD 549300MY0DXTHQEX5O57 000000000 554000.00000000 PA USD 513835.00000000 0.175213802067 Long DBT CORP KY N 2 2027-02-12 Fixed 2.75000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -21.00000000 NC USD -7429.39000000 -0.00253336512 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 2 Year U.S. Treasury Notes Futures TUU3 Comdty 2023-09-29 -4314961.26000000 USD -7429.39000000 N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 75513ECL3 175000.00000000 PA USD 115063.60000000 0.039235806894 Long DBT CORP US N 2 2051-09-01 Fixed 2.82000000 N N N N N N NN GROUP NV 724500OHYNDT9OY6Q215 000000000 100000.00000000 PA 106969.55000000 0.036475797796 Long DBT CORP NL N 2 2043-11-03 Fixed 6.00000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05551VBK8 989038.95000000 PA USD 66040.60000000 0.022519339120 Long ABS-MBS CORP US N 2 2054-07-15 Variable 1.29000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 44298.33000000 0.015105391467 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 32702369.36000000 NOK 2997215.98000000 USD 2023-07-21 44298.33000000 N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 9626.22000000 0.003282467340 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 1775225.06000000 SEK 173645.96000000 USD 2023-07-21 9626.22000000 N N N Republic of Angola 549300QHR2R3J8JSGK83 000000000 670000.00000000 PA USD 513461.20000000 0.175086339128 Long DBT NUSS AO N 2 2048-05-08 Fixed 9.38000000 N N N N N N NATL GRID ELECT TRANS 5XJXCCYG4SDKFJ5WLB02 000000000 100000.00000000 PA 73622.42000000 0.025104681708 Long DBT CORP GB N 2 2040-04-17 Fixed 2.00000000 N N N N N N FS Rialto Issuer Ltd N/A 30319YAC2 297500.00000000 PA USD 279013.65000000 0.095141519057 Long ABS-CBDO CORP US Y 2 2038-05-16 Floating 6.66000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GLG2 117000.00000000 PA USD 116589.78000000 0.039756222592 Long DBT CORP US N 2 2029-04-25 Fixed 5.20000000 N N N N N N TERRAFORM POWER OPERATIN 5493000S2OLR3UT5BE13 88104LAE3 947000.00000000 PA USD 887812.50000000 0.302737267114 Long DBT CORP US Y 2 2028-01-31 Fixed 5.00000000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918CC6 101000.00000000 PA USD 69523.41000000 0.023706950672 Long DBT CORP US N 2 2050-06-01 Fixed 2.53000000 N N N N N N Eskom Holdings SOC Ltd 3789001900ED06F65111 000000000 624000.00000000 PA USD 563309.76000000 0.192084316543 Long DBT CORP ZA N 2 2028-08-10 Fixed 6.35000000 N N N N N N REPUBLIC OF SRI LANKA 254900HXCCIOHM74FA02 85227SBB1 446000.00000000 PA USD 162913.05000000 0.055552103100 Long DBT NUSS LK Y 2 2030-03-28 Fixed 7.55000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJT7 201000.00000000 PA USD 166104.03000000 0.056640202856 Long DBT CORP US N 2 2032-04-22 Fixed 2.69000000 N N N N N N AVATION CAPITAL SA N/A 000000000 6125.00000000 NS 4038.17000000 0.001376985061 N/A DE GB N 2 N/A N/A Call Purchased Avation Capital SA Avation Capital SA 1.00000000 1.14000000 GBP 2026-10-31 XXXX 4038.17000000 N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DV9 87000.00000000 PA USD 84839.87000000 0.028929746299 Long DBT CORP US N 2 2053-02-21 Fixed 5.63000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 5903.87000000 0.002013174481 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 344387.49000000 AUD 230318.23000000 USD 2023-07-21 5903.87000000 N N N LOGICOR FINANCING SARL 254900IS16Q1A2TQFN22 000000000 110000.00000000 PA 84707.46000000 0.028884595502 Long DBT CORP LU N 2 2030-01-17 Fixed 1.63000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 14234.26000000 0.004853773709 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 6318528.10000000 CNY 905869.44000000 USD 2023-07-21 14234.26000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411LSY8 28403.38000000 PA USD 29566.85000000 0.010082069543 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.00000000 N N N N N N UNITED KINGDOM GILT ECTRVYYCEF89VWYS6K36 000000000 231525.67000000 PA 140509.52000000 0.047912670849 Long DBT NUSS GB N 2 2051-07-31 Fixed 1.25000000 N N N N N N ELDORADO GOLD CORP 5493004PWQ01YDD1IH62 284902AF0 307000.00000000 PA USD 275532.50000000 0.093954473552 Long DBT CORP CA Y 2 2029-09-01 Fixed 6.25000000 N N N N N N SAMHALLSBYGGNADSBOLAGET 549300HX9MRFY47AH564 000000000 100000.00000000 PA 85148.59000000 0.029035017456 Long DBT CORP SE N 2 2025-01-14 Fixed 1.75000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 244.88000000 0.000083502205 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 52218.13000000 GBP 65264.67000000 USD 2023-07-21 244.88000000 N N N TAYLOR MORRISON COMM 549300O1Z08HI2MRK572 87724RAB8 821000.00000000 PA USD 796370.00000000 0.271556074522 Long DBT CORP US Y 2 2028-01-15 Fixed 5.75000000 N N N N N N ENTEGRIS ESCROW CORP N/A 29365BAB9 514000.00000000 PA USD 495161.59000000 0.168846312184 Long DBT CORP US Y 2 2030-06-15 Fixed 5.95000000 N N N N N N RTE RESEAU DE TRANSPORT 969500JRJW0K2ET1UP76 000000000 100000.00000000 PA 80623.30000000 0.027491928203 Long DBT CORP FR N 2 2034-01-12 Fixed 0.75000000 N N N N N N PFIZER INVESTMENT ENTER 5493000FQO8XF9C0RT95 716973AE2 100000.00000000 PA USD 100401.05000000 0.034235989572 Long DBT CORP SG N 2 2033-05-19 Fixed 4.75000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61772BAB9 107000.00000000 PA USD 96232.07000000 0.032814399302 Long DBT CORP US N 2 2027-05-04 Fixed 1.59000000 N N N N N N NCR CORP 549300YKTY8JX1DV2R67 62886EBA5 565000.00000000 PA USD 494232.45000000 0.168529482556 Long DBT CORP US Y 2 2029-04-15 Fixed 5.13000000 N N N N N N Republic of Paraguay 529900UXKJTJPCU0HK83 000000000 200000.00000000 PA USD 171702.16000000 0.058549122338 Long DBT NUSS PY N 2 2048-03-13 Fixed 5.60000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -335.06000000 -0.00011425289 N/A DFE N/A N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 116218.35000000 USD 108111.71000000 EUR 2023-07-21 -335.06000000 N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 2768.46000000 0.000944023669 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 731480.09000000 NZD 443227.19000000 USD 2023-07-21 2768.46000000 N N N EURONET WORLDWIDE INC YG3575C4DSHJPA5KET68 000000000 100000.00000000 PA 95051.31000000 0.032411769179 Long DBT CORP US N 2 2026-05-22 Fixed 1.38000000 N N N N N N JBS USA/FOOD/FINANCE N/A 46590XAT3 781000.00000000 PA USD 631912.33000000 0.215477267824 Long DBT CORP LU Y 2 2032-01-15 Fixed 3.63000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -1548.99000000 -0.00052819373 N/A DFE N/A N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 181413.74000000 USD 167802.32000000 EUR 2023-07-21 -1548.99000000 N N N SOUTHERN GAS CORRIDOR 213800DG58KG59XY6318 000000000 1065000.00000000 PA USD 1087179.69000000 0.370719952932 Long DBT CORP AZ N 2 2026-03-24 Fixed 6.88000000 N N N N N N AMERICAN ELECTRIC POWER 1B4S6S7G0TW5EE83BO58 025537AX9 116000.00000000 PA USD 118318.26000000 0.040345621042 Long DBT CORP US N 2 2033-03-01 Fixed 5.63000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDH1 55000.00000000 PA USD 45950.04000000 0.015668611934 Long DBT CORP US N 2 2040-04-01 Fixed 3.75000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 55.00000000 NC USD 27727.32000000 0.009454803892 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Ultra 10-Year U.S. Treasury Notes Futures UXYU3 Comdty 2023-09-20 6597194.56000000 USD 27727.32000000 N N N ALLIED UNIVERSAL N/A 019576AC1 400000.00000000 PA USD 296000.00000000 0.100933734393 Long DBT CORP US Y 2 2029-06-01 Fixed 6.00000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 3020.01000000 0.001029800294 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 100000.00000000 EUR 110208.48000000 USD 2023-07-21 3020.01000000 N N N DICK'S SPORTING GOODS 529900SSBV5I4LWSK313 253393AF9 74000.00000000 PA USD 59859.73000000 0.020411709758 Long DBT CORP US N 2 2032-01-15 Fixed 3.15000000 N N N N N N AUSTRALIAN GOVERNMENT 213800J6B7JSBDETCB42 000000000 814000.00000000 PA 512379.77000000 0.174717579775 Long DBT NUSS AU N 2 2028-11-21 Fixed 2.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XLD6 48800.90000000 PA USD 43971.89000000 0.014994077925 Long ABS-MBS USGA US N 2 2052-11-20 Fixed 3.00000000 N N N N N N INTL FLAVOR & FRAGRANCES BZLRL03D3GPGMOGFO832 459506AP6 96000.00000000 PA USD 81151.05000000 0.027671886913 Long DBT CORP US Y 2 2027-10-15 Fixed 1.83000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -1491.70000000 -0.00050865828 N/A DFE CA N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 138909.34000000 USD 186327.48000000 CAD 2023-07-21 -1491.70000000 N N N TELSTRA GROUP LTD 894500WRW54CVN62K416 000000000 110000.00000000 PA 118828.19000000 0.040519503269 Long DBT CORP AU N 2 2031-05-04 Fixed 3.75000000 N N N N N N LABL INC 5493004FUZN8R6Y3VB98 50168QAC9 533000.00000000 PA USD 479033.75000000 0.163346842188 Long DBT CORP US Y 2 2028-11-01 Fixed 5.88000000 N N N N N N NFP CORP VO2L9FZNXDJNQNEYH039 65342RAE0 614000.00000000 PA USD 548123.94000000 0.186906068156 Long DBT CORP US Y 2 2028-08-15 Fixed 4.88000000 N N N N N N Mattel Inc 549300VELLG24KHTJ564 577081AU6 59000.00000000 PA USD 51840.96000000 0.017677370565 Long DBT CORP US N 2 2040-10-01 Fixed 6.20000000 N N N N N N WEC ENERGY GROUP INC 549300IGLYTZUK3PVP70 92939UAE6 89000.00000000 PA USD 71367.90000000 0.024335907644 Long DBT CORP US N 2 2030-10-15 Fixed 1.80000000 N N N N N N PFP III N/A 69290LAG2 99995.01000000 PA USD 92156.90000000 0.031424797523 Long ABS-CBDO CORP KY Y 2 2038-04-14 Floating 6.76000000 N N N N N N UNITED KINGDOM GILT ECTRVYYCEF89VWYS6K36 000000000 255000.00000000 PA 190500.04000000 0.064959055537 Long DBT NUSS GB N 2 2041-10-22 Fixed 1.25000000 N N N N N N JAZZ SECURITIES DAC 6354009DV8VV7K6KOO02 47216FAA5 1114000.00000000 PA USD 998122.10000000 0.340351996396 Long DBT CORP IE Y 2 2029-01-15 Fixed 4.38000000 N N N N N N NEW ZEALAND GOVERNMENT 549300237GPHG2AI7C34 000000000 748000.00000000 PA 367663.76000000 0.125370528033 Long DBT NUSS NZ N 2 2031-05-15 Fixed 1.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -6226.65000000 -0.00212323999 N/A DFE TH N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 280637.13000000 USD 9504618.42000000 THB 2023-07-19 -6226.65000000 N N N Bayview Financial Revolving Mortgage Loan Trust N/A 073250BW1 115530.54000000 PA USD 150836.90000000 0.051434228382 Long ABS-MBS CORP US Y 2 2040-12-28 Floating 6.76000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -7327.02000000 -0.00249845773 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 83099266.00000000 TWD 2715813.17000000 USD 2023-08-03 -7327.02000000 N N N Massachusetts Educational Financing Authority 5493007K5OP7V6CL0Y88 57563RSU4 290000.00000000 PA USD 283204.40000000 0.096570532731 Long DBT MUN US N 2 2038-07-01 Fixed 4.95000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCE4 218000.00000000 PA USD 156124.09000000 0.053237119704 Long DBT CORP US N 2 2052-04-22 Fixed 3.33000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 6488.69000000 0.002212593625 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 748635.15000000 EUR 808939.28000000 USD 2023-07-21 6488.69000000 N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -2435.85000000 -0.00083060620 N/A DFE AU N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 159439.92000000 USD 240939.30000000 AUD 2023-07-21 -2435.85000000 N N N HCA INC L3CJ6J7LJ2DX62FTXD46 404119BY4 103000.00000000 PA USD 94258.81000000 0.032141532745 Long DBT CORP US N 2 2039-06-15 Fixed 5.13000000 N N N N N N AUSTRALIAN GOVERNMENT 213800J6B7JSBDETCB42 000000000 3662000.00000000 PA 1935549.07000000 0.660007418027 Long DBT NUSS AU N 2 2031-11-21 Fixed 1.00000000 N N N N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 -126.00000000 NC 226738.16000000 0.077315977088 N/A DIR AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Short SFE 10 Year Australian Bond Futures XMM3 Comdty 2023-06-15 -15457588.02000000 AUD 226738.16000000 N N N ING GROEP NV 549300NYKK9MWM7GGW15 000000000 100000.00000000 PA 118395.16000000 0.040371843354 Long DBT CORP NL N 2 2033-05-20 Fixed 6.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KHW31 20024.74000000 PA USD 17431.52000000 0.005944014897 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N CLEARWAY ENERGY OP LLC 549300Z3NFMM54NWBB87 18539UAD7 1770000.00000000 PA USD 1484742.02000000 0.506285664489 Long DBT CORP US Y 2 2031-02-15 Fixed 3.75000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -76778.23000000 -0.02618078876 N/A DFE N/A N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 2824819.41000000 USD 2563746.91000000 EUR 2023-07-21 -76778.23000000 N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -1536.97000000 -0.00052409500 N/A DFE CA N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 138920.25000000 USD 186280.89000000 CAD 2023-07-21 -1536.97000000 N N N PPL ELECTRIC UTILITIES 549300GCZLSGYEYPIR35 69351UBB8 118000.00000000 PA USD 118266.12000000 0.040327841701 Long DBT CORP US N 2 2053-05-15 Fixed 5.25000000 N N N N N N MF1 Multifamily Housing Mortgage Loan Trust N/A 55284JAG4 110841.00000000 PA USD 103239.17000000 0.035203766769 Long ABS-CBDO CORP KY Y 2 2037-02-19 Floating 7.12000000 N N N N N N SABRE GLBL INC F2TJC7HPPHLHU1AQMP98 78573NAH5 292000.00000000 PA USD 224460.40000000 0.076539278362 Long DBT CORP US Y 2 2027-12-15 Fixed 11.25000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -40502.41000000 -0.01381101180 N/A DFE TH N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 2476366.72000000 USD 84369814.01000000 THB 2023-07-19 -40502.41000000 N N N MICHAELS COS INC/THE 549300H9LWMBP7HYLR98 55916AAB0 675000.00000000 PA USD 414747.08000000 0.141425579773 Long DBT CORP US Y 2 2029-05-01 Fixed 7.88000000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NBM9 355000.00000000 PA USD 261968.42000000 0.089329226093 Long DBT CORP US Y 2 2031-09-01 Fixed 3.88000000 N N N N N N API GROUP DE INC 549300XP4G7B4QYA0G83 00185PAA9 1010000.00000000 PA USD 907448.79000000 0.309433091706 Long DBT CORP US Y 2 2029-10-15 Fixed 4.75000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 426.65000000 0.000145484384 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 12755.90000000 EUR 14099.50000000 USD 2023-07-21 426.65000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 15817.58000000 0.005393673711 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 55094685.00000000 JPY 414264.75000000 USD 2023-07-21 15817.58000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 11536.99000000 0.003934025284 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 2486435.81000000 NOK 236054.06000000 USD 2023-07-21 11536.99000000 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FXZ50 3183938.62000000 PA USD 61215.68000000 0.020874078330 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 0.33000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -5564.79000000 -0.00189755079 N/A DFE N/A N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 399223.13000000 USD 367258.09000000 EUR 2023-07-21 -5564.79000000 N N N CORPORATE OFFICE PROP LP H0TWO5VRNEP6CQAWPX27 22003BAN6 52000.00000000 PA USD 39863.72000000 0.013593223399 Long DBT CORP US N 2 2029-01-15 Fixed 2.00000000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BP1 598000.00000000 PA USD 530013.38000000 0.180730505816 Long DBT CORP US N 2 2029-01-15 Fixed 4.63000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAK6 727000.00000000 PA USD 694724.29000000 0.236895665416 Long DBT NUSS MX N 2 2032-04-27 Fixed 4.75000000 N N N N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03880XAG1 327000.00000000 PA USD 303750.69000000 0.103576660358 Long ABS-CBDO CORP KY Y 2 2037-01-15 Floating 7.17000000 N N N N N N CALPINE CORP 43R4VPJBXTU2O15HEF41 131347CN4 864000.00000000 PA USD 773975.75000000 0.263919806679 Long DBT CORP US Y 2 2028-03-15 Fixed 5.13000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDN9 60000.00000000 PA USD 53815.20000000 0.018350571294 Long DBT CORP MX Y 2 2033-02-07 Fixed 10.00000000 N N N N N N GRAFTECH FINANCE INC 1Z010BU876CF2HDBIN43 384311AA4 838000.00000000 PA USD 668335.82000000 0.227897399125 Long DBT CORP US Y 2 2028-12-15 Fixed 4.63000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163QBK3 8926377.00000000 PA USD 429489.06000000 0.146452482117 Long ABS-MBS CORP US N 2 2055-07-15 Variable 0.64000000 N N N N N N AON CORP/AON GLOBAL HOLD N/A 03740LAE2 92000.00000000 PA USD 70966.11000000 0.024198900329 Long DBT CORP US N 2 2052-02-28 Fixed 3.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JPLF0 47893.54000000 PA USD 45262.69000000 0.015434230845 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.50000000 N N N N N N BENCHMARK Mortgage Trust N/A 08161QAH3 46000.00000000 PA USD 46448.94000000 0.015838733016 Long ABS-MBS CORP US N 2 2055-11-15 Variable 5.75000000 N N N N N N MEGLOBAL BV 549300WBVLU2FILR7W19 000000000 522000.00000000 PA USD 504640.37000000 0.172078503613 Long DBT CORP NL N 2 2026-11-03 Fixed 4.25000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PET1 150000.00000000 PA USD 148826.84000000 0.050748813307 Long DBT NUSS DO Y 2 2031-02-03 Fixed 7.05000000 N N N N N N UMBS, TBA N/A 01F042665 325000.00000000 PA USD 314786.62000000 0.107339828018 Long ABS-MBS USGSE US N 2 2053-06-15 Fixed 4.50000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DQ0 33000.00000000 PA USD 33256.14000000 0.011340089194 Long DBT CORP US N 2 2030-03-02 Fixed 5.25000000 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 74365PAF5 329000.00000000 PA USD 252436.78000000 0.086079009809 Long DBT CORP NL Y 2 2031-07-13 Fixed 3.06000000 N N N N N N BRUCE POWER LP 549300R8DACS3G0K8262 116705AK0 200000.00000000 PA 131627.26000000 0.044883888174 Long DBT CORP CA N 2 2028-12-21 Fixed 2.68000000 N N N N N N DT MIDSTREAM INC N/A 23345MAA5 984000.00000000 PA USD 853325.88000000 0.290977593657 Long DBT CORP US Y 2 2029-06-15 Fixed 4.13000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -16480.13000000 -0.00561959818 N/A DFE N/A N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 724878.04000000 USD 660890.01000000 EUR 2023-07-21 -16480.13000000 N N N US ACUTE CARE SOLUTIONS N/A 90367UAA9 575000.00000000 PA USD 487312.50000000 0.166169832572 Long DBT CORP US Y 2 2026-03-01 Fixed 6.38000000 N N N N N N CIMPRESS PLC 549300X1IFD75XISOR81 17186HAG7 890000.00000000 PA USD 767625.00000000 0.261754249538 Long DBT CORP IE N 2 2026-06-15 Fixed 7.00000000 N N N N N N NCL CORPORATION LTD UNZWILHE4KMRP9K2L524 62886HBA8 423000.00000000 PA USD 383723.05000000 0.130846623004 Long DBT CORP BM Y 2 2026-03-15 Fixed 5.88000000 N N N N N N BONOS Y OBLIG DEL ESTADO 9598007A56S18711AH60 000000000 1180000.00000000 PA 658291.32000000 0.224472301507 Long DBT NUSS ES N 2 2050-10-31 Fixed 1.00000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PEE4 2249000.00000000 PA USD 1664853.20000000 0.567702198284 Long DBT NUSS DO Y 2 2060-01-30 Fixed 5.88000000 N N N N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAC4 1384000.00000000 PA USD 1297325.95000000 0.442378219116 Long DBT CORP US N 2 2028-07-15 Fixed 5.50000000 N N N N N N VULCAN MATERIALS CO 549300Q8LSNHAVWBNI21 929160AZ2 159000.00000000 PA USD 143572.25000000 0.048957038336 Long DBT CORP US N 2 2030-06-01 Fixed 3.50000000 N N N N N N LKQ CORP DS830JTTZQN6GK0I2E41 501889AE9 65000.00000000 PA USD 65416.52000000 0.022306532616 Long DBT CORP US Y 2 2033-06-15 Fixed 6.25000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 7605.39000000 0.002593379777 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 636091.51000000 CAD 476726.72000000 USD 2023-07-21 7605.39000000 N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 000000000 100000.00000000 PA 106369.90000000 0.036271321736 Long DBT CORP FR N 2 2033-06-02 Fixed 5.63000000 N N N N N N MICHAELS COS INC/THE 549300H9LWMBP7HYLR98 55916AAA2 410000.00000000 PA USD 315700.00000000 0.107651283607 Long DBT CORP US Y 2 2028-05-01 Fixed 5.25000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -3978.63000000 -0.00135668237 N/A DFE GB N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 5252769.73000000 USD 4215363.33000000 GBP 2023-07-21 -3978.63000000 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FVNL2 821458.00000000 PA USD 64850.66000000 0.022113578688 Long ABS-MBS USGSE US N 2 2030-06-25 Variable 1.34000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05493EAZ5 2270794.65000000 PA USD 199200.46000000 0.067925832164 Long ABS-MBS CORP US N 2 2054-02-15 Variable 1.62000000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AR8 90000.00000000 PA USD 56145.18000000 0.019145076640 Long DBT CORP CA Y 2 2030-10-15 Fixed 14.00000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 000000000 100000.00000000 PA 107234.64000000 0.036566191457 Long DBT CORP GB N 2 2029-02-16 Fixed 4.77000000 N N N N N N CNTL AMR BOTTLING CORP N/A 15239XAA6 755000.00000000 PA USD 702150.00000000 0.239427775689 Long DBT CORP VG Y 2 2029-04-27 Fixed 5.25000000 N N N N N N iHeartCommunications Inc 54930076J6KDZL504O62 45174HBD8 388000.00000000 PA USD 218893.74000000 0.074641089910 Long DBT CORP US N 2 2027-05-01 Fixed 8.38000000 N N N N N N AMERICAN TRANSMISSION SY N/A 030288AC8 86000.00000000 PA USD 71345.38000000 0.024328228496 Long DBT CORP US Y 2 2032-01-15 Fixed 2.65000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XX50 125000.41000000 PA USD 123462.74000000 0.042099849346 Long ABS-MBS USGA US N 2 2053-04-20 Fixed 5.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128286T2 2906000.00000000 PA USD 2691796.01000000 0.917881836194 Long DBT UST US N 2 2029-05-15 Fixed 2.38000000 N N N N N N Wynn Macau Ltd 254900NMDQ8ENTHU1I31 98313RAD8 705000.00000000 PA USD 611728.50000000 0.208594736282 Long DBT CORP KY Y 2 2027-10-01 Fixed 5.50000000 N N N N N N PERMIAN RESOURC OPTG LLC 5493004CTVUMQLRPOE23 19416MAA7 110000.00000000 PA USD 110642.95000000 0.037728399080 Long DBT CORP US Y 2 2026-02-15 Fixed 7.75000000 N N N N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612GAB7 79000.00000000 PA USD 62762.97000000 0.021401692377 Long DBT CORP US N 2 2052-04-15 Fixed 4.95000000 N N N N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAN0 125000.00000000 PA USD 125625.02000000 0.042837170276 Long DBT CORP US Y 2 2030-06-01 Fixed 7.50000000 N N N N N N LONZA FINANCE INTL NV 549300AS6XQBD4ETT379 000000000 100000.00000000 PA 107632.91000000 0.036701998479 Long DBT CORP BE N 2 2033-05-25 Fixed 3.88000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -2516.55000000 -0.00085812428 N/A DFE GB N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 2381537.07000000 USD 1910618.21000000 GBP 2023-07-21 -2516.55000000 N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -86967.86000000 -0.02965537460 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 52628992.38000000 MXN 2858395.66000000 USD 2023-07-21 -86967.86000000 N N N NABORS INDUSTRIES LTD 5493008TXYN3II3PU369 629571AA8 760000.00000000 PA USD 692390.45000000 0.236099843839 Long DBT CORP BM Y 2 2026-01-15 Fixed 7.25000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 2379.93000000 0.000811537913 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 99779.00000000 EUR 109331.52000000 USD 2023-07-21 2379.93000000 N N N REALOGY GROUP/CO-ISSUER N/A 75606DAL5 753000.00000000 PA USD 543993.40000000 0.185497585632 Long DBT CORP US Y 2 2029-01-15 Fixed 5.75000000 N N N N N N BENIN INTL GOV BOND 635400Q11P6AE5A5Y230 000000000 400000.00000000 PA 292177.47000000 0.099630280920 Long DBT NUSS BJ N 2 2052-01-19 Fixed 6.88000000 N N N N N N JERSEY CENTRAL PWR & LT 549300W9UGH9ZPLNPF79 476556DD4 28000.00000000 PA USD 23276.89000000 0.007937241326 Long DBT CORP US Y 2 2032-03-01 Fixed 2.75000000 N N N N N N SKIPTON BUILDING SOCIETY 66AGRETLUXS4YO5MUH35 000000000 100000.00000000 PA 120464.09000000 0.041077332648 Long DBT CORP GB N 2 2029-04-25 Fixed 6.25000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -13592.72000000 -0.00463501348 N/A DFE N/A N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 396523.17000000 USD 357249.65000000 EUR 2023-07-21 -13592.72000000 N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BA4 825000.00000000 PA USD 363354.83000000 0.123901215883 Long DBT CORP US Y 2 2030-01-15 Fixed 5.75000000 N N N N N N SENSATA TECHNOLOGIES BV PUCKW5P5O3XMOZVH7T53 81725WAL7 385000.00000000 PA USD 371814.89000000 0.126786031589 Long DBT CORP NL Y 2 2030-09-01 Fixed 5.88000000 N N N N N N PROVINCE OF ALBERTA LQPXMHHNJKIPJYE53543 013051DB0 125000.00000000 PA 95041.44000000 0.032408403585 Long DBT NUSS CA N 2 2040-12-01 Fixed 4.50000000 N N N N N N IQVIA Inc 549300PLWY28YB00C717 46266TAA6 1010000.00000000 PA USD 971281.15000000 0.331199437888 Long DBT CORP US Y 2 2027-05-15 Fixed 5.00000000 N N N N N N TRITON CONTAINER 549300O4LZFLCX53XZ54 89680YAC9 104000.00000000 PA USD 80582.26000000 0.027477933877 Long DBT CORP BM Y 2 2031-06-15 Fixed 3.15000000 N N N N N N DUN & BRADSTREET CORP RI37BMPWE56BCJ747E14 26483EAL4 705000.00000000 PA USD 614196.00000000 0.209436134896 Long DBT CORP US Y 2 2029-12-15 Fixed 5.00000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -217598.31000000 -0.07419935819 N/A DFE NO N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 4164779.92000000 USD 43713440.86000000 NOK 2023-07-21 -217598.31000000 N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -21638.15000000 -0.00737844352 N/A DFE ID N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 1062394.21000000 USD 15610820455.00000000 IDR 2023-08-07 -21638.15000000 N N N FAIR ISAAC CORP RI6HET5SJUEY30V1PS26 303250AF1 131000.00000000 PA USD 120513.16000000 0.041094065142 Long DBT CORP US Y 2 2028-06-15 Fixed 4.00000000 N N N N N N State of Qatar 52990074F6OJOAXK4P65 74727PBB6 683000.00000000 PA USD 648915.57000000 0.221275242519 Long DBT NUSS QA Y 2 2049-03-14 Fixed 4.82000000 N N N N N N PRESTIGE BRANDS INC 549300JBVP4J6D42I235 74112BAL9 630000.00000000 PA USD 601650.00000000 0.205158044924 Long DBT CORP US Y 2 2028-01-15 Fixed 5.13000000 N N N N N N VECTOR GROUP LTD 549300TUIF4WWN6NDN50 92240MBL1 425000.00000000 PA USD 369300.81000000 0.125928749552 Long DBT CORP US Y 2 2029-02-01 Fixed 5.75000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 2203.64000000 0.000751424373 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 305784.81000000 CAD 227721.78000000 USD 2023-07-21 2203.64000000 N N N CAESARS ENTERTAIN INC 549300FA4CTCW903Y781 12769GAA8 319000.00000000 PA USD 275011.50000000 0.093776816540 Long DBT CORP US Y 2 2029-10-15 Fixed 4.63000000 N N N N N N SWF ESCROW ISSUER CORP N/A 78500AAA6 575000.00000000 PA USD 342843.75000000 0.116907094597 Long DBT CORP US Y 2 2029-10-01 Fixed 6.50000000 N N N N N N BANCO DE SABADELL SA SI5RG2M0WQQLZCXKRM20 000000000 100000.00000000 PA 106658.29000000 0.036369660519 Long DBT CORP ES N 2 2029-06-07 Fixed 5.00000000 N N N N N N KAISER ALUMINUM CORP N/A 483007AL4 524000.00000000 PA USD 411733.00000000 0.140397801563 Long DBT CORP US Y 2 2031-06-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M9KT3 69898.83000000 PA USD 57640.76000000 0.019655057973 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N RAC BOND CO PLC 2138008FCM2SUNLC7B21 000000000 150000.00000000 PA 148256.07000000 0.050554185106 Long DBT CORP GB Y 2 2027-11-04 Fixed 5.25000000 N N N N N N LXP INDUSTRIAL TRUST 549300S4MH2ICXDBFV43 529043AE1 195000.00000000 PA USD 156359.29000000 0.053317321103 Long DBT CORP US N 2 2030-09-15 Fixed 2.70000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 1869.77000000 0.000637577258 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 99982.00000000 EUR 109038.95000000 USD 2023-07-21 1869.77000000 N N N VIDEOTRON LTD / LTEE 549300LW4GNJRBECSD81 92660FAK0 473000.00000000 PA USD 456265.26000000 0.155582961370 Long DBT CORP CA Y 2 2027-04-15 Fixed 5.13000000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 95003DBP2 1965541.86000000 PA USD 159643.87000000 0.054437337743 Long ABS-MBS CORP US N 2 2054-08-15 Variable 1.53000000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BQ4 174000.00000000 PA USD 151739.38000000 0.051741967155 Long DBT CORP PA Y 2 2028-08-01 Fixed 4.00000000 N N N N N N Engie Energia Chile SA 5493000FIKCC3ZDWTO77 000000000 300000.00000000 PA USD 288100.92000000 0.098240208573 Long DBT CORP CL N 2 2025-01-29 Fixed 4.50000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CP2 200000.00000000 PA USD 169009.09000000 0.057630806081 Long DBT CORP GB N 2 2026-03-09 Fixed 4.00000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 7641.36000000 0.002605645272 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 339290.06000000 AUD 228734.06000000 USD 2023-07-21 7641.36000000 N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 381.33000000 0.000130030611 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 68187.46000000 GBP 85285.45000000 USD 2023-07-21 381.33000000 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FEZY9 15983000.00000000 PA USD 107298.67000000 0.036588025197 Long ABS-MBS USGSE US N 2 2028-04-25 Variable 0.11000000 N N N N N N UBISOFT ENTERTAINMENT SA 969500I7C8V1LBIMSM05 000000000 200000.00000000 PA 151537.99000000 0.051673294706 Long DBT CORP FR N 2 2027-11-24 Fixed 0.88000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 6045.90000000 0.002061605624 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 199566.00000000 EUR 219957.65000000 USD 2023-07-21 6045.90000000 N N N REGENCY CENTERS LP 5493008PTR2GAOYBXW28 75884RBA0 71000.00000000 PA USD 63882.60000000 0.021783477637 Long DBT CORP US N 2 2030-06-15 Fixed 3.70000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC 17557.15000000 0.005986853766 N/A DFE US N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 4891407.78000000 NOK 459235.37000000 USD 2023-07-21 17557.15000000 N N N NATIONSTAR MTG HLD INC N/A 63861CAE9 145000.00000000 PA USD 117750.28000000 0.040151944210 Long DBT CORP US Y 2 2031-11-15 Fixed 5.75000000 N N N N N N ELECTRICITE DE FRANCE SA 549300X3UK4GG3FNMO06 000000000 200000.00000000 PA 180109.69000000 0.061416025716 Long DBT CORP FR N 2 2026-12-15 Fixed 2.88000000 N N N N N N CORPORATE OFFICE PROP LP H0TWO5VRNEP6CQAWPX27 22003BAL0 149000.00000000 PA USD 131833.82000000 0.044954323553 Long DBT CORP US N 2 2026-03-15 Fixed 2.25000000 N N N N N N VTR COMUNICACIONES SPA 213800XDZJKMC1AEUV94 000000000 267000.00000000 PA USD 125490.00000000 0.042791129489 Long DBT CORP CL N 2 2028-01-15 Fixed 5.13000000 N N N N N N Bank N/A 06540MBQ7 257000.00000000 PA USD 220511.37000000 0.075192689358 Long ABS-MBS CORP US N 2 2065-04-15 Variable 3.79000000 N N N N N N TELUS CORP L2TEUTQ8OSHMJWVLCE40 87971MBV4 151000.00000000 PA 94156.15000000 0.032106526471 Long DBT CORP CA N 2 2031-11-13 Fixed 2.85000000 N N N N N N LPL HOLDINGS INC 549300Z5YF8CCRMYUL26 50212YAD6 84000.00000000 PA USD 73759.80000000 0.025151527236 Long DBT CORP US Y 2 2029-03-15 Fixed 4.00000000 N N N N N N ALBION FINANCING 2SARL 2594009X2UW7EQPIKY23 013305AA5 635000.00000000 PA USD 549115.17000000 0.187244069999 Long DBT CORP LU Y 2 2027-04-15 Fixed 8.75000000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BJ0 432000.00000000 PA USD 445875.41000000 0.152040102045 Long DBT CORP PA Y 2 2027-08-01 Fixed 9.88000000 N N N N N N VENTURE GLOBAL CALCASIEU 549300GKHS6RS20NLH85 92328MAA1 870000.00000000 PA USD 756924.88000000 0.258105590518 Long DBT CORP US Y 2 2029-08-15 Fixed 3.88000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 054975AJ6 118289.00000000 PA USD 124050.40000000 0.042300236908 Long ABS-MBS CORP US N 2 2055-12-15 Variable 6.15000000 N N N N N N ADANI GREEN ENERGY UP N/A 00654AAA4 1081000.00000000 PA USD 1039111.25000000 0.354328982811 Long DBT CORP IN Y 2 2024-12-10 Fixed 6.25000000 N N N N N N BNP Paribas SA R0MUWSFPU8MPRO8K5P83 000000000 1.00000000 NC -22140.15000000 -0.00754962168 N/A DFE SG N 2 BNP Paribas SA R0MUWSFPU8MPRO8K5P83 1486930.15000000 USD 1977562.38000000 SGD 2023-07-21 -22140.15000000 N N N ENI SPA BUCRF72VH5RBN7X3VL35 000000000 100000.00000000 PA 106521.25000000 0.036322930928 Long DBT CORP IT N 2 2027-05-19 Fixed 3.63000000 N N N N N N INTELSAT EMERGENCE SA N/A 000000000 7057.00000000 NS USD 172896.50000000 0.058956383136 Long EC CORP LU N 2 N N N CNH Equipment Trust N/A 12664QAB0 68632.00000000 PA USD 68374.46000000 0.023315167516 Long ABS-O CORP US N 2 2026-09-15 Fixed 5.34000000 N N N N N N NEW ENTERPRISE STONE & L 549300O5DQ5Y61B8VF38 644274AG7 556000.00000000 PA USD 528200.00000000 0.180112157116 Long DBT CORP US Y 2 2028-07-15 Fixed 9.75000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 218.03000000 0.000074346561 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 5564.25000000 EUR 6182.26000000 USD 2023-07-21 218.03000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -215.00000000 NC -687004.36000000 -0.23426322837 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short CME 1 Year Mid-Curve 3 Month Eurodollar Option OEM3 Comdty 2023-06-08 -24757379.25000000 EUR -687004.36000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 4591.94000000 0.001565816392 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 230334.03000000 AUD 154685.26000000 USD 2023-07-21 4591.94000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 601.85000000 0.000205226243 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 122316.50000000 CAD 90811.01000000 USD 2023-07-21 601.85000000 N N N Post Holdings Inc JM1I5YUAURL6DC8N1468 737446AN4 618000.00000000 PA USD 595876.09000000 0.203189185808 Long DBT CORP US Y 2 2028-01-15 Fixed 5.63000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 4809.98000000 0.001640166364 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 2036090035.00000000 KRW 1544294.13000000 USD 2023-08-04 4809.98000000 N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 2487.05000000 0.000848065013 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 98912.00000000 EUR 108509.31000000 USD 2023-07-21 2487.05000000 N N N RAC BOND CO PLC 2138008FCM2SUNLC7B21 000000000 100000.00000000 PA 113360.52000000 0.038655069649 Long DBT CORP GB N 2 2026-05-06 Fixed 4.87000000 N N N N N N GROUPE ACM 96950090CGKLVXEKWF10 000000000 200000.00000000 PA 156777.74000000 0.053460009351 Long DBT CORP FR N 2 2042-04-21 Fixed 1.85000000 N N N N N N ROGERS COMMUNICATIONS IN 54930030NVF3Y2OL0A78 775109BP5 33000.00000000 PA USD 23185.17000000 0.007905965508 Long DBT CORP CA N 2 2049-11-15 Fixed 3.70000000 N N N N N N CHART INDUSTRIES INC EM7QGKC1GYOF3LSZSL80 000000000 693000.00000000 PA USD 724780.98000000 0.247144766650 Long DBT CORP US Y 2 2031-01-01 Fixed 9.50000000 N N N N N N UNIVERSITY OF PENNSYLVAN 549300FG60YK9HZ7DS75 91481CAD2 35000.00000000 PA USD 22643.00000000 0.007721089688 Long DBT CORP US N 2 2050-10-01 Fixed 2.40000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAG6 134000.00000000 PA USD 123748.25000000 0.042197206071 Long DBT CORP KY Y 2 2026-05-01 Fixed 4.38000000 N N N N N N GROUP 1 AUTOMOTIVE INC 549300US8QAZJLWYAF63 398905AN9 590000.00000000 PA USD 516633.80000000 0.176168171444 Long DBT CORP US Y 2 2028-08-15 Fixed 4.00000000 N N N N N N REAL HERO MERGER SUB 2 N/A 75602BAA7 560000.00000000 PA USD 424340.00000000 0.144696692068 Long DBT CORP US Y 2 2029-02-01 Fixed 6.25000000 N N N N N N Q-PARK HOLDING BV 2549003839B7HE3NDP48 000000000 280000.00000000 PA 252901.80000000 0.086237578070 Long DBT CORP NL N 2 2027-03-01 Fixed 2.00000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 309.61000000 0.000105574640 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 99521.00000000 EUR 106984.65000000 USD 2023-07-21 309.61000000 N N N EMPIRE COMMUNITIES CORP 549300JM1L6KK2QFP273 29163VAC7 608000.00000000 PA USD 553280.00000000 0.188664245151 Long DBT CORP CA Y 2 2025-12-15 Fixed 7.00000000 N N N N N N SUMMER (BC) BIDC 213800CCW2O2WZ7YV169 865632AA1 740000.00000000 PA USD 629740.00000000 0.214736519921 Long DBT CORP US Y 2 2026-10-31 Fixed 5.50000000 N N N N N N MATTEL INC 549300VELLG24KHTJ564 577081BD3 304000.00000000 PA USD 296223.10000000 0.101009809785 Long DBT CORP US Y 2 2027-12-15 Fixed 5.88000000 N N N N N N CALPINE CORP 43R4VPJBXTU2O15HEF41 131347CM6 927000.00000000 PA USD 843573.34000000 0.287652052164 Long DBT CORP US Y 2 2028-02-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ECY4 185677.11000000 PA USD 158499.69000000 0.054047181121 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 2.00000000 N N N N N N VIRGIN MEDIA VEND FIN IV 635400ZZNJSEA4CAJR23 92770QAA5 1200000.00000000 PA USD 1042449.84000000 0.355467416448 Long DBT CORP IE Y 2 2028-07-15 Fixed 5.00000000 N N N N N N LTRI HOLDINGS, LP N/A 000000000 615.00000000 NS USD 206049.60000000 0.070261336480 Long EC CORP US N 3 N N N COREBRIDGE FINANCIAL INC 549300XY1661QCIA7J65 21871XAK5 149000.00000000 PA USD 119157.62000000 0.040631836378 Long DBT CORP US N 2 2042-04-05 Fixed 4.35000000 N N N N N N TOLL ROAD INV PART II N/A 88948ABM8 1134592.69000000 PA USD 312078.80000000 0.106416482124 Long DBT CORP US Y 2 2043-02-15 None 0.00000000 N N N N N N Sensata Technologies BV PUCKW5P5O3XMOZVH7T53 81725WAH6 255000.00000000 PA USD 255127.50000000 0.086996524734 Long DBT CORP NL Y 2 2024-11-01 Fixed 5.63000000 N N N N N N GATES GLOBAL/GATES CORP N/A 36740LAA0 854000.00000000 PA USD 836920.00000000 0.285383314149 Long DBT CORP US Y 2 2026-01-15 Fixed 6.25000000 N N N N N N ENEL FINANCE INTL NV 0YQH6LCEF474UTUV4B96 000000000 100000.00000000 PA 103385.31000000 0.035253599390 Long DBT CORP NL N 2 2043-02-20 Fixed 4.50000000 N N N N N N UNICAJA BANCO SA 5493007SJLLCTM6J6M37 000000000 100000.00000000 PA 95496.62000000 0.032563616481 Long DBT CORP ES N 2 2026-12-01 Fixed 1.00000000 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89115A2C5 153000.00000000 PA USD 147274.83000000 0.050219589777 Long DBT CORP CA N 2 2027-06-08 Fixed 4.11000000 N N N N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03881CAG6 200000.00000000 PA USD 187423.40000000 0.063909944846 Long ABS-CBDO CORP KY Y 2 2035-12-15 Floating 7.11000000 N N N N N N Osaka Exchange 3538001249AILNPRUX57 000000000 -6.00000000 NC -155097.79000000 -0.05288715925 N/A DIR JP N 1 Osaka Exchange 3538001249AILNPRUX57 Short TSE Japanese 10 Year Bond Futures JBM3 Comdty 2023-06-13 -869991000.00000000 JPY -155097.79000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QKNN4 97073.97000000 PA USD 83077.12000000 0.028328662041 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N TransDigm Inc 88Q84GB3X55CF5OC7582 893647BE6 275000.00000000 PA USD 273117.24000000 0.093130888379 Long DBT CORP US Y 2 2026-03-15 Fixed 6.25000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -54641.14000000 -0.01863221051 N/A DFE JP N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 1501531.74000000 USD 200066627.00000000 JPY 2023-07-21 -54641.14000000 N N N ROGERS COMMUNICATIONS IN 54930030NVF3Y2OL0A78 775109CC3 92000.00000000 PA USD 81302.65000000 0.027723581353 Long DBT CORP CA Y 2 2032-03-15 Fixed 3.80000000 N N N N N N EPR PROPERTIES 549300YSSXFHMPOWZ492 26884UAG4 89000.00000000 PA USD 68017.96000000 0.023193603745 Long DBT CORP US N 2 2031-11-15 Fixed 3.60000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -7396.15000000 -0.00252203053 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 8017609.19000000 MXN 441306.60000000 USD 2023-07-21 -7396.15000000 N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -605.23000000 -0.00020637879 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 247453.34000000 CAD 181893.10000000 USD 2023-07-21 -605.23000000 N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCD3 2218000.00000000 PA USD 1870591.00000000 0.637857213351 Long DBT CORP US Y 2 2030-03-01 Fixed 4.75000000 N N N N N N CROWN AMERICAS LLC RPPGGRL1J75WGF2DFO04 228180AB1 550000.00000000 PA USD 524947.50000000 0.179003079511 Long DBT CORP US N 2 2030-04-01 Fixed 5.25000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 3854.51000000 0.001314358407 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 99770.00000000 EUR 110796.45000000 USD 2023-07-21 3854.51000000 N N N MAGYAR EXPORT-IMPORT BAN 529900O4UGETQ9Q3AA63 55977YAA6 200000.00000000 PA USD 198463.59000000 0.067674565134 Long DBT NUSS HU Y 2 2027-12-04 Fixed 6.13000000 N N N N N N NISOURCE INC 549300D8GOWWH0SJB189 65473PAJ4 92000.00000000 PA USD 83769.59000000 0.028564789011 Long DBT CORP US N 2 2030-05-01 Fixed 3.60000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -3240.23000000 -0.00110489362 N/A DFE ID N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 227643.20000000 USD 3365932337.00000000 IDR 2023-08-07 -3240.23000000 N N N NESTE OYJ 5493009GY1X8GQ66AM14 000000000 100000.00000000 PA 93271.17000000 0.031804755065 Long DBT CORP FI N 2 2028-03-25 Fixed 0.75000000 N N N N N N US FOODS INC 5493000JOOFAOUY1JZ87 90290MAD3 855000.00000000 PA USD 779795.65000000 0.265904348033 Long DBT CORP US Y 2 2029-02-15 Fixed 4.75000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 2194.39000000 0.000748270193 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 82983.39000000 AUD 56269.13000000 USD 2023-07-21 2194.39000000 N N N SOUTHWESTERN ENERGY CO EFWMP121W54QV9MGOP87 845467AS8 387000.00000000 PA USD 355711.09000000 0.121294759049 Long DBT CORP US N 2 2030-03-15 Fixed 5.38000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 26496.73000000 0.009035182121 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 915579.07000000 EUR 1007891.96000000 USD 2023-07-21 26496.73000000 N N N THAIOIL TRSRY CENTER 549300NH03B9E8VGJR89 88322YAD3 355000.00000000 PA USD 298022.50000000 0.101623391412 Long DBT CORP TH Y 2 2048-11-20 Fixed 5.38000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -7902.10000000 -0.00269455561 N/A DFE TH N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 468693.28000000 USD 16018061.51000000 THB 2023-06-13 -7902.10000000 N N N CTEC II GMBH 98450044C9BACG3DA974 000000000 200000.00000000 PA 175002.06000000 0.059674362980 Long DBT CORP DE Y 2 2030-02-15 Fixed 5.25000000 N N N N N N NORTHERN STAR RESOU 254900XFXCRYYZAX6M78 66573RAA6 114000.00000000 PA USD 111617.17000000 0.038060600643 Long DBT CORP AU Y 2 2033-04-11 Fixed 6.13000000 N N N N N N SCIH SALT HOLDINGS INC N/A 78433BAB4 465000.00000000 PA USD 385193.96000000 0.131348192055 Long DBT CORP US Y 2 2029-05-01 Fixed 6.63000000 N N N N N N SOLARIS MIDSTREAM HOLDIN 5493007AWQW8ZKCHVV46 83419MAA0 520000.00000000 PA USD 504400.00000000 0.171996539283 Long DBT CORP US Y 2 2026-04-01 Fixed 7.63000000 N N N N N N SARENS FINANCE CO NV 549300B68EWZ6IHPCL79 000000000 110000.00000000 PA 99430.47000000 0.033905029221 Long DBT CORP BE N 2 2027-02-21 Fixed 5.75000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -8603.13000000 -0.00293360148 N/A DFE N/A N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 245373.44000000 USD 220891.58000000 EUR 2023-07-21 -8603.13000000 N N N Business Jet Securities, LLC N/A 12327BAA4 73829.47000000 PA USD 67923.85000000 0.023161512955 Long ABS-O CORP US Y 2 2036-04-15 Fixed 2.16000000 N N N N N N KOREA TREASURY BOND 549300O0QCVSQGPGDT58 000000000 1570000000.00000000 PA 1122864.57000000 0.382888223877 Long DBT NUSS KR N 2 2027-06-10 Fixed 2.13000000 N N N N N N NORDSTROM INC 549300S3IZB5P35KNV16 655664AY6 106000.00000000 PA USD 80581.20000000 0.027477572425 Long DBT CORP US N 2 2031-08-01 Fixed 4.25000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 250000.00000000 PA 184385.29000000 0.062873972590 Long DBT NUSS RO N 2 2033-04-14 Fixed 2.00000000 N N N N N N CAESARS ENTERTAIN INC 549300FA4CTCW903Y781 12769GAB6 495000.00000000 PA USD 497270.07000000 0.169565287726 Long DBT CORP US Y 2 2030-02-15 Fixed 7.00000000 N N N N N N DT Auto Owner Trust N/A 23346KAA8 123171.59000000 PA USD 122490.87000000 0.041768449115 Long ABS-O CORP US Y 2 2027-04-15 Fixed 5.48000000 N N N N N N ORGANON & CO/ORG N/A 68622TAB7 675000.00000000 PA USD 572772.67000000 0.195311096423 Long DBT CORP US Y 2 2031-04-30 Fixed 5.13000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 1846.17000000 0.000629529839 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 99091.00000000 EUR 108060.30000000 USD 2023-07-21 1846.17000000 N N N ALLIANT HOLD / CO-ISSUER N/A 01883LAA1 295000.00000000 PA USD 274943.56000000 0.093753649520 Long DBT CORP US Y 2 2027-10-15 Fixed 6.75000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162RAF4 3613113.09000000 PA USD 237969.38000000 0.081145737143 Long ABS-MBS CORP US N 2 2054-02-15 Variable 1.27000000 N N N N N N WYNDHAM HOTELS & RESORTS 549300FE3MQ4RVXXC673 98311AAB1 813000.00000000 PA USD 745927.50000000 0.254355568113 Long DBT CORP US Y 2 2028-08-15 Fixed 4.38000000 N N N N N N TENGIZCHEVROIL FIN CO IN 5493001VEV2XTJIBZH31 88034QAC1 323000.00000000 PA USD 242017.44000000 0.082526094619 Long DBT CORP BM Y 2 2030-08-15 Fixed 3.25000000 N N N N N N WYNN RESORTS FINANCE LLC N/A 983133AA7 731000.00000000 PA USD 652314.06000000 0.222434101597 Long DBT CORP US Y 2 2029-10-01 Fixed 5.13000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -3815.75000000 -0.00130114154 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 15545255.72000000 MXN 866169.16000000 USD 2023-07-21 -3815.75000000 N N N PERMIAN RESOURC OPTG LLC 5493004CTVUMQLRPOE23 19416MAB5 658000.00000000 PA USD 616023.82000000 0.210059407525 Long DBT CORP US Y 2 2029-07-01 Fixed 5.88000000 N N N N N N ENEL FINANCE INTL NV 0YQH6LCEF474UTUV4B96 29278GAP3 200000.00000000 PA USD 156336.19000000 0.053309444180 Long DBT CORP NL Y 2 2031-07-12 Fixed 2.25000000 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAK1 600000.00000000 PA USD 559901.34000000 0.190922071411 Long DBT CORP KY N 2 2026-01-08 Fixed 4.30000000 N N N N N N AIA GROUP LTD ZP5ILWVSYE4LJGMMVD57 000000000 180000.00000000 PA 152499.78000000 0.052001257734 Long DBT CORP HK N 2 2033-09-09 Fixed 0.88000000 N N N N N N DORNOCH DEBT MERGER SUB N/A 25830JAA9 704000.00000000 PA USD 528463.31000000 0.180201943810 Long DBT CORP US Y 2 2029-10-15 Fixed 6.63000000 N N N N N N UNITED PARCEL SERVICE D01LMJZU09ULLNCY6Z23 911312CA2 154000.00000000 PA USD 153832.51000000 0.052455708464 Long DBT CORP US N 2 2053-03-03 Fixed 5.05000000 N N N N N N DISH DBS CORP N/A 25470XBD6 450000.00000000 PA USD 204087.92000000 0.069592418615 Long DBT CORP US N 2 2029-06-01 Fixed 5.13000000 N N N N N N ENBW INTL FINANCE BV 724500CNCIO1ZTJ0X675 000000000 50000.00000000 PA 52992.33000000 0.018069978922 Long DBT CORP NL N 2 2028-07-24 Fixed 3.50000000 N N N N N N WP CAREY INC 54930042CRNE713E3Q67 92936UAG4 88000.00000000 PA USD 70451.57000000 0.024023446128 Long DBT CORP US N 2 2031-02-01 Fixed 2.40000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FWHX1 719995.00000000 PA USD 68068.33000000 0.023210779529 Long ABS-MBS USGSE US N 2 2030-08-25 Variable 1.60000000 N N N N N N AREIT CRE Trust N/A 04002VAJ0 100000.00000000 PA USD 90455.20000000 0.030844530848 Long ABS-CBDO CORP KY Y 2 2037-01-20 Floating 7.76000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 1452.95000000 0.000495444829 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 1282172.94000000 SEK 119917.75000000 USD 2023-07-21 1452.95000000 N N N BAYER AG 549300J4U55H3WP1XT59 000000000 90000.00000000 PA 98242.41000000 0.033499909854 Long DBT CORP DE N 2 2033-05-26 Fixed 4.63000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 1708.15000000 0.000582466075 N/A DFE GB N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 412195.64000000 USD 332410.80000000 GBP 2023-07-21 1708.15000000 N N N ANGI GROUP LLC N/A 001846AA2 891000.00000000 PA USD 725410.06000000 0.247359278115 Long DBT CORP US Y 2 2028-08-15 Fixed 3.88000000 N N N N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 647000.00000000 PA 406302.34000000 0.138545988070 Long DBT NUSS RS Y 2 2036-09-23 Fixed 2.05000000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AQ0 454000.00000000 PA USD 342770.00000000 0.116881946411 Long DBT CORP CA Y 2 2028-09-30 Fixed 11.00000000 N N N N N N M&T BANK CORPORATION 549300WYXDDBYRASEG81 55261FAQ7 74000.00000000 PA USD 69035.45000000 0.023540560047 Long DBT CORP US N 2 2028-08-16 Fixed 4.55000000 N N N N N N CARNIVAL CORP F1OF2ZSX47CR0BCWA982 143658BN1 825000.00000000 PA USD 706230.11000000 0.240819061969 Long DBT CORP PA Y 2 2027-03-01 Fixed 5.75000000 N N N N N N JAB HOLDINGS BV 529900RRNKUM3INJGF98 000000000 100000.00000000 PA 74699.02000000 0.025471794067 Long DBT CORP NL N 2 2039-12-19 Fixed 2.25000000 N N N N N N DISH DBS Corp N/A 25470XAY1 441000.00000000 PA USD 253032.57000000 0.086282169639 Long DBT CORP US N 2 2026-07-01 Fixed 7.75000000 N N N N N N MDGH GMTN RSC LTD 213800WRY6FRL9IXLT77 55285GAC8 200000.00000000 PA USD 199208.00000000 0.067928403246 Long DBT CORP AE Y 2 2053-05-22 Fixed 5.08000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 7772.08000000 0.002650219791 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 249770.06000000 EUR 275496.80000000 USD 2023-07-21 7772.08000000 N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272BE7 101000.00000000 PA USD 83009.78000000 0.028305699616 Long DBT CORP US Y 2 2031-04-27 Fixed 2.85000000 N N N N N N NFP CORP VO2L9FZNXDJNQNEYH039 65342RAD2 730000.00000000 PA USD 605412.21000000 0.206440929737 Long DBT CORP US Y 2 2028-08-15 Fixed 6.88000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -285.44000000 -0.00009733285 N/A DFE GB N 2 UBS AG BFM8T61CT2L1QCEMIK50 151430.29000000 USD 121386.13000000 GBP 2023-07-21 -285.44000000 N N N SM ENERGY CO 84BUTVXV5ODI6BXNMH43 78454LAW0 458000.00000000 PA USD 429439.12000000 0.146435452959 Long DBT CORP US N 2 2028-07-15 Fixed 6.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -2516.52000000 -0.00085811405 N/A DFE NZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 84898.62000000 USD 136813.88000000 NZD 2023-07-21 -2516.52000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -815.55000000 -0.00027809630 N/A DFE N/A N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 115377.18000000 USD 106878.68000000 EUR 2023-07-21 -815.55000000 N N N REGAL REXNORD CORP QH78R09VCJGQKPBPYU33 758750AE3 482000.00000000 PA USD 480865.69000000 0.163971519706 Long DBT CORP US Y 2 2030-02-15 Fixed 6.30000000 N N N N N N Capital Automotive Reit N/A 12510HAG5 437500.00000000 PA USD 408355.59000000 0.139246130604 Long ABS-O CORP US Y 2 2050-02-15 Fixed 4.17000000 N N N N N N Constellation Brands Inc 5493005GKEG8QCVY7037 21036PAP3 44000.00000000 PA USD 43623.66000000 0.014875334161 Long DBT CORP US N 2 2025-12-01 Fixed 4.75000000 N N N N N N ERO COPPER CORP 549300KL8A21SEIO8I47 296006AA7 483000.00000000 PA USD 417795.21000000 0.142464968773 Long DBT CORP CA Y 2 2030-02-15 Fixed 6.50000000 N N N N N N CUSHMAN & WAKEFIELD US 549300870CMN3WI5IF97 23166MAA1 459000.00000000 PA USD 409657.50000000 0.139690071949 Long DBT CORP US Y 2 2028-05-15 Fixed 6.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XX68 25000.84000000 PA USD 24986.77000000 0.008520297319 Long ABS-MBS USGA US N 2 2053-04-20 Fixed 5.50000000 N N N N N N CAMELOT FINANCE SA N/A 13323AAB6 493000.00000000 PA USD 462619.57000000 0.157749732443 Long DBT CORP LU Y 2 2026-11-01 Fixed 4.50000000 N N N N N N SBB TREASURY OYJ 5493003HHOCW6FIMH724 000000000 100000.00000000 PA 65865.63000000 0.022459675689 Long DBT CORP FI N 2 2029-11-26 Fixed 1.13000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 12717.15000000 0.004336450811 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 2613811.63000000 SEK 254217.07000000 USD 2023-07-21 12717.15000000 N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 168000000.00000000 PA 8970890.38000000 3.059004955689 Long DBT NUSS MX N 2 2027-06-03 Fixed 7.50000000 N N N N N N BP CAPITAL MARKETS PLC 549300CRVT18MXX0AG93 000000000 130000.00000000 PA 120199.22000000 0.040987014005 Long DBT CORP GB N 2 2029-03-22 Fixed 3.63000000 N N N N N N Peru LNG Srl 254900F70J1LOALV5K70 000000000 518000.00000000 PA USD 412153.64000000 0.140541236584 Long DBT CORP PE N 2 2030-03-22 Fixed 5.38000000 N N N N N N CHS/COMMUNITY HEALTH SYS 5493007X5NC5XI1BB106 12543DBD1 450000.00000000 PA USD 418825.22000000 0.142816194299 Long DBT CORP US Y 2 2027-12-15 Fixed 8.00000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 1193.56000000 0.000406994824 N/A DFE GB N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 160103.07000000 USD 129539.14000000 GBP 2023-07-21 1193.56000000 N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -6638.26000000 -0.00226359585 N/A DFE N/A N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 187225.78000000 USD 168476.62000000 EUR 2023-07-21 -6638.26000000 N N N SIEMENS FINANCIERINGSMAT TAFO772JB70PDRN5VS48 000000000 100000.00000000 PA 103181.80000000 0.035184204038 Long DBT CORP NL N 2 2043-02-24 Fixed 3.63000000 N N N N N N BANK 2021-BN35 N/A 06540CBL0 1300190.65000000 PA USD 75871.59000000 0.025871631462 Long ABS-MBS CORP US N 2 2064-06-15 Variable 1.04000000 N N N N N N IPOTEKA-BANK ATIB 213800UWVX5JSNXJS434 000000000 700000.00000000 PA USD 633500.00000000 0.216018651141 Long DBT CORP UZ N 2 2025-11-19 Fixed 5.50000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 2895.99000000 0.000987510423 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 99666.00000000 EUR 109726.45000000 USD 2023-07-21 2895.99000000 N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -241.72000000 -0.00008242466 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 72542.60000000 GBP 90085.24000000 USD 2023-07-21 -241.72000000 N N N MDGH GMTN RSC LTD 213800WRY6FRL9IXLT77 55276VAJ1 1086000.00000000 PA USD 985660.12000000 0.336102556600 Long DBT CORP AE Y 2 2029-11-07 Fixed 2.88000000 N N N N N N ENCOMPASS HEALTH CORP 549300FVRPM9DRQZRG64 29261AAE0 120000.00000000 PA USD 104791.30000000 0.035733031219 Long DBT CORP US N 2 2031-04-01 Fixed 4.63000000 N N N N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612GAA9 28000.00000000 PA USD 24712.85000000 0.008426892695 Long DBT CORP US N 2 2033-02-01 Fixed 4.20000000 N N N N N N MADISON IAQ LLC 549300IXDNBXNHUPBU73 55760LAB3 732000.00000000 PA USD 557203.16000000 0.190002012683 Long DBT CORP US Y 2 2029-06-30 Fixed 5.88000000 N N N N N N SAMHALLSBYGGNADS 549300HX9MRFY47AH564 000000000 280000.00000000 PA 61587.72000000 0.021000941122 Long DBT CORP SE N 2 2026-10-30 Fixed 2.88000000 N N N N N N AON CORP/AON GLOBAL HOLD N/A 03740LAC6 25000.00000000 PA USD 20717.45000000 0.007064491877 Long DBT CORP US N 2 2031-12-02 Fixed 2.60000000 N N N N N N Massachusetts Educational Financing Authority 5493007K5OP7V6CL0Y88 57563RRZ4 150000.00000000 PA USD 137838.69000000 0.047001938261 Long DBT MUN US N 2 2037-07-01 Fixed 2.64000000 N N N N N N Tencent Holdings Ltd 254900N4SLUMW4XUYY11 88032XAD6 700000.00000000 PA USD 684308.88000000 0.233344090326 Long DBT CORP KY N 2 2025-02-11 Fixed 3.80000000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NBJ6 592000.00000000 PA USD 495712.56000000 0.169034188737 Long DBT CORP US Y 2 2028-07-15 Fixed 4.00000000 N N N N N N ARCHES BUYER INC 2549009ADY4208OH2Y47 039524AB9 830000.00000000 PA USD 718273.70000000 0.244925833977 Long DBT CORP US Y 2 2028-12-01 Fixed 6.13000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -4700.89000000 -0.00160296750 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 153856.45000000 USD 139152.61000000 EUR 2023-07-21 -4700.89000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -138.00000000 NC USD -284370.15000000 -0.09696804455 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CME Ultra Long Term U.S. Treasury Bond Futures WNU3 Comdty 2023-09-20 -18604379.85000000 USD -284370.15000000 N N N LCPR SR SECURED FIN DAC 549300LE5FM8IKMXSP90 50201DAA1 893000.00000000 PA USD 828605.77000000 0.282548225357 Long DBT CORP IE Y 2 2027-10-15 Fixed 6.75000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 172640.85000000 0.058869208443 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 32116994.89000000 CNY 4704810.68000000 USD 2023-07-21 172640.85000000 N N N JAPAN (30 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 105350000.00000000 PA 847117.59000000 0.288860614286 Long DBT NUSS JP N 2 2044-06-20 Fixed 1.70000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 26489.88000000 0.009032846324 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 30154737.52000000 THB 893950.48000000 USD 2023-06-13 26489.88000000 N N N Iron Mountain Inc SQL3F6CKNNBM3SQGHX24 46284VAE1 425000.00000000 PA USD 397609.81000000 0.135581901873 Long DBT CORP US Y 2 2028-03-15 Fixed 5.25000000 N N N N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 000000000 1180000.00000000 PA 170966.79000000 0.058298366796 Long DBT NUSS CN N 2 2029-11-21 Fixed 3.13000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163EBE4 5524905.37000000 PA USD 264428.05000000 0.090167941097 Long ABS-MBS CORP US N 2 2054-06-15 Variable 0.89000000 N N N N N N KINGDOM OF MOROCCO 529900F3MBW9XY5K1X07 617726AN4 200000.00000000 PA USD 202304.80000000 0.068984388343 Long DBT NUSS MA Y 2 2028-03-08 Fixed 5.95000000 N N N N N N THERMO FISHER SC FNCE I 549300SM0PJC1F3RPL91 000000000 100000.00000000 PA 70157.91000000 0.023923310315 Long DBT CORP NL N 2 2051-10-18 Fixed 2.00000000 N N N N N N BRITISH COLUMBIA PROV OF 54930058TO7MEKUHWL16 110709GJ5 115000.00000000 PA 68570.50000000 0.023382015656 Long DBT NUSS CA N 2 2050-06-18 Fixed 2.95000000 N N N N N N MPT OPER PARTNERSP/FINL N/A 55342UAH7 704000.00000000 PA USD 578182.88000000 0.197155936623 Long DBT CORP US N 2 2027-10-15 Fixed 5.00000000 N N N N N N MILLICOM INTL CELLULAR 549300CTHC1CP86P2G96 000000000 635400.00000000 PA USD 547287.30000000 0.186620780320 Long DBT CORP LU N 2 2028-01-15 Fixed 5.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WLP1 126283.80000000 PA USD 110467.73000000 0.037668650401 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31376KQF6 18289.07000000 PA USD 18823.00000000 0.006418498927 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.50000000 N N N N N N NEW ZEALAND GOVERNMENT 549300237GPHG2AI7C34 000000000 1766000.00000000 PA 885236.18000000 0.301858761713 Long DBT NUSS NZ N 2 2032-05-15 Fixed 2.00000000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 000000000 100000.00000000 PA 79295.05000000 0.027039005119 Long DBT CORP DE N 2 2032-02-17 Fixed 1.38000000 N N N N N N JAPAN (20 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 137800000.00000000 PA 1080769.38000000 0.368534086287 Long DBT NUSS JP N 2 2027-12-20 Fixed 2.10000000 N N N N N N MERLIN ENTERTAINMENTS 549300ZTI0VEFO6WV007 59010QAB2 435000.00000000 PA USD 415830.32000000 0.141794956322 Long DBT CORP GB Y 2 2026-06-15 Fixed 5.75000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -17041.58000000 -0.00581104834 N/A DFE NZ N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 436061.07000000 USD 695875.45000000 NZD 2023-07-21 -17041.58000000 N N N LoanCore 2021-CRE5 Issuer, Ltd N/A 53947XAG7 258000.00000000 PA USD 241421.15000000 0.082322764293 Long ABS-CBDO CORP KY Y 2 2036-07-15 Floating 7.11000000 N N N N N N ASSUREDPARTNERS INC 549300HNDSDQWQ3L2P80 04624VAB5 500000.00000000 PA USD 432606.65000000 0.147515556445 Long DBT CORP US Y 2 2029-01-15 Fixed 5.63000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EDB3 49976.38000000 PA USD 41171.90000000 0.014039302767 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 2.00000000 N N N N N N NOVELIS CORP 549300G5F3W3B52WYL23 670001AG1 430000.00000000 PA USD 388400.81000000 0.132441703360 Long DBT CORP US Y 2 2026-11-15 Fixed 3.25000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -6594.22000000 -0.00224857854 N/A DFE AU N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 224601.76000000 USD 334555.55000000 AUD 2023-07-21 -6594.22000000 N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 455780DN3 796000.00000000 PA USD 788694.35000000 0.268938736622 Long DBT NUSS ID N 2 2032-09-20 Fixed 4.65000000 N N N N N N Bath & Body Works Inc GR3KVMWVCR54YWQNXU90 501797AN4 1168000.00000000 PA USD 1111388.09000000 0.378974832039 Long DBT CORP US N 2 2028-02-01 Fixed 5.25000000 N N N N N N VIRGINIA ELEC & POWER CO CQKUMNNZVDJLRYV2PT43 927804FX7 126000.00000000 PA USD 120574.62000000 0.041115022532 Long DBT CORP US N 2 2027-03-15 Fixed 3.50000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BB2 250000.00000000 PA USD 173539.63000000 0.059175685544 Long DBT CORP US Y 2 2030-12-01 Fixed 4.13000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 9396.02000000 0.003203970902 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 805328.68000000 AUD 534175.00000000 USD 2023-07-21 9396.02000000 N N N ENERGIZER HOLDINGS INC 5493000D6NN0V57UME20 29272WAD1 755000.00000000 PA USD 646468.75000000 0.220440895628 Long DBT CORP US Y 2 2029-03-31 Fixed 4.38000000 N N N N N N SYDNEY AIRPORT FINANCE 549300MJAANHLHOVTO40 000000000 100000.00000000 PA 108106.43000000 0.036863465174 Long DBT CORP AU N 2 2033-05-03 Fixed 4.38000000 N N N N N N LOGICOR FINANCING SARL 254900IS16Q1A2TQFN22 000000000 100000.00000000 PA 69003.92000000 0.023529808558 Long DBT CORP LU N 2 2031-01-14 Fixed 0.88000000 N N N N N N DISH DBS CORP N/A 25470XBE4 650000.00000000 PA USD 513448.33000000 0.175081950556 Long DBT CORP US Y 2 2026-12-01 Fixed 5.25000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC -242.35000000 -0.00008263949 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 145663836.00000000 KRW 109736.20000000 USD 2023-07-10 -242.35000000 N N N ZIGGO BOND CO BV 213800JYI4P7V5QDOG59 000000000 270000.00000000 PA 206648.45000000 0.070465539746 Long DBT CORP NL N 2 2030-02-28 Fixed 3.38000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FUZZ0 896340.00000000 PA USD 86192.86000000 0.029391105533 Long ABS-MBS USGSE US N 2 2030-05-25 Variable 1.67000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 1413.80000000 0.000482094978 N/A DFE GB N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 214314.44000000 USD 173253.78000000 GBP 2023-07-21 1413.80000000 N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -10272.91000000 -0.00350298368 N/A DFE BR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 450065.03000000 USD 2231197.37000000 BRL 2023-06-02 -10272.91000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QK5E4 45115.53000000 PA USD 38678.07000000 0.013188925825 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.50000000 N N N N N N VICTORIA'S SECRET & CO 5493006T3O70U3UWVF17 926400AA0 805000.00000000 PA USD 617694.77000000 0.210629188686 Long DBT CORP US Y 2 2029-07-15 Fixed 4.63000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 7578.93000000 0.002584357120 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 681659.61000000 SGD 512487.49000000 USD 2023-07-21 7578.93000000 N N N AERCAP IRELAND CAP/GLOBA N/A 00774MBC8 150000.00000000 PA USD 148732.39000000 0.050716606580 Long DBT CORP IE N 2 2028-06-06 Fixed 5.75000000 N N N N N N TransDigm Inc 88Q84GB3X55CF5OC7582 893647BB2 535000.00000000 PA USD 528488.19000000 0.180210427700 Long DBT CORP US N 2 2026-06-15 Fixed 6.38000000 N N N N N N DANA INC KVWHW7YLZPFJM8QYNJ51 235825AH9 375000.00000000 PA USD 300460.26000000 0.102454648913 Long DBT CORP US N 2 2030-09-01 Fixed 4.25000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 7264.53000000 0.002477149126 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 200000.00000000 EUR 221641.48000000 USD 2023-07-21 7264.53000000 N N N Oklahoma Development Finance Authority 549300PXGPHUWC32DJ91 67884XCP0 346000.00000000 PA USD 294658.62000000 0.100476334080 Long DBT MUN US N 2 2028-08-15 Fixed 5.45000000 N N N N N N BP CAPITAL MARKETS BV 7245003VD7E4T30HJD24 000000000 100000.00000000 PA 107667.76000000 0.036713882062 Long DBT CORP NL N 2 2035-05-12 Fixed 4.32000000 N N N N N N MV24 CAPITAL BV N/A 000000000 483922.50000000 PA USD 428900.51000000 0.146251791072 Long DBT CORP NL N 2 2034-06-01 Fixed 6.75000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 31410.95000000 0.010710893528 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 2020183077.00000000 KRW 1554465.28000000 USD 2023-06-15 31410.95000000 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FYUL8 3736991.99000000 PA USD 117670.03000000 0.040124579574 Long ABS-MBS USGSE US N 2 2031-03-25 Variable 0.52000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163GAZ3 2334258.34000000 PA USD 165752.88000000 0.056520463394 Long ABS-MBS CORP US N 2 2054-08-15 Variable 1.28000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PEP9 761000.00000000 PA USD 705831.47000000 0.240683128781 Long DBT NUSS DO Y 2 2029-02-22 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XVS2 74795.48000000 PA USD 73875.40000000 0.025190945951 Long ABS-MBS USGA US N 2 2053-03-20 Fixed 5.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 8708.61000000 0.002969569353 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 26397103.00000000 JPY 199613.61000000 USD 2023-07-21 8708.61000000 N N N INTL BK RECON & DEVELOP ZTMSNXROF84AHWJNKQ93 000000000 210000.00000000 PA 137240.59000000 0.046797990739 Long DBT NUSS N/A N 2 2025-06-24 Fixed 4.25000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 3023.70000000 0.001031058556 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 83066.27000000 EUR 92061.17000000 USD 2023-07-21 3023.70000000 N N N 180 MEDICAL INC 254900ZB648OPWVFVX59 682357AA6 765000.00000000 PA USD 669040.28000000 0.228137614593 Long DBT CORP US Y 2 2029-10-15 Fixed 3.88000000 N N N N N N GFL ENVIRONMENTAL INC 549300FYK4MBXWIVZU26 36168QAJ3 215000.00000000 PA USD 206890.18000000 0.070547967826 Long DBT CORP CA Y 2 2025-06-01 Fixed 4.25000000 N N N N N N Fortress CBO Investments Ltd N/A 34706CAC3 114000.00000000 PA USD 110203.00000000 0.037578379497 Long ABS-CBDO CORP US Y 2 2039-02-23 Floating 7.19000000 N N N N N N GRAY ESCROW II INC N/A 389286AA3 985000.00000000 PA USD 626749.69000000 0.213716847099 Long DBT CORP US Y 2 2031-11-15 Fixed 5.38000000 N N N N N N REPUBLIC OF KENYA 549300VVURQQYU45PR87 491798AK0 478000.00000000 PA USD 384262.29000000 0.131030499716 Long DBT NUSS KE Y 2 2032-05-22 Fixed 8.00000000 N N N N N N CABLE ONE INC 549300648QS85T0XSH18 12685JAC9 1023000.00000000 PA USD 800497.50000000 0.272963520430 Long DBT CORP US Y 2 2030-11-15 Fixed 4.00000000 N N N N N N Avation Capital SA 54930056OEYSV06OMD90 05351CAA5 567050.00000000 PA USD 490623.00000000 0.167298687733 Long DBT CORP LU Y 2 2026-10-31 Fixed 8.25000000 N N Y N N N NVENT FINANCE SARL 549300KO1OQ4MVFB6X02 67078AAF0 58000.00000000 PA USD 56854.78000000 0.019387044809 Long DBT CORP LU N 2 2033-05-15 Fixed 5.65000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -4572.48000000 -0.00155918068 N/A DFE GB N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 934944.88000000 USD 747192.57000000 GBP 2023-07-21 -4572.48000000 N N N DEUTSCHE BAHN FIN GMBH 52990002BAIDUAIIYU29 000000000 100000.00000000 PA 105758.70000000 0.036062907214 Long DBT CORP DE N 2 2033-05-19 Fixed 3.25000000 N N N N N N BONOS Y OBLIG DEL ESTADO 9598007A56S18711AH60 000000000 1490000.00000000 PA 1568949.82000000 0.534999879756 Long DBT NUSS ES N 2 2033-04-30 Fixed 3.15000000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AQ7 1050000.00000000 PA USD 919478.48000000 0.313535123920 Long DBT CORP US Y 2 2030-04-15 Fixed 4.63000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -716.09000000 -0.00024418120 N/A DFE GB N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 64464.84000000 USD 51197.34000000 GBP 2023-07-21 -716.09000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 000000000 105000.00000000 PA 89179.98000000 0.030409690589 Long DBT CORP US N 2 2031-03-22 Fixed 0.69000000 N N N N N N KOREA TREASURY BOND 549300O0QCVSQGPGDT58 000000000 650000000.00000000 PA 467010.84000000 0.159247121902 Long DBT NUSS KR N 2 2027-12-10 Fixed 2.38000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -25.00000000 NC -126452.23000000 -0.04311924255 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-BTP Italian Bond Futures IKM3 Comdty 2023-06-08 -2780698.75000000 EUR -126452.23000000 N N N ACREC 2021-FL1 Ltd. N/A 00500RAG0 229500.00000000 PA USD 217262.03000000 0.074084689289 Long ABS-CBDO CORP KY Y 2 2036-10-16 Floating 7.26000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -227.00000000 NC -142158.02000000 -0.04847479673 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Eurex 2 Year Euro SCHATZ Futures DUM3 Comdty 2023-06-08 -23842745.34000000 EUR -142158.02000000 N N N Iowa Student Loan Liquidity Corp 549300FO1LWVSZKGJK70 462590NG1 125000.00000000 PA USD 116654.79000000 0.039778390505 Long DBT MUN US N 2 2039-12-01 Fixed 5.08000000 N N N N N N PARKLAND CORP 549300UY5C6HUV0XLS53 70137WAL2 1566000.00000000 PA USD 1353807.00000000 0.461637824856 Long DBT CORP CA Y 2 2030-05-01 Fixed 4.63000000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KBP4 51000.00000000 PA USD 51563.96000000 0.017582915685 Long DBT CORP US N 2 2025-03-01 Fixed 6.05000000 N N N N N N TELE2 AB 213800EKD193RVI9HL76 000000000 100000.00000000 PA 106496.45000000 0.036314474317 Long DBT CORP SE N 2 2029-11-22 Fixed 3.75000000 N N N N N N Massachusetts Housing Finance Agency 549300NLJBK1VP6K2K81 57587GTN5 190000.00000000 PA USD 192373.90000000 0.065598027455 Long DBT MUN US N 2 2052-12-01 Fixed 5.56000000 N N N N N N MONG DUONG FIN HLDGS BV 549300995KGQFMWSV879 000000000 592000.00000000 PA USD 515040.00000000 0.175624697843 Long DBT CORP NL N 2 2029-05-07 Fixed 5.13000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 7602.65000000 0.002592445458 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 356435.01000000 AUD 239867.57000000 USD 2023-07-21 7602.65000000 N N N BSPRT Issuer, Ltd. N/A 05602CAG9 100000.00000000 PA USD 93937.70000000 0.032032036693 Long ABS-CBDO CORP KY Y 2 2038-12-15 Floating 7.41000000 N N N N N N Business Jet Securities, LLC N/A 12327BAB2 66479.72000000 PA USD 58921.64000000 0.020091828249 Long ABS-O CORP US Y 2 2036-04-15 Fixed 2.92000000 N N N N N N SM Energy Co 84BUTVXV5ODI6BXNMH43 78454LAN0 177000.00000000 PA USD 170892.59000000 0.058273065164 Long DBT CORP US N 2 2026-09-15 Fixed 6.75000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -850.48000000 -0.00029000717 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 25914.31000000 USD 38463.09000000 AUD 2023-07-21 -850.48000000 N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAF8 77000.00000000 PA USD 74477.84000000 0.025396373380 Long DBT CORP KY Y 2 2024-07-01 Fixed 3.95000000 N N N N N N B&G FOODS INC 549300TRW1LZMDJZAQ78 05508WAB1 175000.00000000 PA USD 148790.18000000 0.050736312528 Long DBT CORP US N 2 2027-09-15 Fixed 5.25000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 24.00000000 NC -2719.94000000 -0.00092747872 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex 10 Year Euro BUND Futures RXM3 Comdty 2023-06-08 3267744.62000000 EUR -2719.94000000 N N N COMISION FEDERAL DE ELEC 4469000001BFPONMPF32 200447AH3 202000.00000000 PA USD 159178.02000000 0.054278486459 Long DBT CORP MX Y 2 2031-02-09 Fixed 3.35000000 N N N N N N REC LTD 335800B4YRYWAMIJZ374 74947LAD6 200000.00000000 PA USD 200026.65000000 0.068207556630 Long DBT CORP IN Y 2 2028-04-11 Fixed 5.63000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -5690.27000000 -0.00194033851 N/A DFE AU N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 162942.34000000 USD 241319.88000000 AUD 2023-07-21 -5690.27000000 N N N OFFICE CHERIFIEN DES PHO 213800D26TAPVTCVWG40 67091TAE5 650000.00000000 PA USD 468455.00000000 0.159739569409 Long DBT CORP MA Y 2 2051-06-23 Fixed 5.13000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 72915.44000000 0.024863606939 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 11789764.61000000 GBP 14753028.81000000 USD 2023-07-21 72915.44000000 N N N REALOGY GROUP/CO-ISSUER N/A 75606DAQ4 430000.00000000 PA USD 298280.31000000 0.101711302649 Long DBT CORP US Y 2 2030-04-15 Fixed 5.25000000 N N N N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 040114HT0 627494.00000000 PA USD 145663.96000000 0.049670295436 Long DBT NUSS AR N 2 2035-07-09 Variable 1.50000000 N N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AD9 569000.00000000 PA USD 521650.26000000 0.177878745908 Long DBT CORP US Y 2 2028-01-15 Fixed 4.75000000 N N N N N N NEWELL BRANDS INC 549300LWGYFM1TVO1Z12 651229BC9 678000.00000000 PA USD 644839.02000000 0.219885170172 Long DBT CORP US N 2 2027-09-15 Fixed 6.38000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -58.06000000 -0.00001979801 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 99607.00000000 GBP 123968.34000000 USD 2023-07-21 -58.06000000 N N N ASBURY AUTOMOTIVE GROUP 549300JH4DTA7U42GL91 043436AW4 801000.00000000 PA USD 706039.10000000 0.240753929021 Long DBT CORP US Y 2 2029-11-15 Fixed 4.63000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 778499.06000000 0.265462220767 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 25928221.51000000 EUR 28570563.97000000 USD 2023-07-21 778499.06000000 N N N JOHNSON CONTROLS INTL PL 549300XQ6S1GYKGBL205 000000000 100000.00000000 PA 107982.01000000 0.036821038907 Long DBT CORP IE N 2 2035-05-23 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DRA2 82569.73000000 PA USD 76539.76000000 0.026099472318 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 3.50000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2J1 69000.00000000 PA USD 58248.68000000 0.019862354040 Long DBT CORP US N 2 2031-02-11 Fixed 2.57000000 N N N N N N GTCR AP Finance Inc N/A 40060QAA3 360000.00000000 PA USD 350306.68000000 0.119451896605 Long DBT CORP US Y 2 2027-05-15 Fixed 8.00000000 N N N N N N SBA COMMUNICATIONS CORP 5299001HX8ZN8Y8QIT49 78410GAD6 618000.00000000 PA USD 569615.61000000 0.194234563127 Long DBT CORP US N 2 2027-02-15 Fixed 3.88000000 N N N N N N MIDAS OPCO HOLDINGS LLC N/A 59565JAA9 681000.00000000 PA USD 584452.14000000 0.199293706297 Long DBT CORP US Y 2 2029-08-15 Fixed 5.63000000 N N N N N N FOUNDATION BUILDING M 549300ZVE6MONHB01I28 350392AA4 650000.00000000 PA USD 522411.50000000 0.178138322921 Long DBT CORP US Y 2 2029-03-01 Fixed 6.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -304221.88000000 -0.10373733254 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 6117686.63000000 USD 803848118.00000000 JPY 2023-07-21 -304221.88000000 N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 44848.93000000 0.015293141852 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 15509070.58000000 SEK 1477790.48000000 USD 2023-07-21 44848.93000000 N N N VIRTUSA CORP C77OMXDER63WLJCSKT03 92837TAA0 574000.00000000 PA USD 457765.00000000 0.156094361231 Long DBT CORP US Y 2 2028-12-15 Fixed 7.13000000 N N N N N N DAR AL-ARKAN SUKUK CO LT 5493000UYHRBXEIYUQ69 000000000 550000.00000000 PA USD 535947.50000000 0.182753995316 Long DBT CORP KY N 2 2027-02-26 Fixed 6.88000000 N N N N N N ACRISURE LLC / FIN INC N/A 00489LAF0 448000.00000000 PA USD 376888.74000000 0.128516175604 Long DBT CORP US Y 2 2029-02-15 Fixed 4.25000000 N N N N N N IQVIA INC 549300PLWY28YB00C717 46266TAD0 400000.00000000 PA USD 406764.00000000 0.138703410596 Long DBT CORP US Y 2 2030-05-15 Fixed 6.50000000 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 000000000 100000.00000000 PA 87270.36000000 0.029758524785 Long DBT CORP FR N 2 2034-02-02 Fixed 1.75000000 N N N N N N BAT INTL FINANCE PLC 21380041YBGOQDFAC823 000000000 100000.00000000 PA 89212.77000000 0.030420871728 Long DBT CORP GB N 2 2030-01-16 Fixed 2.25000000 N N N N N N SYNAPTICS INC 549300AJ3LI4FWNRQX29 87157DAG4 773000.00000000 PA USD 647387.50000000 0.220754182345 Long DBT CORP US Y 2 2029-06-15 Fixed 4.00000000 N N N N N N BWX TECHNOLOGIES INC 549300NP85N265KWMS58 05605HAC4 1240000.00000000 PA USD 1097374.29000000 0.374196233502 Long DBT CORP US Y 2 2029-04-15 Fixed 4.13000000 N N N N N N STERICYCLE INC B8PTJH2P0AXSWSMP2136 858912AG3 866000.00000000 PA USD 763760.04000000 0.260436327761 Long DBT CORP US Y 2 2029-01-15 Fixed 3.88000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137H2NA8 670491.00000000 PA USD 41610.87000000 0.014188988177 Long ABS-MBS USGSE US N 2 2031-07-25 Variable 0.94000000 N N N N N N NEXTERA ENERGY OPERATING 549300KJEC5IUVJWR786 65342QAB8 490000.00000000 PA USD 456312.50000000 0.155599069848 Long DBT CORP US Y 2 2027-09-15 Fixed 4.50000000 N N N N N N GARDEN SPINCO CORP N/A 365417AA2 797000.00000000 PA USD 862489.49000000 0.294102314528 Long DBT CORP US Y 2 2030-07-20 Fixed 8.63000000 N N N N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DBF5 78000.00000000 PA USD 71127.29000000 0.024253861476 Long DBT CORP US N 2 2029-05-15 Fixed 4.13000000 N N N N N N Crest Ltd 549300MJZTHEPDTYM573 22608WAR0 4413047.30000000 PA USD 44.13000000 0.000015047992 Long ABS-CBDO CORP KY N 2 2040-01-28 Fixed 7.00000000 Y N Y N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LXAS4 235965.13000000 PA USD 201977.69000000 0.068872846337 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137F84L4 901677.00000000 PA USD 59836.73000000 0.020403866935 Long ABS-MBS USGSE US N 2 2030-11-25 Variable 1.08000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -14350.49000000 -0.00489340725 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 6151556499.00000000 KRW 4630173.94000000 USD 2023-07-10 -14350.49000000 N N N VENTURE GLOBAL CALCASIEU 549300GKHS6RS20NLH85 92328MAB9 625000.00000000 PA USD 538799.69000000 0.183726570275 Long DBT CORP US Y 2 2031-08-15 Fixed 4.13000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -11669.44000000 -0.00397918972 N/A DFE N/A N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 682133.75000000 USD 625500.38000000 EUR 2023-07-21 -11669.44000000 N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137F4D82 15572000.00000000 PA USD 215021.29000000 0.073320614100 Long ABS-MBS USGSE US N 2 2028-02-25 Variable 0.29000000 N N N N N N GREAT AMERICA LEASING RECEIVABLES N/A 39154TCB2 64000.00000000 PA USD 63744.75000000 0.021736471842 Long ABS-O CORP US Y 2 2026-02-16 Fixed 5.35000000 N N N N N N CARLSBERG BREWERIES A/S 5493008YL42784DMWN61 000000000 100000.00000000 PA 106543.70000000 0.036330586206 Long DBT CORP DK N 2 2026-11-26 Fixed 3.50000000 N N N N N N ZIGGO BOND CO BV 213800JYI4P7V5QDOG59 98953GAD7 1515000.00000000 PA USD 1161715.33000000 0.396136035670 Long DBT CORP NL Y 2 2030-02-28 Fixed 5.13000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CV9 121000.00000000 PA USD 122245.74000000 0.041684861661 Long DBT CORP US N 2 2027-11-17 Fixed 5.13000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BX9 24000.00000000 PA USD 23496.60000000 0.008012160755 Long DBT CORP US N 2 2053-03-15 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SK5 22898000.00000000 PA USD 17095682.52000000 5.829496887639 Long DBT UST US N 2 2049-11-15 Fixed 2.38000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 350000.00000000 PA 268614.63000000 0.091595532832 Long DBT NUSS RO N 2 2032-01-28 Fixed 2.00000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 18299.76000000 0.006240078092 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 1223244.90000000 SGD 924363.16000000 USD 2023-07-21 18299.76000000 N N N HELLENIC REPUBLIC 2138003EKTMKZ5598902 000000000 3429000.00000000 PA 3134294.85000000 1.068770553714 Long DBT NUSS GR Y 2 2032-06-18 Fixed 1.75000000 N N N N N N CREDIT SUISSE AG LONDON ANGGYXNX0JLX3X63JN86 000000000 100000.00000000 PA 103687.39000000 0.035356606358 Long DBT CORP CH N 2 2024-05-31 Fixed 2.13000000 N N N N N N BANQUE FED CRED MUTUEL VBHFXSYT7OG62HNT8T76 000000000 100000.00000000 PA 106973.40000000 0.036477110617 Long DBT CORP FR N 2 2030-05-02 Fixed 4.38000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 12229.63000000 0.004170210223 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 727419.28000000 NZD 450243.15000000 USD 2023-07-21 12229.63000000 N N N TARGA RESOURCES PARTNERS N/A 87612BBN1 785000.00000000 PA USD 794842.80000000 0.271035311011 Long DBT CORP US N 2 2029-01-15 Fixed 6.88000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137F4XB3 36576000.00000000 PA USD 253603.35000000 0.086476801250 Long ABS-MBS USGSE US N 2 2028-02-25 Variable 0.13000000 N N N N N N ENERGIZER GAMMA ACQ BV 5493002SUYZDHEQ3JN34 000000000 340000.00000000 PA 288649.28000000 0.098427195136 Long DBT CORP NL N 2 2029-06-30 Fixed 3.50000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAN0 774000.00000000 PA USD 514348.53000000 0.175388911866 Long DBT NUSS MX N 2 2061-05-24 Fixed 3.77000000 N N N N N N HOLCIM STERLING FINANCE 529900KU5LFL22MEGK07 000000000 100000.00000000 PA 86968.26000000 0.029655510998 Long DBT CORP NL N 2 2034-04-04 Fixed 2.25000000 N N N N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397ZR7 885000.00000000 PA USD 810238.65000000 0.276285178020 Long DBT CORP US N 2 2029-05-03 Fixed 5.11000000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDT4 287000.00000000 PA USD 286715.87000000 0.097767917124 Long DBT CORP US Y 2 2031-05-15 Fixed 6.75000000 N N N N N N F-BRASILE SPA/F-BRASILE N/A 30191BAB7 725000.00000000 PA USD 652964.00000000 0.222655726162 Long DBT CORP IT Y 2 2026-08-15 Fixed 7.38000000 N N N N N N KBC GROUP NV 213800X3Q9LSAKRUWY91 000000000 100000.00000000 PA 106899.64000000 0.036451959021 Long DBT CORP BE N 2 2030-04-19 Fixed 4.38000000 N N N N N N AMERICAN AIRLINES/AADVAN N/A 00253XAB7 410042.00000000 PA USD 392899.50000000 0.133975722216 Long DBT CORP N/A Y 2 2029-04-20 Fixed 5.75000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2U6 69000.00000000 PA USD 59269.36000000 0.020210398107 Long DBT CORP US N 2 2033-03-02 Fixed 3.35000000 N N N N N N GFL ENVIRONMENTAL INC 549300FYK4MBXWIVZU26 36168QAP9 345000.00000000 PA USD 306227.47000000 0.104421223381 Long DBT CORP CA Y 2 2029-08-15 Fixed 4.38000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 670.50000000 0.000228635367 N/A DFE GB N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 600496.90000000 USD 482804.32000000 GBP 2023-07-21 670.50000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGX46 125162.76000000 PA USD 102960.11000000 0.035108609445 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.00000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 4797.45000000 0.001635893729 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 442405.51000000 AUD 293083.61000000 USD 2023-07-21 4797.45000000 N N N CREDIT ACCEPTANC N/A 225310AN1 795000.00000000 PA USD 779803.72000000 0.265907099841 Long DBT CORP US Y 2 2024-12-31 Fixed 5.13000000 N N N N N N Republic of Paraguay 529900UXKJTJPCU0HK83 699149AH3 1150000.00000000 PA USD 962894.82000000 0.328339763548 Long DBT NUSS PY Y 2 2050-03-30 Fixed 5.40000000 N N N N N N TENGIZCHEVROIL FIN CO IN 5493001VEV2XTJIBZH31 000000000 987000.00000000 PA USD 868560.00000000 0.296172311974 Long DBT CORP BM N 2 2026-08-15 Fixed 4.00000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 184613.82000000 0.062951899571 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 490015474.00000000 JPY 3728427.16000000 USD 2023-07-21 184613.82000000 N N N MF1 Multifamily Housing Mortgage Loan Trust N/A 55282XAJ9 755000.00000000 PA USD 713911.39000000 0.243438319656 Long ABS-CBDO CORP KY Y 2 2036-07-15 Floating 7.68000000 N N N N N N CLARIV SCI HLD CORP N/A 18064PAD1 670000.00000000 PA USD 575422.51000000 0.196214671581 Long DBT CORP US Y 2 2029-07-01 Fixed 4.88000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163AAF0 3378658.81000000 PA USD 249772.08000000 0.085170367505 Long ABS-MBS CORP US N 2 2053-07-15 Variable 1.79000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -6755.67000000 -0.00230363176 N/A DFE ID N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 475735.52000000 USD 7034463250.00000000 IDR 2023-08-07 -6755.67000000 N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 7466.68000000 0.002546080729 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 252226.43000000 EUR 277824.34000000 USD 2023-07-21 7466.68000000 N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 10500000.00000000 PA 557024.14000000 0.189940968234 Long DBT NUSS MX N 2 2031-05-29 Fixed 7.75000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AF4 69000.00000000 PA USD 61033.73000000 0.020812034773 Long DBT CORP US N 2 2029-08-08 Fixed 3.90000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -7760.73000000 -0.00264634952 N/A DFE CA N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 693155.59000000 USD 929341.36000000 CAD 2023-07-21 -7760.73000000 N N N VIRGIN MEDIA FINANCE PLC 2138001LVYC87DDHT482 92769VAJ8 1000000.00000000 PA USD 791571.36000000 0.269919775011 Long DBT CORP GB Y 2 2030-07-15 Fixed 5.00000000 N N N N N N VGP NV 315700NENYPIXFR94T49 000000000 100000.00000000 PA 72417.99000000 0.024693980297 Long DBT CORP BE N 2 2029-04-08 Fixed 1.50000000 N N N N N N Teleflex Inc UUL85LWXB4NGSWWXIQ25 879369AF3 705000.00000000 PA USD 666852.45000000 0.227391581309 Long DBT CORP US N 2 2027-11-15 Fixed 4.63000000 N N N N N N PBF HOLDING CO LLC N/A 69318FAJ7 545000.00000000 PA USD 506850.00000000 0.172831970530 Long DBT CORP US N 2 2028-02-15 Fixed 6.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 22491.21000000 0.007669330460 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 9298582.18000000 NOK 862122.95000000 USD 2023-07-21 22491.21000000 N N N COMMSCOPE TECH LLC M4TWC4QDOKW45N7T6Y12 20338HAB9 692000.00000000 PA USD 465434.43000000 0.158709578158 Long DBT CORP US Y 2 2027-03-15 Fixed 5.00000000 N N N N N N GENESIS ENERGY LP/FIN N/A 37185LAM4 238000.00000000 PA USD 231819.10000000 0.079048538738 Long DBT CORP US N 2 2027-01-15 Fixed 8.00000000 N N N N N N SRS DISTRIBUTION INC 549300ZQ3XP75BCYM468 78471RAC0 425000.00000000 PA USD 351933.96000000 0.120006786630 Long DBT CORP US Y 2 2029-07-01 Fixed 6.13000000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 917288BM3 44975000.00000000 PA 1046671.93000000 0.356907116821 Long DBT NUSS UY N 2 2031-05-21 Fixed 8.25000000 N N N N N N IAMGOLD CORP 254900E7II30XAB9LA72 450913AF5 755000.00000000 PA USD 589322.80000000 0.200954564077 Long DBT CORP CA Y 2 2028-10-15 Fixed 5.75000000 N N N N N N NEXTERA ENERGY OPERATING 549300KJEC5IUVJWR786 65342QAK8 161000.00000000 PA USD 157965.15000000 0.053864907072 Long DBT CORP US Y 2 2024-07-15 Fixed 4.25000000 N N N N N N GEORGIA POWER CO D981X4Z4RWS7PDMJUZ03 373334KT7 120000.00000000 PA USD 118307.84000000 0.040342067902 Long DBT CORP US N 2 2033-05-17 Fixed 4.95000000 N N N N N N CLEARWAY ENERGY OP LLC 549300Z3NFMM54NWBB87 18539UAC9 557000.00000000 PA USD 518414.10000000 0.176775240118 Long DBT CORP US Y 2 2028-03-15 Fixed 4.75000000 N N N N N N Starwood Commercial Mortgage Trust N/A 78486BAG9 100000.00000000 PA USD 92112.08000000 0.031409514246 Long ABS-CBDO CORP KY Y 2 2038-04-18 Floating 7.21000000 N N N N N N NATIONAL GRID PLC 8R95QZMKZLJX5Q2XR704 000000000 100000.00000000 PA 106049.65000000 0.036162118937 Long DBT CORP GB N 2 2035-01-16 Fixed 4.28000000 N N N N N N CONTOURGLOBAL POWER HLDG 549300O5AGIFK0PQ1516 000000000 180000.00000000 PA 174210.43000000 0.059404423209 Long DBT CORP LU Y 2 2026-01-01 Fixed 2.75000000 N N N N N N ARCADIS NV 7245000UZH70GO047N03 000000000 100000.00000000 PA 107968.54000000 0.036816445740 Long DBT CORP NL N 2 2028-02-28 Fixed 4.88000000 N N N N N N PENN ENTERTAINMENT INC N/A 707569AV1 581000.00000000 PA USD 468547.45000000 0.159771094151 Long DBT CORP US Y 2 2029-07-01 Fixed 4.13000000 N N N N N N LEVIATHAN BOND LTD 254900D9T8VKYVQNZ220 000000000 679000.00000000 PA USD 658630.00000000 0.224587788794 Long DBT CORP IL Y 2 2025-06-30 Fixed 6.13000000 N N N N N N DUKE ENERGY CORP I1BZKREC126H0VB1BL91 26441CBL8 120000.00000000 PA USD 99297.78000000 0.033859782947 Long DBT CORP US N 2 2031-06-15 Fixed 2.55000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBK6 101000.00000000 PA USD 83883.91000000 0.028603771256 Long DBT CORP US Y 2 2033-04-15 Fixed 3.42000000 N N N N N N STORE CAPITAL CORP 5493004EA6C9IHDZ7N66 862121AC4 313000.00000000 PA USD 226826.11000000 0.077345967365 Long DBT CORP US N 2 2030-11-18 Fixed 2.75000000 N N N N N N MIWD HLDCO II/MIWD FIN N/A 55337PAA0 586000.00000000 PA USD 471730.00000000 0.160856319341 Long DBT CORP US Y 2 2030-02-01 Fixed 5.50000000 N N N N N N The Montreal Exchange / Bourse De Montreal N/A 000000000 3.00000000 NC 79.49000000 0.000027105481 N/A DIR CA N 1 The Montreal Exchange / Bourse De Montreal N/A Long Montreal Exchange 10 Year Canadian Bond Futures CNU3 Comdty 2023-09-20 370902.09000000 CAD 79.49000000 N N N DANA INC KVWHW7YLZPFJM8QYNJ51 235825AF3 544000.00000000 PA USD 509515.84000000 0.173741001566 Long DBT CORP US N 2 2027-11-15 Fixed 5.38000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FTZU4 731897.00000000 PA USD 76517.64000000 0.026091929568 Long ABS-MBS USGSE US N 2 2030-04-25 Variable 1.87000000 N N N N N N ABU DHABI NATIONAL ENERG 213800UNJSVQFNUYYW03 00388WAM3 200000.00000000 PA USD 199663.60000000 0.068083759359 Long DBT CORP AE Y 2 2033-04-24 Fixed 4.70000000 N N N N N N AIB GROUP PLC 635400AKJBGNS5WNQL34 000000000 100000.00000000 PA 110670.94000000 0.037737943456 Long DBT CORP IE N 2 2029-02-16 Fixed 5.75000000 N N N N N N UNITED KINGDOM GILT ECTRVYYCEF89VWYS6K36 000000000 2275000.00000000 PA 2516140.25000000 0.857984566517 Long DBT NUSS GB N 2 2027-07-22 Fixed 1.25000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137H4BT6 2699427.00000000 PA USD 92974.47000000 0.031703582636 Long ABS-MBS USGSE US N 2 2031-09-25 Variable 0.54000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC -9012.83000000 -0.00307330604 N/A DFE JP N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 160598.72000000 USD 20960311.00000000 JPY 2023-07-21 -9012.83000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179W5C8 48073.58000000 PA USD 43256.28000000 0.014750060393 Long ABS-MBS USGA US N 2 2052-05-20 Fixed 3.00000000 N N N N N N 3650R Commercial Mortgage Trust N/A 88581EAF8 3775191.60000000 PA USD 201225.26000000 0.068616273466 Long ABS-MBS CORP US N 2 2054-11-15 Variable 1.02000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBU3 63000.00000000 PA USD 62293.88000000 0.021241736277 Long DBT CORP US N 2 2033-02-13 Fixed 4.81000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCE1 1500000.00000000 PA USD 1234727.85000000 0.421032746147 Long DBT CORP US Y 2 2030-08-15 Fixed 4.50000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 686.19000000 0.000233985537 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 79507.80000000 EUR 85909.39000000 USD 2023-07-21 686.19000000 N N N Republic of Senegal 549300NP14ZLQGWIUZ97 000000000 247000.00000000 PA USD 196434.16000000 0.066982545037 Long DBT NUSS SN N 2 2033-05-23 Fixed 6.25000000 N N N N N N BANK LEUMI LE-ISRAEL 7JDSZWRGUQY2DSTWCR57 000000000 546000.00000000 PA USD 540540.00000000 0.184320002664 Long DBT CORP IL Y 2 2027-07-27 Fixed 5.13000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 1797.33000000 0.000612875773 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 90712.00000000 AUD 60908.29000000 USD 2023-07-21 1797.33000000 N N N ENEL SPA WOCMU6HCI0OJWNPRZS33 000000000 100000.00000000 PA 92481.25000000 0.031535398391 Long DBT CORP IT N 2 2026-12-10 Fixed 2.25000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 000000000 100000.00000000 PA 108194.08000000 0.036893353154 Long DBT CORP GB N 2 2033-05-23 Fixed 4.86000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 70830.87000000 0.024152784525 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 2455512.13000000 EUR 2702856.85000000 USD 2023-07-21 70830.87000000 N N N MFS Institutional Money Market Portfolio 5L2W638H85N8T1136O07 55291X109 7.55000000 NS USD 7.55000000 0.000002574492 Long STIV RF US N 1 N N N MATCH GROUP HLD II LLC 5493003RFFE030RC9167 57665RAN6 910000.00000000 PA USD 830375.00000000 0.283151519245 Long DBT CORP US Y 2 2028-06-01 Fixed 4.63000000 N N N N N N Westlake Automobile Receivables Trust N/A 96042XAC9 56000.00000000 PA USD 55966.85000000 0.019084267475 Long ABS-O CORP US Y 2 2026-06-15 Floating 5.72000000 N N N N N N Chesapeake Funding II LLC 5493000HT7H4OFOD6Z12 165183CU6 135836.34000000 PA USD 135303.93000000 0.046137604503 Long ABS-O CORP US Y 2 2035-05-15 Fixed 5.65000000 N N N N N N Verscend Escrow Corp N/A 92535WAA8 832000.00000000 PA USD 833816.26000000 0.284324962565 Long DBT CORP US Y 2 2026-08-15 Fixed 9.75000000 N N N N N N ILIAD HOLDING SAS 9695009PXA7OI9NXN582 449691AC8 1012000.00000000 PA USD 943464.22000000 0.321714077671 Long DBT CORP FR Y 2 2028-10-15 Fixed 7.00000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 4339.38000000 0.001479695366 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 130000.00000000 EUR 143684.40000000 USD 2023-07-21 4339.38000000 N N N CF Hippolyta Issuer LLC N/A 12530MAA3 89945.20000000 PA USD 81218.99000000 0.027695053933 Long ABS-O CORP US Y 2 2060-07-15 Fixed 1.69000000 N N N N N N TELENET FINANCE LUX NOTE 2138007RI9GLJPCC3E25 000000000 1400000.00000000 PA USD 1295000.00000000 0.441585087969 Long DBT CORP LU Y 2 2028-03-01 Fixed 5.50000000 N N N N N N GFL ENVIRONMENTAL INC 549300FYK4MBXWIVZU26 36168QAL8 630000.00000000 PA USD 562561.52000000 0.191829172430 Long DBT CORP CA Y 2 2028-08-01 Fixed 4.00000000 N N N N N N NEWELL BRANDS INC 549300LWGYFM1TVO1Z12 651229BD7 474000.00000000 PA USD 447337.50000000 0.152538663544 Long DBT CORP US N 2 2029-09-15 Fixed 6.63000000 N N N N N N ALBERTSONS COS/SAFEWAY N/A 013092AG6 540000.00000000 PA USD 469518.28000000 0.160102139750 Long DBT CORP US Y 2 2029-03-15 Fixed 3.50000000 N N N N N N REPUBLIC OF POLAND 259400R9L8QEP0TPXS31 857524AE2 72000.00000000 PA USD 76394.59000000 0.026049970459 Long DBT NUSS PL N 2 2032-11-16 Fixed 5.75000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 76.39000000 0.000026048405 N/A DFE GB N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 27947.66000000 USD 22506.43000000 GBP 2023-07-21 76.39000000 N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBC6 181000.00000000 PA USD 158129.10000000 0.053920812767 Long DBT CORP US N 2 2032-03-15 Fixed 4.28000000 N N N N N N MASTERCARD INC AR5L2ODV9HN37376R084 57636QAR5 123000.00000000 PA USD 118369.39000000 0.040363055981 Long DBT CORP US N 2 2027-03-26 Fixed 3.30000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -5913.76000000 -0.00201654689 N/A DFE N/A N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 219766.87000000 USD 199511.29000000 EUR 2023-07-21 -5913.76000000 N N N ORYX FUNDING LTD 549300S728CF0BBRC295 67114NAA9 200000.00000000 PA USD 193040.00000000 0.065825162456 Long DBT CORP KY Y 2 2031-02-03 Fixed 5.80000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179W2T4 248765.65000000 PA USD 210822.10000000 0.071888722451 Long ABS-MBS USGA US N 2 2052-04-20 Fixed 2.00000000 N N N N N N APA INFRASTRUCTURE LTD 261700SS8OEHDOCOUJ33 000000000 110000.00000000 PA 95671.00000000 0.032623078726 Long DBT CORP AU N 2 2029-03-15 Fixed 0.75000000 N N N N N N PRIMO WATER HOLDINGS INC 9845008F9A5F2E1D4832 74168LAA4 1072000.00000000 PA USD 922080.80000000 0.314422495122 Long DBT CORP US Y 2 2029-04-30 Fixed 4.38000000 N N N N N N GRAND CITY PROPERTIES SA 5299002QLUYKK2WBMB18 000000000 100000.00000000 PA 39014.86000000 0.013303768637 Long DBT CORP LU N 2 2026-03-11 Fixed 1.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 20951.59000000 0.007144331824 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 24625138.12000000 THB 731910.78000000 USD 2023-07-19 20951.59000000 N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -10644.15000000 -0.00362957367 N/A DFE N/A N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 387124.58000000 USD 351232.20000000 EUR 2023-07-21 -10644.15000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 219.18000000 0.000074738702 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 2842179.68000000 MXN 159280.79000000 USD 2023-07-21 219.18000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 1338.92000000 0.000456561471 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 612402.34000000 NZD 370095.31000000 USD 2023-07-21 1338.92000000 N N N BSPRT Issuer, Ltd. N/A 05602CAE4 100000.00000000 PA USD 97392.40000000 0.033210062951 Long ABS-CBDO CORP KY Y 2 2038-12-15 Floating 7.16000000 N N N N N N ALLIED UNIVERSAL N/A 019576AB3 764000.00000000 PA USD 670296.39000000 0.228565938489 Long DBT CORP US Y 2 2027-07-15 Fixed 9.75000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2900000.00000000 OU Notional Amount 2451.68000000 0.000836004114 N/A DIR BR N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 EQT Corp. EQT Corp. Y 2026-01-02 0.00000000 BRL 0.00000000 BRL 2900000.00000000 BRL 2451.68000000 N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AX4 193000.00000000 PA USD 182487.22000000 0.062226745248 Long DBT CORP US N 2 2030-05-15 Fixed 4.50000000 N N N N N N LSF11 A5 HOLDCO LLC 254900FPK7P5WNA66Y10 50221DAA7 678000.00000000 PA USD 579167.94000000 0.197491834543 Long DBT CORP US Y 2 2029-10-15 Fixed 6.63000000 N N N N N N MEDLINE BORROWER LP 254900QT3R363TVK6F09 62482BAB8 410000.00000000 PA USD 350805.31000000 0.119621925618 Long DBT CORP US Y 2 2029-10-01 Fixed 5.25000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -6666.44000000 -0.00227320501 N/A DFE ID N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 461671.74000000 USD 6823508360.00000000 IDR 2023-07-17 -6666.44000000 N N N LPL HOLDINGS INC 549300Z5YF8CCRMYUL26 50212YAF1 456000.00000000 PA USD 396402.08000000 0.135170075187 Long DBT CORP US Y 2 2031-05-15 Fixed 4.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140N5MY7 120154.69000000 PA USD 120482.17000000 0.041083497790 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 5.50000000 N N N N N N WEEKLEY HOMES LLC/ FINAN N/A 948565AD8 427000.00000000 PA USD 374338.09000000 0.127646423477 Long DBT CORP US Y 2 2028-09-15 Fixed 4.88000000 N N N N N N INTERNATIONAL GAME TECH 549300UQ6KHRCZDRGZ76 460599AD5 225000.00000000 PA USD 224559.00000000 0.076572900207 Long DBT CORP GB Y 2 2027-01-15 Fixed 6.25000000 N N N N N N STORA ENSO OYJ 7437000ZP669LKUTZ738 000000000 100000.00000000 PA 107892.65000000 0.036790567831 Long DBT CORP FI N 2 2029-09-01 Fixed 4.25000000 N N N N N N VOLKSWAGEN FIN SERV NV 529900ZTQC8D1TW6BL41 000000000 100000.00000000 PA 121864.03000000 0.041554701473 Long DBT CORP NL N 2 2029-05-23 Fixed 5.88000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 653.35000000 0.000222787349 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 505782.86000000 CNY 72026.58000000 USD 2023-07-21 653.35000000 N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 000000000 60000.00000000 PA USD 59550.00000000 0.020306094199 Long DBT CORP GB N 2 2023-06-30 Floating 5.40000000 N N N N N N ROYAL CARIBBEAN CRUISES K2NEH8QNVW44JIWK7Z55 780153BK7 566000.00000000 PA USD 521544.72000000 0.177842757576 Long DBT CORP LR Y 2 2027-07-15 Fixed 5.38000000 N N N N N N LANDSBANKINN HF 549300TLZPT6JELDWM92 000000000 100000.00000000 PA 93898.18000000 0.032018560676 Long DBT CORP IS N 2 2025-05-23 Fixed 0.38000000 N N N N N N MBANK SA 259400DZXF7UJKK2AY35 000000000 100000.00000000 PA 82775.63000000 0.028225856258 Long DBT CORP PL N 2 2027-09-21 Fixed 0.97000000 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAL9 505000.00000000 PA USD 442558.42000000 0.150909033843 Long DBT CORP KY N 2 2030-06-18 Fixed 4.88000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307AS6 800000.00000000 PA USD 629390.64000000 0.214617390835 Long DBT CORP US Y 2 2028-02-01 Fixed 5.38000000 N N N N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBY5 76000.00000000 PA USD 72578.54000000 0.024748726618 Long DBT CORP GB N 2 2053-02-10 Fixed 5.63000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 000000000 110000.00000000 PA USD 97240.00000000 0.033158095717 Long DBT CORP GB N 2 2023-08-14 Floating 5.24000000 N N N N N N KOREA TREASURY BOND 549300O0QCVSQGPGDT58 000000000 4874250000.00000000 PA 3352801.95000000 1.143279802343 Long DBT NUSS KR N 2 2029-06-10 Fixed 1.88000000 N N N N N N MASTERCARD INC AR5L2ODV9HN37376R084 57636QAQ7 77000.00000000 PA USD 65588.53000000 0.022365186710 Long DBT CORP US N 2 2050-03-26 Fixed 3.85000000 N N N N N N SBA COMMUNICATIONS CORP 5299001HX8ZN8Y8QIT49 78410GAG9 1060000.00000000 PA USD 892877.11000000 0.304464260359 Long DBT CORP US N 2 2029-02-01 Fixed 3.13000000 N N N N N N KINGDOM OF MOROCCO 529900F3MBW9XY5K1X07 000000000 428000.00000000 PA 418186.40000000 0.142598361568 Long DBT NUSS MA N 2 2026-03-30 Fixed 1.38000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKJ0 66000.00000000 PA USD 45817.38000000 0.015623375890 Long DBT CORP US N 2 2053-09-15 Fixed 3.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 4152.46000000 0.001415957076 N/A DFE KR N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 454160.82000000 USD 607907881.00000000 KRW 2023-06-15 4152.46000000 N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 97.73000000 0.000033325181 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 2821.00000000 EUR 3121.52000000 USD 2023-07-21 97.73000000 N N N The Montreal Exchange / Bourse De Montreal N/A 000000000 185.00000000 NC -34619.19000000 -0.01180487881 N/A DIR CA N 1 The Montreal Exchange / Bourse De Montreal N/A Long Montreal Exchange 5 Year Canadian Bond Futures XQU3 Comdty 2023-09-20 20644895.55000000 CAD -34619.19000000 N N N SK HYNIX INC 988400XAIK6XISWQV045 78392BAE7 200000.00000000 PA USD 202443.68000000 0.069031745360 Long DBT CORP KR Y 2 2028-01-17 Fixed 6.38000000 N N N N N N TMS INTERNATIONAL CORP 549300L4K0F1YF8WKF23 87261QAC7 170000.00000000 PA USD 134381.60000000 0.045823097032 Long DBT CORP US Y 2 2029-04-15 Fixed 6.25000000 N N N N N N ALBION FINANCING 1SARL / N/A 013304AA8 200000.00000000 PA USD 179346.00000000 0.061155613271 Long DBT CORP LU Y 2 2026-10-15 Fixed 6.13000000 N N N N N N ARDAGH METAL PACKAGING N/A 000000000 220000.00000000 PA 172520.88000000 0.058828299591 Long DBT CORP N/A Y 2 2029-09-01 Fixed 3.00000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 41172.92000000 0.014039650579 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 1166164.77000000 EUR 1291167.14000000 USD 2023-07-21 41172.92000000 N N N XCEL ENERGY INC LGJNMI9GH8XIDG5RCM61 98388MAD9 46000.00000000 PA USD 44272.22000000 0.015096488156 Long DBT CORP US N 2 2032-06-01 Fixed 4.60000000 N N N N N N AUST & NZ BANKING GROUP JHE42UYNWWTJB8YTTU19 052528AM8 152000.00000000 PA USD 115773.40000000 0.039477843261 Long DBT CORP AU Y 2 2035-11-25 Fixed 2.57000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -357.43000000 -0.00012188089 N/A DFE GB N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 126451.33000000 USD 101267.43000000 GBP 2023-07-21 -357.43000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 20.00000000 NC 132112.86000000 0.045049474057 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex 30 Year Euro BUXL Futures UBM3 Comdty 2023-06-08 2650403.00000000 EUR 132112.86000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31401WV48 21943.70000000 PA USD 22479.52000000 0.007665344260 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.50000000 N N N N N N APA INFRASTRUCTURE LTD 261700SS8OEHDOCOUJ33 000000000 100000.00000000 PA 82067.84000000 0.027984505286 Long DBT CORP AU N 2 2036-03-15 Fixed 2.50000000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 000000000 130000.00000000 PA 139586.51000000 0.047597931504 Long DBT CORP GB N 2 2031-05-10 Fixed 4.87000000 N N N N N N BOMBARDIER INC W7L3VLU8EHQY34Z36697 097751BV2 412000.00000000 PA USD 404036.53000000 0.137773364203 Long DBT CORP CA Y 2 2026-06-15 Fixed 7.13000000 N N N N N N REPUBLIC OF GUATEMALA 529900QKDFFU9UWW5315 000000000 300000.00000000 PA USD 270489.21000000 0.092234750264 Long DBT NUSS GT N 2 2050-06-01 Fixed 6.13000000 N N N N N N AMERICAN INTERNATIONAL ODVCVCQG2BP6VHV36M30 026874DS3 74000.00000000 PA USD 72509.23000000 0.024725092438 Long DBT CORP US N 2 2033-03-27 Fixed 5.13000000 N N N N N N EMPRESA NACIONAL DEL PET 549300YP3P0JZBLIV197 000000000 600000.00000000 PA USD 567877.82000000 0.193641990039 Long DBT CORP CL N 2 2026-08-05 Fixed 3.75000000 N N N N N N CLARIV SCI HLD CORP N/A 18064PAC3 200000.00000000 PA USD 176714.68000000 0.060258353292 Long DBT CORP US Y 2 2028-07-01 Fixed 3.88000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ALS90 49507.87000000 PA USD 42448.04000000 0.014474456739 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.50000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 14050.56000000 0.004791133415 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 368997.30000000 EUR 409573.13000000 USD 2023-07-21 14050.56000000 N N N HELLENIC REPUBLIC 2138003EKTMKZ5598902 000000000 1020000.00000000 PA 1117208.12000000 0.380959417722 Long DBT NUSS GR Y 2 2028-06-15 Fixed 3.88000000 N N N N N N CHS/COMMUNITY HEALTH SYS 5493007X5NC5XI1BB106 12543DBL3 806000.00000000 PA USD 435361.14000000 0.148454816452 Long DBT CORP US Y 2 2030-04-01 Fixed 6.13000000 N N N N N N ENGIE SA LAXUQCHT4FH58LRZDY46 000000000 100000.00000000 PA 105966.49000000 0.036133762014 Long DBT CORP FR N 2 2043-01-11 Fixed 4.25000000 N N N N N N CF Hippolyta Issuer LLC N/A 12530MAC9 89945.20000000 PA USD 80765.04000000 0.027540260458 Long ABS-O CORP US Y 2 2060-07-15 Fixed 2.28000000 N N N N N N MATTEL INC 549300VELLG24KHTJ564 577081BE1 626000.00000000 PA USD 574205.35000000 0.195799629337 Long DBT CORP US Y 2 2026-04-01 Fixed 3.38000000 N N N N N N WASTE CONNECTIONS INC 549300HDLRTPBQU69P29 94106BAF8 49000.00000000 PA USD 46210.15000000 0.015757307453 Long DBT CORP CA N 2 2033-01-15 Fixed 4.20000000 N N N N N N INTERNATIONAL GAME TECH 549300UQ6KHRCZDRGZ76 460599AF0 1000000.00000000 PA USD 947087.31000000 0.322949523630 Long DBT CORP GB Y 2 2026-04-15 Fixed 4.13000000 N N N N N N STATE OIL CO OF THE AZER 2549002HARR1VE257O76 000000000 500000.00000000 PA USD 514080.00000000 0.175297345191 Long DBT CORP AZ N 2 2030-03-18 Fixed 6.95000000 N N N N N N Navistar Financial Dealer Note Master Trust 549300S28N49H5RT4J50 63938PBR9 103000.00000000 PA USD 103110.00000000 0.035159720788 Long ABS-O CORP US Y 2 2027-05-25 Floating 6.18000000 N N N N N N MATCH GROUP HLD II LLC 5493003RFFE030RC9167 57665RAL0 275000.00000000 PA USD 233400.75000000 0.079587869282 Long DBT CORP US Y 2 2030-08-01 Fixed 4.13000000 N N N N N N VIRGIN MONEY UK PLC 213800ZK9VGCYYR6O495 000000000 100000.00000000 PA 113541.48000000 0.038716775624 Long DBT CORP GB N 2 2030-12-11 Fixed 5.13000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QDE9 100000.00000000 PA USD 71773.32000000 0.024474152761 Long DBT CORP MX N 2 2031-01-28 Fixed 5.95000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 2992.64000000 0.001020467334 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 99451.00000000 EUR 109592.65000000 USD 2023-07-21 2992.64000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCP9 88000.00000000 PA USD 77989.18000000 0.026593713444 Long DBT CORP US N 2 2027-09-22 Fixed 1.47000000 N N N N N N Morgan Stanley Capital I Trust N/A 61692CBK3 3105376.47000000 PA USD 188946.32000000 0.064429248910 Long ABS-MBS CORP US N 2 2054-06-15 Variable 1.22000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 44414.43000000 0.015144980678 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 152502580.00000000 JPY 1147319.76000000 USD 2023-07-21 44414.43000000 N N N WYNN MACAU LTD 254900NMDQ8ENTHU1I31 98313RAH9 674000.00000000 PA USD 567845.00000000 0.193630798670 Long DBT CORP KY Y 2 2028-08-26 Fixed 5.63000000 N N N N N N NUTRIEN LTD 5493002QQ7GD21OWF963 67077MBA5 44000.00000000 PA USD 43616.33000000 0.014872834687 Long DBT CORP CA N 2 2028-03-27 Fixed 4.90000000 N N N N N N ALTICE FRANCE HOLDING SA 5299000JVHXKJPOE6H40 02156TAA2 1255000.00000000 PA USD 621205.89000000 0.211826453731 Long DBT CORP LU Y 2 2028-02-15 Fixed 6.00000000 N N N N N N GFL ENVIRONMENTAL INC 549300FYK4MBXWIVZU26 36168QAN4 255000.00000000 PA USD 231528.60000000 0.078949480462 Long DBT CORP CA Y 2 2029-06-15 Fixed 4.75000000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDK3 499000.00000000 PA USD 472954.45000000 0.161273847419 Long DBT CORP US N 2 2028-10-01 Fixed 6.13000000 N N N N N N KINGDOM OF MOROCCO 529900F3MBW9XY5K1X07 617726AL8 459000.00000000 PA USD 361462.50000000 0.123255945837 Long DBT NUSS MA Y 2 2032-12-15 Fixed 3.00000000 N N N N N N EXOR NV 5493002ENHZ6NYET7405 000000000 100000.00000000 PA 94502.54000000 0.032224642810 Long DBT CORP NL N 2 2030-04-29 Fixed 2.25000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 887.37000000 0.000302586378 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 376940.24000000 NZD 227860.90000000 USD 2023-07-21 887.37000000 N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XAX8 81000.00000000 PA USD 74482.92000000 0.025398105621 Long DBT CORP US N 2 2027-01-15 Fixed 2.75000000 N N N N N N BK LC FINCO 1 SARL 5299004DSXRFOZZ5UG09 000000000 170000.00000000 PA 164973.64000000 0.056254748518 Long DBT CORP LU N 2 2029-04-30 Fixed 5.25000000 N N N N N N BECTON DICKINSON & CO ICE2EP6D98PQUILVRZ91 075887CP2 45000.00000000 PA USD 42782.57000000 0.014588528908 Long DBT CORP US N 2 2032-08-22 Fixed 4.30000000 N N N N N N INTELSAT JACKSON HOLDINGS S A 8XJ8KF85PBKK1TLMFN29 000000000 738.00000000 NS USD 3136.50000000 0.001069522492 N/A DE LU N 2 N/A N/A INTELSAT EMERGENCE SA INTELSAT EMERGENCE SA 2025-12-05 XXXX 3136.50000000 N N N DAVITA INC M2XHYMU3TZNEZURC6H66 23918KAS7 618000.00000000 PA USD 529283.27000000 0.180481543894 Long DBT CORP US Y 2 2030-06-01 Fixed 4.63000000 N N N N N N TRIMAS CORP 75G1WUQ8QK4P5MZOYD78 896215AH3 1593000.00000000 PA USD 1414329.12000000 0.482275404535 Long DBT CORP US Y 2 2029-04-15 Fixed 4.13000000 N N N N N N ENTEGRIS INC IYX6OWO7BT5DKO3BYG52 29362UAC8 270000.00000000 PA USD 248140.80000000 0.084614113511 Long DBT CORP US Y 2 2028-04-15 Fixed 4.38000000 N N N N N N Republic of Ghana 213800PP4399SNNXZ126 37443GAB7 305000.00000000 PA USD 122274.50000000 0.041694668601 Long DBT NUSS GH Y 2 2032-03-26 Fixed 8.13000000 N N N N N N Morgan Stanley Capital I Trust N/A 61691YAP6 1030831.06000000 PA USD 68540.68000000 0.023371847264 Long ABS-MBS CORP US N 2 2054-05-15 Variable 1.29000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 1868.09000000 0.000637004391 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 101302.52000000 NZD 62867.12000000 USD 2023-07-21 1868.09000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 28.00000000 NC USD 33865.30000000 0.011547808092 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT U.S. Long Bond Futures USU3 Comdty 2023-09-20 3559759.70000000 USD 33865.30000000 N N N PFP III N/A 69290LAE7 99995.01000000 PA USD 94157.00000000 0.032106816315 Long ABS-CBDO CORP KY Y 2 2038-04-14 Floating 6.51000000 N N N N N N SPCM SA 969500F7036FEDYPRV54 7846ELAE7 905000.00000000 PA USD 750972.03000000 0.256075714231 Long DBT CORP FR Y 2 2030-03-15 Fixed 3.38000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 19992.65000000 0.006817340624 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 24123790.01000000 THB 716477.28000000 USD 2023-07-19 19992.65000000 N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PEF5 108000.00000000 PA USD 78790.46000000 0.026866943791 Long DBT CORP US N 2 2051-05-15 Fixed 3.25000000 N N N N N N Spirit AeroSystems Inc ZD2NBKV6GCC3UMGBM518 85205TAK6 640000.00000000 PA USD 526582.85000000 0.179560721344 Long DBT CORP US N 2 2028-06-15 Fixed 4.60000000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BR7 474000.00000000 PA USD 474546.05000000 0.161816570837 Long DBT CORP US Y 2 2028-08-15 Fixed 6.75000000 N N N N N N MOTION FINCO SARL 2549002L1LBQZKA7UN30 000000000 100000.00000000 PA 106325.64000000 0.036256229415 Long DBT CORP LU Y 2 2030-06-15 Fixed 7.38000000 N N N N N N VIRGIN MEDIA FINANCE PLC 2138001LVYC87DDHT482 000000000 255000.00000000 PA 209589.64000000 0.071468463024 Long DBT CORP GB N 2 2030-07-15 Fixed 3.75000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -87.00000000 NC USD -8665.98000000 -0.00295503284 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 10 Year U.S. Treasury Notes TYU3 Comdty 2023-09-20 -9950115.27000000 USD -8665.98000000 N N N Gray Television Inc 529900TM5726KDN7UU35 389375AJ5 116000.00000000 PA USD 99705.43000000 0.033998788476 Long DBT CORP US Y 2 2026-07-15 Fixed 5.88000000 N N N N N N MOTION BONDCO DAC 635400KFD3IETNQLA755 61978XAA5 429000.00000000 PA USD 390678.09000000 0.133218238409 Long DBT CORP IE Y 2 2027-11-15 Fixed 6.63000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC 1177.76000000 0.000401607145 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2231197.37000000 BRL 440969.88000000 USD 2023-06-02 1177.76000000 N N N BANQUE OUEST AFRICAINE D 529900LIZJABE4JJS826 06675QAC7 1055000.00000000 PA USD 854550.00000000 0.291395009208 Long DBT NUSS N/A Y 2 2031-10-22 Fixed 4.70000000 N N N N N N DT MIDSTREAM INC N/A 23345MAB3 959000.00000000 PA USD 806546.62000000 0.275026224049 Long DBT CORP US Y 2 2031-06-15 Fixed 4.38000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -2058.70000000 -0.00070200094 N/A DFE N/A N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 67054.42000000 USD 60636.86000000 EUR 2023-07-21 -2058.70000000 N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDP2 723000.00000000 PA USD 698765.40000000 0.238273652995 Long DBT CORP US Y 2 2030-06-15 Fixed 6.13000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZN7 80000.00000000 PA USD 59872.26000000 0.020415982393 Long DBT CORP US N 2 2043-02-24 Fixed 3.44000000 N N N N N N ALBERTSONS COS/SAFEWAY N/A 013092AC5 405000.00000000 PA USD 385087.10000000 0.131311753613 Long DBT CORP US Y 2 2027-01-15 Fixed 4.63000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCK7 850000.00000000 PA USD 680883.66000000 0.232176116523 Long DBT CORP US Y 2 2031-02-01 Fixed 4.25000000 N N N N N N EMERALD DEBT MERGER 98450099EE3A0ZD5F786 29103CAA6 995000.00000000 PA USD 987040.00000000 0.336573085119 Long DBT CORP US Y 2 2030-12-15 Fixed 6.63000000 N N N N N N E.ON INTL FINANCE BV 549300TG53AWJ719M814 000000000 100000.00000000 PA 120696.96000000 0.041156739536 Long DBT CORP NL N 2 2037-10-30 Fixed 5.88000000 N N N N N N JAPAN (30 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 105500000.00000000 PA 817035.31000000 0.278602787058 Long DBT NUSS JP N 2 2052-12-20 Fixed 1.60000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -14042.19000000 -0.00478827930 N/A DFE N/A N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 533506.52000000 USD 484627.04000000 EUR 2023-07-21 -14042.19000000 N N N ARDAGH METAL PACKAGING N/A 03969YAB4 1046000.00000000 PA USD 820282.82000000 0.279710163111 Long DBT CORP N/A Y 2 2029-09-01 Fixed 4.00000000 N N N N N N AMWINS GROUP INC 549300SJE7MUB8NMRG61 031921AB5 154000.00000000 PA USD 137451.56000000 0.046869929895 Long DBT CORP US Y 2 2029-06-30 Fixed 4.88000000 N N N N N N REPUBLIC OF ANGOLA 549300QHR2R3J8JSGK83 000000000 200000.00000000 PA USD 148954.40000000 0.050792310291 Long DBT NUSS AO N 2 2049-11-26 Fixed 9.13000000 N N N N N N TOLEDO HOSPITAL/THE 5493009DCR7NWV6K4T34 889184AG2 142000.00000000 PA USD 134259.72000000 0.045781536885 Long DBT CORP US N 2 2048-11-15 Fixed 6.02000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402KJ21 3155.78000000 PA USD 3153.76000000 0.001075408020 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.50000000 N N N N N N SC GAMES HOLDIN/US FINCO N/A 80874DAA4 596000.00000000 PA USD 523931.68000000 0.178656692666 Long DBT CORP US Y 2 2030-03-01 Fixed 6.63000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912810SQ2 25546000.00000000 PA USD 16456214.36000000 5.611443139618 Long DBT UST US N 2 2040-08-15 Fixed 1.13000000 N N N N N N Michigan Finance Authority 54930022O46HOX5J1D14 59447TXX6 70000.00000000 PA USD 57445.20000000 0.019588373509 Long DBT MUN US N 2 2040-12-01 Fixed 3.38000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 5886.00000000 0.002007080948 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 706971.34000000 EUR 763677.79000000 USD 2023-07-21 5886.00000000 N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -10962.84000000 -0.00373824452 N/A DFE AU N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 249525.89000000 USD 366100.16000000 AUD 2023-07-21 -10962.84000000 N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -18337.56000000 -0.00625296760 N/A DFE N/A N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 664634.98000000 USD 602954.21000000 EUR 2023-07-21 -18337.56000000 N N N ONEMAIN FINANCE CORP 5493008I795YYBFWFU90 85172FAM1 588000.00000000 PA USD 566568.99000000 0.193195689027 Long DBT CORP US N 2 2025-03-15 Fixed 6.88000000 N N N N N N MF1 Multifamily Housing Mortgage Loan Trust N/A 55282XAG5 213000.00000000 PA USD 199486.64000000 0.068023417353 Long ABS-CBDO CORP KY Y 2 2036-07-15 Floating 6.88000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 000000000 100000.00000000 PA 106970.33000000 0.036476063770 Long DBT CORP GB N 2 2032-09-21 Fixed 4.75000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDT6 38000.00000000 PA USD 31655.58000000 0.010794310485 Long DBT CORP US N 2 2039-08-15 Fixed 3.50000000 N N N N N N CREDIT ACCEPTANC N/A 225310AM3 82000.00000000 PA USD 78238.09000000 0.026678589849 Long DBT CORP US N 2 2026-03-15 Fixed 6.63000000 N N N N N N LITHIA MOTORS INC SE8N1EZEHPZQBCBVKD53 536797AG8 234000.00000000 PA USD 201599.01000000 0.068743719355 Long DBT CORP US Y 2 2029-06-01 Fixed 3.88000000 N N N N N N Acres PLC N/A 00500JAE3 261500.00000000 PA USD 252431.91000000 0.086077349176 Long ABS-CBDO CORP KY Y 2 2037-01-15 Floating 7.36000000 N N N N N N Fair Isaac Corp RI6HET5SJUEY30V1PS26 303250AE4 1073000.00000000 PA USD 1055563.75000000 0.359939159383 Long DBT CORP US Y 2 2026-05-15 Fixed 5.25000000 N N N N N N Bank N/A 06541JAR2 997603.42000000 PA USD 53987.10000000 0.018409187878 Long ABS-MBS CORP US N 2 2063-06-15 Variable 0.98000000 N N N N N N BOOKING HOLDINGS INC FXM8FAOHMYDIPD38UZ17 000000000 100000.00000000 PA 108054.70000000 0.036845825640 Long DBT CORP US N 2 2033-05-12 Fixed 4.13000000 N N N N N N TERRAFORM POWER OPERATIN 5493000S2OLR3UT5BE13 88104LAG8 438000.00000000 PA USD 393210.12000000 0.134081641259 Long DBT CORP US Y 2 2030-01-15 Fixed 4.75000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FTG43 845640.00000000 PA USD 87400.45000000 0.029802884480 Long ABS-MBS USGSE US N 2 2030-04-25 Variable 1.80000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FUZG2 2034877.00000000 PA USD 210508.43000000 0.071781763382 Long ABS-MBS USGSE US N 2 2030-05-25 Variable 1.80000000 N N N N N N ALBION FINANCING 1SARL / N/A 000000000 250000.00000000 PA 246851.82000000 0.084174581197 Long DBT CORP LU N 2 2026-10-15 Fixed 5.25000000 N N N N N N ORGANON & CO/ORG N/A 68622TAA9 754000.00000000 PA USD 671242.02000000 0.228888391081 Long DBT CORP US Y 2 2028-04-30 Fixed 4.13000000 N N N N N N LEGACY LIFEPOINT HEALTH N/A 53219LAS8 329000.00000000 PA USD 247865.31000000 0.084520173529 Long DBT CORP US Y 2 2027-02-15 Fixed 4.38000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -2130.01000000 -0.00072631710 N/A DFE CN N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 73641.97000000 USD 506765.90000000 CNY 2023-07-21 -2130.01000000 N N N BONOS Y OBLIG DEL ESTADO 9598007A56S18711AH60 000000000 440000.00000000 PA 443249.41000000 0.151144656144 Long DBT NUSS ES N 2 2032-10-31 Fixed 2.55000000 N N N N N N TELEFONAKTIEBOLAGET LM E 549300W9JLPW15XIFM52 000000000 140000.00000000 PA 117951.00000000 0.040220388193 Long DBT CORP SE N 2 2029-05-26 Fixed 1.00000000 N N N N N N EMBECTA CORP 549300RPG8GXVDHNXZ62 29082KAA3 580000.00000000 PA USD 485611.91000000 0.165589944398 Long DBT CORP US Y 2 2030-02-15 Fixed 5.00000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 5800.26000000 0.001977844264 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 199824.00000000 EUR 219988.56000000 USD 2023-07-21 5800.26000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 5012.86000000 0.001709346891 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 165764.61000000 EUR 182693.42000000 USD 2023-07-21 5012.86000000 N N N The Federal Republic of Nigeria 549300GSBZD84TNEQ285 65412JAK9 519000.00000000 PA USD 433468.80000000 0.147809542996 Long DBT NUSS NG Y 2 2031-01-21 Fixed 8.75000000 N N N N N N WMG ACQUISITION CORP 549300NAS11NXI33CP80 000000000 242000.00000000 PA 198575.12000000 0.067712596010 Long DBT CORP US Y 2 2031-08-15 Fixed 2.25000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 3372.43000000 0.001149972817 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 99974.00000000 EUR 110533.03000000 USD 2023-07-21 3372.43000000 N N N CALLON PETROLEUM 549300EFOWPEB0WLZW21 13123XBD3 524000.00000000 PA USD 512397.12000000 0.174723495992 Long DBT CORP US Y 2 2028-08-01 Fixed 8.00000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 1864.11000000 0.000635647241 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 100000.00000000 EUR 109052.58000000 USD 2023-07-21 1864.11000000 N N N TRINET GROUP INC 5299003FJVBETSFKE990 896288AA5 1482000.00000000 PA USD 1269535.68000000 0.432901949755 Long DBT CORP US Y 2 2029-03-01 Fixed 3.50000000 N N N N N N ELEMENT SOLUTIONS INC 549300FLGN6P5CU20J91 28618MAA4 914000.00000000 PA USD 799928.78000000 0.272769591263 Long DBT CORP US Y 2 2028-09-01 Fixed 3.88000000 N N N N N N AUTOZONE INC GA3JGKJ41LJKXDN23E90 053332BB7 48000.00000000 PA USD 46731.92000000 0.015935227030 Long DBT CORP US N 2 2032-08-01 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385W2A6 1033.72000000 PA USD 1062.44000000 0.000362283908 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 6.50000000 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AC7 97000.00000000 PA USD 90238.21000000 0.030770538919 Long DBT CORP US N 2 2030-02-15 Fixed 4.95000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A 05492VAG0 1976345.31000000 PA USD 137488.81000000 0.046882631859 Long ABS-MBS CORP US N 2 2053-04-15 Variable 1.62000000 N N N N N N BONOS Y OBLIG DEL ESTADO 9598007A56S18711AH60 000000000 411000.00000000 PA 447286.07000000 0.152521126307 Long DBT NUSS ES Y 2 2039-07-30 Fixed 3.90000000 N N N N N N Sensata Technologies BV PUCKW5P5O3XMOZVH7T53 81725WAJ2 990000.00000000 PA USD 973042.29000000 0.331799973148 Long DBT CORP NL Y 2 2025-10-01 Fixed 5.00000000 N N N N N N PLAINS ALL AMER PIPELINE N/A 72650RBM3 82000.00000000 PA USD 72545.10000000 0.024737323834 Long DBT CORP US N 2 2029-12-15 Fixed 3.55000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -2137.18000000 -0.00072876202 N/A DFE SE N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 43529.59000000 USD 448000.00000000 SEK 2023-07-21 -2137.18000000 N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 000000000 100000.00000000 PA 117007.65000000 0.039898713064 Long DBT CORP DE N 2 2030-12-12 Fixed 6.13000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AM2 189000.00000000 PA USD 177150.30000000 0.060406896377 Long DBT CORP US N 2 2038-04-15 Fixed 4.38000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137H4SM3 659754.00000000 PA USD 25652.56000000 0.008747326613 Long ABS-MBS USGSE US N 2 2031-12-25 Variable 0.57000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -462.17000000 -0.00015759643 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 194340000.00000000 KRW 146267.67000000 USD 2023-07-10 -462.17000000 N N N MATCH GROUP HLD II LLC 5493003RFFE030RC9167 57665RAG1 587000.00000000 PA USD 551966.37000000 0.188216307376 Long DBT CORP US Y 2 2027-12-15 Fixed 5.00000000 N N N N N N BUONI POLIENNALI DEL TES 815600DE60799F5A9309 000000000 987000.00000000 PA 906345.95000000 0.309057031707 Long DBT NUSS IT N 2 2028-07-15 Fixed 0.50000000 N N N N N N INDIAN RAILWAY FINANCE 335800F2JHSOGXQEBY56 45434M2C5 800000.00000000 PA USD 668237.06000000 0.227863722721 Long DBT CORP IN N 2 2031-02-10 Fixed 2.80000000 N N N N N N HOWARD HUGHES CORP 549300BVHY25JZC1KI49 44267DAE7 989000.00000000 PA USD 808725.08000000 0.275769062235 Long DBT CORP US Y 2 2029-02-01 Fixed 4.13000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 8088.47000000 0.002758106360 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 6200063.43000000 CNY 883006.58000000 USD 2023-07-21 8088.47000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -203127.18000000 -0.06926481362 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 7593724.13000000 USD 6894954.92000000 EUR 2023-07-21 -203127.18000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XLF1 49206.13000000 PA USD 46751.25000000 0.015941818412 Long ABS-MBS USGA US N 2 2052-11-20 Fixed 4.00000000 N N N N N N NEW ENTERPRISE STONE & L 549300O5DQ5Y61B8VF38 644274AH5 201000.00000000 PA USD 177885.00000000 0.060657423454 Long DBT CORP US Y 2 2028-07-15 Fixed 5.25000000 N N N N N N GOVT OF BERMUDA 549300FP5PUZXX9FVJ40 085209AJ3 560000.00000000 PA USD 550247.22000000 0.187630090385 Long DBT NUSS BM Y 2 2032-07-15 Fixed 5.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137F62R7 455646.00000000 PA USD 32197.50000000 0.010979101057 Long ABS-MBS USGSE US N 2 2030-09-25 Variable 1.17000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -189.74000000 -0.00006469988 N/A DFE JP N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 5761.03000000 USD 770362.00000000 JPY 2023-07-21 -189.74000000 N N N Eni SpA BUCRF72VH5RBN7X3VL35 26874RAJ7 200000.00000000 PA USD 191323.20000000 0.065239746797 Long DBT CORP IT Y 2 2029-05-09 Fixed 4.25000000 N N N N N N PENSKE AUTOMOTIVE GROUP 549300W7UTQ0M4C7LB15 70959WAK9 809000.00000000 PA USD 692962.62000000 0.236294949430 Long DBT CORP US N 2 2029-06-15 Fixed 3.75000000 N N N N N N EMPRESA NACIONAL DEL PET 549300YP3P0JZBLIV197 000000000 400000.00000000 PA USD 390000.00000000 0.132987014909 Long DBT CORP CL N 2 2029-11-06 Fixed 5.25000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -79.17000000 -0.00002699636 N/A DFE GB N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 84878.64000000 USD 68103.41000000 GBP 2023-07-21 -79.17000000 N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCC4 980000.00000000 PA USD 591469.59000000 0.201686603035 Long DBT CORP MX N 2 2047-09-21 Fixed 6.75000000 N N N N N N KONDOR FINANCE PLC (NAK) 213800PUC1T9GI6EIO63 50050MAB1 1116000.00000000 PA USD 267840.00000000 0.091331389931 Long DBT CORP GB Y 2 2026-11-08 Fixed 7.63000000 N N N N N N SUMMER BC HOLDCO A SARL 984500EFA0BRE0008996 000000000 423494.74000000 PA 358467.72000000 0.122234748780 Long DBT CORP LU N 2 2027-10-31 Fixed 9.25000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -292.17000000 -0.00009962773 N/A DFE JP N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 32978.32000000 USD 4519629.00000000 JPY 2023-07-21 -292.17000000 N N N MACQUARIE AIRFINANCE HLD 549300MCGUSL5B852H65 55609NAA6 563000.00000000 PA USD 554628.19000000 0.189123967622 Long DBT CORP GB Y 2 2028-05-01 Fixed 8.38000000 N N N N N N IVORY COAST 254900ICW11T82O6H590 000000000 200000.00000000 PA 155312.49000000 0.052960370316 Long DBT NUSS CI N 2 2040-10-17 Fixed 6.88000000 N N N N N N GENESIS ENERGY LP/FIN N/A 37185LAN2 580000.00000000 PA USD 570373.57000000 0.194493021686 Long DBT CORP US N 2 2030-04-15 Fixed 8.88000000 N N N N N N AUSTRALIAN GOVERNMENT 213800J6B7JSBDETCB42 000000000 13387000.00000000 PA 7988512.26000000 2.724021535967 Long DBT NUSS AU N 2 2039-06-21 Fixed 3.25000000 N N N N N N P3 GROUP SARL 529900GR62MT0O5VW110 000000000 100000.00000000 PA 82296.77000000 0.028062568664 Long DBT CORP LU N 2 2029-01-26 Fixed 1.63000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 000000000 150000.00000000 PA 177411.36000000 0.060495915839 Long DBT CORP CH N 2 2029-03-01 Fixed 7.75000000 N N N N N N ICE Futures Europe - Financial Products Division N/A 000000000 26.00000000 NC 50004.71000000 0.017051223370 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division N/A Long Long Gilt Futures G U3 Comdty 2023-09-27 2476341.66000000 GBP 50004.71000000 N N N CCM MERGER INC 549300P77RSBKKFME089 14985VAE1 633000.00000000 PA USD 611399.08000000 0.208482406584 Long DBT CORP US Y 2 2026-05-01 Fixed 6.38000000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GT4 104000.00000000 PA USD 77232.26000000 0.026335609518 Long DBT CORP US N 2 2050-02-01 Fixed 3.65000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 542.79000000 0.000185087235 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 99859.00000000 GBP 124882.97000000 USD 2023-07-21 542.79000000 N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 7376.02000000 0.002515166363 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 427216.14000000 AUD 285764.28000000 USD 2023-07-21 7376.02000000 N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 1499.28000000 0.000511243004 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 98888.00000000 EUR 107495.82000000 USD 2023-07-21 1499.28000000 N N N AREIT CRE Trust N/A 04002VAG6 100000.00000000 PA USD 93234.40000000 0.031792216776 Long ABS-CBDO CORP KY Y 2 2037-01-20 Floating 7.06000000 N N N N N N ARDAGH METAL PACKAGING N/A 03969YAA6 565000.00000000 PA USD 482381.91000000 0.164488539121 Long DBT CORP N/A Y 2 2028-09-01 Fixed 3.25000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 14052.06000000 0.004791644904 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 40134852.00000000 JPY 304309.07000000 USD 2023-07-21 14052.06000000 N N N GARDA WORLD SECURITY COR 549300ZF1NDXLMCHNO20 36257BAA7 569000.00000000 PA USD 532189.85000000 0.181472665427 Long DBT CORP CA Y 2 2027-11-01 Fixed 9.50000000 N N N N N N WEA FINANCE LLC 3CYEJKBUJZO3UW777J80 92928QAH1 100000.00000000 PA USD 86426.89000000 0.029470907971 Long DBT CORP US Y 2 2027-01-15 Fixed 2.88000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 5858.84000000 0.001997819595 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 536538.66000000 AUD 355485.30000000 USD 2023-07-21 5858.84000000 N N N Republic of Guatemala 529900QKDFFU9UWW5315 401494AR0 777000.00000000 PA USD 700567.05000000 0.238888001855 Long DBT NUSS GT Y 2 2050-06-01 Fixed 6.13000000 N N N N N N CLARIOS GLOBAL LP/US FIN N/A 69867DAC2 914000.00000000 PA USD 916352.64000000 0.312469236405 Long DBT CORP N/A Y 2 2027-05-15 Fixed 8.50000000 N N N N N N TPG Real Estate Finance N/A 87276WAC7 150000.00000000 PA USD 146280.45000000 0.049880513808 Long ABS-CBDO CORP KY Y 2 2038-03-15 Floating 6.51000000 N N N N N N KOREA TREASURY BOND 549300O0QCVSQGPGDT58 000000000 3751670000.00000000 PA 2456376.17000000 0.837605472676 Long DBT NUSS KR N 2 2030-06-10 Fixed 1.38000000 N N N N N N HUB INTERNATIONAL LTD 549300JQT6ATTUNS5E06 44332PAG6 997000.00000000 PA USD 894469.32000000 0.305007191782 Long DBT CORP US Y 2 2029-12-01 Fixed 5.63000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 11015.24000000 0.003756112528 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 489350.70000000 AUD 329892.45000000 USD 2023-07-21 11015.24000000 N N N BELLRING BRANDS INC 549300S3BOK5CMTS8054 07831CAA1 840000.00000000 PA USD 851650.80000000 0.290406404198 Long DBT CORP US Y 2 2030-03-15 Fixed 7.00000000 N N N N N N FMG RESOURCES AUG 2006 549300EFD6S2NFE9D745 30251GBC0 1194000.00000000 PA USD 1009101.70000000 0.344095955957 Long DBT CORP AU Y 2 2031-04-01 Fixed 4.38000000 N N N N N N Business Jet Securities, LLC N/A 12327FAA5 133940.82000000 PA USD 126667.53000000 0.043192658206 Long ABS-O CORP US Y 2 2035-11-15 Fixed 2.98000000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDR8 226000.00000000 PA USD 201366.50000000 0.068664435225 Long DBT CORP US N 2 2030-01-15 Fixed 4.38000000 N N N N N N HELLENIC REPUBLIC 2138003EKTMKZ5598902 000000000 1081000.00000000 PA 1201635.47000000 0.409748497858 Long DBT NUSS GR Y 2 2033-06-15 Fixed 4.25000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC 9151.24000000 0.003120502795 N/A DFE US N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 417393.99000000 AUD 281139.06000000 USD 2023-07-21 9151.24000000 N N N HUNGARY 5299003F3UFKGCCMAP43 445545AQ9 850000.00000000 PA USD 810964.60000000 0.276532721414 Long DBT NUSS HU Y 2 2034-06-16 Fixed 5.50000000 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738AV0 95000.00000000 PA USD 78498.41000000 0.026767356977 Long DBT CORP US N 2 2049-07-01 Fixed 4.40000000 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 29452EAC5 115000.00000000 PA USD 112744.35000000 0.038444960395 Long DBT CORP US N 2 2033-01-11 Fixed 5.59000000 N N N N N N PETRA DIAMONDS US TREAS 635400LZYOO6WHAO2H58 000000000 365912.61000000 PA USD 343906.63000000 0.117269528541 Long DBT CORP GB Y 2 2026-03-08 Fixed 10.03000000 N N Y N N N KAISER ALUMINUM CORP N/A 483007AJ9 1086000.00000000 PA USD 949153.14000000 0.323653955848 Long DBT CORP US Y 2 2028-03-01 Fixed 4.63000000 N N N N N N WASTE MANAGEMENT INC 549300YX8JIID70NFS41 94106LBU2 105000.00000000 PA USD 103772.76000000 0.035385716875 Long DBT CORP US N 2 2033-02-15 Fixed 4.63000000 N N N N N N STAR ENERGY GEOTHERMAL N/A 85511XAC4 732963.20000000 PA USD 715365.77000000 0.243934252104 Long DBT CORP VG Y 2 2033-04-24 Fixed 6.75000000 N N N N N N NOVELIS CORP 549300G5F3W3B52WYL23 670001AH9 380000.00000000 PA USD 312043.31000000 0.106404380306 Long DBT CORP US Y 2 2031-08-15 Fixed 3.88000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 311.67000000 0.000106277084 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 336658.43000000 SEK 31416.81000000 USD 2023-07-21 311.67000000 N N N Iron Mountain Inc SQL3F6CKNNBM3SQGHX24 46284VAC5 520000.00000000 PA USD 486572.84000000 0.165917614173 Long DBT CORP US Y 2 2027-09-15 Fixed 4.88000000 N N N N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAK6 307000.00000000 PA USD 268217.33000000 0.091460056573 Long DBT CORP US Y 2 2029-01-15 Fixed 4.50000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -9543.48000000 -0.00325425363 N/A DFE JP N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 187163.84000000 USD 24560189.00000000 JPY 2023-07-21 -9543.48000000 N N N ROMANIA 315700IASY927EDWBK92 000000000 247000.00000000 PA 197455.11000000 0.067330681173 Long DBT NUSS RO Y 2 2030-07-13 Fixed 1.75000000 N N N N N N UMBS, TBA N/A 01F020463 175000.00000000 PA USD 156802.74000000 0.053468534159 Long ABS-MBS USGSE US N 2 2038-06-15 Fixed 2.00000000 N N N N N N Capital Automotive Reit N/A 12510HAD2 144024.81000000 PA USD 134692.91000000 0.045929251360 Long ABS-O CORP US Y 2 2050-02-15 Fixed 3.19000000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BL0 1235000.00000000 PA USD 1161037.01000000 0.395904733742 Long DBT CORP US N 2 2027-11-15 Fixed 5.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 421.73000000 0.000143806702 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 354022000.00000000 KRW 267325.63000000 USD 2023-06-15 421.73000000 N N N VOC Escrow Ltd N/A 91832VAA2 358000.00000000 PA USD 322248.13000000 0.109884145817 Long DBT CORP BM Y 2 2028-02-15 Fixed 5.00000000 N N N N N N SABRE GLBL INC F2TJC7HPPHLHU1AQMP98 78573NAF9 299000.00000000 PA USD 252843.82000000 0.086217807333 Long DBT CORP US Y 2 2025-09-01 Fixed 7.38000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FTFW2 448000.00000000 PA USD 20493.67000000 0.006988184609 Long ABS-MBS USGSE US N 2 2027-03-25 Variable 1.37000000 N N N N N N ROCKETMTGE CO-ISSUER INC N/A 74841CAA9 715000.00000000 PA USD 589632.40000000 0.201060135307 Long DBT CORP US Y 2 2029-03-01 Fixed 3.63000000 N N N N N N ORANGE SA 969500MCOONR8990S771 000000000 100000.00000000 PA 107635.26000000 0.036702799811 Long DBT CORP FR N 2 2031-11-16 Fixed 3.63000000 N N N N N N MATTAMY GROUP CORP 5493008TNY7A82WCXU31 57701RAM4 610000.00000000 PA USD 524236.44000000 0.178760613493 Long DBT CORP CA Y 2 2030-03-01 Fixed 4.63000000 N N N N N N MOSS CREEK RESOURCES HLD 54930037SLMSPWKYIX36 61965RAA3 515000.00000000 PA USD 474558.03000000 0.161820655926 Long DBT CORP US Y 2 2026-01-15 Fixed 7.50000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 132248.73000000 0.045095804687 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 5577149.24000000 AUD 3766504.87000000 USD 2023-07-21 132248.73000000 N N N PERFORMANCE FOOD GROUP I 549300OMUOGBYK0FFO76 69346VAA7 884000.00000000 PA USD 849973.43000000 0.289834433867 Long DBT CORP US Y 2 2027-10-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297C5V8 22854.65000000 PA USD 23370.13000000 0.007969035453 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6.00000000 N N N N N N WASH MULTIFAM ACQ INC 549300AS7PRY5PHG6L12 93710WAA3 571000.00000000 PA USD 509398.92000000 0.173701132741 Long DBT CORP US Y 2 2026-04-15 Fixed 5.75000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 000000000 100000.00000000 PA 108564.56000000 0.037019683998 Long DBT CORP US N 2 2035-03-07 Fixed 4.25000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -850.95000000 -0.00029016743 N/A DFE CA N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 108577.79000000 USD 146069.10000000 CAD 2023-07-21 -850.95000000 N N N ASR NEDERLAND NV 7245000G0HS48PZWUD53 000000000 100000.00000000 PA 111203.04000000 0.037919385483 Long DBT CORP NL N 2 2043-12-07 Fixed 7.00000000 N N N N N N ENCINO ACQUISITION PARTN 549300BUKUEKT2UE4T49 29254BAA5 525000.00000000 PA USD 482343.75000000 0.164475526853 Long DBT CORP US Y 2 2028-05-01 Fixed 8.50000000 N N N N N N COMSTOCK RESOURCES INC I03QQGEA4SS774AURI46 205768AS3 895000.00000000 PA USD 782234.38000000 0.266735936297 Long DBT CORP US Y 2 2029-03-01 Fixed 6.75000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -969.95000000 -0.00033074552 N/A DFE JP N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 24926.85000000 USD 3312604.00000000 JPY 2023-07-21 -969.95000000 N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 48643.23000000 0.016586969110 N/A DFE US N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 1354113.57000000 EUR 1500096.90000000 USD 2023-07-21 48643.23000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BAFE6 23340.38000000 PA USD 20808.11000000 0.007095406243 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.00000000 N N N N N N CROWN AMER/CAP CORP VI N/A 228187AB6 490000.00000000 PA USD 476666.95000000 0.162539781504 Long DBT CORP US N 2 2026-02-01 Fixed 4.75000000 N N N N N N ACRISURE LLC / FIN INC N/A 00489LAH6 466000.00000000 PA USD 389804.76000000 0.132920439564 Long DBT CORP US Y 2 2029-08-01 Fixed 6.00000000 N N N N N N TALLGRASS NRG PRTNR/FIN N/A 87470LAD3 1080000.00000000 PA USD 975099.60000000 0.332501500112 Long DBT CORP US Y 2 2028-01-15 Fixed 5.50000000 N N N N N N BENIN INTL GOV BOND 635400Q11P6AE5A5Y230 000000000 214000.00000000 PA 156314.95000000 0.053302201503 Long DBT NUSS BJ Y 2 2052-01-19 Fixed 6.88000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CW3 47000.00000000 PA USD 46013.02000000 0.015690087632 Long DBT CORP US N 2 2050-05-01 Fixed 5.81000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307AY3 450000.00000000 PA USD 243812.61000000 0.083138233849 Long DBT CORP US Y 2 2028-04-01 Fixed 7.50000000 N N N N N N VENTURE GLOBAL CALCASIEU 549300GKHS6RS20NLH85 92328MAE3 423000.00000000 PA USD 419352.85000000 0.142996112090 Long DBT CORP US Y 2 2030-01-15 Fixed 6.25000000 N N N N N N HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 000000000 30000.00000000 PA USD 29887.50000000 0.010191408738 Long DBT CORP GB N 2 2023-06-30 Floating 5.25000000 N N N N N N Electricite de France SA 549300X3UK4GG3FNMO06 000000000 100000.00000000 PA 102003.88000000 0.034782542334 Long DBT CORP FR N 2 2029-01-22 Fixed 5.88000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -453.68000000 -0.00015470140 N/A DFE GB N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 103248.82000000 USD 82555.94000000 GBP 2023-07-21 -453.68000000 N N N CHS/COMMUNITY HEALTH SYS 5493007X5NC5XI1BB106 12543DBM1 699000.00000000 PA USD 525031.30000000 0.179031654669 Long DBT CORP US Y 2 2030-05-15 Fixed 5.25000000 N N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 000000000 225000.00000000 PA 213138.17000000 0.072678484593 Long DBT CORP US N 2 2026-11-21 Fixed 2.25000000 N N N N N N CHARLES RIVER LABORATORI 549300BSQ0R4UZ5KX287 159864AG2 1028000.00000000 PA USD 902275.60000000 0.307669073512 Long DBT CORP US Y 2 2029-03-15 Fixed 3.75000000 N N N N N N XHR LP 549300M88BPT83ZL2164 98372MAC9 819000.00000000 PA USD 701268.75000000 0.239127276184 Long DBT CORP US Y 2 2029-06-01 Fixed 4.88000000 N N N N N N FERTITTA ENTERTAINMENT N/A 31556TAC3 645000.00000000 PA USD 524834.89000000 0.178964680363 Long DBT CORP US Y 2 2030-01-15 Fixed 6.75000000 N N N N N N Encompass Health Corp 549300FVRPM9DRQZRG64 421924BT7 270000.00000000 PA USD 267661.56000000 0.091270543257 Long DBT CORP US N 2 2025-09-15 Fixed 5.75000000 N N N N N N BWX TECHNOLOGIES INC 549300NP85N265KWMS58 05605HAB6 500000.00000000 PA USD 451892.88000000 0.154092013256 Long DBT CORP US Y 2 2028-06-30 Fixed 4.13000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC 2920.04000000 0.000995711289 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 99460.00000000 EUR 109529.70000000 USD 2023-07-21 2920.04000000 N N N BANGKOK BANK PCL/HK 549300CCL2BKJGMYXV60 000000000 750000.00000000 PA USD 635700.00000000 0.216768834302 Long DBT CORP TH N 2 2034-09-25 Fixed 3.73000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 9132.80000000 0.003114214896 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 1088827.62000000 NZD 664767.37000000 USD 2023-07-21 9132.80000000 N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBE7 72000.00000000 PA USD 64975.39000000 0.022156110663 Long DBT CORP US N 2 2029-08-01 Fixed 3.15000000 N N N N N N TI AUTOMOTIVE FINANCE 549300MZ54ZRN8UFQS35 000000000 280000.00000000 PA 237216.50000000 0.080889010826 Long DBT CORP GB Y 2 2029-04-15 Fixed 3.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XFH4 24437.53000000 PA USD 23747.79000000 0.008097814622 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 4.50000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 000000000 1.00000000 NC 4303.87000000 0.001467586727 N/A DFE US N 2 Deutsche Bank AG 7LTWFZYICNSX8D621K86 779509.47000000 SEK 76325.69000000 USD 2023-07-21 4303.87000000 N N N VIDEOTRON LTD 549300LW4GNJRBECSD81 92660FAN4 407000.00000000 PA USD 350138.03000000 0.119394388246 Long DBT CORP CA Y 2 2029-06-15 Fixed 3.63000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162DS6 34000.00000000 PA USD 33675.71000000 0.011483159353 Long DBT CORP US N 2 2043-03-02 Fixed 5.60000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 10554.36000000 0.003598955976 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 1603733.82000000 CAD 1193317.73000000 USD 2023-07-21 10554.36000000 N N N HYUNDAI CAPITAL AMERICA 549300RIPPWJB5Z0FK07 44891ABL0 93000.00000000 PA USD 96992.88000000 0.033073829688 Long DBT CORP US Y 2 2030-04-08 Fixed 6.38000000 N N N N N N ONEMAIN FINANCE CORP 5493008I795YYBFWFU90 85172FAN9 805000.00000000 PA USD 769717.33000000 0.262467718053 Long DBT CORP US N 2 2026-03-15 Fixed 7.13000000 N N N N N N Microsoft Corp INR2EJN1ERAN0W5ZP974 594918BY9 145000.00000000 PA USD 141782.42000000 0.048346720006 Long DBT CORP US N 2 2027-02-06 Fixed 3.30000000 N N N N N N ONTARIO (PROVINCE OF) C7PVKCRGLG18EBQGZV36 68333ZAL1 1287000.00000000 PA 602022.10000000 0.205284928176 Long DBT NUSS CA N 2 2051-12-02 Fixed 1.90000000 N N N N N N MATCH GROUP HLD II LLC 5493003RFFE030RC9167 57667JAA0 55000.00000000 PA USD 44803.55000000 0.015277667620 Long DBT CORP US Y 2 2031-10-01 Fixed 3.63000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGQ69 21389.77000000 PA USD 19113.76000000 0.006517645861 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 3.00000000 N N N N N N CNX RESOURCES CORP 549300JK3KH8PWM3B226 12653CAJ7 396000.00000000 PA USD 365687.31000000 0.124696573710 Long DBT CORP US Y 2 2029-01-15 Fixed 6.00000000 N N N N N N New Jersey Economic Development Authority 5493006JS6QWDVU4R678 645913AA2 249000.00000000 PA USD 270795.14000000 0.092339070052 Long DBT MUN US N 2 2029-02-15 Fixed 7.43000000 N N N N N N BAYER AG 549300J4U55H3WP1XT59 000000000 30000.00000000 PA 32764.21000000 0.011172344830 Long DBT CORP DE N 2 2029-08-26 Fixed 4.25000000 N N N N N N MPT OPER PARTNERSP/FINL N/A 000000000 225000.00000000 PA 173155.10000000 0.059044563757 Long DBT CORP US N 2 2026-10-15 Fixed 0.99000000 N N N N N N JAPAN (30 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 129700000.00000000 PA 777157.37000000 0.265004714747 Long DBT NUSS JP N 2 2046-06-20 Fixed 0.30000000 N N N N N N INTERFACE INC 549300VXZWQOIDFPU355 458665AS5 1042000.00000000 PA USD 812760.00000000 0.277144939071 Long DBT CORP US Y 2 2028-12-01 Fixed 5.50000000 N N N N N N NUSTAR LOGISTICS LP N62BF2PKP51FIIOIUN20 67059TAH8 469000.00000000 PA USD 451412.50000000 0.153928207353 Long DBT CORP US N 2 2030-10-01 Fixed 6.38000000 N N N N N N Starwood Commercial Mortgage Trust N/A 78486BAE4 190000.00000000 PA USD 177573.32000000 0.060551142960 Long ABS-CBDO CORP KY Y 2 2038-04-18 Floating 6.91000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 78966.05000000 0.026926818637 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 16601294.06000000 SEK 1612822.25000000 USD 2023-07-21 78966.05000000 N N N 1375209 BC LTD N/A 68251PAA5 416000.00000000 PA USD 414907.12000000 0.141480152188 Long DBT CORP CA Y 2 2028-01-30 Fixed 9.00000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280BH1 269000.00000000 PA USD 258017.74000000 0.087982074452 Long DBT CORP GB N 2 2026-11-23 Fixed 4.38000000 N N N N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NBC1 1512000.00000000 PA USD 1319820.72000000 0.450048763509 Long DBT CORP US Y 2 2029-07-01 Fixed 5.50000000 N N N N N N AUTOSTRADE PER L'ITALIA 815600149448CEB9B230 000000000 100000.00000000 PA 106212.56000000 0.036217670000 Long DBT CORP IT N 2 2031-01-24 Fixed 4.75000000 N N N N N N AXA SA F5WCUMTUM4RKZ1MAIE39 000000000 100000.00000000 PA 106797.77000000 0.036417222131 Long DBT CORP FR N 2 2043-07-11 Fixed 5.50000000 N N N N N N PUMA INTERNATIONAL FINAN 222100YFBPO7IDRUBR17 000000000 289000.00000000 PA USD 264418.91000000 0.090164824427 Long DBT CORP LU N 2 2026-01-24 Fixed 5.00000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC 2805.99000000 0.000956821112 N/A DFE US N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 83293.20000000 EUR 92086.70000000 USD 2023-07-21 2805.99000000 N N N WESTINGHOUSE AIR BRAKE 06BTX5UWZD0GQ5N5Y745 960386AM2 186000.00000000 PA USD 181002.14000000 0.061720344335 Long DBT CORP US N 2 2028-09-15 Fixed 4.95000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC 1711.29000000 0.000583536791 N/A DFE CA N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 445404.51000000 USD 606253.75000000 CAD 2023-07-21 1711.29000000 N N N ARETEC ESCROW ISSUER INC N/A 040133AA8 716000.00000000 PA USD 611696.20000000 0.208583722229 Long DBT CORP US Y 2 2029-04-01 Fixed 7.50000000 N N N N N N Bank N/A 06542BBN6 1575695.89000000 PA USD 65887.41000000 0.022467102502 Long ABS-MBS CORP US N 2 2054-04-15 Variable 0.78000000 N N N N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03880XAJ5 208000.00000000 PA USD 193390.04000000 0.065944523417 Long ABS-CBDO CORP KY Y 2 2037-01-15 Floating 7.87000000 N N N N N N DUA CAPITAL LTD 213800ILVLALFTITCB43 000000000 404000.00000000 PA USD 346851.78000000 0.118273802149 Long DBT CORP MY N 2 2031-05-11 Fixed 2.78000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC 459.10000000 0.000156549586 N/A DFE US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 58037.94000000 GBP 72725.47000000 USD 2023-07-21 459.10000000 N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC -3055.79000000 -0.00104200100 N/A DFE US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 591391754.00000000 KRW 444094.49000000 USD 2023-08-04 -3055.79000000 N N N FLORIDA POWER & LIGHT CO A89MY1K3YLIGJMYWVX50 341081GE1 75000.00000000 PA USD 50797.68000000 0.017321620070 Long DBT CORP US N 2 2051-12-04 Fixed 2.88000000 N N N N N N CORNING INC 549300X2937PB0CJ7I56 000000000 100000.00000000 PA 107371.03000000 0.036612699403 Long DBT CORP US N 2 2031-05-15 Fixed 4.13000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BT0 101000.00000000 PA USD 73942.65000000 0.025213877687 Long DBT CORP US N 2 2050-03-01 Fixed 4.80000000 N N N N N N GRIFFON CORPORATION 5493000C2SGNC7ZN3242 398433AP7 751000.00000000 PA USD 692373.56000000 0.236094084479 Long DBT CORP US N 2 2028-03-01 Fixed 5.75000000 N N N N N N CNX RESOURCES CORP 549300JK3KH8PWM3B226 12653CAK4 192000.00000000 PA USD 184805.26000000 0.063017179146 Long DBT CORP US Y 2 2031-01-15 Fixed 7.38000000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 000000000 100000.00000000 PA 87789.85000000 0.029935666899 Long DBT CORP GB N 2 2029-11-17 Fixed 0.80000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XHX7 49083.26000000 PA USD 46634.48000000 0.015902000736 Long ABS-MBS USGA US N 2 2052-10-20 Fixed 4.00000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -15498.76000000 -0.00528495853 N/A DFE N/A N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 461528.29000000 USD 416117.06000000 EUR 2023-07-21 -15498.76000000 N N N ARDAGH PKG FIN/HLDGS USA N/A 03969AAP5 1080000.00000000 PA USD 906714.43000000 0.309182680567 Long DBT CORP N/A Y 2 2027-08-15 Fixed 5.25000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 1.00000000 NC -4028.50000000 -0.00137368766 N/A DFE N/A N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 182507.43000000 USD 166509.44000000 EUR 2023-07-21 -4028.50000000 N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -2852.38000000 -0.00097263974 N/A DFE N/A N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 895045.81000000 USD 832359.49000000 EUR 2023-07-21 -2852.38000000 N N N LCPR SR SECURED FIN DAC 549300LE5FM8IKMXSP90 50201DAD5 210000.00000000 PA USD 174067.95000000 0.059355838620 Long DBT CORP IE Y 2 2029-07-15 Fixed 5.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179WY85 97897.71000000 PA USD 82966.06000000 0.028290791431 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 2.00000000 N N N N N N VENTURE GLOBAL LNG INC 54930011XLBUWMQUC829 92332YAB7 386000.00000000 PA USD 388018.78000000 0.132311434054 Long DBT CORP US Y 2 2031-06-01 Fixed 8.38000000 N N N N N N GYP HOLDINGS III CORP 549300055I1KJWZH9690 36261NAA5 1050000.00000000 PA USD 910875.00000000 0.310601403092 Long DBT CORP US Y 2 2029-05-01 Fixed 4.63000000 N N N N N N WILLIAMS SCOTSMAN INTL 549300V3TCHCBOBTGH07 96950GAE2 928000.00000000 PA USD 847681.60000000 0.289052937379 Long DBT CORP US Y 2 2028-08-15 Fixed 4.63000000 N N N N N N GLOBAL AIR LEASE CO LTD N/A 37960JAA6 1824693.00000000 PA USD 1628538.50000000 0.555319163540 Long DBT CORP KY Y 2 2024-09-15 Fixed 6.50000000 N N Y N N N NOVELIS CORP 549300G5F3W3B52WYL23 670001AE6 697000.00000000 PA USD 618583.32000000 0.210932177435 Long DBT CORP US Y 2 2030-01-30 Fixed 4.75000000 N N N N N N HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 000000000 1.00000000 NC -1523.58000000 -0.00051952911 N/A DFE N/A N 2 HSBC Bank USA N.A. 1IE8VN30JCEQV1H4R804 54398.86000000 USD 49329.26000000 EUR 2023-07-21 -1523.58000000 N N N UAE INT'L GOVT BOND N/A 31424EAE2 379000.00000000 PA USD 374217.02000000 0.127605139533 Long DBT NUSS AE Y 2 2052-07-07 Fixed 4.95000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 135000.00000000 PA USD 125252.76000000 0.042710232465 Long DBT CORP US N 2 2030-04-15 Fixed 3.88000000 N N N N N N JAPAN (10 YEAR ISSUE) 353800WZS8AXZXFUC241 000000000 231000000.00000000 PA 1665073.53000000 0.567777329128 Long DBT NUSS JP N 2 2026-12-20 Fixed 0.10000000 N N N N N N TASEKO MINES LTD 549300XKUO1JSLU7KX54 876511AF3 569000.00000000 PA USD 510066.29000000 0.173928700803 Long DBT CORP CA Y 2 2026-02-15 Fixed 7.00000000 N N N N N N WHITE CAP BUYER LLC N/A 96350RAA2 694000.00000000 PA USD 600166.09000000 0.204652042972 Long DBT CORP US Y 2 2028-10-15 Fixed 6.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHGD3 244814.67000000 PA USD 209411.06000000 0.071407568611 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 000000000 130000.00000000 OU Notional Amount 18636.57000000 0.006354927724 N/A DCR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Glencore Finance Europe Ltd. Glencore Finance Europe Ltd. Y sell protection 2028-06-20 17455.39000000 EUR 0.00000000 EUR 130000.00000000 EUR -619.64000000 N N N CHINA GOVERNMENT BOND 300300CHN201808MOF68 000000000 10550000.00000000 PA 1504156.86000000 0.512905976326 Long DBT NUSS CN N 2 2033-02-25 Fixed 2.88000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 751.51000000 0.000256259157 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 100000.00000000 EUR 107939.98000000 USD 2023-07-21 751.51000000 N N N BELGIUM KINGDOM 549300SZ25JZFHRHWD76 000000000 1458000.00000000 PA 1563798.65000000 0.533243370213 Long DBT NUSS BE Y 2 2033-06-22 Fixed 3.00000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC -1888.40000000 -0.00064392994 N/A DFE GB N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 232717.73000000 USD 185381.64000000 GBP 2023-07-21 -1888.40000000 N N N MF1 Multifamily Housing Mortgage Loan Trust N/A 55282XAE0 423500.00000000 PA USD 408989.58000000 0.139462316342 Long ABS-CBDO CORP KY Y 2 2036-07-15 Floating 6.63000000 N N N N N N THERMO FISHER SCIENTIFIC HCHV7422L5HDJZCRFL38 883556CK6 52000.00000000 PA USD 45443.60000000 0.015495919771 Long DBT CORP US N 2 2028-10-15 Fixed 1.75000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 25714PEG9 181000.00000000 PA USD 140088.81000000 0.047769211959 Long DBT NUSS DO Y 2 2041-01-21 Fixed 5.30000000 N N N N N N MEDCO BELL PTE LTD 2549003PNDCWIWGKC768 58406LAA9 492000.00000000 PA USD 443712.80000000 0.151302668587 Long DBT CORP SG Y 2 2027-01-30 Fixed 6.38000000 N N N N N N SPP DISTRIBUCIA AS 213800AGL5LRVQNANS48 000000000 280000.00000000 PA 207233.42000000 0.070665010039 Long DBT CORP SK N 2 2031-06-09 Fixed 1.00000000 N N N N N N MONG DUONG FIN HLDGS BV 549300995KGQFMWSV879 60935DAA3 280000.00000000 PA USD 243600.00000000 0.083065735466 Long DBT CORP NL Y 2 2029-05-07 Fixed 5.13000000 N N N N N N INGEVITY CORP 5493009UTFC4B5IMGF87 45688CAB3 994000.00000000 PA USD 820348.20000000 0.279732457191 Long DBT CORP US Y 2 2028-11-01 Fixed 3.88000000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 000000000 100000.00000000 PA 98669.11000000 0.033645411288 Long DBT CORP DE N 2 2028-05-24 Fixed 3.25000000 N N N N N N Arbor Realty Collateralized Loan Obligation Ltd N/A 03881EAE7 100000.00000000 PA USD 94479.80000000 0.032216888644 Long ABS-CBDO CORP KY Y 2 2036-05-15 Floating 6.71000000 N N N N N N ENBRIDGE INC 98TPTUM4IVMFCZBCUR27 29250NBR5 69000.00000000 PA USD 70166.90000000 0.023926375837 Long DBT CORP CA N 2 2033-03-08 Fixed 5.70000000 N N N N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 1.00000000 NC -3147.10000000 -0.00107313701 N/A DFE CA N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 198141.77000000 USD 264397.39000000 CAD 2023-07-21 -3147.10000000 N N N CHINA CONSTRUCTION BANK 5493001KQW6DM7KEDR62 000000000 510000.00000000 PA USD 504420.60000000 0.172003563725 Long DBT CORP CN N 2 2029-02-27 Fixed 4.25000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163HAG3 6945356.21000000 PA USD 487900.16000000 0.166370220134 Long ABS-MBS CORP US N 2 2054-07-15 Variable 1.26000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402NP44 11326.36000000 PA USD 11319.12000000 0.003859733282 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.50000000 N N N N N N Citibank N.A. E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC 29093.45000000 0.009920643766 N/A DFE US N 2 Citibank N.A. E57ODZWZ7FF32TWEFA76 4416878151.00000000 KRW 3363907.74000000 USD 2023-07-10 29093.45000000 N N N CEZ AS 529900S5R9YHJHYKKG94 000000000 100000.00000000 PA 99642.88000000 0.033977459405 Long DBT CORP CZ N 2 2027-04-06 Fixed 2.38000000 N N N N N N COEUR MINING INC 5493003AVK173D48DR70 192108BC1 878000.00000000 PA USD 739715.00000000 0.252237153164 Long DBT CORP US Y 2 2029-02-15 Fixed 5.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8AF2 40491.86000000 PA USD 38059.67000000 0.012978056158 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QPNN3 33126.09000000 PA USD 29428.97000000 0.010035053518 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.00000000 N N N N N N IVORY COAST 254900ICW11T82O6H590 000000000 929000.00000000 PA 810394.09000000 0.276338181870 Long DBT NUSS CI N 2 2030-03-22 Fixed 5.25000000 N N N N N N INTELSAT JACKSON HOLDINGS S A 8XJ8KF85PBKK1TLMFN29 000000000 738.00000000 NS USD 4797.00000000 0.001635740283 N/A DE LU N 2 N/A N/A INTELSAT EMERGENCE SA INTELSAT EMERGENCE SA 2025-12-05 XXXX 4797.00000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -5262.48000000 -0.00179446540 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 160028.03000000 USD 144386.37000000 EUR 2023-07-21 -5262.48000000 N N N LIFEPT/LEGACY LIFEPT N/A 53219LAR0 485000.00000000 PA USD 363450.22000000 0.123933743143 Long DBT CORP US Y 2 2026-12-01 Fixed 9.75000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LBC9 137000.00000000 PA USD 132696.13000000 0.045248364663 Long DBT CORP US N 2 2027-05-15 Fixed 3.88000000 N N N N N N TERRAFORM GLOBAL OPERATI 549300LC7QMVR79H5O86 88104UAC7 545000.00000000 PA USD 523200.00000000 0.178407195386 Long DBT CORP US Y 2 2026-03-01 Fixed 6.13000000 N N N N N N Vodafone Group PLC 213800TB53ELEUKM7Q61 000000000 100000.00000000 PA 78606.43000000 0.026804190970 Long DBT CORP GB N 2 2049-08-08 Fixed 3.38000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 3137FNX70 1881616.40000000 PA USD 102612.45000000 0.034990060046 Long ABS-MBS USGSE US N 2 2029-07-25 Variable 1.09000000 N N N N N N TAPESTRY INC 549300LJNVY5SW3VTN33 876030AA5 89000.00000000 PA USD 71620.76000000 0.024422130969 Long DBT CORP US N 2 2032-03-15 Fixed 3.05000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1.00000000 NC -1029.35000000 -0.00035100047 N/A DFE BR N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 433758.51000000 USD 2231197.37000000 BRL 2023-09-01 -1029.35000000 N N N SWEDISH GOVERNMENT ERE94C0BSULG2RM19605 000000000 23705000.00000000 PA 2079948.93000000 0.709246665039 Long DBT NUSS SE N 2 2033-11-11 Fixed 1.75000000 N N N N N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 000000000 1.00000000 NC 3366.73000000 0.001148029160 N/A DFE US N 2 Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 10033834.00000000 JPY 75931.86000000 USD 2023-07-21 3366.73000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGZN2 97483.48000000 PA USD 83460.93000000 0.028459538313 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N HOLDING D'INFRASTRUCTURE 9695004S3RCE0Q5V8G28 000000000 100000.00000000 PA 86837.03000000 0.029610762572 Long DBT CORP FR N 2 2031-01-18 Fixed 1.48000000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 000000000 100000.00000000 PA 107291.50000000 0.036585580282 Long DBT CORP IT N 2 2030-05-19 Fixed 4.88000000 N N N N N N ENCOMPASS HEALTH CORP 549300FVRPM9DRQZRG64 29261AAB6 726000.00000000 PA USD 661318.61000000 0.225504584226 Long DBT CORP US N 2 2030-02-01 Fixed 4.75000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC 11703.96000000 0.003990960776 N/A DFE US N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 386779.08000000 EUR 426286.55000000 USD 2023-07-21 11703.96000000 N N N AG ISSUER LLC N/A 00119LAA9 118000.00000000 PA USD 108797.44000000 0.037099094295 Long DBT CORP US Y 2 2028-03-01 Fixed 6.25000000 N N N N N N GOVT OF BERMUDA 549300FP5PUZXX9FVJ40 085209AG9 200000.00000000 PA USD 168580.00000000 0.057484489675 Long DBT NUSS BM Y 2 2030-08-20 Fixed 2.38000000 N N N N N N GO DADDY OPCO/FINCO N/A 38016LAC9 1185000.00000000 PA USD 1024982.70000000 0.349511255402 Long DBT CORP US Y 2 2029-03-01 Fixed 3.50000000 N N N N N N Arab Republic of Egypt 529900GFIVH4086NMH82 000000000 1265000.00000000 PA USD 634450.63000000 0.216342808695 Long DBT NUSS EG N 2 2047-01-31 Fixed 8.50000000 N N N N N N Bombardier Inc W7L3VLU8EHQY34Z36697 097751BM2 130000.00000000 PA USD 130119.47000000 0.044369743325 Long DBT CORP CA Y 2 2025-03-15 Fixed 7.50000000 N N N N N N State Street Bank & Trust Co. 571474TGEMMWANRLN572 000000000 1.00000000 NC -3273.53000000 -0.00111624867 N/A DFE N/A N 2 State Street Bank & Trust Co. 571474TGEMMWANRLN572 115307.09000000 USD 104520.16000000 EUR 2023-07-21 -3273.53000000 N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89117F8Z5 785000.00000000 PA USD 804483.70000000 0.274322784119 Long DBT CORP CA N 2 2082-10-31 Fixed 8.13000000 N N N N N N TEREX CORP YAWJZJYEQ7M1SYMOS462 880779BA0 685000.00000000 PA USD 634762.10000000 0.216449017581 Long DBT CORP US Y 2 2029-05-15 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179XDE3 66197.95000000 PA USD 64343.20000000 0.021940538712 Long ABS-MBS USGA US N 2 2052-08-20 Fixed 4.50000000 N N N N N N 2023-06-20 MFS CHARTER INCOME TRUST Kasey Phillips Kasey Phillips Assistant Treasurer