NPORT-P false 0000088525 XXXXXXXX S000043989 C000136521 C000136522 C000136523 C000155969 C000152104 Guggenheim Funds Trust 811-01136 0000088525 54930033G24U3UGWK691 702 King Farm Blvd., Suite 200 Rockville 20850 301-296-5100 Guggenheim Macro Opportunities Fund S000043989 5493008Z4PZUFJR0MW94 2022-09-30 2021-12-31 N 8488647500.10 201579118.59 8287068381.51 0.00000000 30546870.60000000 32704524.19000000 0.00000000 0.00000000 0.00000000 6592596.81000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 AUD CAD CZK EUR GBP HKD ILS JPY NOK NZD SEK USD N HIGGINBOTHAM INSURANCE AGENCY INC N/A N/A -6082440.66000000 PA USD -74300.97000000 -0.00089658931 Short LON CORP US N 3 2026-11-25 Variable 0.50000000 N N N N N N Lehman XS Trust N/A 52522GAC8 10860010.23720000 PA USD 11432155.76000000 0.137951748841 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.46200000 N N N N N N LPL HOLDINGS INC 549300Z5YF8CCRMYUL26 50212YAD6 23300000.00000000 PA USD 23853375.00000000 0.287838520232 Long DBT CORP US N 2 2029-03-15 Fixed 4.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1780000.00000000 NC 5414.17000000 0.000065332754 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1213234.00000000 USD 1780000.00000000 NZD 2022-01-06 5414.17000000 N N N UNILEVER PLC MYF1DAS6G5WY7PRWCU78 N/A 5800000.00000000 PA USD 5799729.31000000 0.069985295679 Long STIV CORP US N 2 N N N WILTON RE LTD 5493004VQ9VSL29MT373 97263CAA9 31350000.00000000 PA USD 32966406.00000000 0.397805405751 Long DBT CORP CA N 3 N/A Variable 6.00000000 N N N N N N PARTNERRE FINANCE B LLC 549300O0FAGHK2F79881 70213BAC5 6460000.00000000 PA USD 6796964.00000000 0.082018920166 Long DBT CORP US N 2 2050-10-01 Variable 4.50000000 N N N N N N Castlelake Aircraft Securitiza N/A 14856GAB6 2639616.11030000 PA USD 2796791.52000000 0.033748864993 Long ABS-O CORP US N 2 2046-01-15 Fixed 6.65600000 N N N N N N INTERTAPE POLYMER GROUP 549300ESFR3Z1YNR6O65 460919AB9 11050000.00000000 PA USD 11050000.00000000 0.133340277783 Long DBT CORP CA N 2 2029-06-15 Fixed 4.37500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CDA6 1825000.00000000 PA USD 1812167.97000000 0.021867419050 Long DBT UST US N 2 2023-09-30 Fixed 0.25000000 N N N N N N MERIDIAN ADHESIVES GROUP INC N/A N/A 13720000.00000000 PA USD 13651400.00000000 0.164731354582 Long LON CORP US N 2 2028-07-24 Variable 4.75000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -15133000.00000000 NC -99118.40000000 -0.00119606108 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Call Written N/A Foreign Exchange EUR/NZD -15133000 1.66350000 EUR 2022-01-18 XXXX 58696.44000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -11190000.00000000 NC -68581.77000000 -0.00082757577 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 11190000.00000000 EUR 12674823.48000000 USD 2022-01-20 -68581.77000000 N N N IXIS Real Estate Capital Trust N/A 45073DAC2 25051023.88180000 PA USD 8317696.47000000 0.100369588943 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.26200000 N N N N N N AI CONVOY LUXEMBOURG SA RL N/A N/A 8324708.16000000 PA 9389652.89000000 0.113304880058 Long LON CORP LU N 2 2027-01-18 Variable 3.50000000 N N N N N N SBKSCP N/A SBKSCP682 807638.00000000 NS USD 7914852.40000000 0.095508472183 Long EC CORP US N 1 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 420000.00000000 NC 1055.48000000 0.000012736470 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 566933.22000000 USD 420000.00000000 GBP 2022-01-05 1055.48000000 N N N BUCKEYE GP LLC 549300C1PQJLVEIUBK50 N/A 589545.00000000 PA USD 586933.32000000 0.007082520536 Long LON CORP US N 2 2026-11-01 Variable 2.35000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -15180000.00000000 NC -187919.03000000 -0.00226761770 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Put Written N/A Foreign Exchange EUR/CAD -15180000 1.44730000 EUR 2022-01-19 XXXX -45372.84000000 N N N GSAA Home Equity Trust N/A 362334BS2 11684701.25720000 PA USD 7523156.34000000 0.090781878387 Long ABS-MBS CORP US N 2 2036-03-25 Floating 0.70200000 N N N N N N FLAMINGO LUX I SARL N/A N/A 10000000.00000000 PA 11285632.97000000 0.136183659292 Long LON CORP FR N 2 2028-03-27 Variable 3.50000000 N N N N N N ABPCI II DIRECT LENDING FUNDING IV LP N/A N/A 31400000.00000000 PA USD 31418323.78000000 0.379124707720 Long ABS-O CORP US N 3 2029-07-08 Variable 2.12000000 N N N N N N TRANSACT HOLDINGS INC N/A N/A 14652897.35760000 PA USD 14513694.83000000 0.175136660660 Long LON CORP US N 2 2026-04-30 Variable 4.85000000 N N N N N N WOMENS CARE HOLDINGS INC N/A N/A 31740500.00000000 PA USD 31629408.25000000 0.381671862640 Long LON CORP US N 2 2028-01-15 Variable 5.25000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 14000.00000000 OU Notional Amount USD -198.53000000 -0.00000239566 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 U.S. Secured Overnight Financing Rate N/A Y 2043-12-15 24.49000000 USD 0.00000000 USD 14000.00000000 USD -223.02000000 N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DK8 2850000.00000000 PA USD 2935514.25000000 0.035422831269 Long DBT CORP US N 2 2044-07-15 Fixed 4.50000000 N N N N N N AASET 2018-2 Trust N/A 04546KAA6 16925791.72690000 PA USD 16160260.17000000 0.195005753856 Long ABS-O CORP US N 2 2038-11-18 Fixed 4.45400000 N N N N N N Long Beach Mortgage Loan Trust N/A 54251MAD6 10490248.46710000 PA USD 4306738.99000000 0.051969391245 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.42200000 N N N N N N IMAGEFIRST HOLDINGS LLC N/A N/A 8268805.55500000 PA USD 8237797.53000000 0.099405448956 Long LON CORP US N 2 2028-04-27 Variable 5.25000000 N N N N N N ARCONIC CORP 549300B4YFWH3U74B152 03966VAB3 2225000.00000000 PA USD 2325125.00000000 0.028057268179 Long DBT CORP US N 2 2025-05-15 Fixed 6.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 1580000.00000000 NC -3151.05000000 -0.00003802369 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 1643394.34000000 CHF 1580000.00000000 EUR 2022-01-20 -3151.05000000 N N N VIRGIN MEDIA VEND FIN IV 635400ZZNJSEA4CAJR23 92770QAA5 3650000.00000000 PA USD 3677539.25000000 0.044376842095 Long DBT CORP US N 2 2028-07-15 Fixed 5.00000000 N N N N N N NewStar Clarendon Fund CLO LLC 549300HC3VVP80NTKX35 65251QAG6 1300000.00000000 PA USD 1299914.33000000 0.015686057724 Long ABS-O CORP US N 2 2027-01-25 Floating 4.47400000 N N N N N N Fortress Credit Opportunities 2549008RD44HDM6DNP14 34961JBG8 35000000.00000000 PA USD 34954566.50000000 0.421796525511 Long ABS-O CORP KY N 2 2033-10-15 Floating 2.92200000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BF3 2975000.00000000 PA USD 2785343.75000000 0.033610724827 Long DBT CORP US N 2 2031-02-15 Fixed 3.37500000 N N N N N N Blue Whale Acquisition Corp. N/A SBP818Y98 119424.00000000 NS USD 101498.46000000 0.001224781253 N/A DE US N 1 Blue Whale Acquisition Corp. N/A Call Purchased N/A Blue Whale Acquisition Corp. 119424 1.00000000 USD 2026-07-30 XXXX -424807.52000000 N N N Neuberger Berman CLO Ltd 5493007YBEOXQIHH3C54 64132DAQ1 11500000.00000000 PA USD 11293714.15000000 0.136281174838 Long ABS-O CORP KY N 2 2032-01-20 Floating 2.82400000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 110000.00000000 NC 833.70000000 0.000010060252 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 147925.24000000 USD 110000.00000000 GBP 2022-01-05 833.70000000 N N N Sprite Limited N/A 85208UAA2 19848400.00000000 PA USD 19502750.04000000 0.235339557273 Long ABS-O CORP US N 2 2046-11-15 Fixed 3.75000000 N N N N N N Acres PLC N/A 00500JAJ2 8350000.00000000 PA USD 8353860.21000000 0.100805976557 Long ABS-O CORP KY N 2 2037-01-15 Floating 3.19000000 N N N N N N Home Equity Loan Trust N/A 43710XAA6 8646773.53780000 PA USD 8377302.89000000 0.101088859224 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.29200000 N N N N N N PECF USS INTERMEDIATE HOLDING II CORPORATION N/A N/A 8000000.00000000 PA USD 8002880.00000000 0.096570700657 Long LON CORP US N 2 2028-11-04 Variable 4.75000000 N N N N N N CONFLUENT HEALTH LLC N/A N/A 4567699.12000000 PA USD 4560071.06000000 0.055026347678 Long LON CORP US N 2 2028-11-30 Variable 4.50000000 N N N N N N API ESCROW CORP N/A 00185PAA9 3800000.00000000 PA USD 3876000.00000000 0.046771666668 Long DBT CORP US N 2 2029-10-15 Fixed 4.75000000 N N N N N N BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A -17977161.46000000 PA USD -17977161.46000000 -0.21693028984 Short RA CORP US N 2 Reverse repurchase N -0.34000000 2022-01-03 18045000.00000000 USD 17976429.00000000 USD UST N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -750000.00000000 NC -6068.50000000 -0.00007322854 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 750000.00000000 GBP 1008197.03000000 USD 2022-01-05 -6068.50000000 N N N EG GROUP LTD 2138003OUK4UQHRJLT65 N/A 965000.00000000 PA 1294427.21000000 0.015619844683 Long LON CORP GB N 2 2025-02-07 Variable 5.06000000 N N N N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 29452E408 616000.00000000 NS USD 15554000.00000000 0.187690016347 Long EP CORP US N 2 N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDG2 975000.00000000 PA USD 1001812.50000000 0.012088864890 Long DBT CORP US N 2 2028-06-15 Fixed 4.62500000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1130000.00000000 NC USD 26787.11000000 0.000323239881 N/A DFE CA N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1130000.00000000 USD 1462328.48000000 CAD 2022-01-07 26787.11000000 N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -3561000.00000000 NC -33923.48000000 -0.00040935441 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Written N/A Foreign Exchange NZD/JPY -3561000 78.15000000 NZD 2022-01-19 XXXX -22673.92000000 N N N WATERLOGIC GROUP HOLDINGS LIMITED N/A N/A 1995000.00000000 PA USD 1995000.00000000 0.024073651961 Long LON CORP US N 2 2028-08-17 Variable 4.97000000 N N N N N N BREITLING HOLDINGS SARL N/A N/A 13900000.00000000 PA 15841474.27000000 0.191158966485 Long LON CORP LU N 2 2028-10-25 Variable 4.00000000 N N N N N N WAMU Asset-Backed Certificates N/A 92926SAE6 25326650.76580000 PA USD 12399664.82000000 0.149626674345 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.46200000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -2050000.00000000 NC USD -5330.42000000 -0.00006432214 N/A DFE JP N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2050000.00000000 USD 235301665.00000000 JPY 2022-01-18 -5330.42000000 N N N QORVO INC 254900YAUJV2EUEVBR11 74736KAH4 11220000.00000000 PA USD 11907225.00000000 0.143684406255 Long DBT CORP US N 2 2029-10-15 Fixed 4.37500000 N N N N N N Babson CLO Ltd 549300SCEOLR3BTPYX35 05618HAE5 11900000.00000000 PA USD 1275680.00000000 0.015393622222 Long ABS-O CORP KY N 2 2025-07-20 None 0.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 24549104.37000000 NC 216332.94000000 0.002610488173 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 17623433.79000000 USD 24549104.37000000 AUD 2022-01-06 216332.94000000 N N N Long Beach Mortgage Loan Trust N/A 542514RL0 4055922.22320000 PA USD 3702876.10000000 0.044682581698 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.48200000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -2202000.00000000 NC -21093.73000000 -0.00025453790 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Put Written N/A Foreign Exchange EUR/CAD -2202000 1.44170000 EUR 2022-01-20 XXXX -12712.37000000 N N N ONEX CORPORATION N/A N/A 515004.71670000 PA USD 437754.01000000 0.005282374777 Long LON CORP US N 3 2024-10-01 Variable 11.25000000 N N Y N N N ARMOR PARENT CORP 549300MC6XO5P96H8E79 N/A 7670149.56640000 PA USD 7390189.11000000 0.089177363692 Long LON CORP US N 2 2023-11-17 Variable 6.25000000 N N N N N N Morgan Stanley Capital Inc N/A 61750SAF9 20829977.10810000 PA USD 12300580.57000000 0.148431025348 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.32200000 N N N N N N SERVICE LOGIC ACQUISITION INC N/A N/A 11405609.86620000 PA USD 11362838.83000000 0.137115301900 Long LON CORP US N 3 2027-10-29 Variable 4.75000000 N N N N N N PARTNERRE LTD 7LLHQS68KCIGNZBR7918 EP0597732 208352.00000000 NS USD 5646339.20000000 0.068134338225 Long EP CORP BM N 2 N N N RBC Capital Markets, LLC 549300LCO2FLSSVFFR64 N/A -3744687.50000000 PA USD -3744687.50000000 -0.04518711958 Short RA CORP US N 2 Reverse repurchase N -0.50000000 N/A 4000000.00000000 USD 3840000.00000000 USD CDS N N N ATLAS CC ACQUISITION CORP N/A N/A 2631845.06780000 PA USD 2634319.00000000 0.031788310156 Long LON CORP US N 2 2028-05-25 Variable 5.00000000 N N N N N N LCPR SR SECURED FIN DAC 549300LE5FM8IKMXSP90 50201DAA1 3150000.00000000 PA USD 3307500.00000000 0.039911580884 Long DBT CORP US N 2 2027-10-15 Fixed 6.75000000 N N N N N N ARGOS HOLDINGS INC N/A N/A 7481250.00000000 PA USD 7485963.19000000 0.090333068889 Long LON CORP US N 2 2028-02-11 Variable 4.50000000 N N N N N N SPORTRADAR CAPITAL SARL N/A N/A 10600000.00000000 PA 12046277.32000000 0.145362349692 Long LON CORP LU N 2 2027-11-22 Variable 3.50000000 N N N N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCK7 9410000.00000000 PA USD 9492619.80000000 0.114547381088 Long DBT CORP US N 2 2031-02-01 Fixed 4.25000000 N N N N N N HARBOURVEST STRUCTURED SOLUTIONS IV HOLDINGS LP N/A N/A 12900000.00000000 PA 14769949.28000000 0.178228881433 Long ABS-O CORP US N 3 2026-09-15 Variable 2.45000000 N N N N N N LOIRE FINCO LUXEMBOURG SARL N/A N/A 10719202.33120000 PA USD 10652207.32000000 0.128540116113 Long LON CORP LU N 2 2027-04-21 Variable 4.50000000 N N N N N N KKR SIGMA AGGREGATOR LP N/A N/A 12019549.44000000 PA 13258723.39000000 0.159992928495 Long LON CORP NL N 2 2025-07-02 Variable 3.50000000 N N N N N N Morgan Stanley ReRemic Trust N/A 61759HBA4 670824.41750000 PA USD 624484.87000000 0.007535654845 Long ABS-MBS CORP US N 2 2036-06-26 Variable 2.42200000 N N N N N N MADISON SAFETY & FLOW LLC N/A N/A 2100000.00000000 PA USD 2098026.00000000 0.025316866030 Long LON CORP US N 2 2028-12-13 Variable 4.25000000 N N N N N N COMPASS MINERALS INTERNA 2549008X9G8XP7YJGC47 20451NAG6 1944000.00000000 PA USD 2058365.52000000 0.024838283277 Long DBT CORP US N 2 2027-12-01 Fixed 6.75000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A 12557000.00000000 NC USD 2141522.39000000 0.025841736684 N/A DIR US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Purchased JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2061-12-11 0.00000000 USD 0.00000000 USD 0.00000000 USD 12557000 1.34000000 USD 2031-12-09 XXXX -33977.86000000 N N N FIDELITY NATIONAL INFORMATION SERVICES INC 6WQI0GK1PRFVBA061U48 N/A 13000000.00000000 PA USD 12995190.00000000 0.156812872800 Long STIV CORP US N 2 N N N WABASH NATIONAL CORP 5299004ZAWHQZI5XO485 929566AL1 8300000.00000000 PA USD 8383000.00000000 0.101157606213 Long DBT CORP US N 2 2028-10-15 Fixed 4.50000000 N N N N N N MIDCAP FUNDING XLVI TRUST N/A N/A 43400000.00000000 PA USD 43437075.75000000 0.524154909194 Long DBT CORP US N 3 2023-10-29 Variable 3.60900000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 7710000.00000000 NC 118604.89000000 0.001431204432 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 5484230.94000000 USD 7710000.00000000 AUD 2022-01-06 118604.89000000 N N N GSAA Home Equity Trust N/A 36249BAD2 630312.67780000 PA USD 627675.64000000 0.007574157845 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.64200000 N N N N N N Guggenheim Partners Investment Management LLC N/A N/A 704300.52400000 NS USD 17522997.04000000 0.211449890761 Long EC RF US N 1 N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZX9 41320000.00000000 PA USD 47245688.80000000 0.570113417977 Long DBT CORP US N 2 2025-05-01 Fixed 7.00000000 N N N N N N WMG ACQUISITION CORP 549300NAS11NXI33CP80 92933BAT1 3200000.00000000 PA USD 3192000.00000000 0.038517843138 Long DBT CORP US N 2 2029-12-01 Fixed 3.75000000 N N N N N N CARRIAGE SERVICES INC N/A 143905AP2 14575000.00000000 PA USD 14502125.00000000 0.174997047597 Long DBT CORP US N 2 2029-05-15 Fixed 4.25000000 N N N N N N LTI HOLDINGS INC N/A N/A -1950000.00000000 PA USD -2437.50000000 -0.00002941329 Short LON CORP US N 3 2026-07-24 Variable 0.50000000 N N N N N N GREAT LAKES DREDGE&DOCK 549300H65E3MZ1CX0P05 390607AF6 10530000.00000000 PA USD 10845900.00000000 0.130877404417 Long DBT CORP US N 2 2029-06-01 Fixed 5.25000000 N N N N N N Sapphire Aviation Finance I Li N/A 80307AAB5 9117554.96930000 PA USD 7875401.16000000 0.095032414328 Long ABS-O CORP US N 2 2040-03-15 Fixed 4.33500000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 14.00000000 NC USD 1820.00000000 0.000021961928 N/A DCO US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Put Purchased J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Commodity Exchange, Inc. N/A N/A 1.00000000 NC USD 0.00000000 0.00000000 DCO Long N/A Gold 100 oz. 2022-02-02 0.00000000 USD 1400 1705.00000000 USD 2022-01-26 XXXX -23533.81000000 N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AG2 11025000.00000000 PA USD 11251067.63000000 0.135766559560 Long DBT CORP US N 2 2030-07-15 Fixed 4.37500000 N N N N N N Guggenheim Partners Investment Management LLC N/A N/A 623636.91100000 NS USD 15609631.88000000 0.188361325880 Long EC RF US N 1 N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 13728000.00000000 NC 49360.34000000 0.000595630900 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Call Purchased N/A Foreign Exchange AUD/USD 13728000 0.73050000 AUD 2022-01-19 XXXX 10864.36000000 N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -15133000.00000000 NC -117551.74000000 -0.00141849607 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Put Written N/A Foreign Exchange EUR/NZD -15133000 1.66350000 EUR 2022-01-18 XXXX 35716.85000000 N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 4920000.00000000 NC 27570.55000000 0.000332693646 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Call Purchased N/A Foreign Exchange AUD/NZD 4920000 1.05520000 AUD 2022-01-14 XXXX 6360.52000000 N N N INTEGRATED POWER SERVICES HOLDINGS INC N/A N/A 463109.75140000 PA USD 460794.20000000 0.005560400599 Long LON CORP US N 2 2028-11-18 Variable 5.50000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABT1 1750000.00000000 PA USD 1728300.00000000 0.020855384804 Long DBT CORP US N 2 2031-02-15 Fixed 2.87500000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -15180000.00000000 NC -62790.14000000 -0.00075768820 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Call Written N/A Foreign Exchange EUR/CAD -15180000 1.44730000 EUR 2022-01-19 XXXX 85817.13000000 N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 10167000.00000000 NC USD 4344.26000000 0.000052422157 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange USD/CHF 10167000 0.93020000 USD 2022-01-20 XXXX -26512.82000000 N N N ACI WORLDWIDE INC 5493003BPVMZUJ6F5C02 004498AB7 400000.00000000 PA USD 417000.00000000 0.005031936274 Long DBT CORP US N 2 2026-08-15 Fixed 5.75000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -1120000.00000000 NC -13249.43000000 -0.00015988078 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 1120000.00000000 EUR 1262229.92000000 USD 2022-01-20 -13249.43000000 N N N Dryden Senior Loan Fund 5493008NBEE3C4AF3K95 262430AA9 7895000.00000000 PA USD 5023588.50000000 0.060619609598 Long ABS-O CORP KY N 2 2030-07-15 None 0.00000000 N N N N N N TK ELEVATOR US NEWCO INC 549300C2AFWPAYWS5574 92537RAA7 3000000.00000000 PA USD 3153750.00000000 0.038056280638 Long DBT CORP US N 2 2027-07-15 Fixed 5.25000000 N N N N N N FIRST BRANDS GROUP LLC N/A N/A 5024750.00000000 PA USD 5039824.25000000 0.060815526287 Long LON CORP US N 2 2027-03-30 Variable 6.00000000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -26239000.00000000 NC -519950.77000000 -0.00627424254 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange NZD/JPY -26239000 76.62000000 NZD 2022-01-14 XXXX -278503.86000000 N N N EP PURCHASER LLC N/A N/A 1500000.00000000 PA USD 1499625.00000000 0.018095965074 Long LON CORP US N 2 2028-11-06 Variable 4.00000000 N N N N N N Freddie Mac Military Housing B 549300ZG8WH0M4JSUM77 35563CAB4 65436622.89040000 PA USD 5012152.16000000 0.060481607358 Long ABS-MBS USGSE US N 3 2055-11-25 Variable 0.70000000 N N N N N N Blackstone Strategic Credit Fu 549300YESIF051NRED20 09257R101 957871.00000000 NS USD 12921679.79000000 0.155925825577 Long EC RF US N 1 N N N MIRABELA NICKEL LTD N/A N/A 1885418.00000000 PA USD 94270.90000000 0.001137566334 Long DBT CORP AU Y 2 2019-06-24 Variable 9.50000000 Y N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -1300000.00000000 NC -8849.26000000 -0.00010678396 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1300000.00000000 CAD 1019527.88000000 USD 2022-01-14 -8849.26000000 N N N Security Investors LLC N/A N/A 1010530.67200000 NS USD 29143704.58000000 0.351676892699 Long EC RF US N 1 N N N HAH GROUP HOLDING COMPANY LLC N/A N/A 1384050.59000000 PA USD 1380590.46000000 0.016659576058 Long LON CORP US N 2 2027-10-29 Variable 6.00000000 N N N N N N MAUSER PACKAGING SOLUT 549300DNGHXL0OMHW304 57763RAA5 6550000.00000000 PA USD 6762875.00000000 0.081607568426 Long DBT CORP US N 2 2024-04-15 Fixed 8.50000000 N N N N N N PARADOCS HOLDING SARL N/A N/A 10447500.00000000 PA USD 10416993.30000000 0.125701790071 Long LON CORP LU N 2 2028-02-17 Variable 4.06000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1310000.00000000 NC USD -17977.19000000 -0.00021693063 N/A DFE CA N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1678734.87000000 CAD 1310000.00000000 USD 2022-01-07 -17977.19000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 4700000.00000000 NC 26516.67000000 0.000319976483 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 5325941.30000000 USD 4700000.00000000 EUR 2022-01-20 26516.67000000 N N N CAPSTONE ACQUISITION HOLDINGS INC N/A N/A -2348688.00000000 PA USD -2935.86000000 -0.00003542700 Short LON CORP US N 3 2027-11-12 Variable 1.00000000 N N N N N N TCP Waterman CLO LLC N/A 87233GAG5 11000000.00000000 PA USD 11001672.00000000 0.132757104123 Long ABS-O CORP US N 2 2028-12-15 Floating 3.20300000 N N N N N N NOVA SCOTIA T-BILL 5493002W033HJBDP3481 66980KN63 9970000.00000000 PA 7886689.34000000 0.095168628722 Long DBT NUSS CA N 2 2022-01-06 None 0.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 3186000.00000000 NC 10829.98000000 0.000130685297 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 4297770.00000000 USD 3186000.00000000 GBP 2022-01-05 10829.98000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06055H400 736000.00000000 NS USD 18826880.00000000 0.227183837917 Long EP CORP US N 2 N N N PENN NATIONAL GA N/A 707569AV1 6975000.00000000 PA USD 6765750.00000000 0.081642261032 Long DBT CORP US N 2 2029-07-01 Fixed 4.12500000 N N N N N N CENGAGE LEARNING INC 549300BYGM0FWUSVXJ88 15137NAA1 5039000.00000000 PA USD 5070493.75000000 0.061185614943 Long DBT CORP US N 2 2024-06-15 Fixed 9.50000000 N N N N N N CP ATLAS BUYER INC N/A N/A 20644736.23300000 PA USD 20531190.18000000 0.247749737721 Long LON CORP US N 2 2027-11-23 Variable 4.25000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A 3280000.00000000 NC 49744.80000000 0.000600270176 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 252727280.00000000 JPY 3280000.00000000 NZD 2022-01-06 49744.80000000 N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAM8 5725000.00000000 PA USD 7279183.15000000 0.087837855498 Long DBT CORP US N 2 2045-07-15 Fixed 5.20000000 N N N N N N ASSURANT INC H3F39CAXWQRVWURFXL38 04621X306 258000.00000000 NS USD 6958260.00000000 0.083965277944 Long EP CORP US N 2 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 6300000.00000000 NC 70284.40000000 0.000848121395 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 4507908.30000000 USD 6300000.00000000 AUD 2022-01-06 70284.40000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 5750000.00000000 NC 35281.10000000 0.000425736803 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 6512938.75000000 USD 5750000.00000000 EUR 2022-01-20 35281.10000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -330000.00000000 NC USD 4040.44000000 0.000048755963 N/A DFE CA N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 330000.00000000 USD 422270.31000000 CAD 2022-01-07 4040.44000000 N N N CHEF HOLDINGS INC N/A N/A 59.00000000 NS USD 2835.26000000 0.000034213063 Long EC CORP US N 3 N N N BOYNE USA INC N/A 103557AC8 5460000.00000000 PA USD 5623800.00000000 0.067862357845 Long DBT CORP US N 2 2029-05-15 Fixed 4.75000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 779389000.00000000 OU Notional Amount -2816.42000000 -0.00003398572 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 Overnight Tokyo Average Rate N/A Y 2031-11-19 48.50000000 JPY 0.00000000 JPY 779389000.00000000 JPY -2864.63000000 N N N PLANVIEW PARENT INC N/A N/A 23265000.00000000 PA USD 23255228.70000000 0.280620692739 Long LON CORP US N 2 2027-12-17 Variable 4.75000000 N N N N N N Voya CLO Ltd N/A 44986TAB8 28970307.00000000 PA USD 10194651.03000000 0.123018787352 Long ABS-O CORP KY N 2 2030-10-15 None 0.00000000 N N N N N N PFP III N/A 69290LAL1 1789910.67860000 PA USD 1783490.09000000 0.021521363260 Long ABS-O CORP KY N 2 2038-04-14 Floating 3.10800000 N N N N N N Alliance Bancorp Trust N/A 01852TAA1 2349448.87840000 PA USD 2245625.09000000 0.027097943284 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.34200000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -26239000.00000000 NC -17766.03000000 -0.00021438256 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 Put Written N/A Foreign Exchange NZD/JPY -26239000 76.62000000 NZD 2022-01-14 XXXX 211387.44000000 N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -94000.00000000 NC -773.39000000 -0.00000933249 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 94000.00000000 GBP 126347.89000000 USD 2022-01-05 -773.39000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 126600000.00000000 NC USD 245604.00000000 0.002963701862 N/A DIR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Purchased N/A 2Y-10 CMS CAP 126600000 0.39500000 USD 2022-07-29 XXXX -41778.00000000 N N N Residential Accredit Loans, In N/A 75114NAA2 31395778.02030000 PA USD 9513332.02000000 0.114797315311 Long ABS-MBS CORP US N 2 2046-06-25 Floating 0.46200000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A 3327000.00000000 NC USD 2734.56000000 0.000032997917 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Purchased N/A Foreign Exchange USD/CAD 3327000 1.28450000 USD 2022-01-14 XXXX -23997.89000000 N N N Lehman XS Trust N/A 52522DAL5 15194095.27180000 PA USD 15503497.19000000 0.187080599269 Long ABS-MBS CORP US N 2 2046-11-25 Floating 0.52200000 N N N N N N Pacific Bells, LLC N/A N/A -205154.64000000 PA USD -1025.77000000 -0.00001237795 Short LON CORP US N 3 2028-10-06 Variable 0.50000000 N N N N N N GOLD INTERMEDIATE HOLDINGS LLC N/A N/A 2496892.11930000 PA USD 2446954.28000000 0.029527381304 Long LON CORP US N 2 2024-08-28 Variable 5.25000000 N N N N N N BEACON ROOFING SUPPLY IN 549300HDXQWWCBOYXP31 073685AH2 4589000.00000000 PA USD 4586567.83000000 0.055346084029 Long DBT CORP US N 2 2029-05-15 Fixed 4.12500000 N N N N N N AIR CANADA 4B4HI3CGXMBDC0G6BM51 008911BJ7 3550000.00000000 PA 2793034.74000000 0.033703531953 Long DBT CORP CA N 2 2029-08-15 Fixed 4.62500000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 13681000.00000000 NC 11400.54000000 0.000137570241 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Purchased N/A Foreign Exchange AUD/CAD 13681000 0.93000000 AUD 2022-01-18 XXXX -15033.80000000 N N N HSI Asset Securitization Corpo N/A 40430FAD4 6637757.35170000 PA USD 5743543.90000000 0.069307306704 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.29200000 N N N N N N MCGRAW-HILL EDUCATION N/A 57767XAB6 26800000.00000000 PA USD 26594980.00000000 0.320921449849 Long DBT CORP US N 2 2029-08-01 Fixed 8.00000000 N N N N N N Newstar Trust 549300HA6DDD2ONJSM48 65252AAG0 3422441.44220000 PA USD 3425467.56000000 0.041335094659 Long ABS-O CORP US N 2 2027-03-20 Floating 3.71400000 N N N N N N GALLS N/A N/A 324490.46130000 PA USD 309818.65000000 0.003738579624 Long LON CORP US N 3 2024-01-31 Variable 7.70000000 N N N N N N KDAC Aviation Finance Limited N/A 48244XAA0 47658021.98710000 PA USD 41963031.33000000 0.506367624812 Long ABS-O CORP KY N 2 2042-12-15 Fixed 4.21200000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 2300000.00000000 NC USD 1655.50000000 0.000019976907 N/A DFE JP N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 264494710.00000000 JPY 2300000.00000000 USD 2022-01-18 1655.50000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 431808.30000000 NC 3967.50000000 0.000047875796 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 469643.28000000 USD 431808.30000000 CHF 2022-01-20 3967.50000000 N N N AMERICAN ROCK SALT COMPANY LLC N/A N/A 2338250.00000000 PA USD 2329481.56000000 0.028109838760 Long LON CORP US N 2 2028-06-09 Variable 4.75000000 N N N N N N CARPENTER TECHNOLOGY DX6I6ZD3X5WNNCDJKP85 144285AL7 8315000.00000000 PA USD 8839634.68000000 0.106667813912 Long DBT CORP US N 2 2028-07-15 Fixed 6.37500000 N N N N N N KKR CORE HOLDING COMPANY LLC N/A N/A 4880000.00000000 PA USD 4779370.54000000 0.057672633070 Long ABS-O CORP US N 3 2031-07-15 Fixed 4.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 4010000.00000000 NC -20197.87000000 -0.00024372756 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 4182016.97000000 CHF 4010000.00000000 EUR 2022-01-20 -20197.87000000 N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513BJ3 16400000.00000000 PA USD 16564000.00000000 0.199877679746 Long DBT CORP US N 2 N/A Variable 4.00000000 N N N N N N SOVOS BRANDS HOLDINGS INC N/A N/A 3240410.96000000 PA USD 3246502.93000000 0.039175529638 Long LON CORP US N 2 2028-08-11 Variable 5.00000000 N N N N N N SLAM 2021-1 LLC N/A 78449AAC6 3487680.00000000 PA USD 3436722.55000000 0.041470908550 Long ABS-O CORP US N 2 2046-06-15 Fixed 3.42200000 N N N N N N CAMELIA BIDCO LIMITED N/A N/A 12975000.00000000 PA 17368549.60000000 0.209586174511 Long LON CORP GB N 2 2024-10-14 Variable 5.01000000 N N N N N N SHO HOLDING I CORP N/A N/A 60373.18000000 PA USD 57052.66000000 0.000688454075 Long LON CORP US N 3 2024-04-29 Variable 6.23000000 N N N N N N BCC Middle Market CLO N/A 05550GAL1 9000000.00000000 PA USD 8977997.70000000 0.108337439570 Long ABS-O CORP KY N 2 2033-10-15 Floating 1.66300000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 19181000.00000000 NC 91125.94000000 0.001099616122 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 21752596.67000000 USD 19181000.00000000 EUR 2022-01-20 91125.94000000 N N N ARTERA SERVICES LLC 549300J2G34D0WX8Z443 73939VAA2 14385000.00000000 PA USD 15218394.98000000 0.183640272764 Long DBT CORP US N 2 2025-12-04 Fixed 9.03300000 N N N N N N PELICAN TOPCO LLC N/A N/A 6533625.00000000 PA USD 6492789.84000000 0.078348452566 Long LON CORP US N 2 2026-07-31 Variable 4.50000000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 7497000.00000000 NC 22754.47000000 0.000274578040 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 10115843.79000000 USD 7497000.00000000 GBP 2022-01-05 22754.47000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 661700000.00000000 NC USD 721253.00000000 0.008703355237 N/A DIR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Purchased N/A 2Y-10 CMS CAP 661700000 0.60500000 USD 2022-07-29 XXXX -238212.00000000 N N N GoldenTree Loan Management US 549300H67V5FL4RU1Z53 38137YAW1 2000000.00000000 PA USD 1987990.00000000 0.023989062337 Long ABS-O CORP KY N 2 2031-04-24 Floating 3.27400000 N N N N N N Aequi Acquisition Corp N/A 00775W102 999157.00000000 NS USD 9741780.75000000 0.117554004643 Long EC CORP US N 1 N N N ALLIANT HOLD / CO-ISSUER N/A 01883LAB9 10000000.00000000 PA USD 10000000.00000000 0.120669934645 Long DBT CORP US N 2 2027-10-15 Fixed 4.25000000 N N N N N N Madison Avenue Secured Funding N/A 55662QAA3 20750000.00000000 PA USD 20750000.00000000 0.250390114389 Long ABS-O CORP US N 2 2023-01-17 None 0.00000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 300000000.00000000 OU Notional Amount -19815.82000000 -0.00023911737 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 3-Month Norwegian Interbank Offering Rate N/A Y 2023-11-22 6023.84000000 NOK 0.00000000 NOK 300000000.00000000 NOK -25829.61000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -830000.00000000 NC -11229.77000000 -0.00013550956 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 830000.00000000 EUR 933991.53000000 USD 2022-01-20 -11229.77000000 N N N UPC BROADBAND FINCO BV 213800MNFBDEQRS6HZ22 90320BAA7 20200000.00000000 PA USD 20604000.00000000 0.248628333343 Long DBT CORP NL N 2 2031-07-15 Fixed 4.87500000 N N N N N N Palmer Square Loan Funding Ltd 549300KJI7MJ3X7YQQ90 69700KAE3 9050000.00000000 PA USD 9037539.96000000 0.109055935632 Long ABS-O CORP KY N 2 2026-11-15 Floating 2.05600000 N N N N N N TRUCK ACQUISITION INC N/A N/A 14788250.00000000 PA USD 14692422.14000000 0.177293361941 Long LON CORP US N 2 2028-01-31 Variable 4.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 937167.00000000 NC 2690.58000000 0.000032467211 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1264691.00000000 USD 937167.00000000 GBP 2022-01-05 2690.58000000 N N N PS HOLDINGS INDEPENDENT VOTING COMPANY LTD U7LC4KOKCTZ0YWGI2G56 N/A 33500000.00000000 PA USD 33536582.00000000 0.404685715817 Long DBT CORP GG N 2 2031-10-01 Fixed 3.25000000 N N N N N N Cengage Learning Holdings II I 5493003VGPEJMW28UG24 15136X102 21660.00000000 NS USD 389880.00000000 0.004704679411 Long EC CORP US N 2 N N N ATLAS CC ACQUISITION CORP N/A N/A 12939904.93210000 PA USD 12952068.44000000 0.156292525217 Long LON CORP US N 2 2028-05-25 Variable 5.00000000 N N N N N N CHS INC N/A N/A 3827700.69060000 PA USD 3827700.69000000 0.046188839210 Long LON CORP US N 2 2024-12-11 Variable 5.25000000 N N N N N N GRANITE GENERATION LLC N/A N/A 504133.98700000 PA USD 496193.88000000 0.005987568307 Long LON CORP US N 2 2026-11-09 Variable 4.75000000 N N N N N N KKR Acquisition Holdings I Corp. N/A 48253T117 1265578.00000000 NS USD 1263806.19000000 0.015250341035 N/A DE US N 1 KKR Acquisition Holdings I Corp. N/A Call Purchased N/A KKR Acquisition Holdings I Corp. 1265578 11.50000000 USD 2027-12-31 XXXX -66063.97000000 N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBX7 16875000.00000000 PA USD 17254687.50000000 0.208212201295 Long DBT CORP GB N 2 2081-06-04 Variable 5.12500000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -5140000.00000000 NC -27544.46000000 -0.00033237881 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 5140000.00000000 EUR 5825994.68000000 USD 2022-01-20 -27544.46000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 1390000.00000000 NC 3681.07000000 0.000044419447 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 1006428.11000000 USD 1390000.00000000 AUD 2022-01-06 3681.07000000 N N N NIC ACQUISITION CORP N/A N/A 10969119.97490000 PA USD 10804583.18000000 0.130378834620 Long LON CORP US N 2 2027-12-29 Variable 4.50000000 N N N N N N American Home Mortgage Assets N/A 008684AD4 8921378.32100000 PA USD 7938490.44000000 0.095793712257 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.31200000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -1089000000.00000000 NC 169614.96000000 0.002046742613 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 1089000000.00000000 JPY 9631534.12000000 USD 2022-01-06 169614.96000000 N N N KREF FUNDING V LLC N/A N/A 73636363.00000000 PA USD 59940.00000000 0.000723295588 Long ABS-O CORP US N 3 2026-06-25 Fixed 0.15000000 N N N N N N GRIFOLS ESCROW ISSUER 959800HLB3PGTGSLVV62 39843UAA0 6750000.00000000 PA USD 6886485.00000000 0.083099169488 Long DBT CORP ES N 2 2028-10-15 Fixed 4.75000000 N N N N N N ROCKETMTGE C0-ISSUER INC N/A 77313LAA1 8750000.00000000 PA USD 8684375.00000000 0.104794296368 Long DBT CORP US N 2 2026-10-15 Fixed 2.87500000 N N N N N N Treman Park CLO Ltd 549300E4DX3Q8L455K94 89473MAD4 20000000.00000000 PA USD 16060924.00000000 0.193807064942 Long ABS-O CORP KY N 2 2028-10-20 None 0.00000000 N N N N N N AASET 2021-1 Trust N/A 00038PAA8 22843984.87800000 PA USD 22387365.60000000 0.270148194383 Long ABS-O CORP US N 2 2041-11-16 Fixed 2.95000000 N N N N N N SYNEOS HEALTH INC 549300F1ZGKDS8P6GU13 87166BAA0 1600000.00000000 PA USD 1580000.00000000 0.019065849673 Long DBT CORP US N 2 2029-01-15 Fixed 3.62500000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 4310000.00000000 NC 42560.91000000 0.000513582222 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Call Purchased N/A Foreign Exchange AUD/NZD 4310000 1.04750000 AUD 2022-01-03 XXXX 23482.85000000 N N N Jol Air 549300TS4MUGCDXPW498 46651NAA2 8877391.97990000 PA USD 8575511.83000000 0.103480645207 Long ABS-O CORP KY N 2 2044-04-15 Fixed 3.96700000 N N N N N N NEWFOUNDLAND T-BILL 549300CLWWW48GTPOJ49 65134ANM7 3400000.00000000 PA 2689166.46000000 0.032450154097 Long DBT NUSS CA N 2 2022-01-20 None 0.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 9380000.00000000 NC 53937.38000000 0.000650862011 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 6762482.86000000 USD 9380000.00000000 AUD 2022-01-06 53937.38000000 N N N PROJECT BOOST PURCHASER LLC N/A N/A 6965000.00000000 PA USD 6959219.05000000 0.083976850794 Long LON CORP US N 2 2026-05-29 Variable 4.00000000 N N N N N N SOUTHERN VETERINARY COMPANY LLC N/A N/A 1475072.33000000 PA USD 1476916.17000000 0.017821937771 Long LON CORP US N 2 2027-10-05 Variable 5.00000000 N N N N N N CELTIC INTERMEDIATE CORP N/A N/A 479282.58000000 PA USD 473559.95000000 0.005714444821 Long LON CORP US N 2 2028-03-02 Variable 4.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -3779000000.00000000 NC 487974.58000000 0.005888386067 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 3779000000.00000000 JPY 33322311.13000000 USD 2022-01-06 487974.58000000 N N N UNITED AIRLINES HOLDINGS INC N/A N/A 15250000.00000000 PA USD 16060232.50000000 0.193798720616 Long LON CORP US N 2 2027-06-21 Variable 6.25000000 N N N N N N SILVERMORE CLO LTD 254900XWIIO2JU37JD03 828428AE2 5500000.00000000 PA USD 5499331.75000000 0.066360400286 Long ABS-O CORP KY N 2 2026-05-15 Floating 3.15600000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 2530000.00000000 NC 460.33000000 0.000005554799 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Purchased N/A Foreign Exchange GBP/CAD 2530000 1.69180000 GBP 2022-01-05 XXXX -25065.45000000 N N N TEAMSYSTEM SPA N/A N/A 11750000.00000000 PA 13351659.84000000 0.161114392030 Long DBT CORP IT N 2 2028-02-15 Variable 3.75000000 N N N N N N BOXER PARENT CO INC 5493006T045HLTF7YX04 N/A 1575663.80200000 PA USD 1564634.16000000 0.018880430183 Long LON CORP US N 2 2025-10-02 Variable 3.97000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 1230000.00000000 NC 5230.01000000 0.000063110496 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1658165.46000000 USD 1230000.00000000 GBP 2022-01-05 5230.01000000 N N N PING IDENTITY CORP N/A N/A 5000000.00000000 PA USD 5000000.00000000 0.060334967322 Long LON CORP US N 3 2028-11-18 Variable 4.25000000 N N N N N N ARDIAN SAS N/A N/A 12954615.38000000 PA USD 12727909.61000000 0.153587602081 Long LON CORP US N 2 2028-10-18 Variable 5.75000000 N N N N N N SP PF PARENT CORP N/A N/A 15387150.79620000 PA USD 14896762.30000000 0.179759133317 Long LON CORP US N 2 2025-12-22 Variable 4.60000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -15000000.00000000 NC 328836.07000000 0.003968062707 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 15000000.00000000 EUR 17408970.00000000 USD 2022-01-14 328836.07000000 N N N CD&R FIREFLY 4 LTD N/A N/A 6000000.00000000 PA 6815846.99000000 0.082246781083 Long LON CORP GB N 2 2025-06-23 Variable 3.75000000 N N N N N N TTF HOLDINGS INTERMEDIATE LLC N/A N/A 1729750.00000000 PA USD 1729750.00000000 0.020872881945 Long LON CORP US N 2 2028-03-31 Variable 5.00000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -15133000.00000000 NC -21413.60000000 -0.00025839777 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Written N/A Foreign Exchange EUR/CHF -15133000 1.04350000 EUR 2022-01-18 XXXX 64021.54000000 N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -45475000.00000000 NC -349120.20000000 -0.00421283117 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 45475000.00000000 CAD 35624336.57000000 USD 2022-01-19 -349120.20000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -41.00000000 NC USD -9122.50000000 -0.00011008114 N/A DE US N 1 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Written Figs Inc. N/A -4100 50.00000000 USD 2022-12-16 XXXX 35177.94000000 N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 3092000.00000000 NC 2282.35000000 0.000027541102 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Purchased N/A Foreign Exchange EUR/USD 3092000 1.13000000 EUR 2022-01-06 XXXX -23876.97000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 2710000.00000000 NC 8151.61000000 0.000098365424 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1847206.00000000 USD 2710000.00000000 NZD 2022-01-06 8151.61000000 N N N Airplanes Pass Through Trust N/A 009451AP0 2097481.17860000 PA USD 209.75000000 0.000002531051 Long ABS-O CORP US Y 3 2019-03-15 Floating 1.25500000 Y N N N N N FENDER MUSICAL INSTRUMENTS CORP 549300G8G1R16J8L5Q60 N/A 3550000.00000000 PA USD 3545562.50000000 0.042784279515 Long LON CORP US N 3 2028-11-15 Variable 4.50000000 N N N N N N BROOKFIELD BUSINESS PARTNERS LP N/A N/A 8200000.00000000 PA 9323485.88000000 0.112506443180 Long LON CORP GB N 2 2028-10-06 Variable 4.50000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -2930000.00000000 NC -45143.25000000 -0.00054474330 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 2930000.00000000 AUD 2084079.70000000 USD 2022-01-06 -45143.25000000 N N N FIRST REPUBLIC BANK YWC0TIKBQM2JV8L4IV08 33616C696 725600.00000000 NS USD 18865600.00000000 0.227651071904 Long EP CORP US N 2 N N N MINISTRY BRANDS LLC N/A N/A 843071.51900000 PA USD 830425.45000000 0.010020738477 Long LON CORP US N 3 2022-12-02 Variable 5.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 9510000.00000000 NC 15908.50000000 0.000191967765 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 6494959.00000000 USD 9510000.00000000 NZD 2022-01-06 15908.50000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -2720000.00000000 NC USD 46383.09000000 0.000559704443 N/A DFE CA N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 2720000.00000000 USD 3497065.92000000 CAD 2022-01-07 46383.09000000 N N N ONEMAIN FINANCE CORP 5493008I795YYBFWFU90 682691AA8 11750000.00000000 PA USD 11554715.00000000 0.139430670389 Long DBT CORP US N 2 2030-09-15 Fixed 4.00000000 N N N N N N WW INTERNATIONAL INC SGT8R1MU6ESIC7UJC518 98262PAA9 7050000.00000000 PA USD 6748612.50000000 0.081435462932 Long DBT CORP US N 2 2029-04-15 Fixed 4.50000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 14370000.00000000 NC USD 151532.72000000 0.001828544341 N/A DFE JP N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1636268790.00000000 JPY 14370000.00000000 USD 2022-01-18 151532.72000000 N N N ALTICE EUROPE NV 5493001ZMCICV4N02J21 N/A 436500.00000000 PA USD 433881.00000000 0.005235639191 Long LON CORP FR N 2 2026-08-14 Variable 4.12000000 N N N N N N OCULUS INTERMEDIATE INC N/A N/A 12139000.00000000 PA USD 12136814.98000000 0.146454867044 Long LON CORP US N 2 2027-11-08 Variable 4.25000000 N N N N N N HIGGINBOTHAM INSURANCE AGENCY INC N/A N/A 2838707.36940000 PA USD 2804030.71000000 0.033836220251 Long LON CORP US N 3 2026-11-25 Variable 6.25000000 N N N N N N UNITED WHOLESALE MTGE LL 549300HW662MN1WU8550 913229AA8 7150000.00000000 PA USD 7015937.50000000 0.084661271960 Long DBT CORP US N 2 2029-04-15 Fixed 5.50000000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BT9 7600000.00000000 PA USD 7220000.00000000 0.087123692814 Long DBT CORP US N 2 2029-07-15 Fixed 3.75000000 N N N N N N JETBLUE AIRWAYS CORP N/A 477164AA5 10579253.40450000 PA USD 11410572.19000000 0.137691300043 Long DBT CORP US N 2 2032-11-15 Fixed 4.00000000 N N N N N N West CLO Ltd 254900Y23DE747A9HN36 95168RAC2 5300000.00000000 PA USD 872115.00000000 0.010523806005 Long ABS-O CORP KY N 2 2025-11-07 None 0.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06055H608 1002000.00000000 NS USD 25460820.00000000 0.307235548542 Long EP CORP US N 2 N N N IP Lending LLC N/A N/A 15347531.86000000 PA USD 15323016.33000000 0.184902737911 Long DBT CORP US N 3 2025-09-08 Fixed 4.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 7880000.00000000 NC 12314.39000000 0.000148597663 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 5382600.00000000 USD 7880000.00000000 NZD 2022-01-06 12314.39000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 32399050.00000000 NC 1592657.49000000 0.019218587523 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 8866735.08000000 USD 32399050.00000000 ILS 2022-01-31 1592657.49000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -3330000.00000000 NC -36996.88000000 -0.00044644110 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 3330000.00000000 CAD 2597226.35000000 USD 2022-01-05 -36996.88000000 N N N UNITED WHOLESALE MTGE LL 549300HW662MN1WU8550 91153LAA5 12600000.00000000 PA USD 12836250.00000000 0.154894944859 Long DBT CORP US N 2 2025-11-15 Fixed 5.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -15978000.00000000 NC -46670.53000000 -0.00056317298 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Written N/A Foreign Exchange EUR/AUD -15978000 1.58170000 EUR 2022-01-18 XXXX 138662.72000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -12470000.00000000 NC -113836.21000000 -0.00137366080 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 12470000.00000000 NZD 8423547.35000000 USD 2022-01-06 -113836.21000000 N N N FRONT RANGE TOPCO INC N/A N/A 6146447.37000000 PA USD 6059352.21000000 0.073118163517 Long LON CORP US N 2 2027-03-09 Variable 3.10000000 N N N N N N PAPA JOHN'S INTERNATIONA HZYLD3DK5XOX0WBVNB56 698813AA0 7025000.00000000 PA USD 6989875.00000000 0.084346775943 Long DBT CORP US N 2 2029-09-15 Fixed 3.87500000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -650000.00000000 NC -5389.83000000 -0.00006503904 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 650000.00000000 GBP 873640.30000000 USD 2022-01-05 -5389.83000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 4351000.00000000 OU Notional Amount USD -8661.14000000 -0.00010451391 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 U.S. Secured Overnight Financing Rate N/A Y 2031-12-11 227.14000000 USD 0.00000000 USD 4351000.00000000 USD -8888.28000000 N N N PAINT INTERMEDIATE III LLC N/A N/A 3864739.51000000 PA 3051037.26000000 0.036816846676 Long LON CORP US N 3 2024-06-14 Fixed 5.25000000 N N N N N N AESF VI VERDI N/A N/A 9025061.47740000 PA 10269895.28000000 0.123926759225 Long ABS-O CORP US N 3 2024-11-25 Variable 2.15000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -276000.00000000 NC -2363.07000000 -0.00002851515 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 276000.00000000 GBP 370886.65000000 USD 2022-01-05 -2363.07000000 N N N SERVICE CORP INTL 549300RKVM2ME20JHZ15 817565CF9 5275000.00000000 PA USD 5177781.75000000 0.062480258538 Long DBT CORP US N 2 2030-08-15 Fixed 3.37500000 N N N N N N ZEPHYR BIDCO LTD N/A N/A 20850000.00000000 PA 27832332.14000000 0.335852570036 Long LON CORP GB N 2 2025-07-23 Variable 4.93000000 N N N N N N JANE STREET GRP/JSG FIN N/A 47077WAA6 9650000.00000000 PA USD 9746500.00000000 0.117610951802 Long DBT CORP US N 2 2029-11-15 Fixed 4.50000000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AQ7 7325000.00000000 PA USD 7460512.50000000 0.090025955579 Long DBT CORP US N 2 2030-04-15 Fixed 4.62500000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -380000.00000000 OU Notional Amount 3890.85000000 0.000046950861 N/A DIR US N 2 London Clearing House F226TOH6YD6XJB17KS62 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Sterling Overnight Interbank Average Rate N/A Y 2025-12-09 0.00000000 GBP 163.23000000 GBP -380000.00000000 GBP 4057.79000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 8610000.00000000 NC 24270.07000000 0.000292866776 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 5870427.00000000 USD 8610000.00000000 NZD 2022-01-06 24270.07000000 N N N BSPRT Issuer, Ltd. N/A 05602CAJ3 1600000.00000000 PA USD 1599998.56000000 0.019307172166 Long ABS-O CORP KY N 2 2038-12-15 Floating 2.85000000 N N N N N N RECESS HOLDINGS INC N/A N/A 1062922.84860000 PA USD 1055280.43000000 0.012734062052 Long LON CORP US N 2 2024-09-30 Variable 4.75000000 N N N N N N ICEBOX HOLDCO III INC N/A N/A 10729999.97000000 PA USD 10709934.87000000 0.129236714082 Long LON CORP US N 2 2028-12-14 Variable 4.25000000 N N N N N N Argent Securities Inc. N/A 03076MAE4 34086911.89060000 PA USD 14532181.11000000 0.175359734480 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.34200000 N N N N N N Hull Street CDO Ltd 549300W5TZ4WI4ZLP434 444838AG1 5785000.00000000 PA USD 5683437.96000000 0.068582008719 Long ABS-O CORP KY N 2 2026-10-18 Floating 3.72200000 N N N N N N ATLAS MARA LTD N/A N/A 14400000.00000000 PA USD 9345600.00000000 0.112773294122 Long DBT CORP VG Y 3 2021-12-31 Fixed 8.00000000 Y N N N N Atlas Mara Ltd USD XXXX N N N IVC ACQUISITION LTD N/A N/A 3400000.00000000 PA 3871215.85000000 0.046713936361 Long LON CORP GB N 2 2026-02-13 Variable 4.00000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 15.00000000 NC USD 96150.00000000 0.001160241421 N/A DCO US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Purchased J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Commodity Exchange, Inc. N/A N/A 1.00000000 NC USD 0.00000000 0.00000000 DCO Long N/A Gold 100 oz. 2022-02-02 0.00000000 USD 1500 1770.00000000 USD 2022-01-26 XXXX 37193.32000000 N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -2155000.00000000 NC -5106.18000000 -0.00006161624 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 Put Written N/A Foreign Exchange EUR/CHF -2155000 1.03110000 EUR 2022-01-19 XXXX -573.68000000 N N N Federated Hermes U.S. Treasury 25490003NTA1P9CI5X97 60934N682 125759567.60000000 NS USD 125759567.60000000 1.517539880334 Long STIV RF US N 1 N N N VERTICAL TOPCO SARL N/A N/A 6484745.21000000 PA USD 6483837.35000000 0.078240422927 Long LON CORP DE N 2 2027-07-30 Variable 4.00000000 N N N N N N COBANK ACB P0J8I7M2E0A77CKF1705 19075QAD4 20000000.00000000 PA USD 20450000.00000000 0.246770016350 Long DBT CORP US N 2 N/A Variable 4.25000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A 2343000.00000000 NC 52288.09000000 0.000630960040 N/A DFE JP N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 189947010.00000000 JPY 2343000.00000000 AUD 2022-01-04 52288.09000000 N N N GLP CAPITAL LP / FIN II N/A 361841AL3 6950000.00000000 PA USD 7889640.00000000 0.095204234317 Long DBT CORP US N 2 2029-01-15 Fixed 5.30000000 N N N N N N CHCP 2021-FL1 Ltd. N/A 12546JAJ3 5500000.00000000 PA USD 5510617.75000000 0.066496588374 Long ABS-O CORP KY N 2 2038-02-15 Floating 3.16500000 N N N N N N TRINITY INDUSTRIES INC R1JB4KXN77XFCXOQKV49 896522AH2 1260000.00000000 PA USD 1328166.00000000 0.016026970441 Long DBT CORP US N 2 2024-10-01 Fixed 4.55000000 N N N N N N Residential Accredit Loans, In N/A 75116AAA8 14011657.80220000 PA USD 6761408.14000000 0.081589867836 Long ABS-MBS CORP US N 2 2047-02-25 Floating 0.25200000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 3725000.00000000 OU Notional Amount -47735.52000000 -0.00057602420 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 Sterling Overnight Interbank Average Rate N/A Y 2026-12-03 0.00000000 GBP 454.78000000 GBP 3725000.00000000 GBP -47271.11000000 N N N Diamond CLO 2018-1, LLC N/A 25256LAC5 11000000.00000000 PA USD 10999947.20000000 0.132736290972 Long ABS-O CORP KY N 2 2030-07-22 Floating 1.92800000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -1240000.00000000 NC -9084.29000000 -0.00010962006 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1240000.00000000 GBP 1667834.72000000 USD 2022-01-05 -9084.29000000 N N N AES CORP/THE 2NUNNB7D43COUIRE5295 00130HCC7 9760000.00000000 PA USD 10398304.00000000 0.125476266410 Long DBT CORP US N 2 2030-07-15 Fixed 3.95000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 7403000.00000000 NC 1608.84000000 0.000019413861 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased N/A Foreign Exchange GBP/USD 7403000 1.31050000 GBP 2022-01-19 XXXX -25142.97000000 N N N PROJECT ALPHA INTERMEDIATE HOLDING INC N/A N/A 43738.21000000 NS USD 4.37000000 0.000000052732 Long EC CORP US N 3 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MU2 12000000.00000000 PA USD 12090000.00000000 0.145889950986 Long DBT CORP US N 2 N/A Variable 4.00000000 N N N N N N EVERARC ESCROW SARL N/A 29977LAA9 11525000.00000000 PA USD 11533528.50000000 0.139175013032 Long DBT CORP LU N 2 2029-10-30 Fixed 5.00000000 N N N N N N CAPSTONE ACQUISITION HOLDINGS INC N/A N/A 1455264.72000000 PA USD 1453445.64000000 0.017538719038 Long LON CORP US N 2 2027-11-12 Variable 5.75000000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 94000.00000000 NC 726.35000000 0.000008764860 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 126394.93000000 USD 94000.00000000 GBP 2022-01-05 726.35000000 N N N WRENCH GROUP LLC N/A N/A 14961013.98340000 PA USD 14923611.45000000 0.180083121834 Long LON CORP US N 2 2026-04-30 Variable 4.22000000 N N N N N N 1011778 BC / NEW RED FIN N/A 68245XAM1 22200000.00000000 PA USD 21811500.00000000 0.263199227952 Long DBT CORP CA N 2 2030-10-15 Fixed 4.00000000 N N N N N N Western Asset High Income Oppo 549300S7N70O2ERKYG47 95766K109 376985.00000000 NS USD 1960322.00000000 0.023655192762 Long EC RF US N 1 N N N Freddie Mac Military Housing B 549300ZG8WH0M4JSUM77 35563CAT5 159878769.01260000 PA USD 10501991.87000000 0.126727467260 Long ABS-MBS USGSE US N 3 2052-11-25 Variable 0.70000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -149000.00000000 OU Notional Amount 10850.33000000 0.000130930861 N/A DIR US N 2 London Clearing House F226TOH6YD6XJB17KS62 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Sterling Overnight Interbank Average Rate N/A Y 2046-12-03 3.18000000 GBP 0.00000000 GBP -149000.00000000 GBP 10847.08000000 N N N INTEGRATED POWER SERVICES HOLDINGS INC N/A N/A -603963.40860000 PA USD -6039.63000000 -0.00007288017 Short LON CORP US N 3 2028-11-18 Variable 0.50000000 N N N N N N TEAM BLUE FINCO SARL N/A N/A 13243243.24000000 PA 15041574.36000000 0.181506579498 Long LON CORP LU N 2 2028-03-27 Variable 3.75000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -3405215.20000000 NC -62328.54000000 -0.00075211808 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 3405215.20000000 CAD 2631395.27000000 USD 2022-01-07 -62328.54000000 N N N GS Mortgage Securities Trust N/A 36253VAN9 16531000.00000000 PA USD 16485104.98000000 0.198925654056 Long ABS-MBS CORP US N 2 2032-07-15 Floating 2.76000000 N N N N N N UNITED AIRLINES HOLDINGS INC K1OQBWM7XEOO08LDNP29 N/A 25372500.00000000 PA USD 25407006.60000000 0.306586182596 Long LON CORP US N 2 2028-04-21 Variable 4.50000000 N N N N N N ONTARIO T-BILL C7PVKCRGLG18EBQGZV36 6832Z5GS3 45475000.00000000 PA 35966522.23000000 0.434007788692 Long DBT NUSS CA N 2 2022-01-19 None 0.00000000 N N N N N N KKR Acquisition Holdings I Cor N/A 48253T109 5062315.00000000 NS USD 49306948.10000000 0.594986620479 Long EC CORP US N 1 N N N Magnetite CLO Ltd 549300XSCWZTP19VRZ67 55955KAG9 8800000.00000000 PA USD 8694684.24000000 0.104918697900 Long ABS-O CORP KY N 2 2034-01-15 Floating 2.72400000 N N N N N N OMNITRACS HOLDINGS LLC N/A N/A -10805732.68800000 PA USD -1195376.83000000 -0.01442460439 Short LON CORP US N 3 2026-06-04 Variable 0.65707000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -3910000.00000000 NC -3555.18000000 -0.00004290033 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 3910000.00000000 AUD 2837831.08000000 USD 2022-01-06 -3555.18000000 N N N HILTON DOMESTIC OPERATIN 5493003EG7H0N1E4XV50 432833AN1 4150000.00000000 PA USD 4128171.00000000 0.049814612477 Long DBT CORP US N 2 2032-02-15 Fixed 3.62500000 N N N N N N JP Morgan Mortgage Acquisition N/A 46630BAE6 23247980.38330000 PA USD 14886851.21000000 0.179639536258 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.25200000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -94000.00000000 NC -772.45000000 -0.00000932114 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 94000.00000000 GBP 126348.83000000 USD 2022-01-05 -772.45000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -2710000.00000000 NC USD 33673.67000000 0.000406339955 N/A DFE CA N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 2710000.00000000 USD 3468358.27000000 CAD 2022-01-07 33673.67000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 3561000.00000000 NC USD 38411.01000000 0.000463505406 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased N/A Foreign Exchange USD/SEK 3561000 9.10400000 USD 2022-01-18 XXXX -795.60000000 N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -1874000.00000000 NC -1730.18000000 -0.00002087807 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Written N/A Foreign Exchange GBP/AUD -1874000 1.85050000 GBP 2022-01-06 XXXX 6965.65000000 N N N Diamond CLO 2018-1, LLC N/A 25256LAG6 5000000.00000000 PA USD 4990964.50000000 0.060225936003 Long ABS-O CORP KY N 2 2030-07-22 Floating 3.82800000 N N N N N N MAZART DEBT MERGER SUB INC N/A 62482BAA0 42100000.00000000 PA USD 41951387.00000000 0.506227112758 Long DBT CORP US N 2 2029-04-01 Fixed 3.87500000 N N N N N N FS Rialto Issuer Ltd N/A 30323CAJ9 36500000.00000000 PA USD 36461970.65000000 0.439986361538 Long ABS-O CORP KY N 2 2036-11-16 Floating 2.60800000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -2155000.00000000 NC -778.80000000 -0.00000939777 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Written N/A Foreign Exchange EUR/NZD -2155000 1.70700000 EUR 2022-01-14 XXXX 8693.87000000 N N N AMC NETWORKS INC 549300VGG9K75226LR46 00164VAF0 9600000.00000000 PA USD 9540000.00000000 0.115119117651 Long DBT CORP US N 2 2029-02-15 Fixed 4.25000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 2530000.00000000 NC 71868.35000000 0.000867234909 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased N/A Foreign Exchange GBP/USD 2530000 1.32600000 GBP 2022-01-03 XXXX 41855.05000000 N N N ADEVINTA ASA N/A N/A 3433000.00000000 PA 4001578.90000000 0.048287026434 Long DBT CORP NO N 2 2027-11-15 Fixed 3.00000000 N N N N N N PAINT INTERMEDIATE III LLC N/A N/A 2306764.27000000 PA USD 2302089.68000000 0.027779301123 Long LON CORP US N 3 2024-06-14 Variable 5.25000000 N N N N N N Whitehorse Ltd 549300UT33WDDDZEYN84 96525XAA9 4980000.00000000 PA USD 4494883.26000000 0.054239726922 Long ABS-O CORP KY N 2 2027-04-17 Floating 5.42200000 N N N N N N BP CAPITAL MARKETS PLC 549300CRVT18MXX0AG93 05565QDV7 39360000.00000000 PA USD 42508800.00000000 0.512953411786 Long DBT CORP US N 2 N/A Variable 4.87500000 N N N N N N JORDAN CO LP N/A N/A 27343375.00000000 PA USD 27275016.56000000 0.329127446575 Long LON CORP US N 3 2027-12-15 Variable 5.25000000 N N N N N N ATD New Holdings Inc 5493001F45YR8KICVO87 04683P100 42478.00000000 NS USD 3610630.00000000 0.043569448612 Long EC CORP US N 2 N N N ASTON FINCO SARL N/A N/A 12935000.00010000 PA 17153896.88000000 0.206995961542 Long LON CORP LU N 2 2026-10-09 Variable 4.99000000 N N N N N N PELICAN PRODUCTS INC 5493008CRWH2WFODTF44 N/A 12561221.76520000 PA USD 12498415.66000000 0.150818300086 Long LON CORP US N 2 2025-05-01 Variable 4.50000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A 172000.00000000 NC 3290.70000000 0.000039708855 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 229310.42000000 USD 172000.00000000 GBP 2022-01-14 3290.70000000 N N N Matterport Inc N/A 577096100 157800.00000000 NS USD 3256992.00000000 0.039302101178 Long EC CORP US N 1 N N N VECTOR PHOENIX HOLDINGS (CAYMAN) LP N/A N/A 37538.87590000 NS USD 10323.19000000 0.000124569866 Long EC CORP KY N 3 N N N SHERWOOD FINANCING PLC N/A N/A 15600000.00000000 PA 17737363.39000000 0.214036648105 Long DBT CORP GB N 2 2026-11-15 Fixed 4.50000000 N N N N N N SOLRR Aircraft 2021-1 Limited N/A 83438LAB7 6008324.39430000 PA USD 5997374.22000000 0.072370275517 Long ABS-O CORP IE N 2 2046-10-15 Fixed 3.43200000 N N N N N N PROJECT RUBY ULTIMATE PARENT CORP N/A N/A 17468000.00000000 PA USD 17438828.44000000 0.210434228814 Long LON CORP US N 2 2028-03-10 Variable 4.00000000 N N N N N N COBHAM ULTRA SENIORCO SARL N/A N/A 500000.00000000 PA USD 497970.00000000 0.006009000735 Long LON CORP LU N 2 2028-11-15 Variable 4.25000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -68295000.00000000 NC -2023997.27000000 -0.02442356182 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 68295000.00000000 GBP 90333523.32000000 USD 2022-01-14 -2023997.27000000 N N N LTI HOLDINGS INC N/A N/A 1451250.00000000 PA USD 1432108.01000000 0.017281237997 Long LON CORP US N 2 2025-09-08 Variable 3.60000000 N N N N N N SUPERIOR PLUS/GEN PRTNR N/A 86828LAC6 4800000.00000000 PA USD 4933632.00000000 0.059534105100 Long DBT CORP CA N 2 2029-03-15 Fixed 4.50000000 N N N N N N BRITISH TELECOMMUNICATIO 549300OWFMSO9NYV4H90 11102AAF8 4950000.00000000 PA USD 4968562.50000000 0.059955611215 Long DBT CORP GB N 2 2081-11-23 Variable 4.25000000 N N N N N N USI INC N/A N/A 10170637.89380000 PA USD 10092527.39000000 0.121786462055 Long LON CORP US N 2 2026-12-02 Variable 3.47000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 2530000.00000000 NC 38577.97000000 0.000465520111 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Purchased N/A Foreign Exchange GBP/CAD 2530000 1.69180000 GBP 2022-01-05 XXXX 12248.23000000 N N N ORION ADVISOR SOLUTIONS INC N/A N/A 21458966.56250000 PA USD 21479137.99000000 0.259188617749 Long LON CORP US N 2 2027-09-24 Variable 4.50000000 N N N N N N FRANCHISE GROUP INC N/A N/A 11827887.38000000 PA USD 11768747.94000000 0.142013404477 Long LON CORP US N 3 2023-11-22 Variable 4.95000000 N N N N N N Great Lakes CLO Ltd 254900GKX01S4T3NFH46 39055RAE2 1500000.00000000 PA USD 607500.00000000 0.007330698529 Long ABS-O CORP KY N 2 2029-10-15 None 0.00000000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 305000.00000000 NC USD -6809.16000000 -0.00008216608 N/A DFE CA N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 394167.10000000 CAD 305000.00000000 USD 2022-01-07 -6809.16000000 N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -3749000.00000000 NC -8567.00000000 -0.00010337793 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 3749000.00000000 GBP 5061408.31000000 USD 2022-01-05 -8567.00000000 N N N DISPATCH TERRA ACQUISITION LLC N/A N/A 10371185.78000000 PA USD 10345257.82000000 0.124836158503 Long LON CORP US N 2 2028-03-27 Variable 6.00000000 N N N N N N MINISTRY BRANDS LLC N/A N/A 936335.24540000 PA USD 922290.22000000 0.011129270057 Long LON CORP US N 3 2022-12-02 Variable 5.00000000 N N N N N N SBA COMMUNICATIONS CORP 5299001HX8ZN8Y8QIT49 78410GAE4 4200000.00000000 PA USD 4032000.00000000 0.048654117649 Long DBT CORP US N 2 2029-02-01 Fixed 3.12500000 N N N N N N MOLINA HEALTHCARE INC 549300NQQCEQ46YHZ591 60855RAJ9 1770000.00000000 PA USD 1823100.00000000 0.021999335785 Long DBT CORP US N 2 2028-06-15 Fixed 4.37500000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 13868000.00000000 NC 0.10000000 0.000000001206 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 Put Purchased N/A Foreign Exchange AUD/NZD 13868000 1.03210000 AUD 2022-01-04 XXXX -24079.69000000 N N N JAPAN (GOVERNMENT OF) N/A N/A 5889000000.00000000 PA 51166707.11000000 0.617428320299 Long DBT NUSS JP N 2 2022-01-06 None 0.00000000 N N N N N N QUIRCH FOODS HOLDINGS LLC N/A N/A 19708356.42000000 PA USD 19757627.31000000 0.238415159624 Long LON CORP US N 3 2027-10-27 Variable 5.50000000 N N N N N N Golub Capital Partners CLO Ltd 254900NUVOJAHAT10W61 38178GAG5 18100000.00000000 PA USD 18063497.73000000 0.217972109054 Long ABS-O CORP KY N 2 2033-08-26 Floating 3.95000000 N N N N N N GLOBAL ATLANTIC N/A 37959GAC1 22350000.00000000 PA USD 22668616.01000000 0.273542041243 Long DBT CORP US N 2 2051-10-15 Variable 4.70000000 N N N N N N VALKYR PURCHASER LLC N/A N/A 12437500.00000000 PA USD 12406406.25000000 0.149708023137 Long LON CORP US N 2 2027-11-05 Variable 4.75000000 N N N N N N FARMER MAC 549300MS654K78GYF580 313148850 378000.00000000 NS USD 10085077.80000000 0.121696567902 Long EP CORP US N 2 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 16.00000000 NC USD 8960.00000000 0.000108120261 N/A DCO US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Put Purchased J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Commodity Exchange, Inc. N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DCO Long N/A Gold 100 oz. 2022-02-02 0.00000000 USD 1600 1770.00000000 USD 2022-01-26 XXXX -58804.18000000 N N N Residential Accredit Loans, In N/A 75114NAB0 8168753.32230000 PA USD 2565623.26000000 0.030959359110 Long ABS-MBS CORP US N 2 2046-06-25 Floating 0.56200000 N N N N N N ILPEA PARENT INC N/A N/A 3465242.10700000 PA USD 3447915.90000000 0.041605978631 Long LON CORP US N 2 2028-06-22 Variable 5.25000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -2450000.00000000 NC -22010.91000000 -0.00026560550 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2450000.00000000 GBP 3291256.50000000 USD 2022-01-05 -22010.91000000 N N N ALLISON TRANSMISSION INC MWKQ3I0U1GXP2YDSZW75 019736AG2 2925000.00000000 PA USD 2851875.00000000 0.034413556986 Long DBT CORP US N 2 2031-01-30 Fixed 3.75000000 N N N N N N 1011778 BC / NEW RED FIN N/A 68245XAP4 500000.00000000 PA USD 494850.00000000 0.005971351715 Long DBT CORP CA N 2 2029-02-15 Fixed 3.50000000 N N N N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AP9 1300000.00000000 PA USD 1365819.00000000 0.016481328946 Long DBT CORP US N 2 2029-12-15 Fixed 5.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 62077000.00000000 NC USD 2642519.81000000 0.031887269277 N/A DIR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2036-12-03 0.00000000 USD 0.00000000 USD 0.00000000 USD 62077000 1.56500000 USD 2031-12-01 XXXX 39941.58000000 N N N Cerberus N/A 15674UAC0 9000000.00000000 PA USD 8999982.00000000 0.108602723975 Long ABS-O CORP KY N 2 2033-11-22 Floating 1.84900000 N N N N N N CLEARWAY ENERGY OP LLC 549300Z3NFMM54NWBB87 18539UAD7 13450000.00000000 PA USD 13416375.00000000 0.161895309443 Long DBT CORP US N 2 2031-02-15 Fixed 3.75000000 N N N N N N MB2 DENTAL SOLUTIONS LLC N/A N/A 7407867.08100000 PA USD 7282518.78000000 0.087878106523 Long LON CORP US N 3 2027-01-29 Variable 7.11000000 N N N N N N BOXER PARENT CO INC 5493006T045HLTF7YX04 103186AB8 225000.00000000 PA USD 235968.75000000 0.002847433364 Long DBT CORP US N 2 2025-10-02 Fixed 7.12500000 N N N N N N GS Mortgage Securities Trust N/A 36258PAL1 8256000.00000000 PA USD 8091532.22000000 0.097640466416 Long ABS-MBS CORP US N 2 2037-02-10 Variable 3.24600000 N N N N N N OMNITRACS HOLDINGS LLC N/A N/A 7950000.00000000 PA USD 7942527.00000000 0.095842421401 Long LON CORP US N 2 2028-06-02 Variable 4.50000000 N N N N N N MI WINDOWS AND DOORS LLC N/A N/A 3960000.00000000 PA USD 3973622.40000000 0.047949675531 Long LON CORP US N 2 2027-12-18 Variable 4.50000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 650000.00000000 NC 1550.15000000 0.000018705649 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 738683.40000000 USD 650000.00000000 EUR 2022-01-20 1550.15000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A -3373000.00000000 NC -56150.07000000 -0.00067756252 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written N/A Foreign Exchange AUD/JPY -3373000 81.83000000 AUD 2022-01-06 XXXX -43059.76000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -1810000.00000000 NC 6418.83000000 0.000077455979 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 1810000.00000000 EUR 1885183.78000000 CHF 2022-01-20 6418.83000000 N N N EQUITABLE HOLDINGS INC 549300FIBAKMNHPZ4009 29452EAA9 24550000.00000000 PA USD 25716125.00000000 0.310316312308 Long DBT CORP US N 2 N/A Variable 4.95000000 N N N N N N VB-S1 Issuer LLC N/A 91823AAS0 23700000.00000000 PA USD 25223706.18000000 0.304374297625 Long ABS-O CORP US N 2 2050-06-15 Fixed 6.65700000 N N N N N N Capmark Military Housing Trust N/A 14070AAA1 5582837.84030000 PA USD 6330023.20000000 0.076384348584 Long ABS-MBS CORP US N 3 2052-10-10 Fixed 6.06300000 N N N N N N Madison Park Funding Ltd N/A 55821UAG9 7500000.00000000 PA USD 7501299.75000000 0.090518135058 Long ABS-O CORP KY N 2 2033-04-19 Floating 3.12400000 N N N N N N OMNITRACS HOLDINGS LLC N/A N/A 7824840.91200000 PA USD 6959223.21000000 0.083976900993 Long LON CORP US N 3 2026-06-04 Variable 3.60000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1390000.00000000 NC 6668.64000000 0.000080470435 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 14253182.32000000 SEK 1390000.00000000 EUR 2022-01-18 6668.64000000 N N N NUSTAR LOGISTICS LP N62BF2PKP51FIIOIUN20 67059TAH8 19025000.00000000 PA USD 21117750.00000000 0.254827751236 Long DBT CORP US N 2 2030-10-01 Fixed 6.37500000 N N N N N N Venture CDO Ltd 5493002O60L75PP6F022 92328GBC9 8000000.00000000 PA USD 7997116.00000000 0.096501146507 Long ABS-O CORP KY N 2 2029-08-28 Floating 2.42600000 N N N N N N Morgan Stanley IXIS Real Estat N/A 617463AC8 17682305.48300000 PA USD 7709092.64000000 0.093025570504 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.25200000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -750000.00000000 NC -5393.50000000 -0.00006508332 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 750000.00000000 GBP 1008872.03000000 USD 2022-01-05 -5393.50000000 N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CF0 1700000.00000000 PA USD 1763750.00000000 0.021283159723 Long DBT CORP US N 2 2045-06-15 Fixed 4.62500000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -491000.00000000 OU Notional Amount USD 745.89000000 0.000009000649 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 U.S. Secured Overnight Financing Rate N/A Y 2023-12-15 276.51000000 USD 0.00000000 USD -491000.00000000 USD 469.38000000 N N N MSD Acquisition Corp N/A N/A 833026.00000000 NS USD 8246957.40000000 0.099515981048 Long EC CORP US N 1 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -2590000.00000000 NC -46853.76000000 -0.00056538401 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 2590000.00000000 CAD 2001986.53000000 USD 2022-01-05 -46853.76000000 N N N AB Private Credit Investors LL N/A 00085KAW3 7950000.00000000 PA USD 7949986.49000000 0.095932435018 Long ABS-O CORP US N 2 2031-10-20 Floating 2.67400000 N N N N N N PUBLIC STORAGE 549300LMZF40TKJ6DM64 74460W552 855064.00000000 NS USD 22898613.92000000 0.276317424520 Long EP CORP US N 2 N N N SIPCO HOLDINGS LTD 5493005G2MHUFTGARL57 N/A 5955000.00000000 PA 6756796.28000000 0.081534216552 Long LON CORP US N 2 2028-02-04 Variable 3.25000000 N N N N N N CROSS FINANCIAL CORP N/A N/A 4723762.50000000 PA USD 4745397.33000000 0.057262678567 Long LON CORP US N 2 2027-09-15 Variable 4.75000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 490924.32000000 NC 5297.57000000 0.000063925742 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 327335.57000000 USD 490924.32000000 NZD 2022-12-20 5297.57000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A -24362000.00000000 NC -380303.56000000 -0.00458912057 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written N/A Foreign Exchange NZD/JPY -24362000 77.05000000 NZD 2022-01-04 XXXX -150288.23000000 N N N LPL HOLDINGS INC 549300Z5YF8CCRMYUL26 50212YAF1 6350000.00000000 PA USD 6495319.75000000 0.078378980973 Long DBT CORP US N 2 2031-05-15 Fixed 4.37500000 N N N N N N TICP CLO Ltd N/A 87249FAC8 144132.81690000 PA USD 144071.34000000 0.001738507918 Long ABS-O CORP KY N 2 2028-04-20 Floating 0.97200000 N N N N N N Acres PLC N/A 00500JAG8 5250000.00000000 PA USD 5252420.25000000 0.063380920829 Long ABS-O CORP KY N 2 2037-01-15 Floating 2.74000000 N N N N N N Palmer Square Loan Funding Ltd N/A 69700PAE2 3000000.00000000 PA USD 2995693.20000000 0.036149010266 Long ABS-O CORP KY N 2 2027-01-20 Floating 2.03200000 N N N N N N CAPSTONE ACQUISITION HOLDINGS INC N/A N/A 24808947.43840000 PA USD 24777936.25000000 0.298995194793 Long LON CORP US N 2 2027-11-12 Variable 5.75000000 N N N N N N SCIL IV LLC / SCIL USA H N/A 78397UAA8 9800000.00000000 PA USD 10057250.00000000 0.121360770021 Long DBT CORP US N 2 2026-11-01 Fixed 5.37500000 N N N N N N BRE/EVERBRIGHT M6 BORROWER LLC N/A N/A 14433020.00000000 PA USD 14496236.63000000 0.174925992674 Long LON CORP US N 2 2026-09-09 Variable 5.75000000 N N N N N N GRAPHIC PACKAGING INTERN SO75N4VY5NXGQSK8YQ65 38869AAC1 390000.00000000 PA USD 387075.00000000 0.004670831495 Long DBT CORP US N 2 2029-03-01 Fixed 3.50000000 N N N N N N Diamond CLO 2019-1 LLC N/A 25257AAS3 1322000.00000000 PA USD 1317124.86000000 0.015893737077 Long ABS-O CORP KY N 2 2029-04-25 Floating 2.52400000 N N N N N N UNITED WHOLESALE MTGE LL 549300HW662MN1WU8550 913229AC4 4550000.00000000 PA USD 4561375.00000000 0.055042082314 Long DBT CORP US N 2 2027-06-15 Fixed 5.75000000 N N N N N N SPECTRUM BRANDS INC 549300VU3EH2E73C1Q04 84762LAW5 5600000.00000000 PA USD 6006000.00000000 0.072474362748 Long DBT CORP US N 2 2030-07-15 Fixed 5.50000000 N N N N N N American Home Mortgage Assets N/A 02660WAB2 7949772.56220000 PA USD 7506007.51000000 0.090574943568 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.29200000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 8996000.00000000 NC 6917.52000000 0.000083473668 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Purchased N/A Foreign Exchange EUR/SEK 8996000 10.17600000 EUR 2022-01-14 XXXX -22390.62000000 N N N CHG HEALTHCARE SERVICES INC N/A N/A 9200000.00000000 PA USD 9190800.00000000 0.110905323534 Long LON CORP US N 2 2028-09-29 Variable 4.00000000 N N N N N N HOWMET AEROSPACE INC 549300HO5WFZUT5N2T22 443201AA6 53000.00000000 PA USD 60934.63000000 0.000735297781 Long DBT CORP US N 2 2025-05-01 Fixed 6.87500000 N N N N N N VT TOPCO INC N/A N/A 4212765.96000000 PA USD 4204003.41000000 0.050729681673 Long LON CORP US N 2 2025-08-01 Variable 4.50000000 N N N N N N Ace Securities Corp. N/A 00442JAE4 11575114.20170000 PA USD 7174437.51000000 0.086573890545 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.48200000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 351000.00000000 NC USD -7768.84000000 -0.00009374654 N/A DFE CA N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 453530.20000000 CAD 351000.00000000 USD 2022-01-07 -7768.84000000 N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -24554000.00000000 NC -430200.70000000 -0.00519122903 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 24554000.00000000 EUR 27528839.87000000 USD 2022-01-14 -430200.70000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 9780000.00000000 NC 33426.14000000 0.000403353012 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 6662292.48000000 USD 9780000.00000000 NZD 2022-01-06 33426.14000000 N N N HILTON DOMESTIC OPERATIN 5493003EG7H0N1E4XV50 432833AH4 525000.00000000 PA USD 560920.50000000 0.006768624007 Long DBT CORP US N 2 2028-05-01 Fixed 5.75000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 4712000.00000000 OU Notional Amount USD -43918.20000000 -0.00052996063 N/A DIR US N 2 London Clearing House F226TOH6YD6XJB17KS62 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 U.S. Secured Overnight Financing Rate N/A Y 2028-12-06 0.00000000 USD 997.07000000 USD 4712000.00000000 USD -42921.13000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 33096000.00000000 NC USD 2335025.73000000 0.028176740223 N/A DIR FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 Call Purchased BNP Paribas R0MUWSFPU8MPRO8K5P83 BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2041-12-10 0.00000000 USD 0.00000000 USD 0.00000000 USD 33096000 1.64800000 USD 2031-12-08 XXXX -158757.87000000 N N N ARETEC GROUP INC N/A N/A 6313434.78180000 PA USD 6310783.14000000 0.076152178906 Long LON CORP US N 2 2025-10-01 Variable 4.35000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CDM0 19870000.00000000 PA USD 19793935.25000000 0.238853287299 Long DBT UST US N 2 2023-11-30 Fixed 0.50000000 N N N N N N CAST & CREW PAYROLL LLC N/A N/A 6592140.45080000 PA USD 6582713.69000000 0.079433563076 Long LON CORP US N 2 2026-02-09 Variable 3.60000000 N N N N N N ARDAGH METAL PACKAGING N/A 03969YAB4 950000.00000000 PA USD 941212.50000000 0.011357605086 Long DBT CORP US N 2 2029-09-01 Fixed 4.00000000 N N N N N N DXP ENTERPRISES INC N/A N/A 13150625.00000000 PA USD 13051995.31000000 0.157498342105 Long LON CORP US N 2 2027-12-23 Variable 5.75000000 N N N N N N Anchorage Credit Funding Ltd. 5493003NNQWXMTSTMF21 03330EAN4 14250000.00000000 PA USD 14273981.33000000 0.172244039422 Long ABS-O CORP KY N 2 2039-01-28 Fixed 3.47100000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -270000.00000000 NC -2929.24000000 -0.00003534711 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 270000.00000000 GBP 362206.35000000 USD 2022-01-05 -2929.24000000 N N N VT TopCo, Inc. N/A N/A -737234.04000000 PA USD -1533.45000000 -0.00001850413 Short LON CORP US N 3 2025-08-01 Variable 3.75000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -8891317.76000000 NC -149650.15000000 -0.00180582738 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 8891317.76000000 GBP 11874559.37000000 USD 2022-01-05 -149650.15000000 N N N ICEBOX HOLDCO III INC N/A N/A -2220000.03000000 PA USD -4151.40000000 -0.00005009491 Short LON CORP US N 3 2028-12-14 Variable 4.25000000 N N N N N N ENTRANS INTERNATIONAL LLC / ENTRANS FINANCE CORP N/A N/A 11099372.60550000 PA USD 10400112.13000000 0.125498085103 Long LON CORP US N 2 2024-11-01 Variable 6.10000000 N N N N N N BlackRock Corporate High Yield 97ZR60BLU36N5VJMH054 09255P107 2559831.00000000 NS USD 31588314.54000000 0.381175985110 Long EC RF US N 1 N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 750000.00000000 NC 6893.50000000 0.000083183819 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 1007372.03000000 USD 750000.00000000 GBP 2022-01-05 6893.50000000 N N N BC CYAN PARENT INC N/A N/A 2712500.00000000 PA USD 2631125.00000000 0.031749768179 Long LON CORP US N 2 2023-02-17 Variable 7.50000000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A -16632000.00000000 NC USD -98684.81000000 -0.00119082895 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Call Written N/A Foreign Exchange USD/SEK -16632000 9.01250000 USD 2022-01-04 XXXX 132599.78000000 N N N LoanCore 2019-CRE2 Issuer, Ltd N/A 53946JAC8 12850000.00000000 PA USD 12845546.19000000 0.155007121923 Long ABS-O CORP KY N 2 2036-05-15 Floating 1.61000000 N N N N N N DATIX BIDCO LIMITED N/A N/A 1000000.00000000 PA 1345960.84000000 0.016241700659 Long LON CORP GB N 3 2025-04-28 Variable 4.96000000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 3749000.00000000 NC 11003.85000000 0.000132783386 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 5058971.46000000 USD 3749000.00000000 GBP 2022-01-05 11003.85000000 N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -7363900.00000000 NC -194099.45000000 -0.00234219679 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 7363900.00000000 ILS 2183190.04000000 USD 2022-01-31 -194099.45000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 420000.00000000 NC USD -6673.36000000 -0.00008052739 N/A DFE CA N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 539370.30000000 CAD 420000.00000000 USD 2022-01-07 -6673.36000000 N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 064058AL4 19300000.00000000 PA USD 19368901.00000000 0.233724401782 Long DBT CORP US N 2 N/A Variable 3.75000000 N N N N N N RENT-A-CENTER INC 529900QUHE15UQNCCJ63 76009NAL4 4250000.00000000 PA USD 4430625.00000000 0.053464322918 Long DBT CORP US N 2 2029-02-15 Fixed 6.37500000 N N N N N N VIRGIN MEDIA SECURED FIN 213800X3RLP4NOTPY579 92769XAR6 10150000.00000000 PA USD 10214046.50000000 0.123252832362 Long DBT CORP US N 2 2030-08-15 Fixed 4.50000000 N N N N N N GLP CAPITAL LP / FIN II N/A 361841AQ2 22640000.00000000 PA USD 24156653.60000000 0.291498181116 Long DBT CORP US N 2 2031-01-15 Fixed 4.00000000 N N N N N N IQVIA INC 549300PLWY28YB00C717 449934AD0 1350000.00000000 PA USD 1385437.50000000 0.016718065258 Long DBT CORP US N 2 2026-10-15 Fixed 5.00000000 N N N N N N VIACOMCBS INC 5KYC8KF17ROCY24M3H09 92556HAC1 10340000.00000000 PA USD 13180886.67000000 0.159053673303 Long DBT CORP US N 2 2050-05-19 Fixed 4.95000000 N N N N N N CABLE ONE INC 549300648QS85T0XSH18 12685JAC9 12575000.00000000 PA USD 12323500.00000000 0.148707593960 Long DBT CORP US N 2 2030-11-15 Fixed 4.00000000 N N N N N N PACKERS HOLDINGS LLC N/A N/A 23010952.70460000 PA USD 22844123.30000000 0.275659886564 Long LON CORP US N 2 2028-03-09 Variable 4.00000000 N N N N N N EISNER ADVISORY GROUP N/A N/A 5454545.45000000 PA USD 5454545.45000000 0.065819964297 Long LON CORP US N 3 2028-07-28 Variable 6.00000000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 19584000.00000000 NC USD 2483114.11000000 0.029963721737 N/A DIR US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 Put Purchased Citibank, N.A. E57ODZWZ7FF32TWEFA76 Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2048-12-06 0.00000000 USD 0.00000000 USD 0.00000000 USD 19584000 1.39600000 USD 2028-12-04 XXXX 127158.91000000 N N N First NLC Trust N/A 32115BAD2 7201227.44370000 PA USD 4745549.84000000 0.057264518904 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.38200000 N N N N N N Long Beach Mortgage Loan Trust N/A 54251RAC7 2634603.27820000 PA USD 1331860.98000000 0.016071557741 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.30200000 N N N N N N FIRST AMERICAN FINANCIAL 549300B6VEZK3N0A1P55 31847RAG7 11760000.00000000 PA USD 12871678.44000000 0.155322459613 Long DBT CORP US N 2 2030-05-15 Fixed 4.00000000 N N N N N N BIB MERCHANT VOUCHER RECEIVABLES LTD N/A N/A 15300000.00000000 PA USD 15830115.32000000 0.191021898109 Long ABS-O CORP US N 3 2028-04-07 Fixed 4.18000000 N N N N N N Long Beach Mortgage Loan Trust N/A 54251UAD8 17404904.22640000 PA USD 6547883.35000000 0.079013265591 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.42200000 N N N N N N Cerberus 54930000UKAI7FBHXD27 15674PAE7 5900000.00000000 PA USD 5904851.57000000 0.071253805304 Long ABS-O CORP KY N 2 2033-07-23 Floating 2.92400000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CDB4 14820000.00000000 PA USD 14699587.50000000 0.177379826294 Long DBT UST US N 2 2024-10-15 Fixed 0.62500000 N N N N N N ARCLINE FM HOLDINGS LLC N/A N/A 21147000.00000000 PA USD 21094132.50000000 0.254542759017 Long LON CORP US N 2 2028-06-23 Variable 6.50000000 N N N N N N Cerberus N/A 15674RAG8 5150000.00000000 PA USD 5143379.68000000 0.062065128984 Long ABS-O CORP KY N 2 2033-09-22 Floating 2.73400000 N N N N N N ONEX CORPORATION N/A N/A 410981.31420000 PA USD 417146.03000000 0.005033698417 Long LON CORP US N 2 2024-04-01 Variable 7.50000000 N N Y N N N American Money Management Corp 5493004OOK6VXHQ8DQ60 001747AE4 5650000.00000000 PA USD 2829333.55000000 0.034141549456 Long ABS-O CORP KY N 2 2031-04-30 None 0.00000000 N N N N N N SPAIN (KINGDOM OF) N/A N/A 63304000.00000000 PA 72085412.12000000 0.869854196941 Long DBT NUSS ES N 2 2022-01-14 None 0.00000000 N N N N N N CERTARA HOLDCO INC N/A N/A 1612181.07680000 PA USD 1605135.85000000 0.019369163811 Long LON CORP US N 2 2026-08-17 Variable 3.60000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -1550000.00000000 NC -2960.26000000 -0.00003572143 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 1550000.00000000 EUR 1762212.05000000 USD 2022-01-20 -2960.26000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -15648000.00000000 NC -867.19000000 -0.00001046437 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Written N/A Foreign Exchange EUR/AUD -15648000 1.60140000 EUR 2022-01-06 XXXX 185304.97000000 N N N MADISON INDUSTRIES US HOLDINGS CORP 549300ZA0D9WN5ECE978 N/A 3576618.83000000 PA 4053949.24000000 0.048918978984 Long LON CORP US N 2 2025-03-31 Variable 3.50000000 N N N N N N ENDO INTERNATIONAL PLC N/A N/A 7691875.00000000 PA USD 7464964.69000000 0.090079680127 Long LON CORP LU N 2 2028-03-27 Variable 5.75000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -8051000.00000000 OU Notional Amount USD 26950.56000000 0.000325212231 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 U.S. Secured Overnight Financing Rate N/A Y 2041-12-10 0.00000000 USD 2449.54000000 USD -8051000.00000000 USD 29400.10000000 N N N GALLS N/A N/A 3194064.08450000 PA USD 3169427.82000000 0.038245464790 Long LON CORP US N 3 2025-01-31 Variable 7.75000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CY9 32030000.00000000 PA USD 37318184.07000000 0.450318283281 Long DBT CORP US N 2 2030-05-01 Fixed 5.15000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -2155000.00000000 NC -4210.96000000 -0.00005081362 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Written N/A Foreign Exchange EUR/NZD -2155000 1.64500000 EUR 2022-01-14 XXXX 5261.71000000 N N N FIRST REPUBLIC BANK YWC0TIKBQM2JV8L4IV08 33616C761 369600.00000000 NS USD 9354576.00000000 0.112881607455 Long EP CORP US N 2 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -240000.00000000 NC USD 2537.53000000 0.000030620357 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 240000.00000000 USD 306598.80000000 CAD 2022-01-07 2537.53000000 N N N BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A -14727362.73000000 PA USD -14727362.73000000 -0.17771498981 Short RA CORP US N 2 Reverse repurchase N -0.03000000 2022-01-03 14820000.00000000 USD 14699958.00000000 USD UST N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LBJ4 2800000.00000000 PA USD 3790879.71000000 0.045744520685 Long DBT CORP US N 2 2050-06-01 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 620000.00000000 NC 4924.11000000 0.000059419203 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 833535.40000000 USD 620000.00000000 GBP 2022-01-05 4924.11000000 N N N MSCI INC 549300HTIN2PD78UB763 55354GAL4 883000.00000000 PA USD 919423.75000000 0.011094680382 Long DBT CORP US N 2 2031-02-15 Fixed 3.87500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -990000.00000000 NC -3918.23000000 -0.00004728125 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 990000.00000000 NZD 673869.24000000 USD 2022-01-06 -3918.23000000 N N N NewStar Clarendon Fund CLO LLC 549300HC3VVP80NTKX35 32010AAE8 3470753.66120000 PA USD 3470841.12000000 0.041882617111 Long ABS-O CORP US N 2 2027-01-25 Floating 3.17400000 N N N N N N PROJECT ALPHA INTERMEDIATE HOLDING INC N/A N/A 176.81000000 NS USD 256511.43000000 0.003095321749 Long EC CORP US N 3 N N N CNO FINANCIAL GROUP INC 11XPYHB76MPM4Y4P2897 12621E301 324000.00000000 NS USD 8602200.00000000 0.103802691180 Long EP CORP US N 2 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -4160000.00000000 NC USD 47577.44000000 0.000574116657 N/A DFE CA N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 4160000.00000000 USD 5318921.92000000 CAD 2022-01-07 47577.44000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -4470000.00000000 NC -19676.24000000 -0.00023743305 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 4470000.00000000 EUR 5070852.93000000 USD 2022-01-20 -19676.24000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -3650000.00000000 NC -25622.43000000 -0.00030918569 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 3650000.00000000 EUR 4131073.65000000 USD 2022-01-20 -25622.43000000 N N N AMER AIRLINE 19-1AA PTT N/A 02377LAA2 1102459.56310000 PA USD 1113181.97000000 0.013432759556 Long DBT CORP US N 2 2032-02-15 Fixed 3.15000000 N N N N N N Diamond CLO 2019-1 LLC N/A 25257AAU8 5500000.00000000 PA USD 5499912.00000000 0.066367402159 Long ABS-O CORP KY N 2 2029-04-25 Floating 3.52400000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -980000.00000000 NC -892.82000000 -0.00001077365 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 980000.00000000 GBP 1324414.14000000 USD 2022-01-05 -892.82000000 N N N CAMIN CARGO CONTROL INC N/A N/A 6865500.00000000 PA USD 6831172.50000000 0.082431713912 Long LON CORP US N 3 2026-06-04 Variable 7.50000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 2110000.00000000 NC 8923.21000000 0.000107676316 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1524408.00000000 USD 2110000.00000000 AUD 2022-01-06 8923.21000000 N N N KAISER ALUMINUM CORP N/A 483007AL4 13250000.00000000 PA USD 13034687.50000000 0.157289488875 Long DBT CORP US N 2 2031-06-01 Fixed 4.50000000 N N N N N N GSAA Home Equity Trust N/A 362382AG8 8086648.42120000 PA USD 3154186.70000000 0.038061550294 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.58200000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -170000.00000000 NC -593.43000000 -0.00000716091 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 170000.00000000 GBP 229306.76000000 USD 2022-01-05 -593.43000000 N N N ZIGGO BV 213800TQASLF9JXH5J59 98955DAA8 5275000.00000000 PA USD 5410040.00000000 0.065282917322 Long DBT CORP NL N 2 2030-01-15 Fixed 4.87500000 N N N N N N Residential Accredit Loans, In N/A 75115FAD2 4761469.91260000 PA USD 4725949.82000000 0.057028005591 Long ABS-MBS CORP US N 2 2046-10-25 Floating 0.50200000 N N N N N N Residential Accredit Loans, In N/A 761118WA2 3266970.74610000 PA USD 948033.75000000 0.011439917065 Long ABS-MBS CORP US N 2 2046-02-25 Floating 0.78200000 N N N N N N NFP CORP VO2L9FZNXDJNQNEYH039 65342RAD2 12200000.00000000 PA USD 12231476.00000000 0.147597140953 Long DBT CORP US N 2 2028-08-15 Fixed 6.87500000 N N N N N N Castlelake Aircraft Structured N/A 14856CAA7 18396769.96280000 PA USD 18019236.97000000 0.217438014753 Long ABS-O CORP US N 2 2043-06-15 Fixed 4.12500000 N N N N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 064058AH3 4500000.00000000 PA USD 4800375.00000000 0.057926093752 Long DBT CORP US N 2 N/A Variable 4.70000000 N N N N N N CHECKERS HOLDINGS INC N/A N/A 3296186.09420000 PA USD 2795165.81000000 0.033729247561 Long LON CORP US N 2 2024-04-25 Variable 5.25000000 N N N N N N TDR CAPITAL LLP N/A N/A 7350000.00000000 PA 9869843.80000000 0.119099340630 Long DBT CORP GB N 2 2027-06-15 Fixed 5.50000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -6060000.00000000 NC -80248.83000000 -0.00096836210 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 6060000.00000000 CAD 4713569.01000000 USD 2022-01-12 -80248.83000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1790000.00000000 NC 5693.08000000 0.000068698359 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1295095.00000000 USD 1790000.00000000 AUD 2022-01-06 5693.08000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -9705000.00000000 NC -175565.94000000 -0.00211855305 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 9705000.00000000 CAD 7501652.22000000 USD 2022-01-05 -175565.94000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 5480000.00000000 NC USD 48316.10000000 0.000583030062 N/A DFE JP N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 625081077.00000000 JPY 5480000.00000000 USD 2022-01-18 48316.10000000 N N N ARCELORMITTAL 2EULGUTUI56JI9SAL165 03938LBA1 2450000.00000000 PA USD 2681763.78000000 0.032360826006 Long DBT CORP LU N 2 2026-03-11 Fixed 4.55000000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BQ5 2600000.00000000 PA USD 2645500.00000000 0.031923231210 Long DBT CORP US N 2 2029-11-15 Fixed 3.87500000 N N N N N N TRADER INTERACTIVE LLC N/A N/A 2000000.00000000 PA USD 1990000.00000000 0.024013316994 Long LON CORP US N 3 2028-07-28 Variable 4.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -2470000.00000000 NC -19781.85000000 -0.00023870745 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 2470000.00000000 EUR 2793105.64000000 USD 2022-01-20 -19781.85000000 N N N SITECORE HOLDING III A/S N/A N/A 2945709.33950000 PA USD 2908718.95000000 0.035099492559 Long LON CORP DK N 3 2026-03-12 Variable 7.50000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -2160000.00000000 NC 45108.58000000 0.000544324940 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 2160000.00000000 EUR 2504647.87000000 USD 2022-01-14 45108.58000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A -1733000.00000000 NC -305709.64000000 -0.00368899622 N/A DIR GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 0.00000000 OU Notional Amount 0.00000000 0.00000000 DIR Sterling Overnight Interbank Average Rate SONIA 2045-12-09 0.00000000 GBP 0.00000000 GBP 0.00000000 GBP -1733000 0.53500000 GBP 2025-12-09 XXXX -54149.93000000 N N N CIFC Funding Ltd 2549005S1LQJ8MBPXW05 12550YAU8 8100000.00000000 PA USD 8099906.04000000 0.097741513248 Long ABS-O CORP KY N 2 2030-04-20 Floating 3.23200000 N N N N N N LMRK Issuer Co. LLC N/A 50209LAB3 6686496.64970000 PA USD 6796006.09000000 0.082007361073 Long ABS-O CORP US Y 2 2048-06-15 Fixed 4.70000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -2750000.00000000 NC -9997.85000000 -0.00012064399 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 2750000.00000000 EUR 2846222.50000000 CHF 2022-01-20 -9997.85000000 N N N Falcon Aerospace Ltd N/A 30610GAA1 6574326.79110000 PA USD 6408645.21000000 0.077333079865 Long ABS-O CORP KY N 2 2039-09-15 Fixed 3.59700000 N N N N N N OCTAGON LOAN FUNDING LTD 549300HJJWTCMWFILG24 67590TAC5 19435737.00000000 PA USD 8185457.82000000 0.098773866018 Long ABS-O CORP KY N 2 2031-11-18 None 0.00000000 N N N N N N Wachovia Asset Securitization N/A 92976YAA0 801823.50110000 PA USD 775465.72000000 0.009357539775 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.24200000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -6770000.00000000 NC -26446.88000000 -0.00031913432 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 6770000.00000000 GBP 9129006.50000000 USD 2022-01-04 -26446.88000000 N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BE2 10900000.00000000 PA USD 12261904.86000000 0.147964325808 Long DBT CORP US N 2 2030-06-15 Fixed 4.62500000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -3749000.00000000 NC -9316.80000000 -0.00011242576 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 3749000.00000000 GBP 5060658.51000000 USD 2022-01-05 -9316.80000000 N N N LCPR SR SECURED FIN DAC 549300LE5FM8IKMXSP90 50201DAD5 16250000.00000000 PA USD 16331250.00000000 0.197069087018 Long DBT CORP IE N 2 2029-07-15 Fixed 5.12500000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -474000.00000000 OU Notional Amount USD -115.85000000 -0.00000139796 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 U.S. Secured Overnight Financing Rate N/A Y 2025-12-13 221.16000000 USD 0.00000000 USD -474000.00000000 USD -337.01000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -93378784.55000000 NC -40442.85000000 -0.00048802360 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 93378784.55000000 SEK 10286091.52000000 USD 2022-01-18 -40442.85000000 N N N NCR CORP 549300YKTY8JX1DV2R67 62886EAZ1 11425000.00000000 PA USD 11739187.50000000 0.141656698841 Long DBT CORP US N 2 2030-10-01 Fixed 5.25000000 N N N N N N CAB SELAS N/A N/A 4100000.00000000 PA 4656841.99000000 0.056194081858 Long DBT CORP FR N 2 2028-02-01 Fixed 3.37500000 N N N N N N ONTARIO T-BILL C7PVKCRGLG18EBQGZV36 6832Z5GQ7 66395000.00000000 PA 52519661.95000000 0.633754417511 Long DBT NUSS CA N 2 2022-01-05 None 0.00000000 N N N N N N NFM & J LLC N/A N/A -4261853.45000000 PA USD -46660.05000000 -0.00056304651 Short LON CORP US N 3 2027-11-23 Variable 1.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 750000.00000000 NC -4355.95000000 -0.00005256322 N/A DFE CH N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 782700.00000000 CHF 750000.00000000 EUR 2022-01-20 -4355.95000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 8761000.00000000 NC 4267.10000000 0.000051491067 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Purchased N/A Foreign Exchange EUR/USD 8761000 1.14660000 EUR 2022-01-06 XXXX -24553.28000000 N N N AfterNext HealthTech Acquisition Corp. N/A N/A 298533.00000000 NS USD 208853.69000000 0.002520236112 N/A DE US N 1 AfterNext HealthTech Acquisition Corp. N/A Call Purchased N/A AfterNext HealthTech Acquisition Corp. 298533 11.50000000 USD 2023-07-09 XXXX -62449.61000000 N N N WAMU Asset-Backed Certificates N/A 92926SAC0 19298683.76400000 PA USD 9199171.14000000 0.111006338025 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.29200000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -1010000.00000000 NC 1177.16000000 0.000014204782 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 1010000.00000000 EUR 1049761.00000000 CHF 2022-01-20 1177.16000000 N N N Residential Accredit Loans, In N/A 761118VY1 218985.97770000 PA USD 59431.41000000 0.000717158436 Long ABS-MBS CORP US N 2 2046-02-25 Floating 0.54200000 N N N N N N HOWMET AEROSPACE INC 549300HO5WFZUT5N2T22 022249AU0 434000.00000000 PA USD 514806.46000000 0.006212166188 Long DBT CORP US N 2 2028-01-15 Fixed 6.75000000 N N N N N N TRANSDIGM INC 88Q84GB3X55CF5OC7582 893647BK2 225000.00000000 PA USD 237368.25000000 0.002864321121 Long DBT CORP US N 2 2025-12-15 Fixed 8.00000000 N N N N N N Acropolis Infrastructure Acqui N/A 005029103 578278.00000000 NS USD 5603513.82000000 0.067617564644 Long EC CORP US N 1 N N N Pershing Square Tontine Holdings, Ltd. 549300ZDVEYEVCF35B08 71531R117 762770.00000000 NS USD 1006932.68000000 0.012150650068 N/A DE US N 1 Pershing Square Tontine Holdings, Ltd. 549300ZDVEYEVCF35B08 Call Purchased N/A Pershing Square Tontine Holdings, Ltd. 762770 23.00000000 USD 2025-07-24 XXXX -3324838.15000000 N N N PGT INNOVATIONS INC 549300LRW9WM59C1S579 69336VAB7 6000000.00000000 PA USD 6030000.00000000 0.072763970591 Long DBT CORP US N 2 2029-10-01 Fixed 4.37500000 N N N N N N Blue Whale Acquisition Corp. N/A SBP818W74 477700.00000000 NS USD 4628913.00000000 0.055857062918 Long EC CORP US N 1 N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -15086000.00000000 NC -50898.93000000 -0.00061419705 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Written N/A Foreign Exchange EUR/NZD -15086000 1.66200000 EUR 2022-01-04 XXXX 127780.11000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 4910000.00000000 NC USD 8956.94000000 0.000108083336 N/A DFE JP N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 564014646.00000000 JPY 4910000.00000000 USD 2022-01-18 8956.94000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -11750000.00000000 NC -66491.22000000 -0.00080234911 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 11750000.00000000 NZD 7977956.00000000 USD 2022-01-06 -66491.22000000 N N N Figs Inc N/A 30260D103 55695.00000000 NS USD 1534954.20000000 0.018522282299 Long EC CORP US N 1 N N N MERLIN BUYER INC N/A N/A 12000000.00000000 PA USD 11940000.00000000 0.144079901966 Long LON CORP US N 2 2028-12-10 Variable 4.50000000 N N N N N N American Home Mortgage Assets N/A 02660UAE0 5745563.75620000 PA USD 4667031.23000000 0.056317035351 Long ABS-MBS CORP US N 2 2046-10-25 Floating 1.02200000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 430000.00000000 NC USD -5219.58000000 -0.00006298463 N/A DFE CA N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 550173.82000000 CAD 430000.00000000 USD 2022-01-07 -5219.58000000 N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -47125000.00000000 NC -610510.61000000 -0.00736702754 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 47125000.00000000 CAD 36668160.89000000 USD 2022-01-14 -610510.61000000 N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -15086000.00000000 NC -40503.95000000 -0.00048876089 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Written N/A Foreign Exchange EUR/NZD -15086000 1.66200000 EUR 2022-01-04 XXXX 138175.09000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -180000000.00000000 OU Notional Amount USD -1240126.20000000 -0.01496459475 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 ICE LIBOR USD 3 Month N/A Y 2031-03-17 1555.37000000 USD 0.00000000 USD -180000000.00000000 USD -1241681.57000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 339000.00000000 OU Notional Amount USD -2713.84000000 -0.00003274788 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 U.S. Secured Overnight Financing Rate N/A Y 2055-12-11 0.00000000 USD 1768.43000000 USD 339000.00000000 USD -945.41000000 N N N Palmer Square Loan Funding Ltd N/A 69702BAG6 8300000.00000000 PA USD 8306240.77000000 0.100231353086 Long ABS-O CORP KY N 2 2029-07-20 Floating 2.67100000 N N N N N N LIBERTY MUTUAL GROUP INC QUR0DG15Z6FFGYCHH861 53079EBL7 36940000.00000000 PA USD 34723600.00000000 0.419009454265 Long DBT CORP US N 2 2061-02-01 Fixed 4.30000000 N N N N N N VB-S1 Issuer LLC N/A 91823AAQ4 5183000.00000000 PA USD 5357108.37000000 0.064644191689 Long ABS-O CORP US N 2 2050-06-15 Fixed 4.09000000 N N N N N N Ladder Capital Commercial Mort N/A 50202KAJ5 5750000.00000000 PA USD 5735340.95000000 0.069208321760 Long ABS-O CORP US N 2 2038-12-13 Floating 3.01000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 1380000.00000000 NC USD -15833.12000000 -0.00019105815 N/A DFE CA N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 1764513.54000000 CAD 1380000.00000000 USD 2022-01-07 -15833.12000000 N N N SERVICE LOGIC ACQUISITION INC N/A N/A -943880.59650000 PA USD -3539.55000000 -0.00004271172 Short LON CORP US N 3 2027-10-29 Variable 4.00000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 105181000.00000000 OU Notional Amount 92625.32000000 0.001117709131 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 Tel Aviv Interbank Offer Rate 3M N/A Y 2024-11-19 74.18000000 ILS 0.00000000 ILS 105181000.00000000 ILS 92551.82000000 N N N CCO HLDGS LLC/CAP CORP N/A 1248EPCL5 14265000.00000000 PA USD 14553581.09000000 0.175617967898 Long DBT CORP US N 2 2033-06-01 Fixed 4.50000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1350000.00000000 NC 269.22000000 0.000003248675 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1350000.00000000 EUR 13904019.90000000 SEK 2022-01-18 269.22000000 N N N LUMMUS TECHNOLOGY HOLDINGS V LLC N/A N/A 12022782.45560000 PA USD 11939344.35000000 0.144071990242 Long LON CORP US N 2 2027-06-30 Variable 3.60000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 1874000.00000000 NC 17973.62000000 0.000216887555 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2516337.86000000 USD 1874000.00000000 GBP 2022-01-05 17973.62000000 N N N ZAYO GROUP HOLDINGS INC 529900Z6OTS7RT0V0I47 98919VAA3 700000.00000000 PA USD 690039.00000000 0.008326696103 Long DBT CORP US N 2 2027-03-01 Fixed 4.00000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BB2 21250000.00000000 PA USD 20745312.50000000 0.250333550357 Long DBT CORP US N 2 2030-12-01 Fixed 4.12500000 N N N N N N MAMBA PURCHASER INC N/A N/A 2000000.00000000 PA USD 1996660.00000000 0.024093683170 Long LON CORP US N 2 2028-10-16 Variable 4.25000000 N N N N N N DYAL CAPITAL PARTNERS IV ISSUER B N/A N/A 3832500.00000000 PA USD 3757250.82000000 0.045338721089 Long DBT CORP US N 3 2041-02-22 Fixed 3.65000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -760000.00000000 NC -5327.44000000 -0.00006428618 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 760000.00000000 EUR 860176.40000000 USD 2022-01-20 -5327.44000000 N N N TEAM BLUE FINCO SARL N/A N/A 756756.76000000 PA 859518.53000000 0.010371804484 Long LON CORP LU N 2 2028-03-27 Variable 3.75000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 13681000.00000000 NC 13461.68000000 0.000162442004 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Purchased N/A Foreign Exchange AUD/CAD 13681000 0.90820000 AUD 2022-01-18 XXXX -12677.85000000 N N N Marathon CLO LTD 635400LRBGQZIPTCBI09 56576UAC3 5500000.00000000 PA USD 778250.00000000 0.009391137663 Long ABS-O CORP KY N 2 2027-11-21 None 0.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1790000.00000000 NC -11132.35000000 -0.00013433399 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1790000.00000000 EUR 18331807.07000000 SEK 2022-01-18 -11132.35000000 N N N PRINCESS JULIANA INTL N/A 741771AA7 1074272.24350000 PA USD 987062.82000000 0.011910880598 Long DBT CORP SX Y 2 2027-12-20 Fixed 5.50000000 N N N N N N BCPE EMPIRE HOLDINGS INC N/A N/A 16900000.00000000 PA USD 16836625.00000000 0.203167443840 Long LON CORP US N 2 2026-06-11 Variable 4.50000000 N N N N N N FT 1 INC 5493002GPK5LQJ7QPJ51 N/A 12773.00000000 NS USD 33912.12000000 0.000409217330 Long EC CORP US N 3 N N N BERKLEY (WR) CORPORATION SQOAGCLKBDWNVYV1OV80 084423870 878365.00000000 NS USD 22415874.80000000 0.270492214713 Long EP CORP US N 2 N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -230000.00000000 NC -929.37000000 -0.00001121470 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 230000.00000000 GBP 310112.06000000 USD 2022-01-05 -929.37000000 N N N Cerberus N/A 15674JAC5 14500000.00000000 PA USD 14677532.20000000 0.177113685133 Long ABS-O CORP KY N 2 2033-01-15 Floating 3.77400000 N N N N N N COGITAL MIDCO LIMITED N/A N/A 1000000.00000000 PA 1118510.93000000 0.013497064082 Long LON CORP NO N 3 2023-11-27 Variable 4.50000000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 19584000.00000000 NC USD 1839206.29000000 0.022193690281 N/A DIR US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 Call Purchased Citibank, N.A. E57ODZWZ7FF32TWEFA76 Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2048-12-06 0.00000000 USD 0.00000000 USD 0.00000000 USD 19584000 1.39600000 USD 2028-12-04 XXXX -516748.91000000 N N N TRITON WATER HOLDINGS INC N/A N/A 500000.00000000 PA USD 494090.00000000 0.005962180800 Long LON CORP US N 2 2028-03-31 Variable 4.00000000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 10167000.00000000 NC USD 42105.72000000 0.000508089448 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 Put Purchased N/A Foreign Exchange USD/CHF 10167000 0.90800000 USD 2022-01-20 XXXX 15570.32000000 N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A 3327000.00000000 NC USD 59021.51000000 0.000712212175 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Purchased N/A Foreign Exchange USD/CAD 3327000 1.28450000 USD 2022-01-14 XXXX 32289.06000000 N N N PERFORMANCE FOOD GROUP I 549300OMUOGBYK0FFO76 71376LAD2 304000.00000000 PA USD 317680.02000000 0.003833442725 Long DBT CORP US N 2 2025-05-01 Fixed 6.87500000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A -2905000.00000000 NC USD -27670.60000000 -0.00033390094 N/A DFE JP N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 2905000.00000000 USD 331124600.00000000 JPY 2022-01-18 -27670.60000000 N N N MATTERHORN BUYER LLC N/A N/A 5040044.89180000 PA USD 5013282.25000000 0.060495244146 Long LON CORP US N 2 2025-05-23 Variable 4.10000000 N N N N N N LEGENDS HOSPITALITY HOLD N/A 52473NAA6 2300000.00000000 PA USD 2311500.00000000 0.027892855393 Long DBT CORP US N 2 2026-02-01 Fixed 5.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 2910000.00000000 NC 15786.30000000 0.000190493178 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 3298182.36000000 USD 2910000.00000000 EUR 2022-01-20 15786.30000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -2624000.00000000 NC -3133.05000000 -0.00003780649 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 2624000.00000000 NZD 1774797.50000000 USD 2022-12-20 -3133.05000000 N N N SIRIUS XM RADIO INC WP5O65E6BMU84LNO4227 82967NBG2 8900000.00000000 PA USD 8900000.09000000 0.107396242920 Long DBT CORP US N 2 2030-07-01 Fixed 4.12500000 N N N N N N DURAN GROUP HOLDING GMBH N/A N/A 81857.90800000 PA 92257.89000000 0.001113275355 Long LON CORP DE N 3 2024-12-20 Variable 4.00000000 N N N N N N XPLORNET COMMUNICATIONS INC N/A N/A 20100000.00000000 PA USD 20058192.00000000 0.242042071774 Long LON CORP CA N 2 2028-10-02 Variable 4.50000000 N N N N N N SITECORE HOLDING III A/S N/A N/A 3653014.45160000 PA 4106491.53000000 0.049553006454 Long LON CORP DK N 3 2026-03-12 Variable 7.00000000 N N Y N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -1827000.00000000 NC USD -235178.55000000 -0.00283789802 N/A DIR US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Written JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2055-12-11 0.00000000 USD 0.00000000 USD 0.00000000 USD -1827000 1.46300000 USD 2025-12-09 XXXX 1911.24000000 N N N DENALI CAPITAL CLO XI LTD 254900ENG873HFQYVK56 24823DAW6 2500000.00000000 PA USD 2485514.25000000 0.029992684210 Long ABS-O CORP KY N 2 2028-10-20 Floating 2.28200000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -4171000.00000000 OU Notional Amount USD 23328.49000000 0.000281504736 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 U.S. Secured Overnight Financing Rate N/A Y 2061-12-11 0.00000000 USD 9277.76000000 USD -4171000.00000000 USD 32606.25000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 3561000.00000000 NC USD 46417.28000000 0.000560117014 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased N/A Foreign Exchange USD/JPY 3561000 113.75000000 USD 2022-01-14 XXXX 20137.10000000 N N N BRITISH TELECOMMUNICATIO 549300OWFMSO9NYV4H90 11102AAG6 28200000.00000000 PA USD 28386402.56000000 0.342538534173 Long DBT CORP GB N 2 2081-11-23 Variable 4.87500000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 62077000.00000000 NC USD 2271511.03000000 0.027410308753 N/A DIR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2036-12-03 0.00000000 USD 0.00000000 USD 0.00000000 USD 62077000 1.56500000 USD 2031-12-01 XXXX -331067.20000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 5205000.00000000 OU Notional Amount USD -42105.17000000 -0.00050808281 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 U.S. Secured Overnight Financing Rate N/A Y 2031-12-03 3226.33000000 USD 0.00000000 USD 5205000.00000000 USD -45331.50000000 N N N ARDAGH PKG FIN/HLDGS USA N/A 03969AAN0 11680000.00000000 PA USD 11942799.53000000 0.144113683876 Long DBT CORP IE N 2 2026-08-15 Fixed 4.12500000 N N N N N N Anchorage Credit Funding Ltd. 549300VR9XUOV1E0U888 03329TAJ3 9200000.00000000 PA USD 9178629.32000000 0.110758460018 Long ABS-O CORP KY N 2 2039-04-27 Fixed 3.12300000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1320000.00000000 NC USD 22065.66000000 0.000266266175 N/A DFE CA N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1320000.00000000 USD 1696544.52000000 CAD 2022-01-07 22065.66000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 20263190.00000000 NC 99364.89000000 0.001199035478 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 13773500.00000000 USD 20263190.00000000 NZD 2022-01-06 99364.89000000 N N N NEW ENTERPRISE STONE & L 549300O5DQ5Y61B8VF38 644274AG7 10350000.00000000 PA USD 11074500.52000000 0.133635925398 Long DBT CORP US N 2 2028-07-15 Fixed 9.75000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYU2 20500000.00000000 PA USD 20836968.75000000 0.251439565727 Long DBT CORP US N 2 N/A Variable 4.12500000 N N N N N N Morgan Stanley Capital Inc N/A 61750FAD2 4553706.59500000 PA USD 2106155.33000000 0.025414962602 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.30200000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -3200000.00000000 NC -37594.41000000 -0.00045365149 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 3200000.00000000 AUD 2287836.80000000 USD 2022-01-06 -37594.41000000 N N N AVANTOR FUNDING INC 5493003VM0XB4U8YD238 05352TAA7 8175000.00000000 PA USD 8522437.50000000 0.102840197614 Long DBT CORP US N 2 2028-07-15 Fixed 4.62500000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -40800000.00000000 NC 476029.31000000 0.005744242572 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 40800000.00000000 CAD 32751196.86000000 USD 2022-01-05 476029.31000000 N N N ALCOA NEDERLAND HOLDING 5493000UL1QLQLT1VQ42 013822AG6 4900000.00000000 PA USD 5047000.00000000 0.060902116015 Long DBT CORP NL N 2 2029-03-31 Fixed 4.12500000 N N N N N N BLUE RIBBON LLC (USA) N/A N/A 17380000.00000000 PA USD 17336550.00000000 0.209200035547 Long LON CORP US N 2 2028-05-08 Variable 6.75000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 7403000.00000000 NC 97914.13000000 0.001181529166 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased N/A Foreign Exchange GBP/USD 7403000 1.34450000 GBP 2022-01-19 XXXX 70280.39000000 N N N BILLIKEN BUYER INC N/A N/A 1107954.54550000 PA USD 1102691.76000000 0.013306174261 Long LON CORP US N 2 2028-11-15 Variable 4.25000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CDA6 -1825000.00000000 PA USD -1812167.97000000 -0.02186741905 Short DBT UST US N 2 2023-09-30 Fixed 0.25000000 N N N N N N AMER AIRLINE 17-1 AA PTT N/A 023761AA7 1157812.50000000 PA USD 1208090.28000000 0.014578017513 Long DBT CORP US N 2 2029-02-15 Fixed 3.65000000 N N N N N N GIBSON BRANDS INC 549300KU4ACNZQGB7J14 N/A 8300000.00000000 PA USD 8196250.00000000 0.098904095183 Long LON CORP US N 2 2028-08-11 Variable 5.75000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -2202000.00000000 NC -72.58000000 -0.00000087582 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Call Written N/A Foreign Exchange EUR/NZD -2202000 1.70450000 EUR 2022-01-06 XXXX 9832.57000000 N N N VENTURE GLOBAL LNG INC N/A N/A -1337281.91890000 PA USD -13372.82000000 -0.00016136973 Short LON CORP US N 3 2026-08-19 Variable 2.48000000 N N N N N N MARKEL CORP 549300SCNO12JLWIK605 570535AW4 32370000.00000000 PA USD 35485613.15000000 0.428204661966 Long DBT CORP US N 2 N/A Variable 6.00000000 N N N N N N NEW ENTERPRISE STONE & L 549300O5DQ5Y61B8VF38 644274AH5 10750000.00000000 PA USD 10900500.00000000 0.131536262260 Long DBT CORP US N 2 2028-07-15 Fixed 5.25000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAZ9 2025000.00000000 PA USD 2543283.18000000 0.030689781511 Long DBT CORP US N 2 2049-10-01 Fixed 4.87500000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -100000.00000000 NC -1603.70000000 -0.00001935183 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 100000.00000000 GBP 133631.70000000 USD 2022-01-05 -1603.70000000 N N N FIRSTDIGITAL COMMUNICATIONS LLC N/A N/A 10550000.00000000 PA USD 10465600.00000000 0.126288326802 Long LON CORP US N 2 2026-12-16 Variable 5.00000000 N N N N N N UNITED AIR 2019-1 AA PTT N/A 90931CAA6 1065293.90590000 PA USD 1163893.99000000 0.014044701170 Long DBT CORP US N 2 2031-08-25 Fixed 4.15000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -26351752.72000000 NC -133810.10000000 -0.00161468560 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 26351752.72000000 EUR 29876115.18000000 USD 2022-01-20 -133810.10000000 N N N AMER AIRLINE 16-1 AA PTT N/A 02376UAA3 2481417.29280000 PA USD 2519668.34000000 0.030404821391 Long DBT CORP US N 2 2028-01-15 Fixed 3.57500000 N N N N N N MAPS LTD N/A 56564RAA8 5307273.55970000 PA USD 5197431.04000000 0.062717366392 Long ABS-O CORP BM N 2 2043-05-15 Fixed 4.21200000 N N N N N N CD&R SMOKEY BUYER INC N/A 12510CAA9 400000.00000000 PA USD 420000.00000000 0.005068137255 Long DBT CORP US N 2 2025-07-15 Fixed 6.75000000 N N N N N N Flagship CLO N/A 338422AU2 8025000.00000000 PA USD 8024693.45000000 0.096833923416 Long ABS-O CORP KY N 2 2026-01-16 Floating 1.92200000 N N N N N N SHARP MIDCO LLC N/A N/A 3300000.00000000 PA USD 3291750.00000000 0.039721525736 Long LON CORP US N 2 2028-12-13 Variable 4.50000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -92228426.57000000 NC -2025603.48000000 -0.02444294395 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 92228426.57000000 ILS 27935310.18000000 USD 2022-08-01 -2025603.48000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 1424100000.00000000 NC USD 2762754.00000000 0.033338134462 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Purchased N/A 2Y-10 CMS CAP 1424100000 0.39500000 USD 2022-07-29 XXXX -655086.00000000 N N N ATKORE INC 52990002TI38AM4RPV48 047649AA6 7625000.00000000 PA USD 7815625.00000000 0.094311095796 Long DBT CORP US N 2 2031-06-01 Fixed 4.25000000 N N N N N N HARSCO CORP KAO98FK89NPNNPQGUZ43 415864AM9 3900000.00000000 PA USD 3973125.00000000 0.047943673408 Long DBT CORP US N 2 2027-07-31 Fixed 5.75000000 N N N N N N MAVIS TIRE EXPRESS SERVICES CORP N/A N/A 17356500.00000000 PA USD 17356500.00000000 0.209440772067 Long LON CORP US N 2 2028-05-04 Variable 4.75000000 N N N N N N CHARTER NEXT GENERATION INC N/A N/A 13018500.00000000 PA USD 13034773.13000000 0.157290522171 Long LON CORP US N 2 2027-12-01 Variable 4.50000000 N N N N N N HOLOGIC INC 549300DYP6F5ZJL0LB74 436440AP6 4350000.00000000 PA USD 4350000.00000000 0.052491421570 Long DBT CORP US N 2 2029-02-15 Fixed 3.25000000 N N N N N N Countrywide Alternative Loan T 549300QTQ6MX6ER06N64 126680AA5 8032398.93400000 PA USD 7691436.45000000 0.092812513375 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.46200000 N N N N N N Copper River CLO Ltd 5493005HHHXVM8NBWY47 217563AC9 8150000.00000000 PA USD 1630.00000000 0.000019669199 Long ABS-O CORP KY Y 2 2021-01-20 None 0.00000000 N N N N N N HOME POINT CAPITAL INC 549300DQF6YN0E43PM71 43734LAA4 33010000.00000000 PA USD 30616775.00000000 0.369452423830 Long DBT CORP US N 2 2026-02-01 Fixed 5.00000000 N N N N N N CATALOG INTERMEDIATE INC 4Q9DLX2VIFGJMOYJ4Y35 N/A 10374519.36640000 PA USD 10370162.07000000 0.125136677925 Long LON CORP US N 2 2026-12-04 Variable 4.25000000 N N N N N N MATCH GROUP HLD II LLC 549300BIJKT86CPCKK96 57665RAN6 7700000.00000000 PA USD 8011080.00000000 0.096669650004 Long DBT CORP US N 2 2028-06-01 Fixed 4.62500000 N N N N N N GLOVES BUYER INC N/A N/A 2686500.00000000 PA USD 2674760.00000000 0.032276311439 Long LON CORP US N 2 2027-12-29 Variable 4.75000000 N N N N N N PAR PHARMACEUTICAL INC 549300KK5WR4MGN4YT97 69888XAA7 1825000.00000000 PA USD 1865022.25000000 0.022505211301 Long DBT CORP US N 2 2027-04-01 Fixed 7.50000000 N N N N N N PPP INTERMEDIATE HOLDINGS LLC N/A N/A 573522.00000000 NS USD 728372.94000000 0.008789271506 Long EC CORP US N 3 N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 02156LAF8 8200000.00000000 PA USD 7998690.00000000 0.096520139954 Long DBT CORP FR N 2 2029-07-15 Fixed 5.12500000 N N N N N N SLM CORP N/A 78442PGE0 10000000.00000000 PA USD 9900000.00000000 0.119463235299 Long DBT CORP US N 2 2026-11-02 Fixed 3.12500000 N N N N N N QORVO INC 254900YAUJV2EUEVBR11 74736KAJ0 9225000.00000000 PA USD 9390496.50000000 0.113315059894 Long DBT CORP US N 2 2031-04-01 Fixed 3.37500000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A -2155000.00000000 NC -18216.28000000 -0.00021981573 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Written N/A Foreign Exchange EUR/AUD -2155000 1.57400000 EUR 2022-01-06 XXXX -8765.80000000 N N N TREEHOUSE FOODS INC 5493007M7EVHE470Q576 89469AAD6 7575000.00000000 PA USD 7272000.00000000 0.087751176474 Long DBT CORP US N 2 2028-09-01 Fixed 4.00000000 N N N N N N ADEVINTA ASA N/A N/A 2600000.00000000 PA 2966498.18000000 0.035796714150 Long LON CORP NO N 2 2028-06-26 Variable 3.00000000 N N N N N N Atlas Senior Loan Fund LTD N/A 04941WAC7 9600000.00000000 PA USD 1624320.00000000 0.019600658824 Long ABS-O CORP KY N 2 2028-04-20 None 0.00000000 N N N N N N WR GRACE HOLDING LLC N/A 92943GAD3 13350000.00000000 PA USD 13712185.50000000 0.165464852813 Long DBT CORP US N 2 2027-06-15 Fixed 4.87500000 N N N N N N LAMAR MEDIA CORP N/A 513075BT7 8600000.00000000 PA USD 8724700.00000000 0.105280897880 Long DBT CORP US N 2 2030-02-15 Fixed 4.00000000 N N N N N N IMAGEFIRST HOLDINGS LLC N/A N/A -662962.96220000 PA USD -2486.11000000 -0.00002999987 Short LON CORP US N 3 2028-04-27 Variable 4.50000000 N N N N N N ENERSYS 7ZS3DE5PN30BYUJFWP05 29275YAB8 1900000.00000000 PA USD 1957000.00000000 0.023615106210 Long DBT CORP US N 2 2023-04-30 Fixed 5.00000000 N N N N N N API HEAT TRANSFER THERMASYS CORP N/A N/A 1177125.15350000 PA USD 382565.67000000 0.004616417439 Long LON CORP US N 3 2024-01-01 Variable 6.00000000 N N Y N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 2811500.00000000 NC 8434.39000000 0.000101777729 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 3793709.00000000 USD 2811500.00000000 GBP 2022-01-05 8434.39000000 N N N WASTE PRO USA INC 549300BY1QXU5BI3UF28 94107JAA1 600000.00000000 PA USD 597000.00000000 0.007203995098 Long DBT CORP US N 2 2026-02-15 Fixed 5.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 5350000.00000000 NC 45848.67000000 0.000553255601 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 6046842.85000000 USD 5350000.00000000 EUR 2022-01-20 45848.67000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -530000.00000000 NC USD 6531.96000000 0.000078821118 N/A DFE CA N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 530000.00000000 USD 678245.77000000 CAD 2022-01-07 6531.96000000 N N N FUGUE FINANCE BV N/A N/A 12545689.89000000 PA 14082051.30000000 0.169928021004 Long LON CORP NL N 2 2024-08-30 Variable 3.25000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 33096000.00000000 NC USD 2472215.60000000 0.029832209488 N/A DIR FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 Put Purchased BNP Paribas R0MUWSFPU8MPRO8K5P83 BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2041-12-10 0.00000000 USD 0.00000000 USD 0.00000000 USD 33096000 1.64800000 USD 2031-12-08 XXXX -21568.00000000 N N N RATTLER MIDSTREAM LP 549300I45NRVEEN9M219 75419TAA1 5550000.00000000 PA USD 5772000.00000000 0.069650686277 Long DBT CORP US N 2 2025-07-15 Fixed 5.62500000 N N N N N N NFM & J LLC N/A N/A 4261853.45000000 PA USD 4219234.92000000 0.050913480205 Long LON CORP US N 2 2027-11-23 Variable 6.75000000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 912796D30 7400000.00000000 PA USD 7399706.08000000 0.089292204906 Long DBT UST US N 2 2022-02-24 None 0.00000000 N N N N N N ABPCI Direct Lending Fund CLO N/A 00086ABC7 5550000.00000000 PA USD 5590629.33000000 0.067462087587 Long ABS-O CORP KY N 2 2033-07-20 Floating 3.13200000 N N N N N N MCGRAW-HILL EDUCATION N/A 57767XAA8 4250000.00000000 PA USD 4207500.00000000 0.050771875002 Long DBT CORP US N 2 2028-08-01 Fixed 5.75000000 N N N N N N ARCOSA INC 549300WFHLTCZV7D6V29 039653AA8 9400000.00000000 PA USD 9529250.00000000 0.114989397472 Long DBT CORP US N 2 2029-04-15 Fixed 4.37500000 N N N N N N Hotwire Funding LLC N/A 44148JAC3 8500000.00000000 PA USD 8518830.90000000 0.102796676795 Long ABS-O CORP US N 2 2051-11-20 Fixed 4.45900000 N N N N N N ONEAMERICA FINL PARTNERS 5493009S1SVD6UNUDB08 682441AB6 11550000.00000000 PA USD 12521366.09000000 0.151095242775 Long DBT CORP US N 2 2050-10-15 Fixed 4.25000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 14.00000000 NC USD 28980.00000000 0.000349701470 N/A DCO US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Purchased J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Commodity Exchange, Inc. N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DCO Long N/A Gold 100 oz. 2022-02-02 0.00000000 USD 1400 1835.00000000 USD 2022-01-26 XXXX 4652.85000000 N N N MINISTRY BRANDS LLC N/A N/A 180729.53360000 PA USD 178018.59000000 0.002148149162 Long LON CORP US N 3 2022-12-02 Variable 5.00000000 N N N N N N Western Asset Institutional U.S. Treasury Reserves Institutional Shares N/A N/A 9489564.07000000 NS USD 9489564.07000000 0.114510507614 Long STIV RF US N 1 N N N MINISTRY BRANDS LLC N/A N/A 497976.13070000 PA USD 490506.49000000 0.005918938609 Long LON CORP US N 3 2022-12-02 Variable 5.00000000 N N N N N N HAWAIIAN BRAND INTELLECT N/A 41984LAA5 6495000.00000000 PA USD 6795393.75000000 0.081999971970 Long DBT CORP KY N 2 2026-01-20 Fixed 5.75000000 N N N N N N ABPCI Direct Lending Fund CLO N/A 000806AN9 11550000.00000000 PA USD 11549967.66000000 0.139373384269 Long ABS-O CORP KY N 2 2031-11-18 Floating 2.62400000 N N N N N N APRO LLC N/A N/A 3275250.00030000 PA USD 3271155.94000000 0.039473017349 Long LON CORP US N 2 2026-11-14 Variable 4.50000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A -6522000.00000000 NC USD -238367.36000000 -0.00287637737 N/A DIR GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2033-12-18 0.00000000 USD 0.00000000 USD 0.00000000 USD -6522000 1.46400000 USD 2023-12-14 XXXX 19577.74000000 N N N EQT VII NO1 LP N/A N/A 3765878.95600000 PA USD 3718589.38000000 0.044872193745 Long LON CORP US N 3 2026-03-12 Variable 7.50000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -4110000.00000000 NC -40906.19000000 -0.00049361472 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 4110000.00000000 EUR 4639647.48000000 USD 2022-01-20 -40906.19000000 N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 3749000.00000000 NC 12503.45000000 0.000150879049 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 5057471.86000000 USD 3749000.00000000 GBP 2022-01-05 12503.45000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -2890700.00000000 NC -76777.75000000 -0.00092647660 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2890700.00000000 ILS 856427.58000000 USD 2022-01-31 -76777.75000000 N N N HARBOURVEST STRUCTURED SOLUTIONS IV HOLDINGS LP N/A N/A 23234291.80180000 PA USD 23235699.80000000 0.280385037630 Long ABS-O CORP US N 3 2026-09-15 Variable 2.58000000 N N N N N N NIELSEN FINANCE LLC/CO N/A 65409QBH4 2550000.00000000 PA USD 2508537.00000000 0.030270499584 Long DBT CORP US N 2 2029-07-15 Fixed 4.50000000 N N N N N N Structured Asset Securities Co N/A 86365DAA7 22291242.93570000 PA USD 22220677.78000000 0.268136773549 Long ABS-MBS CORP US N 2 2037-11-25 Floating 0.73300000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -9980000.00000000 NC -85231.73000000 -0.00102849072 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 9980000.00000000 AUD 7167206.86000000 USD 2022-01-06 -85231.73000000 N N N CLEARWATER PAPER CORP 549300HCVV19GXN4P292 18538RAJ2 5439000.00000000 PA USD 5534182.50000000 0.066780944059 Long DBT CORP US N 2 2028-08-15 Fixed 4.75000000 N N N N N N PACTIV EVERGREEN GROUP N/A 76174LAA1 11150000.00000000 PA USD 10843375.00000000 0.130846935258 Long DBT CORP US N 2 2027-10-15 Fixed 4.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 880000.00000000 NC USD -14521.79000000 -0.00017523434 N/A DFE CA N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 1130791.20000000 CAD 880000.00000000 USD 2022-01-07 -14521.79000000 N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DH5 4700000.00000000 PA USD 6204023.50000000 0.074863911028 Long DBT CORP US N 2 2039-06-15 Fixed 7.95000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 32399050.00000000 NC 1674400.70000000 0.020204982303 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 8784991.87000000 USD 32399050.00000000 ILS 2022-01-31 1674400.70000000 N N N PARKLAND CORP 549300XHQS1JYWBNK868 70137WAL2 20000000.00000000 PA USD 19875000.00000000 0.239831495108 Long DBT CORP CA N 2 2030-05-01 Fixed 4.62500000 N N N N N N NIDDA MIDCO SARL N/A N/A 11387239.10000000 PA 12832552.49000000 0.154850327030 Long LON CORP DE N 2 2026-08-21 Variable 3.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 15559000.00000000 NC 2967775.56000000 0.035812128286 N/A DIR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 0.00000000 OU Notional Amount 0.00000000 0.00000000 DIR Sterling Overnight Interbank Average Rate SONIA 2046-12-03 0.00000000 GBP 0.00000000 GBP 0.00000000 GBP 15559000 0.49600000 GBP 2026-12-03 XXXX 501102.32000000 N N N Commodity Exchange, Inc. N/A N/A 571.00000000 NC USD -663514.08000000 -0.00800662006 N/A DCO US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Long N/A Silver 2022-03-29 67242114.08000000 USD -663514.08000000 N N N TRANSCENDIA HOLDINGS INC N/A N/A 563475.33880000 PA USD 499802.63000000 0.006031115069 Long LON CORP US N 2 2024-05-30 Variable 4.50000000 N N N N N N BIFM CA BUYER INC N/A N/A 18038858.17740000 PA USD 17858469.60000000 0.215498035950 Long LON CORP CA N 2 2026-06-01 Variable 3.60000000 N N N N N N ADVENT INTERNATIONAL CORP N/A N/A 3398758.62000000 PA USD 3393796.43000000 0.040952919340 Long LON CORP US N 2 2028-06-08 Variable 4.50000000 N N N N N N TSG ENTERTAINMENT FINANCE LLC TSGE_17-1 N/A N/A 42550000.00000000 PA USD 43332996.59000000 0.522898986651 Long ABS-O CORP US N 3 2031-09-25 Fixed 6.25000000 N N N N N N TRANSMONTAIGNE PARTNERS LLC N/A N/A 10600000.00000000 PA USD 10639750.00000000 0.128389793714 Long LON CORP US N 2 2028-11-17 Variable 4.00000000 N N N N N N Taco Bell Funding, LLC N/A 87342RAC8 2697875.00000000 PA USD 2814835.97000000 0.033966607253 Long ABS-O CORP US N 2 2046-05-25 Fixed 4.97000000 N N N N N N BROOKFIELD BUSINESS PARTNERS LP N/A N/A 9000000.00000000 PA 10322745.90000000 0.124564507311 Long DBT CORP GB N 2 2028-10-30 Fixed 4.75000000 N N N N N N Nassau 2019 CFO LLC N/A 63172DAA9 16889388.69940000 PA USD 17067561.62000000 0.205954154524 Long ABS-O CORP US N 2 2034-08-15 Fixed 3.98000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -4290000.00000000 NC -45100.10000000 -0.00054422261 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 4290000.00000000 EUR 4840441.32000000 USD 2022-01-20 -45100.10000000 N N N ROMULUS INTERMEDIATE HOLDINGS 2 INC N/A N/A 6450632.92140000 PA USD 6442569.63000000 0.077742445620 Long LON CORP US N 2 2025-02-14 Variable 4.25000000 N N N N N N HGI CRE CLO Ltd N/A 40390JAJ1 1200000.00000000 PA USD 1190993.76000000 0.014371713918 Long ABS-O CORP KY N 2 2036-09-17 Floating 2.55800000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A 120000.00000000 NC USD -1597.83000000 -0.00001928100 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 153715.38000000 CAD 120000.00000000 USD 2022-01-07 -1597.83000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -470000.00000000 NC -2214.81000000 -0.00002672609 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 470000.00000000 AUD 339332.90000000 USD 2022-01-06 -2214.81000000 N N N EISNER ADVISORY GROUP N/A N/A 527272.73000000 PA USD 527272.73000000 0.006362596586 Long LON CORP US N 3 2028-07-28 Variable 7.50000000 N N N N N N Castlelake Aircraft Securitiza N/A 14855JAB1 7089540.72880000 PA USD 7020607.71000000 0.084717627353 Long ABS-O CORP US N 2 2041-08-15 Fixed 4.45000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 8320000.00000000 NC 108882.27000000 0.001313881640 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 5587271.00000000 USD 8320000.00000000 NZD 2022-01-06 108882.27000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 9160000.00000000 NC 33587.94000000 0.000405305452 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 6237657.72000000 USD 9160000.00000000 NZD 2022-01-06 33587.94000000 N N N FINASTRA GROUP HOLDINGS LTD N/A N/A 1891921.89600000 PA USD 1882159.58000000 0.022712007351 Long LON CORP US N 2 2024-06-13 Variable 4.50000000 N N N N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BF9 8150000.00000000 PA USD 8535122.63000000 0.102993268995 Long DBT CORP US N 2 2032-10-15 Fixed 3.50000000 N N N N N N GREENWAY HEALTH LLC (DELAWARE) N/A N/A 3463979.84950000 PA USD 3302315.91000000 0.039849024503 Long LON CORP US N 2 2024-02-16 Variable 4.75000000 N N N N N N EISNER ADVISORY GROUP N/A N/A -18181.82000000 PA USD 0.00000000 0.000000 Short LON CORP US N 3 2028-07-28 Variable 5.25000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -547000.00000000 OU Notional Amount USD 400.52000000 0.000004833072 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 U.S. Secured Overnight Financing Rate N/A Y 2023-12-13 385.92000000 USD 0.00000000 USD -547000.00000000 USD 14.60000000 N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AH0 6552000.00000000 PA USD 6311476.08000000 0.076160540609 Long DBT CORP US N 2 2031-01-15 Fixed 3.37500000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -780000.00000000 NC -14110.40000000 -0.00017027010 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 780000.00000000 CAD 602914.86000000 USD 2022-01-05 -14110.40000000 N N N Long Beach Mortgage Loan Trust N/A 54251RAD5 4551217.32160000 PA USD 2327687.79000000 0.028088193349 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.40200000 N N N N N N JP Morgan Mortgage Acquisition N/A 46629VAD7 6021632.02220000 PA USD 5560896.48000000 0.067103301481 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.42300000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 14.00000000 NC USD 1680.00000000 0.000020272549 N/A DCO US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Put Purchased J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Commodity Exchange, Inc. N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DCO Long N/A Gold 100 oz. 2022-02-02 0.00000000 USD 1400 1700.00000000 USD 2022-01-26 XXXX -22012.48000000 N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -3400000.00000000 NC -25427.36000000 -0.00030683178 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 3400000.00000000 CAD 2664177.38000000 USD 2022-01-20 -25427.36000000 N N N WILTON RE FINANCE LLC 54930013IJH3HK0K5051 97263BAA1 11815000.00000000 PA USD 12150780.65000000 0.146623390692 Long DBT CORP US N 2 2033-03-30 Variable 5.87500000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -920000.00000000 NC -4465.54000000 -0.00005388564 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 920000.00000000 EUR 1043249.64000000 USD 2022-01-20 -4465.54000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828WJ5 2000000.00000000 PA USD 2077656.24000000 0.025071064269 Long DBT UST US N 2 2024-05-15 Fixed 2.50000000 N N N N N N AMERICAN EQUITY INVESTME 549300RK5RZQ740FPL83 025676AM9 4813000.00000000 PA USD 5449828.24000000 0.065763041755 Long DBT CORP US N 2 2027-06-15 Fixed 5.00000000 N N N N N N TENEO HOLDINGS LLC N/A N/A 10825506.51750000 PA USD 10843585.11000000 0.130849470654 Long LON CORP US N 2 2025-07-11 Variable 6.25000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599ED3 3600000.00000000 PA USD 4455000.00000000 0.053758455884 Long DBT CORP US N 2 2030-09-01 Fixed 6.62500000 N N N N N N VALCOUR PACKAGING LLC N/A N/A 6300000.00000000 PA USD 6292125.00000000 0.075927031253 Long LON CORP US N 3 2028-10-04 Variable 4.25000000 N N N N N N MIDWEST CONNECTOR CAPIT N/A 59833CAC6 18763000.00000000 PA USD 20195453.92000000 0.243698410466 Long DBT CORP US N 2 2029-04-01 Fixed 4.62500000 N N N N N N MidOcean Credit CLO 5493004MLF21SFT7F415 59801WAT3 21000000.00000000 PA USD 20877166.80000000 0.251924635334 Long ABS-O CORP KY N 2 2029-07-15 Floating 2.32400000 N N N N N N Ginkgo Bioworks Holdings, Inc. N/A 37611X118 128004.00000000 NS USD 286728.96000000 0.003459956486 N/A DE US N 1 Ginkgo Bioworks Holding, Inc. N/A Call Purchased N/A Ginkgo Bioworks Holding, Inc. 128004 11.50000000 USD 2027-12-31 XXXX -9673.82000000 N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -1700000.00000000 NC -13242.71000000 -0.00015979969 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 1700000.00000000 CAD 1331557.92000000 USD 2022-01-13 -13242.71000000 N N N Guggenheim Partners Investment Management LLC N/A 40169J523 4708847.93010000 NS USD 46711771.47000000 0.563670641046 Long EC RF US N 1 N N N SUBURBAN PROPANE PARTNRS N/A 864486AL9 9325000.00000000 PA USD 9429906.53000000 0.113790620468 Long DBT CORP US N 2 2031-06-01 Fixed 5.00000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A -3373000.00000000 NC -6.91000000 -0.00000008338 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written N/A Foreign Exchange AUD/JPY -3373000 77.85000000 AUD 2022-01-06 XXXX 12894.37000000 N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A -16632000.00000000 NC USD -23135.44000000 -0.00027917520 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Put Written N/A Foreign Exchange USD/SEK -16632000 9.01250000 USD 2022-01-04 XXXX 197488.04000000 N N N BRAVE PARENT HOLDINGS INC N/A N/A 1221717.97800000 PA USD 1218223.86000000 0.014700299356 Long LON CORP US N 2 2025-04-18 Variable 4.10000000 N N N N N N PERSHING SQUARE HOLDINGS U7LC4KOKCTZ0YWGI2G56 71531QAD3 13500000.00000000 PA USD 13533318.00000000 0.163306459859 Long DBT CORP GG N 2 2030-11-15 Fixed 3.25000000 N N N N N N Taxware Holdings (Sovos Compliance LLC) N/A N/A -559589.04000000 PA USD -0.01000000 -0.00000000012 Short LON CORP US N 3 2028-08-11 Variable 4.50000000 N N N N N N Anchorage Credit Funding Ltd. 549300VR9XUOV1E0U888 03329TAL8 4250000.00000000 PA USD 4236998.40000000 0.051127832002 Long ABS-O CORP KY N 2 2039-04-27 Fixed 3.52300000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 280000.00000000 NC 2415.69000000 0.000029150115 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 316454.15000000 USD 280000.00000000 EUR 2022-01-20 2415.69000000 N N N API HEAT TRANSFER PARENT LLC N/A N/A 218.34000000 NS USD 0.02000000 0.000000000241 Long EP CORP US N 3 N N N BCPE EMPIRE HOLDINGS INC N/A N/A 222722.92680000 PA USD 221052.50000000 0.002667439072 Long LON CORP US N 2 2026-06-11 Variable 4.10000000 N N N N N N ALTICE FRANCE SA 5493001ZMCICV4N02J21 02156LAH4 11610000.00000000 PA USD 11435850.00000000 0.137996327211 Long DBT CORP FR N 2 2029-10-15 Fixed 5.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 4360000.00000000 NC 3057.47000000 0.000036894470 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 3165342.56000000 USD 4360000.00000000 AUD 2022-01-06 3057.47000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -1730000.00000000 NC -6876.48000000 -0.00008297843 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 1730000.00000000 EUR 1963283.58000000 USD 2022-01-20 -6876.48000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -175000000.00000000 NC 631199.00000000 0.007616674207 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 175000000.00000000 SEK 19984218.18000000 USD 2022-01-19 631199.00000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -3700000.00000000 NC -50075.08000000 -0.00060425566 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 3700000.00000000 NZD 2483070.00000000 USD 2022-01-06 -50075.08000000 N N N HILTON DOMESTIC OPERATIN 5493003EG7H0N1E4XV50 432833AL5 23200000.00000000 PA USD 23722928.00000000 0.286264417136 Long DBT CORP US N 2 2031-05-01 Fixed 4.00000000 N N N N N N WSOF I NEW FINCO BV N/A N/A 7000000.00000000 PA 7889344.26000000 0.095200665625 Long LON CORP BE N 2 2028-04-24 Variable 3.25000000 N N N N N N JONES DESLAURIERS INSURANCE MANAGEMENT INC N/A N/A 5308000.00000000 PA 4172691.89000000 0.050351845766 Long LON CORP CA N 2 2028-03-27 Variable 5.00000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A -6522000.00000000 NC USD -267269.99000000 -0.00322514522 N/A DIR GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2033-12-18 0.00000000 USD 0.00000000 USD 0.00000000 USD -6522000 1.46400000 USD 2023-12-14 XXXX -9324.89000000 N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 13868000.00000000 NC 86293.00000000 0.001041297067 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 Call Purchased N/A Foreign Exchange AUD/NZD 13868000 1.05290000 AUD 2022-01-04 XXXX 63749.16000000 N N N AfterNext HealthTech Acquisiti N/A N/A 895600.00000000 NS USD 8732100.00000000 0.105370193631 Long EC CORP US N 1 N N N SMITHFIELD FOODS INC CVTIPZRZJC0JQEZLL598 832248BC1 7000000.00000000 PA USD 6971312.74000000 0.084122785272 Long DBT CORP US N 2 2030-10-15 Fixed 3.00000000 N N N N N N TCB HOLDINGS I CORP N/A N/A 9904455.24680000 PA USD 9824625.34000000 0.118553689769 Long LON CORP US N 2 2028-03-03 Variable 3.75000000 N N N N N N MAUSER PACKAGING SOLUT 549300DNGHXL0OMHW304 12429TAD6 800000.00000000 PA USD 807336.00000000 0.009742118235 Long DBT CORP US N 2 2024-04-15 Fixed 5.50000000 N N N N N N Argent Securities Inc. N/A 04012XAA3 10042402.86010000 PA USD 7860589.41000000 0.094853681038 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.40200000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 843000.00000000 NC USD -18725.09000000 -0.00022595553 N/A DFE CA N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 1089331.93000000 CAD 843000.00000000 USD 2022-01-07 -18725.09000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1310000.00000000 NC 2000.70000000 0.000024142433 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 949972.70000000 USD 1310000.00000000 AUD 2022-01-06 2000.70000000 N N N FLIGHT BIDCO INC N/A N/A 1000000.00000000 PA USD 965000.00000000 0.011644648693 Long LON CORP US N 3 2026-07-23 Variable 7.60000000 N N N N N N US FOODS INC 5493000JOOFAOUY1JZ87 90290MAC5 11950000.00000000 PA USD 12442937.50000000 0.150148845492 Long DBT CORP US N 2 2025-04-15 Fixed 6.25000000 N N N N N N ALCOA NEDERLAND HOLDING 5493000UL1QLQLT1VQ42 013822AE1 15125000.00000000 PA USD 16183750.00000000 0.195289205481 Long DBT CORP NL N 2 2027-12-15 Fixed 5.50000000 N N N N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BD4 8440000.00000000 PA USD 9500415.95000000 0.114641457179 Long DBT CORP US N 2 2025-05-01 Fixed 5.75000000 N N N N N N DAVITA INC M2XHYMU3TZNEZURC6H66 23918KAT5 6050000.00000000 PA USD 5894696.50000000 0.071131264141 Long DBT CORP US N 2 2031-02-15 Fixed 3.75000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 400000.00000000 NC 3442.98000000 0.000041546417 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 452085.36000000 USD 400000.00000000 EUR 2022-01-20 3442.98000000 N N N CINTAS CORPORATION 549300QVUQTTKMTE0G41 N/A 9000000.00000000 PA USD 8999700.00000000 0.108599321082 Long STIV CORP US N 2 N N N SCP Eye Care Services LLC N/A N/A -2407954.55000000 PA USD -0.02000000 -0.00000000024 Short LON CORP US N 3 2028-03-16 Variable 4.50000000 N N N N N N YAK HOLDING III LLC N/A N/A 12220199.00000000 PA USD 7943129.35000000 0.095849689954 Long LON CORP US N 2 2026-07-10 Variable 10.21000000 N N N N N N FLOWSERVE CORPORATION 6Y0GK87T6V7NJKZJVM41 34354PAF2 10270000.00000000 PA USD 10609841.69000000 0.128028890333 Long DBT CORP US N 2 2030-10-01 Fixed 3.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -3481500.00000000 NC -101766.66000000 -0.00122801762 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 3481500.00000000 ILS 1022166.76000000 USD 2022-01-31 -101766.66000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -40.00000000 NC USD -7000.00000000 -0.00008446895 N/A DE US N 1 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Written Figs Inc. N/A -4000 55.00000000 USD 2022-12-16 XXXX 34228.49000000 N N N OPTION CARE HEALTH INC 549300DI3Q5ACSYJRI17 68404LAA0 8725000.00000000 PA USD 8746812.50000000 0.105547729273 Long DBT CORP US N 2 2029-10-31 Fixed 4.37500000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 13728000.00000000 NC 7697.99000000 0.000092891595 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Put Purchased N/A Foreign Exchange AUD/USD 13728000 0.70570000 AUD 2022-01-19 XXXX -31862.95000000 N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CW3 16010000.00000000 PA USD 21679555.18000000 0.261607050671 Long DBT CORP US N 2 2050-05-01 Fixed 5.80500000 N N N N N N BP HOLDCO LLC N/A N/A 37539.00000000 NS USD 26465.00000000 0.000319352982 Long EC CORP US N 3 N N N ASCEND PERFORMANCE MATERIALS HOLDINGS INC N/A N/A 393015.07800000 PA USD 394783.65000000 0.004763851724 Long LON CORP US N 2 2026-08-27 Variable 5.50000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -516000.00000000 OU Notional Amount USD 544.66000000 0.000006572408 N/A DIR US N 2 London Clearing House F226TOH6YD6XJB17KS62 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 U.S. Secured Overnight Financing Rate N/A Y 2023-12-18 205.57000000 USD 0.00000000 USD -516000.00000000 USD 339.09000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 6530000.00000000 NC -641.21000000 -0.00000773747 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 4471299.96000000 USD 6530000.00000000 NZD 2022-01-06 -641.21000000 N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -7497000.00000000 NC -20130.52000000 -0.00024291485 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 7497000.00000000 GBP 10118467.74000000 USD 2022-01-05 -20130.52000000 N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A 650000.00000000 NC -1687.43000000 -0.00002036220 N/A DFE CH N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 676436.54000000 CHF 650000.00000000 EUR 2022-01-20 -1687.43000000 N N N Asset Backed Securities Corp H N/A 04544PAD1 395497.78900000 PA USD 391964.53000000 0.004729833421 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.24200000 N N N N N N OHA Credit Partners Ltd 549300WS1N2FZ02EYH25 67105VAQ7 4219178.08220000 PA USD 4809.86000000 0.000058040549 Long ABS-O CORP KY N 2 2025-10-20 None 0.00000000 N N N N N N Nationstar Home Equity Loan Tr N/A 63860KAA0 8642303.83710000 PA USD 8493500.65000000 0.102491016834 Long ABS-MBS CORP US N 2 2037-06-25 Floating 0.27700000 N N N N N N BASIC ENERGY SERVICES 5493006BE5UNWTVG4F46 06985PAN0 1500000.00000000 PA USD 105000.00000000 0.001267034313 Long DBT CORP US Y 2 2023-10-15 Fixed 10.75000000 Y N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 2130000.00000000 NC 924.42000000 0.000011154970 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 2210746.17000000 CHF 2130000.00000000 EUR 2022-01-20 924.42000000 N N N LoanCore 2021-CRE6 Issuer, Ltd N/A 53948HAJ5 11300000.00000000 PA USD 11269862.90000000 0.135993361960 Long ABS-O CORP KY N 2 2038-11-15 Floating 2.96000000 N N N N N N IRON MOUNTAIN INC SQL3F6CKNNBM3SQGHX24 46284VAL5 25025000.00000000 PA USD 26781354.60000000 0.323170430930 Long DBT CORP US N 2 2032-07-15 Fixed 5.62500000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBK8 1670000.00000000 PA USD 1722724.79000000 0.020788108782 Long DBT CORP US N 2 2050-05-06 Fixed 4.45000000 N N N N N N Matterport, Inc. N/A 577096118 269461.00000000 NS USD 2462873.54000000 0.029719478911 N/A DE US N 1 Matterport, Inc. N/A Call Purchased N/A Matterport, Inc. 269461 11.50000000 USD 2027-08-24 XXXX 1607285.88000000 N N N ONEX CORPORATION N/A N/A 22703.20000000 NS USD 45406.40000000 0.000547918732 Long EC CORP US N 2 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -1865000.00000000 NC -11488.10000000 -0.00013862682 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 1865000.00000000 EUR 2112412.77000000 USD 2022-01-20 -11488.10000000 N N N BOOKING HOLDINGS INC FXM8FAOHMYDIPD38UZ17 741503BC9 10000000.00000000 PA USD 10856152.20000000 0.131001117647 Long DBT CORP US N 2 2028-03-15 Fixed 3.55000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -2155000.00000000 NC -10835.00000000 -0.00013074587 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 2155000.00000000 EUR 2443323.92000000 USD 2022-01-20 -10835.00000000 N N N Medical Solutions Parent Holdings, Inc. N/A N/A -1440000.00000000 PA USD -3081.60000000 -0.00003718564 Short LON CORP US N 3 2028-11-01 Variable 0.50000000 N N N N N N PACIFIC BELLS LLC N/A N/A 19694845.36000000 PA USD 19596371.13000000 0.236469282354 Long LON CORP US N 2 2028-11-10 Variable 5.00000000 N N N N N N KENNEDY-WILSON INC 5EA4464UK7FM5QNNKL62 489399AM7 16000000.00000000 PA USD 16480000.00000000 0.198864052295 Long DBT CORP US N 2 2031-03-01 Fixed 5.00000000 N N N N N N SOUTHERN VETERINARY COMPANY LLC N/A N/A 14381380.91570000 PA USD 14399357.64000000 0.173756954535 Long LON CORP US N 2 2027-10-05 Variable 5.00000000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 750000.00000000 NC 6173.50000000 0.000074495584 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 1008092.03000000 USD 750000.00000000 GBP 2022-01-05 6173.50000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 70000000.00000000 OU Notional Amount USD 1257586.40000000 0.015175286869 N/A DCR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Intercontinental Exchange 5493000F4ZO33MV32P92 CDX IG33 1% 12/20/2024 N/A Y CDX IG33 V1 1% 12/20/2024 - Tenor Quarterly 2024-12-20 1471251.20000000 USD 0.00000000 USD 70000000.00000000 USD -213664.80000000 N N N MICHAEL BAKER INTERNATIONAL LLC N/A N/A 6400000.00000000 PA USD 6432000.00000000 0.077614901964 Long LON CORP US N 3 2028-12-01 Variable 5.75000000 N N N N N N NEWFOUNDLAND T-BILL 549300CLWWW48GTPOJ49 65134ANE5 1700000.00000000 PA 1344663.92000000 0.016226050734 Long DBT NUSS CA N 2 2022-01-13 None 0.00000000 N N N N N N CELTIC INTERMEDIATE CORP N/A N/A 21139544.46820000 PA USD 20887138.31000000 0.252044961480 Long LON CORP US N 2 2028-03-02 Variable 4.50000000 N N N N N N ITT HOLDINGS LLC 549300TH2PHOLK31LB42 45074JAA2 39200000.00000000 PA USD 38808000.00000000 0.468295882372 Long DBT CORP US N 2 2029-08-01 Fixed 6.50000000 N N N N N N Voya CLO Ltd N/A 92915UAQ7 16500000.00000000 PA USD 16452249.00000000 0.198529181160 Long ABS-O CORP KY N 2 2030-06-07 Floating 3.72400000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 27980000.00000000 NC 270673.09000000 0.003266210408 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 18885380.80000000 USD 27980000.00000000 NZD 2022-01-06 270673.09000000 N N N TOPBUILD CORP 5493007YSKHOL4RWII46 89055FAB9 5550000.00000000 PA USD 5591625.00000000 0.067474102331 Long DBT CORP US N 2 2029-03-15 Fixed 3.62500000 N N N N N N HOCKEY PARENT HOLDINGS LP 549300JQT6ATTUNS5E06 N/A 5146507.65120000 PA USD 5083360.00000000 0.061340871897 Long LON CORP US N 2 2025-04-25 Variable 2.87000000 N N N N N N Dryden Senior Loan Fund 5493000CMI5L15ZSNM78 26244LAA2 11700000.00000000 PA USD 5502451.50000000 0.066398046289 Long ABS-O CORP KY N 2 2031-04-15 None 0.00000000 N N N N N N MANSCAPED INC N/A N/A 3884000.00000000 NS USD 3.88000000 0.000000046819 Long EC CORP US N 3 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 570000.00000000 NC USD -8002.03000000 -0.00009656044 N/A DFE CA N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 730669.30000000 CAD 570000.00000000 USD 2022-01-07 -8002.03000000 N N N Pershing Square Tontine Holdin 549300ZDVEYEVCF35B08 71531R109 6864930.00000000 NS USD 135376419.60000000 1.633586370568 Long EC CORP US N 1 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -15978000.00000000 NC -246342.05000000 -0.00297260790 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Written N/A Foreign Exchange EUR/AUD -15978000 1.58170000 EUR 2022-01-18 XXXX -63174.33000000 N N N KKR CORE HOLDING COMPANY LLC N/A N/A 19520000.00000000 PA USD 0.20000000 0.000000002413 Long ABS-O CORP US N 3 2031-07-15 Fixed 4.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -4620000.00000000 NC USD 72021.87000000 0.000869087434 N/A DFE CA N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 4620000.00000000 USD 5931322.32000000 CAD 2022-01-07 72021.87000000 N N N INTEGRATED POWER SERVICES HOLDINGS INC N/A N/A 2432926.84000000 PA USD 2408597.57000000 0.029064531135 Long LON CORP US N 3 2028-11-22 Variable 5.50000000 N N N N N N MONROE CAPITAL CLO LTD 549300P18F17MYF55L44 610333AY2 3000000.00000000 PA USD 2995687.80000000 0.036148945104 Long ABS-O CORP KY N 2 2026-10-22 Floating 3.72800000 N N N N N N RECORDED BOOKS INC N/A N/A 4143341.19990000 PA USD 4135924.62000000 0.049908175359 Long LON CORP US N 2 2025-08-29 Variable 4.10000000 N N N N N N CENTRAL GARDEN & PET CO 5493004DVZLD37DJ0H83 153527AP1 8900000.00000000 PA USD 8944500.00000000 0.107933223043 Long DBT CORP US N 2 2031-04-30 Fixed 4.12500000 N N N N N N JP Morgan Mortgage Acquisition N/A 46630BAD8 8002159.64400000 PA USD 5095528.79000000 0.061487712607 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.22200000 N N N N N N BX Trust N/A 05609VAN5 19750000.00000000 PA USD 19575605.53000000 0.236218703995 Long ABS-MBS CORP US N 2 2036-09-15 Floating 2.11000000 N N N N N N RADIATE HOLDCO / FINANCE N/A 75026JAC4 9300000.00000000 PA USD 9393000.00000000 0.113345269612 Long DBT CORP US N 2 2026-09-15 Fixed 4.50000000 N N N N N N LEVEL 3 FINANCING INC 254900AE5FEFIJOXWL19 527298BR3 22035000.00000000 PA USD 21814650.00000000 0.263237238981 Long DBT CORP US N 2 2028-07-01 Fixed 4.25000000 N N N N N N IXIS Real Estate Capital Trust N/A 45073DAD0 17748298.27690000 PA USD 5965385.86000000 0.071984272186 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.33200000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A -1733000.00000000 NC -184686.81000000 -0.00222861452 N/A DIR GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 0.00000000 OU Notional Amount 0.00000000 0.00000000 DIR Sterling Overnight Interbank Average Rate SONIA 2045-12-09 0.00000000 GBP 0.00000000 GBP 0.00000000 GBP -1733000 0.53500000 GBP 2025-12-09 XXXX 66872.90000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746TD3 18000000.00000000 PA USD 18495000.36000000 0.223179048471 Long DBT CORP US N 2 N/A Variable 3.90000000 N N N N N N Neuberger Berman CLO Ltd 549300Y2YE54ON4DJE28 64134JAG8 4050000.00000000 PA USD 4001534.46000000 0.048286490177 Long ABS-O CORP KY N 2 2033-04-16 Floating 2.87200000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 2590000.00000000 NC 14108.20000000 0.000170243557 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 26542874.26000000 SEK 2590000.00000000 EUR 2022-01-18 14108.20000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 137277000.00000000 OU Notional Amount 54468.93000000 0.000657276222 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 3-Month Hong Kong Interbank Offering Rate N/A Y 2025-11-19 69.39000000 HKD 0.00000000 HKD 137277000.00000000 HKD 54399.58000000 N N N LoanCore 2018-CRE1 Issuer, Ltd N/A 53946CAG4 20500000.00000000 PA USD 20461326.75000000 0.246906696168 Long ABS-O CORP US N 2 2035-07-15 Floating 2.66500000 N N N N N N PELICAN PRODUCTS INC 5493008CRWH2WFODTF44 N/A 5000000.00000000 PA USD 4975000.00000000 0.060033292486 Long LON CORP US N 2 2028-11-16 Variable 4.75000000 N N N N N N QBE INSURANCE GROUP LTD 549300D2FBW76FPUSG65 74728GAE0 7550000.00000000 PA USD 8154000.00000000 0.098394264709 Long DBT CORP AU N 2 N/A Variable 5.87500000 N N N N N N TLWND 2019-1 N/A 87404LAA0 4030087.92000000 PA USD 3928686.47000000 0.047407433957 Long ABS-O CORP US N 2 2044-12-15 Variable 3.96700000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -9970000.00000000 NC -94439.19000000 -0.00113959708 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 9970000.00000000 CAD 7792410.80000000 USD 2022-01-06 -94439.19000000 N N N BRITISH AIR 20-1 A PPT N/A 11044MAA4 8379134.76330000 PA USD 8914343.62000000 0.107569326203 Long DBT CORP US N 2 2032-11-15 Fixed 4.25000000 N N N N N N NewStar Clarendon Fund CLO LLC 549300HC3VVP80NTKX35 32010AAA6 0.00000000 PA USD 0.00000000 0.000000 Long ABS-O CORP US N 2 2027-01-25 Floating 1.47600000 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CGMS_13-3A N/A N/A 4938326.00000000 PA USD 1158531.28000000 0.013979989384 Long ABS-O CORP US N 2 2030-10-15 None 0.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 92228426.57000000 NC 5184976.37000000 0.062567075970 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 24775937.29000000 USD 92228426.57000000 ILS 2022-08-01 5184976.37000000 N N N DT MIDSTREAM INC N/A 23345MAA5 5250000.00000000 PA USD 5374687.50000000 0.064856318936 Long DBT CORP US N 2 2029-06-15 Fixed 4.12500000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 2180000.00000000 NC 4951.33000000 0.000059747666 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1579248.68000000 USD 2180000.00000000 AUD 2022-01-06 4951.33000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A -24362000.00000000 NC -1429.76000000 -0.00001725290 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written N/A Foreign Exchange NZD/JPY -24362000 77.05000000 NZD 2022-01-04 XXXX 228419.26000000 N N N Morgan Stanley IXIS Real Estat N/A 617463AD6 23178514.34480000 PA USD 10215619.61000000 0.123271815070 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.32200000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -240000.00000000 NC USD 2901.67000000 0.000035014432 N/A DFE CA N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 240000.00000000 USD 307059.12000000 CAD 2022-01-07 2901.67000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -15648000.00000000 NC -423885.51000000 -0.00511502367 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Written N/A Foreign Exchange EUR/AUD -15648000 1.60140000 EUR 2022-01-06 XXXX -242129.19000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -1880000.00000000 NC 1163.59000000 0.000014041032 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 1880000.00000000 EUR 1953073.72000000 CHF 2022-01-20 1163.59000000 N N N HUB INTERNATIONAL LTD 549300JQT6ATTUNS5E06 44332PAD3 750000.00000000 PA USD 770625.00000000 0.009299126838 Long DBT CORP US N 2 2026-05-01 Fixed 7.00000000 N N N N N N Anchorage Capital CLO LTD 54930064GO7DB3TVDY21 03328QBG5 17350000.00000000 PA USD 17353796.18000000 0.209408145089 Long ABS-O CORP KY N 2 2030-07-15 Floating 3.57400000 N N N N N N SCHUR FLEXIBLES GMBH N/A N/A 3150000.00000000 PA 3593345.29000000 0.043360874130 Long LON CORP DE N 2 2028-09-29 Variable 4.25000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -26640000.00000000 NC -347700.11000000 -0.00419569495 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 26640000.00000000 NZD 17890944.48000000 USD 2022-01-06 -347700.11000000 N N N TEMPUR SEALY INTL INC 549300HFEKVR3US71V91 88023UAJ0 375000.00000000 PA USD 375708.75000000 0.004533675030 Long DBT CORP US N 2 2031-10-15 Fixed 3.87500000 N N N N N N WAMU Asset-Backed Certificates N/A 93363XAE3 2284746.51100000 PA USD 1708984.68000000 0.020622306964 Long ABS-MBS CORP US N 2 2047-07-25 Floating 0.35200000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 12490000.00000000 NC 3132.57000000 0.000037800701 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 8547943.67000000 USD 12490000.00000000 NZD 2022-01-06 3132.57000000 N N N MB2 DENTAL SOLUTIONS LLC N/A N/A -6017173.23480000 PA USD -101816.41000000 -0.00122861795 Short LON CORP US N 3 2027-01-29 Variable 1.00000000 N N N N N N NIELSEN FINANCE LLC/CO N/A 65409QBK7 325000.00000000 PA USD 320937.50000000 0.003872750715 Long DBT CORP US N 2 2031-07-15 Fixed 4.75000000 N N N N N N WYNDHAM HOTELS & RESORTS 549300FE3MQ4RVXXC673 98311AAB1 700000.00000000 PA USD 721000.00000000 0.008700302287 Long DBT CORP US N 2 2028-08-15 Fixed 4.37500000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 15.00000000 NC USD 24900.00000000 0.000300468137 N/A DCO US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Purchased J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Commodity Exchange, Inc. N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DCO Long N/A Gold 100 oz. 2022-02-02 0.00000000 USD 1500 1845.00000000 USD 2022-01-26 XXXX 2523.53000000 N N N TERRAFORM GLOBAL OPERATI 549300LC7QMVR79H5O86 88104UAC7 7885000.00000000 PA USD 8032843.75000000 0.096932273033 Long DBT CORP US N 2 2026-03-01 Fixed 6.12500000 N N N N N N AI CONVOY LUXEMBOURG SA RL N/A N/A 11500000.00000000 PA USD 11508970.00000000 0.138878665773 Long LON CORP LU N 2 2027-01-18 Variable 4.50000000 N N N N N N CD&R FIREFLY 4 LTD N/A N/A 3350000.00000000 PA 4496416.26000000 0.054258225623 Long LON CORP GB N 2 2025-06-23 Variable 4.91000000 N N N N N N PETIQ INC N/A N/A 15721000.00000000 PA USD 15603092.50000000 0.188282415224 Long LON CORP US N 3 2028-04-13 Variable 4.75000000 N N N N N N MEDICAL SOLUTIONS PARENT HOLDINGS INC N/A N/A 7560000.00000000 PA USD 7543821.60000000 0.091031245944 Long LON CORP US N 2 2028-11-01 Variable 4.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -120000.00000000 NC USD 1454.65000000 0.000017553252 N/A DFE CA N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 120000.00000000 USD 153534.38000000 CAD 2022-01-07 1454.65000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -3560000.00000000 NC 3780.88000000 0.000045623854 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 3560000.00000000 EUR 3699811.88000000 CHF 2022-01-20 3780.88000000 N N N GALLS N/A N/A 104887.54830000 PA USD 104078.54000000 0.001255915061 Long LON CORP US N 3 2025-01-31 Variable 7.75000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 14.00000000 NC USD 1540.00000000 0.000018583169 N/A DCO US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Put Purchased J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Commodity Exchange, Inc. N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DCO Long N/A Gold 100 oz. 2022-02-02 0.00000000 USD 1400 1695.00000000 USD 2022-01-26 XXXX -20612.48000000 N N N Carlyle Global Market Strategi N/A 14309WAC2 6400000.00000000 PA USD 2660608.00000000 0.032105539347 Long ABS-O CORP KY N 2 2032-01-14 None 0.00000000 N N N N N N SAPPHIRE AVIATION FINANCE I LI N/A 80306AAA8 19769456.25150000 PA USD 17776214.66000000 0.214505466126 Long ABS-O CORP KY N 2 2040-03-15 Fixed 4.25000000 N Y N N N N 24-7 INTOUCH INC N/A N/A 2244404.03500000 PA USD 2216348.98000000 0.026744668656 Long LON CORP CA N 3 2025-08-25 Variable 4.85000000 N N N N N N AMERICAN TRAILER WORLD CORP N/A N/A 9402750.00000000 PA USD 9357428.75000000 0.112916031571 Long LON CORP US N 2 2028-03-03 Variable 4.50000000 N N N N N N Citigroup Mortgage Loan Trust 549300R1KUK063S4I339 17312EAD8 11903013.83970000 PA USD 11014691.92000000 0.132914215412 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.35200000 N N N N N N FRANCHISE GROUP INC N/A N/A 11614943.40000000 PA USD 11585906.04000000 0.139807052465 Long LON CORP US N 2 2026-03-10 Variable 5.50000000 N N N N N N RXR Acquisition Corp. N/A 74981W115 217453.00000000 NS USD 152151.86000000 0.001836015500 N/A DE US N 1 RXR Acquisition Corp. N/A Call Purchased N/A RXR Acquisition Corp. 217453 11.50000000 USD 2026-03-08 XXXX -39690.65000000 N N N PERATON HOLDING CORP N/A N/A 18016362.46430000 PA USD 18009876.57000000 0.217325062867 Long LON CORP US N 2 2028-02-01 Variable 4.50000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CL7 2250000.00000000 PA USD 2205000.00000000 0.026607720589 Long DBT CORP US N 2 2047-02-15 Fixed 4.10000000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -656000.00000000 NC -5762.33000000 -0.00006953399 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 656000.00000000 GBP 881381.92000000 USD 2022-01-05 -5762.33000000 N N N BWX TECHNOLOGIES INC 549300NP85N265KWMS58 05605HAB6 6700000.00000000 PA USD 6800500.00000000 0.082061589055 Long DBT CORP US N 2 2028-06-30 Fixed 4.12500000 N N N N N N LAM TRADE FINANCE GROUP LLC N/A N/A 12000000.00000000 PA USD 11990564.04000000 0.144690057907 Long ABS-O CORP US N 3 2022-09-29 Fixed 2.50000000 N N N N N N Eaton Vance Ltd Duration Incom NZ7KR43H6Z5W1GY0QX46 27828H105 206753.00000000 NS USD 2708464.30000000 0.032683021007 Long EC RF US N 1 N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -1827000.00000000 NC USD -218159.95000000 -0.00263253469 N/A DIR US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Written JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2055-12-11 0.00000000 USD 0.00000000 USD 0.00000000 USD -1827000 1.46300000 USD 2025-12-09 XXXX 18929.84000000 N N N AMWINS GROUP INC 549300SJE7MUB8NMRG61 031921AB5 6025000.00000000 PA USD 6085250.00000000 0.073430671980 Long DBT CORP US N 2 2029-06-30 Fixed 4.87500000 N N N N N N Security Investors LLC N/A N/A 2124176.49100000 NS USD 87770972.61000000 1.059131752862 Long EC RF US N 1 N N N IQVIA INC 549300PLWY28YB00C717 46266TAA6 6010000.00000000 PA USD 6222153.00000000 0.075082679586 Long DBT CORP US N 2 2027-05-15 Fixed 5.00000000 N N N N N N BCP IV GRAFTECH HOLDINGS LP N/A N/A 5833161.23320000 PA USD 5825869.78000000 0.070300732560 Long LON CORP US N 2 2025-02-12 Variable 3.50000000 N N N N N N HUSKY INJECTION MOLDING SYSTEMS LTD N/A N/A 2964933.57760000 PA USD 2912217.06000000 0.035141704230 Long LON CORP CA N 2 2025-03-28 Variable 3.35000000 N N N N N N SCOTTS MIRACLE-GRO CO 2TH9E0JTOUXOEGI2R879 810186AT3 9900000.00000000 PA USD 9776250.00000000 0.117969944857 Long DBT CORP US N 2 2031-04-01 Fixed 4.00000000 N N N N N N Residential Accredit Loans, In N/A 761118VZ8 6105519.11800000 PA USD 1694682.08000000 0.020449717583 Long ABS-MBS CORP US N 2 2046-02-25 Floating 0.64200000 N N N N N N KRONOS ACQ / KIK CUSTOM N/A 50106GAF9 2991000.00000000 PA USD 2819017.50000000 0.034017065748 Long DBT CORP US N 2 2027-12-31 Fixed 7.00000000 N N N N N N MCCORMICK & COMPANY INCORPORATED 549300JQQA6MQ4OJP259 N/A 40000000.00000000 PA USD 39999466.67000000 0.482673302892 Long STIV CORP US N 2 N N N Golub Capital Partners CLO Ltd N/A 38178EAG0 9300000.00000000 PA USD 9314355.48000000 0.112396266703 Long ABS-O CORP KY N 2 2033-07-25 Floating 3.02400000 N N N N N N WMG ACQUISITION CORP 549300NAS11NXI33CP80 92933BAR5 1875000.00000000 PA USD 1795312.50000000 0.021664024204 Long DBT CORP US N 2 2031-02-15 Fixed 3.00000000 N N N N N N VERTICAL TOPCO SARL N/A N/A -13250000.00000000 PA -1301550.03000000 -0.01570579570 Short LON CORP DE N 3 2027-01-29 Variable 0.50000000 N N N N N N Dryden Senior Loan Fund 254900I0IPNA482LDS44 26249YAG6 9500000.00000000 PA USD 7984788.95000000 0.096352396075 Long ABS-O CORP KY N 2 2031-01-15 None 0.00000000 N N N N N N RBC Capital Markets, LLC 549300LCO2FLSSVFFR64 N/A -2847909.31000000 PA USD -2847909.31000000 -0.03436570303 Short RA CORP US N 2 Reverse repurchase N -0.25000000 N/A 2497000.00000000 USD 3182925.90000000 USD CDS N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -150000.00000000 NC -275.27000000 -0.00000332168 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 150000.00000000 GBP 202577.84000000 USD 2022-01-05 -275.27000000 N N N HV EIGHT LLC N/A N/A 28000000.00000000 PA 31840824.45000000 0.384223020544 Long ABS-O CORP US N 3 2025-12-28 Variable 2.75000000 N N N N N N NUSTAR LOGISTICS LP N62BF2PKP51FIIOIUN20 67059TAE5 450000.00000000 PA USD 475875.00000000 0.005742380514 Long DBT CORP US N 2 2027-04-28 Fixed 5.62500000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 3326000.00000000 NC USD 38013.45000000 0.000458708052 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Put Purchased N/A Foreign Exchange USD/CHF 3326000 0.91950000 USD 2022-01-19 XXXX 14631.67000000 N N N BXMT Ltd N/A 12434LAG9 15640000.00000000 PA USD 15624087.86000000 0.188535766096 Long ABS-O CORP US N 2 2038-02-15 Floating 1.81500000 N N N N N N HAH GROUP HOLDING COMPANY LLC N/A N/A 10911109.56190000 PA USD 10883831.79000000 0.131335127079 Long LON CORP US N 2 2027-10-29 Variable 6.00000000 N N N N N N PRO MACH GROUP INC N/A N/A 1909776.53590000 PA USD 1914550.98000000 0.023102874163 Long LON CORP US N 2 2028-08-31 Variable 5.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -18440000.00000000 NC -273949.32000000 -0.00330574465 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 18440000.00000000 AUD 13126348.04000000 USD 2022-01-06 -273949.32000000 N N N GMAC Commercial Mortgage Asset N/A 38011SAC9 9000000.00000000 PA USD 11203400.07000000 0.135191355425 Long ABS-MBS CORP US N 3 2044-09-10 Fixed 6.35600000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -3514000.00000000 NC USD -262077.49000000 -0.00316248735 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Put Written Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2043-12-15 0.00000000 USD 0.00000000 USD 0.00000000 USD -3514000 1.50600000 USD 2023-12-13 XXXX -16800.29000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -4029000.00000000 NC -19073.18000000 -0.00023015593 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 4029000.00000000 EUR 4569236.00000000 USD 2022-01-20 -19073.18000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1770000.00000000 NC -8878.77000000 -0.00010714005 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1770000.00000000 AUD 1277375.37000000 USD 2022-01-06 -8878.77000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -454000000.00000000 NC 70711.84000000 0.000853279311 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 454000000.00000000 JPY 4015350.31000000 USD 2022-01-06 70711.84000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -2202000.00000000 NC -1078.29000000 -0.00001301171 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Written N/A Foreign Exchange EUR/CAD -2202000 1.48790000 EUR 2022-01-20 XXXX 7303.07000000 N N N Commodity Exchange, Inc. N/A N/A -21.00000000 NC USD -40179.77000000 -0.00048484902 N/A DCO US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Short N/A Gold 100 oz. 2022-02-24 -3803240.23000000 USD -40179.77000000 N N N JP Morgan Mortgage Acquisition N/A 46630BAC0 3383593.34420000 PA USD 2138412.05000000 0.025804204231 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.18200000 N N N N N N BXMT Ltd N/A 12434LAJ3 8000000.00000000 PA USD 7958548.00000000 0.096035746703 Long ABS-O CORP US N 2 2038-02-15 Floating 2.11500000 N N N N N N RESONETICS LLC N/A N/A 8750000.00000000 PA USD 8735387.50000000 0.105409863872 Long LON CORP US N 2 2028-04-28 Variable 4.75000000 N N N N N N AIR CANADA 2020-2A PTT N/A 00909DAA1 3265498.39680000 PA USD 3553641.40000000 0.042881767549 Long DBT CORP CA N 2 2029-04-01 Fixed 5.25000000 N N N N N N DELTA AIR LINES/SKYMILES N/A 830867AB3 24150000.00000000 PA USD 26371349.84000000 0.318222906170 Long DBT CORP US N 2 2028-10-20 Fixed 4.75000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -261145000.00000000 NC -3042494.79000000 -0.03671376474 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 261145000.00000000 EUR 294316943.60000000 USD 2022-01-14 -3042494.79000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 4860000.00000000 NC USD 27938.66000000 0.000337135627 N/A DFE JP N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 556076194.00000000 JPY 4860000.00000000 USD 2022-01-18 27938.66000000 N N N NA RAIL HOLD CO LLC N/A N/A 13811934.49950000 PA USD 13835000.43000000 0.166946859770 Long LON CORP US N 2 2026-10-19 Variable 4.25000000 N N N N N N DP HOLDCO LP N/A N/A 13035000.00000000 PA USD 13041126.45000000 0.157367187642 Long LON CORP US N 2 2027-04-09 Variable 4.75000000 N N N N N N STRIPES 2013 AIRCRAFT 1 LIMITED N/A N/A 1929677.51430000 PA USD 1870811.06000000 0.022575064834 Long ABS-O CORP US N 3 2023-03-20 Variable 3.60400000 N N N N N N NM Z PARENT INC NU75S1Y8UH3706J5CS61 N/A 3698183.87490000 PA USD 3596483.82000000 0.043398746751 Long LON CORP US N 2 2024-08-12 Variable 5.00000000 N N N N N N STANDARD INDUSTRIES INC 54930064UHXCIUWVI755 853496AC1 3290000.00000000 PA USD 3386726.00000000 0.040867600508 Long DBT CORP US N 2 2027-02-15 Fixed 5.00000000 N N N N N N PPP INTERMEDIATE HOLDINGS LLC N/A N/A 2080128.73920000 PA USD 1872115.87000000 0.022590809968 Long LON CORP US N 3 2025-11-24 Variable 4.50000000 N N Y N N N PUBLIC STORAGE 549300LMZF40TKJ6DM64 74460W537 265621.00000000 NS USD 6712242.67000000 0.080996588431 Long EP CORP US N 2 N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 4310000.00000000 NC 2.88000000 0.000000034752 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Put Purchased N/A Foreign Exchange AUD/NZD 4310000 1.04750000 AUD 2022-01-03 XXXX -17975.17000000 N N N HIGHTOWER HOLDING LLC N/A N/A 18850000.00000000 PA USD 18802875.00000000 0.226894169739 Long LON CORP US N 2 2028-04-21 Variable 5.75000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46654EAN1 15000000.00000000 PA USD 14896447.50000000 0.179755334627 Long ABS-MBS CORP US N 2 2038-06-15 Floating 2.75000000 N N N N N N PATRIOT CONTAINER CORP N/A N/A 4717241.37310000 PA USD 4634689.65000000 0.055926769716 Long LON CORP US N 2 2025-03-20 Variable 3.89000000 N N N N N N AASET 2017-1 Trust 549300UGVCXV1Y1NM635 000366AA2 24749827.97970000 PA USD 22317241.64000000 0.269302009016 Long ABS-O CORP US N 2 2042-05-16 Fixed 3.96700000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A -867000.00000000 NC -759.91000000 -0.00000916982 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 867000.00000000 GBP 1171733.16000000 USD 2022-01-04 -759.91000000 N N N MASTR Asset Backed Securities N/A 55291KAD9 10613678.63470000 PA USD 4718968.89000000 0.056943766755 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.26200000 N N N N N N TWILIO INC 5493004W8TRGD63APX93 90138FAD4 15100000.00000000 PA USD 15246470.00000000 0.183979053847 Long DBT CORP US N 2 2031-03-15 Fixed 3.87500000 N N N N N N PAI HOLDCO INC N/A N/A 14051605.07990000 PA USD 14016476.07000000 0.169136725132 Long LON CORP US N 2 2027-10-28 Variable 4.25000000 N N N N N N WAMU Asset-Backed Certificates N/A 93363XAD5 3199925.07830000 PA USD 2367364.73000000 0.028566974725 Long ABS-MBS CORP US N 2 2047-07-25 Floating 0.27200000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 550000.00000000 NC -839.30000000 -0.00001012782 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 571832.80000000 CHF 550000.00000000 EUR 2022-01-20 -839.30000000 N N N LTI HOLDINGS INC N/A N/A 1950000.00000000 PA USD 1947562.50000000 0.023501223959 Long LON CORP US N 3 2026-07-24 Variable 4.85000000 N N N N N N MIDWEST VETERINARY PARTNERS LLC N/A N/A 21396375.00000000 PA USD 21289393.13000000 0.256898967764 Long LON CORP US N 2 2028-04-27 Variable 4.75000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1010000.00000000 NC 3659.27000000 0.000044156387 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1362218.31000000 USD 1010000.00000000 GBP 2022-01-05 3659.27000000 N N N TOPBUILD CORP 5493007YSKHOL4RWII46 89055FAC7 8850000.00000000 PA USD 9082312.50000000 0.109596205580 Long DBT CORP US N 2 2032-02-15 Fixed 4.12500000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 7168000.00000000 NC 4689.23000000 0.000056584907 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased N/A Foreign Exchange GBP/CAD 7168000 1.72300000 GBP 2022-01-05 XXXX -24882.67000000 N N N Care BidCo N/A N/A -9200000.00000000 PA -901684.84000000 -0.01088062507 Short LON CORP FR N 3 2026-04-15 Variable 0.50000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -300000.00000000 NC USD 6421.50000000 0.000077488198 N/A DFE CA N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 300000.00000000 USD 387356.40000000 CAD 2022-01-07 6421.50000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -1410000.00000000 NC -11772.15000000 -0.00014205445 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1410000.00000000 GBP 1895047.05000000 USD 2022-01-05 -11772.15000000 N N N MURPHY OIL USA INC N32S6DTR2ZZ5222WHV58 626738AF5 4825000.00000000 PA USD 4794843.75000000 0.057859348194 Long DBT CORP US N 2 2031-02-15 Fixed 3.75000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MV0 29500000.00000000 PA USD 29500000.00000000 0.355976307204 Long DBT CORP US N 2 N/A Variable 3.87500000 N N N N N N ENPRO INDUSTRIES INC 549300Y5CFT2LKCFDN54 29355XAG2 1423000.00000000 PA USD 1487035.00000000 0.017944041626 Long DBT CORP US N 2 2026-10-15 Fixed 5.75000000 N N N N N N CDW LLC/CDW FINANCE N/A 12513GBJ7 14000000.00000000 PA USD 14565390.00000000 0.175760465938 Long DBT CORP US N 2 2031-12-01 Fixed 3.56900000 N N N N N N Long Beach Mortgage Loan Trust N/A 54251RAE3 14615909.39240000 PA USD 7646321.77000000 0.092268114826 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.60200000 N N N N N N BERKLEY (WR) CORPORATION SQOAGCLKBDWNVYV1OV80 084423888 115042.00000000 NS USD 3047462.58000000 0.036773711036 Long EP CORP US N 2 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A -12369000.00000000 NC USD -256322.17000000 -0.00309303795 N/A DIR GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2028-12-13 0.00000000 USD 0.00000000 USD 0.00000000 USD -12369000 1.43000000 USD 2023-12-11 XXXX 17032.73000000 N N N PRIME SECSRVC BRW/FINANC N/A 74166MAF3 7300000.00000000 PA USD 7047347.00000000 0.085040290191 Long DBT CORP US N 2 2027-08-31 Fixed 3.37500000 N N N N N N ACRE COMMERCIAL MORTGAGE TRUST N/A 00489TAJ5 7350000.00000000 PA USD 7329538.34000000 0.088445491246 Long ABS-O CORP KY N 2 2037-12-18 Floating 2.70400000 N N N N N N BILLIKEN BUYER INC N/A N/A 6500000.00000000 PA USD 6469125.00000000 0.078062889096 Long LON CORP US N 2 2028-11-15 Variable 4.25000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 300000.00000000 NC USD -7038.29000000 -0.00008493099 N/A DFE CA N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 388136.10000000 CAD 300000.00000000 USD 2022-01-07 -7038.29000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -12080000.00000000 NC -84521.88000000 -0.00101992497 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 12080000.00000000 EUR 13672433.92000000 USD 2022-01-20 -84521.88000000 N N N CONCORDE LUX N/A N/A 3100000.00000000 PA 3537225.64000000 0.042683678680 Long LON CORP LU N 2 2028-03-01 Variable 4.00000000 N N N N N N RED FIBER PARENT LLC N/A N/A 1000000.00000000 PA USD 998750.00000000 0.012051909722 Long LON CORP US N 2 2028-11-17 Variable 3.75000000 N N N N N N Acropolis Infrastructure Acquisition Corp. N/A 005029111 192759.00000000 NS USD 154419.23000000 0.001863375839 N/A DE US N 1 Acropolis Infrastructure Acquisition Corp. N/A Call Purchased N/A Acropolis Infrastructure Acquisition Corp. 192759 11.50000000 USD 2026-03-31 XXXX -4713.56000000 N N N DATIX BIDCO LIMITED N/A N/A 4225000.00000000 PA 5681156.58000000 0.068554479321 Long LON CORP GB N 3 2026-04-27 Variable 8.21000000 N N N N N N PRO MACH GROUP INC N/A N/A -240223.46400000 PA USD 0.00000000 0.000000 Short LON CORP US N 3 2028-08-31 Variable 3.00000000 N N N N N N GALLS N/A N/A 363578.86700000 PA USD 360774.53000000 0.004353463895 Long LON CORP US N 3 2025-01-31 Variable 7.75000000 N N N N N N DRYDEN SENIOR LOAN FUND DRSLF_15-37A N/A N/A 1897598.00000000 PA USD 856780.68000000 0.010338766866 Long ABS-O CORP KY N 2 2031-01-15 None 0.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 4850000.00000000 NC 15761.74000000 0.000190196813 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 5507519.35000000 USD 4850000.00000000 EUR 2022-01-20 15761.74000000 N N N Washington Mutual Mortgage Pas N/A 939346AB8 4427363.03830000 PA USD 3837813.61000000 0.046310871750 Long ABS-MBS CORP US N 2 2046-11-25 Floating 0.92200000 N N N N N N IP Lending LLC N/A 44988WAA1 7450000.00000000 PA USD 7435352.48000000 0.089722349782 Long DBT CORP US N 3 2025-07-15 Fixed 3.65000000 N N N N N N SWITCH LTD 5493002D70VTFFLT8L43 87105NAA8 12100000.00000000 PA USD 12190750.00000000 0.147105700578 Long DBT CORP US N 2 2028-09-15 Fixed 3.75000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CJ2 900000.00000000 PA USD 922500.00000000 0.011131801471 Long DBT CORP US N 2 2046-04-15 Fixed 4.40000000 N N N N N N TRIPADVISOR INC 549300XVG45PT5BART17 896945AA0 1800000.00000000 PA USD 1899000.00000000 0.022915220589 Long DBT CORP US N 2 2025-07-15 Fixed 7.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -8160000.00000000 NC -90659.03000000 -0.00109398192 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 8160000.00000000 CAD 6364374.48000000 USD 2022-01-05 -90659.03000000 N N N PARK RIVER HOLDINGS INC N/A N/A 6270238.43000000 PA USD 6206532.81000000 0.074894190855 Long LON CORP US N 2 2027-12-28 Variable 4.00000000 N N N N N N HGI CRE CLO Ltd N/A 40390JAG7 1600000.00000000 PA USD 1588101.60000000 0.019163611628 Long ABS-O CORP KY N 2 2036-09-17 Floating 2.25800000 N N N N N N NFP CORP VO2L9FZNXDJNQNEYH039 65342RAE0 3950000.00000000 PA USD 3989500.00000000 0.048141270426 Long DBT CORP US N 2 2028-08-15 Fixed 4.87500000 N N N N N N DCP MIDSTREAM OPERATING 549300Y6CTBSE0QIPL28 23311VAK3 4750000.00000000 PA USD 4785625.00000000 0.057748105598 Long DBT CORP US N 2 2032-02-15 Fixed 3.25000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 1980075304.00000000 NC -250982.01000000 -0.00302859827 N/A DFE US N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 17456979.03000000 USD 1980075304.00000000 JPY 2022-01-18 -250982.01000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 3561000.00000000 NC USD 3277.44000000 0.000039548847 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased N/A Foreign Exchange USD/JPY 3561000 113.75000000 USD 2022-01-14 XXXX -23323.23000000 N N N Ares Dynamic Credit Allocation 549300BZI16VZUT2N044 04014F102 479990.00000000 NS USD 7838236.70000000 0.094583951032 Long EC RF US N 1 N N N Colicity Inc N/A 194170106 217843.00000000 NS USD 2123969.25000000 0.025629923058 Long EC CORP US N 1 N N N PRIME SECSRVC BRW/FINANC N/A 74166MAB2 1900000.00000000 PA USD 2021875.50000000 0.024397958444 Long DBT CORP US N 2 2024-04-15 Fixed 5.25000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -423170000.00000000 OU Notional Amount 184097.08000000 0.002221498261 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 6-Month Prague Interbank Offering Rate N/A Y 2026-11-22 75.54000000 CZK 0.00000000 CZK -423170000.00000000 CZK 184020.37000000 N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -2155000.00000000 NC -10250.26000000 -0.00012368982 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Written N/A Foreign Exchange EUR/AUD -2155000 1.56050000 EUR 2022-01-14 XXXX -960.00000000 N N N AMER AIRLINE 17-2 AA PTT N/A 02376AAA7 1296915.44250000 PA USD 1319093.09000000 0.015917487696 Long DBT CORP US N 2 2029-10-15 Fixed 3.35000000 N N N N N N HOCKEY PARENT HOLDINGS LP 549300JQT6ATTUNS5E06 N/A 2846692.99670000 PA USD 2844017.11000000 0.034318735879 Long LON CORP US N 2 2025-04-25 Variable 4.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1280000.00000000 NC -2762.56000000 -0.00003333579 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1280000.00000000 AUD 927409.92000000 USD 2022-01-06 -2762.56000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 9620000.00000000 NC 39295.21000000 0.000474175042 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 6546882.00000000 USD 9620000.00000000 NZD 2022-01-06 39295.21000000 N N N VAIL RESORTS INC 529900PSZHRNU9HKH870 91879QAL3 1525000.00000000 PA USD 1586000.00000000 0.019138251634 Long DBT CORP US N 2 2025-05-15 Fixed 6.25000000 N N N N N N AVS GROUP GMBH N/A N/A 3750000.00000000 PA 4250981.90000000 0.051296570805 Long LON CORP DE N 2 2026-09-10 Variable 3.75000000 N N N N N N Colicity, Inc. N/A 194170114 43567.00000000 NS USD 33546.59000000 0.000404806482 N/A DE US N 1 Colicity Inc. N/A Call Purchased N/A Colicity Inc. 43567 11.50000000 USD 2027-12-31 XXXX -14563.14000000 N N N CELTIC INTERMEDIATE CORP N/A N/A -713162.52000000 PA USD -2937.94000000 -0.00003545210 Short LON CORP US N 3 2028-03-02 Variable 3.75000000 N N N N N N ZEPHYR BIDCO LTD N/A N/A 1540416.65000000 PA 2064089.57000000 0.024907355351 Long LON CORP GB N 2 2026-07-23 Variable 7.68000000 N N N N N N CHENIERE ENERGY INC 549300I7CIEWU1BBLQ53 N/A 21800000.00000000 PA USD 21936446.64000000 0.264706958240 Long DBT CORP US N 3 2039-12-31 Fixed 3.52000000 N N N N N N FAGE INTL / FAGE USA N/A 30257WAA4 2529000.00000000 PA USD 2592225.00000000 0.031280362133 Long DBT CORP LU N 2 2026-08-15 Fixed 5.62500000 N N N N N N MAZART DEBT MERGER SUB INC N/A 62482BAB8 7200000.00000000 PA USD 7298208.00000000 0.088067428238 Long DBT CORP US N 2 2029-10-01 Fixed 5.25000000 N N N N N N Wave USA N/A 94354KAA8 3974424.10070000 PA USD 3875456.17000000 0.046765104275 Long ABS-O CORP US N 2 2044-09-15 Fixed 3.59700000 N N N N N N MASTR Asset Backed Securities N/A 57645JAB5 9862578.10160000 PA USD 3806029.05000000 0.045927327672 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.30200000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -2410000.00000000 NC -12847.33000000 -0.00015502864 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 2410000.00000000 EUR 2731710.90000000 USD 2022-01-20 -12847.33000000 N N N H.B. FULLER CO JSMX3Z5FOYM8V0Q52357 40410KAA3 5250000.00000000 PA USD 5407500.00000000 0.065252267159 Long DBT CORP US N 2 2028-10-15 Fixed 4.25000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -2050000.00000000 NC 3267.69000000 0.000039431193 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 2050000.00000000 EUR 2131503.90000000 CHF 2022-01-20 3267.69000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -5140000.00000000 NC -68065.84000000 -0.00082135004 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 5140000.00000000 CAD 3997977.68000000 USD 2022-01-12 -68065.84000000 N N N Long Beach Mortgage Loan Trust N/A 54251UAC0 4716401.90950000 PA USD 1743360.43000000 0.021037118915 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.28200000 N N N N N N Diamond CLO 2018-1, LLC N/A 25256LAE1 13500000.00000000 PA USD 13475590.65000000 0.162609864304 Long ABS-O CORP KY N 2 2030-07-22 Floating 2.72800000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 2624000.00000000 NC 28408.55000000 0.000342805787 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 1749522.00000000 USD 2624000.00000000 NZD 2022-12-20 28408.55000000 N N N LIBERTY GLOBAL PLC N/A N/A 7000000.00000000 PA USD 7210000.00000000 0.087003022879 Long DBT CORP LU N 2 2028-03-01 Fixed 5.50000000 N N N N N N Sapphire Aviation Finance I Li N/A 80307AAA7 616461.15790000 PA USD 598522.08000000 0.007222362027 Long ABS-O CORP US N 2 2040-03-15 Fixed 3.22800000 N N N N N N CONVERGINT TECHNOLOGIES GROUP HOLDINGS INC N/A N/A 10523974.37940000 PA USD 10510819.41000000 0.126833989127 Long LON CORP US N 2 2028-03-31 Variable 4.25000000 N N N N N N Falcon Aerospace Ltd N/A 30605YAD3 3838675.49000000 PA USD 3673923.76000000 0.044333214001 Long ABS-O CORP US N 2 2042-02-15 Fixed 6.30000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -130000.00000000 NC -453.80000000 -0.00000547600 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 130000.00000000 GBP 175352.23000000 USD 2022-01-05 -453.80000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -1874000.00000000 NC -4808.48000000 -0.00005802389 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 1874000.00000000 GBP 2529503.00000000 USD 2022-01-05 -4808.48000000 N N N HOWMET AEROSPACE INC 549300HO5WFZUT5N2T22 013817AK7 2925000.00000000 PA USD 3458812.50000000 0.041737467832 Long DBT CORP US N 2 2037-02-01 Fixed 5.95000000 N N N N N N First NLC Trust N/A 32115BAA8 5460921.33990000 PA USD 3481196.46000000 0.042007574931 Long ABS-MBS CORP US N 2 2037-08-25 Floating 0.17200000 N N N N N N Venture CDO Ltd 549300ZVVNSDW7WU0O73 92329PAC9 13790000.00000000 PA USD 4200434.00000000 0.050686609626 Long ABS-O CORP KY N 2 2029-09-10 None 0.00000000 N N N N N N SBBMHR N/A SBBMHRS09 393350.00000000 NS USD 3890231.50000000 0.046943398086 Long EC CORP US N 1 N N N FS Rialto Issuer Ltd N/A 30319YAJ7 8850000.00000000 PA USD 8838954.32000000 0.106659604012 Long ABS-O CORP US N 2 2028-04-16 Floating 2.90800000 N N N N N N VERISURE CAYMAN 2 N/A N/A 1770000.00000000 PA 2000136.27000000 0.024135631298 Long LON CORP SE N 2 2028-03-27 Variable 3.25000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -310000.00000000 NC USD 4331.39000000 0.000052266854 N/A DFE CA N 2 UBS AG BFM8T61CT2L1QCEMIK50 310000.00000000 USD 397355.52000000 CAD 2022-01-07 4331.39000000 N N N New York Mercantile Exchange N/A N/A -466.00000000 NC USD -2069136.08000000 -0.02496825155 N/A DCO HU N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Short N/A WTI Crude 2022-01-20 -33090563.92000000 USD -2069136.08000000 N N N MB2 DENTAL SOLUTIONS LLC N/A N/A 20718400.29740000 PA USD 20367824.87000000 0.245778409593 Long LON CORP US N 3 2027-01-29 Variable 7.00000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CV5 16010000.00000000 PA USD 20563362.95000000 0.248137966326 Long DBT CORP US N 2 2040-05-01 Fixed 5.70500000 N N N N N N ASBURY AUTOMOTIVE GROUP 549300JH4DTA7U42GL91 043436AW4 4472000.00000000 PA USD 4555850.00000000 0.054975412175 Long DBT CORP US N 2 2029-11-15 Fixed 4.62500000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 740000.00000000 NC USD -10006.95000000 -0.00012075380 N/A DFE CA N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 948105.76000000 CAD 740000.00000000 USD 2022-01-07 -10006.95000000 N N N JB POINDEXTER & CO INC 549300W6P81HOZZGPQ16 730481AJ7 11725000.00000000 PA USD 12268102.00000000 0.148039106656 Long DBT CORP US N 2 2026-04-15 Fixed 7.12500000 N N N N N N Telos CLO Ltd 549300S94NIRW4K03T89 87970UBA3 7500000.00000000 PA USD 7493404.50000000 0.090422863128 Long ABS-O CORP KY N 2 2027-01-17 Floating 2.72200000 N N N N N N BSPRT Issuer, Ltd. N/A 05601HAJ3 18425000.00000000 PA USD 18402508.60000000 0.222062951007 Long ABS-O CORP KY N 2 2036-03-15 Floating 3.11000000 N N N N N N SHO HOLDING I CORP N/A N/A 3633187.63770000 PA USD 3433362.32000000 0.041430360676 Long LON CORP US N 3 2024-04-27 Variable 6.25000000 N N N N N N Residential Accredit Loans, In N/A 75114NAC8 5153787.58130000 PA USD 1653033.56000000 0.019947145165 Long ABS-MBS CORP US N 2 2046-06-25 Floating 0.62200000 N N N N N N VERISURE CAYMAN 2 N/A N/A 7651052.63000000 PA 8650375.57000000 0.104384025469 Long LON CORP SE N 2 2026-07-20 Variable 3.25000000 N N N N N N GLOBAL PART/GLP FINANCE N/A 37954FAJ3 4050000.00000000 PA USD 4240957.50000000 0.051175606435 Long DBT CORP US N 2 2029-01-15 Fixed 6.87500000 N N N N N N DYAL CAPITAL PARTNERS IV ISSUER A N/A N/A 7117500.00000000 PA USD 6978200.99000000 0.084205905740 Long DBT CORP US N 3 2041-02-22 Fixed 3.65000000 N N N N N N Golub Capital Partners CLO Ltd N/A 38175BAE4 20000000.00000000 PA USD 19463652.00000000 0.234867761480 Long ABS-O CORP KY N 2 2031-02-05 Floating 2.24000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -5355000.00000000 NC -5658.92000000 -0.00006828615 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 5355000.00000000 CAD 4230469.33000000 USD 2022-01-21 -5658.92000000 N N N GRAFTECH FINANCE INC 1Z010BU876CF2HDBIN43 384311AA4 9500000.00000000 PA USD 9642500.00000000 0.116355984481 Long DBT CORP US N 2 2028-12-15 Fixed 4.62500000 N N N N N N BILLIKEN BUYER INC N/A N/A -517045.45450000 PA USD -2455.97000000 -0.00002963617 Short LON CORP US N 3 2028-11-15 Variable 0.50000000 N N N N N N MADISON INDUSTRIES US HOLDINGS CORP 549300ZA0D9WN5ECE978 N/A 2500000.00000000 PA USD 2494275.00000000 0.030098400123 Long LON CORP US N 2 2028-10-21 Variable 4.00000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -117000.00000000 NC USD 2634.44000000 0.000031789770 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 117000.00000000 USD 151233.40000000 CAD 2022-01-07 2634.44000000 N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571903BG7 14730000.00000000 PA USD 14684929.59000000 0.177202949389 Long DBT CORP US N 2 2031-04-15 Fixed 2.85000000 N N N N N N AP VIII DUKE HOLDINGS GP LLC N/A N/A 1921108.14850000 PA USD 1840267.92000000 0.022206500963 Long LON CORP US N 2 2025-03-08 Variable 3.35000000 N N N N N N MCGRAW HILL LLC N/A N/A 4239375.00000000 PA USD 4215549.71000000 0.050869010800 Long LON CORP US N 2 2028-07-28 Variable 5.25000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -373.00000000 NC USD -182770.00000000 -0.00220548439 N/A DE US N 1 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Written Matterport, Inc. N/A -37300 17.50000000 USD 2022-03-18 XXXX -43909.42000000 N N N Dreyfus Treasury Obligations C 549300MKKM9KT7BF6329 N/A 319432705.57000000 NS USD 319432705.57000000 3.854592370478 Long STIV RF US N 1 N N N CPI CG INC N/A 12598FAA7 7565000.00000000 PA USD 8000517.05000000 0.096542186955 Long DBT CORP US N 2 2026-03-15 Fixed 8.62500000 N N N N N N Aequi Acquisition Corp. N/A 00775W110 333052.00000000 NS USD 176517.73000000 0.002130038294 N/A DE US N 1 Aequi Acquisition Corp. N/A Call Purchased N/A Aequi Acquisition Corp. 333052.33 11.50000000 USD 2027-11-30 XXXX -1344466.20000000 N N N POST HOLDINGS INC JM1I5YUAURL6DC8N1468 737446AR5 4100000.00000000 PA USD 4069250.00000000 0.049103613155 Long DBT CORP US N 2 2031-09-15 Fixed 4.50000000 N N N N N N CHEPLAPHARM ARZNEIMITTEL 529900ONXKBELT7EW052 16412EAA5 8035000.00000000 PA USD 8135437.50000000 0.098170271143 Long DBT CORP DE N 2 2028-01-15 Fixed 5.50000000 N N N N N N US FOODS INC 5493000JOOFAOUY1JZ87 90290MAD3 6550000.00000000 PA USD 6656437.50000000 0.080323187809 Long DBT CORP US N 2 2029-02-15 Fixed 4.75000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -8870000.00000000 NC -49954.12000000 -0.00060279603 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 8870000.00000000 NZD 6022747.74000000 USD 2022-01-06 -49954.12000000 N N N HAMILTON PROJECTS ACQUIROR LLC N/A N/A 24392957.71340000 PA USD 24357344.00000000 0.293919910861 Long LON CORP US N 2 2027-06-17 Variable 6.25000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -3514000.00000000 NC USD -217162.81000000 -0.00262050220 N/A DIR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Written Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2043-12-15 0.00000000 USD 0.00000000 USD 0.00000000 USD -3514000 1.50600000 USD 2023-12-13 XXXX 28114.39000000 N N N Commodity Exchange, Inc. N/A N/A 389.00000000 NC USD 1728837.72000000 0.020861873468 N/A DCO US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Long N/A Gold 100 oz. 2022-02-24 69465942.28000000 USD 1728837.72000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -815200.00000000 NC -171.00000000 -0.00000206345 N/A DFE NZ N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 815200.00000000 EUR 1355351.52000000 NZD 2022-01-06 -171.00000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 450000.00000000 NC USD -6131.94000000 -0.00007399407 N/A DFE CA N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 576609.75000000 CAD 450000.00000000 USD 2022-01-07 -6131.94000000 N N N CUSHMAN & WAKEFIELD US N/A 23166MAA1 8202000.00000000 PA USD 8776140.00000000 0.105901624024 Long DBT CORP US N 2 2028-05-15 Fixed 6.75000000 N N N N N N QUEBEC T-BILL 549300WN65YFEQH74Y36 09852UNF6 1300000.00000000 PA 1028200.42000000 0.012407287748 Long DBT NUSS CA N 2 2022-01-14 None 0.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -1440000.00000000 NC -11519.78000000 -0.00013900910 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 1440000.00000000 EUR 1628382.24000000 USD 2022-01-20 -11519.78000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 13560000.00000000 NC 102375.41000000 0.001235363403 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 9181259.00000000 USD 13560000.00000000 NZD 2022-01-06 102375.41000000 N N N HINDALCO INDUSTRIES LTD N/A N/A 4500000.00000000 PA 5262295.08000000 0.063500080338 Long DBT CORP DE N 2 2029-04-15 Fixed 3.37500000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -843000.00000000 NC USD 19265.85000000 0.000232480886 N/A DFE CA N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 843000.00000000 USD 1090015.52000000 CAD 2022-01-07 19265.85000000 N N N DAVITA INC M2XHYMU3TZNEZURC6H66 23918KAS7 9649000.00000000 PA USD 9878163.75000000 0.119199737413 Long DBT CORP US N 2 2030-06-01 Fixed 4.62500000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 5540000.00000000 NC USD 47153.46000000 0.000569000493 N/A DFE JP N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 632119706.00000000 JPY 5540000.00000000 USD 2022-01-18 47153.46000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 6770000.00000000 NC 26437.14000000 0.000319016795 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 9128999.73000000 USD 6770000.00000000 GBP 2022-01-05 26437.14000000 N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CM5 2130000.00000000 PA USD 2161950.00000000 0.026088236520 Long DBT CORP US N 2 2027-02-15 Fixed 3.00000000 N N N N N N KAISER ALUMINUM CORP N/A 483007AJ9 650000.00000000 PA USD 656500.00000000 0.007921981209 Long DBT CORP US N 2 2028-03-01 Fixed 4.62500000 N N N N N N Argent Securities Inc. N/A 03076MAA2 21636580.81090000 PA USD 14184760.63000000 0.171167413818 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.27700000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -13590000.00000000 NC -79281.94000000 -0.00095669465 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 13590000.00000000 EUR 15397293.33000000 USD 2022-01-20 -79281.94000000 N N N AMERICAN FINANCIAL GROUP 549300AFOM7IVKIU1G39 025932864 270159.00000000 NS USD 7291591.41000000 0.087987585890 Long EP CORP US N 2 N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -3514000.00000000 NC -6920.53000000 -0.00008350999 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Written N/A Foreign Exchange NZD/JPY -3514000 78.95000000 NZD 2022-01-04 XXXX 6395.88000000 N N N ROCKETMTGE C0-ISSUER INC N/A 74841CAB7 21650000.00000000 PA USD 21974750.00000000 0.265169164635 Long DBT CORP US N 2 2031-03-01 Fixed 3.87500000 N N N N N N ATLANTICA SUSTAIN INFRA 549300ITBBGKJ651R879 04916WAA2 1550000.00000000 PA USD 1561625.00000000 0.018844118669 Long DBT CORP GB N 2 2028-06-15 Fixed 4.12500000 N N N N N N BARENTZ MIDCO BV N/A N/A 2400000.00000000 PA 2737377.05000000 0.033031910972 Long LON CORP NL N 2 2027-11-30 Variable 4.00000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -15133000.00000000 NC -145092.63000000 -0.00175083181 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Written N/A Foreign Exchange EUR/CHF -15133000 1.04350000 EUR 2022-01-18 XXXX -59657.49000000 N N N IRON MOUNTAIN INFO MGMT N/A 46285MAA8 3350000.00000000 PA USD 3428624.50000000 0.041373189433 Long DBT CORP US N 2 2032-07-15 Fixed 5.00000000 N N N N N N Morgan Stanley Capital Inc N/A 61753VAD4 4002532.50080000 PA USD 1724349.44000000 0.020807713423 Long ABS-MBS CORP US N 2 2037-02-25 Floating 0.33200000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 6040000.00000000 NC USD 74469.52000000 0.000898623211 N/A DFE JP N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 686516426.00000000 JPY 6040000.00000000 USD 2022-01-18 74469.52000000 N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -3460000.00000000 NC USD 76812.08000000 0.000926890867 N/A DFE CA N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 3460000.00000000 USD 4470987.78000000 CAD 2022-01-07 76812.08000000 N N N PRUDENTIAL FINANCIAL INC 5PRBRS5FEH7NREC8OR45 744320888 686550.00000000 NS USD 17877762.00000000 0.215730837214 Long EP CORP US N 2 N N N CHARLES RIVER LABORATORI 549300BSQ0R4UZ5KX287 159864AJ6 2500000.00000000 PA USD 2561525.00000000 0.030909905434 Long DBT CORP US N 2 2031-03-15 Fixed 4.00000000 N N N N N N JBS USA/FOOD/FINANCE N/A 46590XAC0 3400000.00000000 PA USD 3451000.00000000 0.041643194446 Long DBT CORP US N 2 2031-12-01 Fixed 3.75000000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -21590000.00000000 NC 450877.02000000 0.005440730053 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 21590000.00000000 EUR 25034883.13000000 USD 2022-01-14 450877.02000000 N N N Jones Deslauriers Insurance Management, Inc. N/A N/A -1062000.00000000 PA -0.01000000 -0.00000000012 Short LON CORP US N 3 2029-03-26 Variable 1.00000000 N N N N N N Castlelake Aircraft Securitiza 549300MHTIBONNXM3R82 14855MAA6 6745079.65280000 PA USD 6647840.56000000 0.080219448590 Long ABS-O CORP US N 2 2039-04-15 Fixed 3.96700000 N N N N N N IRON MOUNTAIN INC SQL3F6CKNNBM3SQGHX24 46284VAN1 925000.00000000 PA USD 934888.25000000 0.011281290402 Long DBT CORP US N 2 2031-02-15 Fixed 4.50000000 N N N N N N Lehman XS Trust N/A 525229AE0 2965690.91120000 PA USD 3077079.00000000 0.037131092182 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.52200000 N N N N N N MILEAGE PLUS HLDINGS LLC N/A 599191AA1 19700000.00000000 PA USD 21029750.00000000 0.253765855811 Long DBT CORP US N 2 2027-06-20 Fixed 6.50000000 N N N N N N HUB INTERNATIONAL LTD 549300JQT6ATTUNS5E06 44332PAG6 8500000.00000000 PA USD 8756870.00000000 0.105669093059 Long DBT CORP US N 2 2029-12-01 Fixed 5.62500000 N N N N N N ONTARIO T-BILL C7PVKCRGLG18EBQGZV36 6832Z5GR5 11200000.00000000 PA 8858838.25000000 0.106899543266 Long DBT NUSS CA N 2 2022-01-12 None 0.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -3260000.00000000 NC -15937.51000000 -0.00019231782 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 3260000.00000000 NZD 2215968.70000000 USD 2022-01-06 -15937.51000000 N N N BOE HOLDING LLC 549300DNGHXL0OMHW304 N/A 4812331.37990000 PA USD 4743563.16000000 0.057240545650 Long LON CORP US N 2 2024-04-03 Variable 3.35000000 N N N N N N DATIX BIDCO LIMITED N/A N/A 461709.17000000 PA USD 459078.93000000 0.005539702448 Long LON CORP GB N 3 2026-04-27 Variable 7.93000000 N N N N N N WAVERLY CAPITAL ACQUISITION CORP 1 N/A N/A 393350.00000000 NS USD 3815495.00000000 0.046041553229 Long EC CORP US N 1 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -750000.00000000 NC -6715.38000000 -0.00008103444 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 750000.00000000 GBP 1007550.15000000 USD 2022-01-05 -6715.38000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A -12369000.00000000 NC USD -265023.51000000 -0.00319803696 N/A DIR GB N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 0.00000000 NC Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2028-12-13 0.00000000 USD 0.00000000 USD 0.00000000 USD -12369000 1.43000000 USD 2023-12-11 XXXX 8331.39000000 N N N Atlas Senior Loan Fund LTD N/A 04941VAG0 10250000.00000000 PA USD 10234937.63000000 0.123504925491 Long ABS-O CORP KY N 2 2028-04-20 Floating 1.93200000 N N N N N N TITAN PARENT NEW ZEALAND LTD N/A N/A 4200000.00000000 PA USD 4182486.00000000 0.050470031227 Long LON CORP NZ N 2 2028-10-18 Variable 4.50000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 550000.00000000 NC 1393.17000000 0.000016811373 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 742401.55000000 USD 550000.00000000 GBP 2022-01-05 1393.17000000 N N N DURAN GROUP HOLDING GMBH N/A N/A 416089.63430000 PA 468953.48000000 0.005658858578 Long LON CORP DE N 3 2024-03-29 Variable 4.00000000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 4920000.00000000 NC 4314.09000000 0.000052058095 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Put Purchased N/A Foreign Exchange AUD/NZD 4920000 1.05520000 AUD 2022-01-14 XXXX -16494.04000000 N N N HILLENBRAND INC U246OE781574J2BUD366 431571AD0 2525000.00000000 PA USD 2638625.00000000 0.031840270630 Long DBT CORP US N 2 2025-06-15 Fixed 5.75000000 N N N N N N FR Refuel LLC N/A N/A -2753333.33000000 PA USD -20650.00000000 -0.00024918341 Short LON CORP US N 3 2028-11-02 Variable 0.50000000 N N N N N N HEALTHCHANNELS INTERMEDIATE HOLDCO LLC N/A N/A 4820102.77730000 PA USD 4386293.53000000 0.052929375360 Long LON CORP US N 2 2025-04-03 Variable 4.60000000 N N N N N N CROWN AMER/CAP CORP VI N/A 228187AB6 1923000.00000000 PA USD 1971075.00000000 0.023784949143 Long DBT CORP US N 2 2026-02-01 Fixed 4.75000000 N N N N N N MASTR Asset Backed Securities N/A 57645JAC3 8292072.85180000 PA USD 3243527.22000000 0.039139621765 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.40200000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A -2202000.00000000 NC -942.54000000 -0.00001137362 N/A DFE US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Put Written N/A Foreign Exchange EUR/NZD -2202000 1.64350000 EUR 2022-01-06 XXXX 8885.56000000 N N N FIRST REPUBLIC BANK YWC0TIKBQM2JV8L4IV08 33616C746 1168000.00000000 NS USD 30017600.00000000 0.362222183021 Long EP CORP US N 2 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -12710000.00000000 NC -144142.13000000 -0.00173936214 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 12710000.00000000 EUR 14330270.80000000 USD 2022-01-20 -144142.13000000 N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 82200000.00000000 NC USD 89598.00000000 0.001081178480 N/A DIR US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Call Purchased N/A 2Y-10 CMS CAP 82200000 0.60500000 USD 2022-07-29 XXXX -37812.00000000 N N N COMPAGNIE BENELUX PARTICIPATIONS SA N/A N/A 7150000.00000000 PA USD 7123187.50000000 0.085955457009 Long LON CORP FR N 2 2028-06-30 Variable 5.00000000 N N N N N N Treman Park CLO Ltd 549300E4DX3Q8L455K94 89473MAB8 12400000.00000000 PA USD 4695880.00000000 0.056665153270 Long ABS-O CORP KY N 2 2028-10-20 None 0.00000000 N N N N N N CAB N/A N/A 6500000.00000000 PA 7330037.57000000 0.088451515452 Long LON CORP FR N 2 2028-02-09 Variable 3.00000000 N N N N N N CSC HOLDINGS LLC 3HG2WD2W22M120IUNG49 126307BD8 2715000.00000000 PA USD 2569068.75000000 0.031000935816 Long DBT CORP US N 2 2030-12-01 Fixed 4.62500000 N N N N N N THL Credit Lake Shore MM CLO I N/A 510800AG0 9900000.00000000 PA USD 9950683.05000000 0.120074827332 Long ABS-O CORP KY N 2 2033-04-15 Floating 3.12400000 N N N N N N BXMT Ltd N/A 05608XAJ1 7350000.00000000 PA USD 7350933.45000000 0.088703665899 Long ABS-O CORP KY N 2 2037-11-15 Floating 2.96500000 N N N N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A -140000.00000000 NC -416.54000000 -0.00000502638 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 140000.00000000 GBP 188913.03000000 USD 2022-01-05 -416.54000000 N N N JP Morgan Mortgage Acquisition N/A 46629KAE9 9530492.36350000 PA USD 7607320.01000000 0.091797480843 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.40200000 N N N N N N Cerberus 549300U8RSYT04O8Z019 15673YAS8 4000000.00000000 PA USD 4014996.40000000 0.048448935319 Long ABS-O CORP KY N 2 2031-04-15 Floating 3.02400000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 27000.00000000 OU Notional Amount -1808.72000000 -0.00002182581 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 Sterling Overnight Interbank Average Rate N/A Y 2045-12-09 0.00000000 GBP 339.42000000 GBP 27000.00000000 GBP -1461.95000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 4988000.00000000 OU Notional Amount USD 3305.90000000 0.000039892273 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 U.S. Secured Overnight Financing Rate N/A Y 2031-12-10 1088.02000000 USD 0.00000000 USD 4988000.00000000 USD 2217.88000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -500000.00000000 NC USD 5771.84000000 0.000069648755 N/A DFE CA N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 500000.00000000 USD 639361.00000000 CAD 2022-01-07 5771.84000000 N N N JEFFERIES FIN LLC / JFIN N/A 47232MAF9 23000000.00000000 PA USD 23575000.00000000 0.284479370926 Long DBT CORP US N 2 2028-08-15 Fixed 5.00000000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A -2155000.00000000 NC -4.80000000 -0.00000005792 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Call Written N/A Foreign Exchange EUR/AUD -2155000 1.63200000 EUR 2022-01-06 XXXX 9562.44000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 3326000.00000000 NC USD 6084.19000000 0.000073417880 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Purchased N/A Foreign Exchange USD/CHF 3326000 0.91950000 USD 2022-01-19 XXXX -15701.11000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 2530000.00000000 NC 1.10000000 0.000000013273 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased N/A Foreign Exchange GBP/USD 2530000 1.32600000 GBP 2022-01-03 XXXX -30685.14000000 N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -3561000.00000000 NC -1251.47000000 -0.00001510148 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Written N/A Foreign Exchange NZD/JPY -3561000 74.80000000 NZD 2022-01-19 XXXX 9998.09000000 N N N HEALTHEQUITY INC 529900LRJU1RAFQHM467 42226AAA5 6900000.00000000 PA USD 6831000.00000000 0.082429632356 Long DBT CORP US N 2 2029-10-01 Fixed 4.50000000 N N N N N N NATIONWIDE MUTUAL INSURA Z7LVXXWM8HZPKF5T2355 638671AN7 21150000.00000000 PA USD 24224943.30000000 0.292322232480 Long DBT CORP US N 2 2050-04-30 Fixed 4.35000000 N N N N N N BNPP IP CLO LTD 54930038CI4SMKCMEM78 05580HAE9 5847392.42000000 PA USD 4794861.78000000 0.057859565762 Long ABS-O CORP KY N 2 2025-10-30 Floating 5.38200000 N N N N N N ZIGGO BV 213800TQASLF9JXH5J59 98954NAA7 6226000.00000000 PA USD 6397215.00000000 0.077195151596 Long DBT CORP NL N 2 2027-01-15 Fixed 5.50000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -47533.53000000 NC -428.09000000 -0.00000516575 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 47533.53000000 CHF 51707.06000000 USD 2022-01-20 -428.09000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -3810000.00000000 NC -13581.80000000 -0.00016389149 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 3810000.00000000 NZD 2594873.00000000 USD 2022-01-06 -13581.80000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 3180000.00000000 NC USD 8710.50000000 0.000105109546 N/A DFE JP N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 364953685.00000000 JPY 3180000.00000000 USD 2022-01-18 8710.50000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -2300000.00000000 NC -9184.48000000 -0.00011082906 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 2300000.00000000 AUD 1662219.20000000 USD 2022-01-06 -9184.48000000 N N N NFM & J LLC N/A N/A 8426293.10000000 PA USD 8334039.52000000 0.100566800421 Long LON CORP US N 3 2027-11-23 Variable 6.75000000 N N N N N N Waverley Capital Acquisition Corp. N/A N/A 131116.00000000 NS USD 83927.35000000 0.001012750783 N/A DE US N 1 Waverley Capital Acquisition Corp. N/A Call Purchased N/A Waverley Capital Acquisition Corp. 131116 11.50000000 USD 2027-04-30 XXXX -15017.39000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -10976000.00000000 OU Notional Amount USD 54245.15000000 0.000654575870 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 U.S. Secured Overnight Financing Rate N/A Y 2036-12-03 379.99000000 USD 0.00000000 USD -10976000.00000000 USD 53865.16000000 N N N LoanCore 2021-CRE5 Issuer, Ltd N/A 53947XAL6 8250000.00000000 PA USD 8218775.40000000 0.099175909038 Long ABS-O CORP KY N 2 2036-07-15 Floating 3.11000000 N N N N N N EQT AB N/A N/A 4800000.00000000 PA 5505442.62000000 0.066434140115 Long DBT CORP FR N 2 2028-05-31 Fixed 3.50000000 N N N N N N OSMOSIS HOLDINGS AUSTRALIA II PTY LTD N/A N/A -582222.22000000 PA USD -0.01000000 -0.00000000012 Short LON CORP AU N 3 2028-07-31 Variable 4.50000000 N N N N N N BlackRock Credit Allocation In WU48CSUCFTU86AQUYZ93 092508100 614446.00000000 NS USD 9247412.30000000 0.111588463788 Long EC RF US N 1 N N N JELD-WEN INC 549300XWE6NM0N1HFW16 475795AE0 100000.00000000 PA USD 104500.00000000 0.001261000817 Long DBT CORP US N 2 2025-05-15 Fixed 6.25000000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -2830000.00000000 NC -32853.59000000 -0.00039644405 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 2830000.00000000 GBP 3794308.35000000 USD 2022-01-05 -32853.59000000 N N N HAMPTON ROADS PPV LLC N/A 409322AD6 16900000.00000000 PA USD 18669430.00000000 0.225283889796 Long DBT CORP US N 2 2053-06-15 Fixed 6.62100000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A 12557000.00000000 NC USD 2044946.75000000 0.024676359067 N/A DIR US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Purchased JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 0.00000000 OU Notional Amount USD 0.00000000 0.00000000 DIR U.S. Secured Overnight Financing Rate SOFR 2061-12-11 0.00000000 USD 0.00000000 USD 0.00000000 USD 12557000 1.34000000 USD 2031-12-09 XXXX -130553.50000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A -2643000.00000000 OU Notional Amount USD 78320.23000000 0.000945089703 N/A DIR US N 2 London Clearing House F226TOH6YD6XJB17KS62 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 U.S. Secured Overnight Financing Rate N/A Y 2048-12-06 10365.99000000 USD 0.00000000 USD -2643000.00000000 USD 67954.24000000 N N N Applebees/IHOP Funding LLC N/A 03789XAD0 2079000.00000000 PA USD 2101910.58000000 0.025363741231 Long ABS-O CORP US N 2 2049-06-05 Fixed 4.19400000 N N N N N N GS Mortgage Securities Trust N/A 36258BAQ1 2750000.00000000 PA USD 2725938.60000000 0.032893883270 Long ABS-MBS CORP US N 2 2036-12-15 Floating 2.01000000 N N N N N N MINERALS TECHNOLOGIES IN 549300D3I1QU67GP6403 603158AA4 11230000.00000000 PA USD 11640456.50000000 0.140465312509 Long DBT CORP US N 2 2028-07-01 Fixed 5.00000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 18260000.00000000 NC USD 129295.50000000 0.001560207953 N/A DFE JP N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 2086491134.00000000 JPY 18260000.00000000 USD 2022-01-18 129295.50000000 N N N METLIFE INC C4BXATY60WC6XEOZDX54 59156RCA4 12200000.00000000 PA USD 12444000.12000000 0.150161668120 Long DBT CORP US N 2 N/A Variable 3.85000000 N N N N N N MB2 DENTAL SOLUTIONS LLC N/A N/A 1697151.42520000 PA USD 1668433.98000000 0.020132981932 Long LON CORP US N 3 2027-01-29 Variable 7.00000000 N N N N N N HYATT HOTELS CORP T27JQIMTYSH41TCD5186 448579AH5 7350000.00000000 PA USD 8147117.35000000 0.098311211817 Long DBT CORP US N 2 2025-04-23 Fixed 5.37500000 N N N N N N Falcon Aerospace Ltd N/A 30605YAB7 15337234.62830000 PA USD 15171428.39000000 0.183073527230 Long ABS-O CORP US N 2 2042-02-15 Fixed 4.58100000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 94000.00000000 NC 735.75000000 0.000008878290 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 126385.53000000 USD 94000.00000000 GBP 2022-01-05 735.75000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 150000.00000000 NC 1318.21000000 0.000015906831 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 201534.90000000 USD 150000.00000000 GBP 2022-01-05 1318.21000000 N N N HIGGINBOTHAM INSURANCE AGENCY INC N/A N/A 10054963.87340000 PA USD 9932135.95000000 0.119851019597 Long LON CORP US N 3 2026-11-25 Variable 6.25000000 N N N N N N SCP EYE CARE SERVICES LLC N/A N/A 13857315.33640000 PA USD 13866045.45000000 0.167321479824 Long LON CORP US N 2 2028-03-16 Variable 5.25000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 1140000.00000000 NC 5296.26000000 0.000063909934 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 1292959.50000000 USD 1140000.00000000 EUR 2022-01-20 5296.26000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -300000.00000000 NC -4021.51000000 -0.00004852753 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 300000.00000000 GBP 401684.70000000 USD 2022-01-05 -4021.51000000 N N N SIX FLAGS THEME PARKS 5493003MX0ZXTM8EVY68 83001WAC8 5475000.00000000 PA USD 5846985.19000000 0.070555532075 Long DBT CORP US N 2 2025-07-01 Fixed 7.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -9055000.00000000 NC -12466.46000000 -0.00015043269 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 9055000.00000000 EUR 10315338.29000000 USD 2022-03-31 -12466.46000000 N N N SWEDEN (KINGDOM OF) N/A N/A 175000000.00000000 PA 19353418.78000000 0.233537577935 Long DBT NUSS SE N 2 2022-01-19 None 0.00000000 N N N N N N SOTHEBY'S/BIDFAIR HLD N/A 83600GAA2 8900000.00000000 PA USD 9078000.00000000 0.109544166671 Long DBT CORP US N 2 2029-06-01 Fixed 5.87500000 N N N N N N CITRIX SYSTEMS INC HCTKJGUQOPZ5NBK7NP58 177376AG5 12100000.00000000 PA USD 11783942.31000000 0.142196754841 Long DBT CORP US N 2 2026-03-01 Fixed 1.25000000 N N N N N N ABPCI Direct Lending Fund CLO N/A 000807AS6 9200000.00000000 PA USD 9222669.72000000 0.111289895236 Long ABS-O CORP KY N 2 2031-04-20 Floating 3.03200000 N N N N N N JONES DESLAURIERS INSURANCE MANAGEMENT INC N/A N/A 34682647.50000000 PA 27264506.78000000 0.329000625128 Long LON CORP CA N 2 2028-03-27 Variable 5.00000000 N N N N N N QUEBEC T-BILL 549300WN65YFEQH74Y36 09852UNN9 5355000.00000000 PA 4234971.21000000 0.051103369913 Long DBT NUSS CA N 2 2022-01-21 None 0.00000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -3514000.00000000 NC -4.81000000 -0.00000005804 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Put Written N/A Foreign Exchange NZD/JPY -3514000 75.25000000 NZD 2022-01-04 XXXX 13311.60000000 N N N Argent Securities Inc. N/A 03076MAC8 14170558.07090000 PA USD 5916903.77000000 0.071399239122 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.20200000 N N N N N N PS HOLDINGS INDEPENDENT VOTING COMPANY LTD U7LC4KOKCTZ0YWGI2G56 N/A 1600000.00000000 PA USD 1611107.20000000 0.019441220053 Long DBT CORP GG N 2 2030-11-15 Fixed 3.25000000 N N N N N N MINISTRY BRANDS LLC N/A N/A 163145.71730000 PA USD 160698.53000000 0.001939148111 Long LON CORP US N 3 2022-12-02 Variable 5.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1450000.00000000 NC 16985.36000000 0.000204962228 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1943928.00000000 USD 1450000.00000000 GBP 2022-01-05 16985.36000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A 8761000.00000000 NC 251.54000000 0.000003035331 N/A DFE US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Put Purchased N/A Foreign Exchange EUR/USD 8761000 1.11670000 EUR 2022-01-06 XXXX -28568.84000000 N N N AMPHENOL CORPORATION 549300D3L3G0R4U4VT04 N/A 80000000.00000000 PA USD 79999688.90000000 0.965355723122 Long STIV CORP US N 2 N N N VERTICAL TOPCO SARL N/A N/A 7000000.00000000 PA 7930305.10000000 0.095694939813 Long LON CORP DE N 2 2027-07-30 Variable 3.63000000 N N N N N N PETSMART INC/PETSMART FI N/A 71677KAA6 2800000.00000000 PA USD 2873500.00000000 0.034674505720 Long DBT CORP US N 2 2028-02-15 Fixed 4.75000000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -2155000.00000000 NC -412.01000000 -0.00000497172 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Written N/A Foreign Exchange EUR/AUD -2155000 1.61800000 EUR 2022-01-14 XXXX 8878.25000000 N N N DCG ACQUISITION CORP N/A N/A 937758.40460000 PA USD 935414.01000000 0.011287634745 Long LON CORP US N 2 2026-09-30 Variable 4.60000000 N N N N N N SITECORE HOLDING III A/S N/A N/A 3697399.58480000 PA USD 3650969.93000000 0.044056230284 Long LON CORP DK N 3 2026-03-12 Variable 7.50000000 N N N N N N KUVARE US HOLDINGS INC 254900MGBERNLZXF7O58 50149XAA2 19150000.00000000 PA USD 20777750.00000000 0.250724973458 Long DBT CORP US N 2 2051-02-17 Variable 7.00000000 N N N N N N Apollo Aviation Securitization N/A 00255UAB1 6611666.64750000 PA USD 4705114.55000000 0.056776586524 Long ABS-O CORP US N 2 2040-01-16 Fixed 4.33500000 N N N N N N GALLS N/A N/A -199920.76010000 PA USD -9039.40000000 -0.00010907838 Short LON CORP US N 3 2024-01-31 Variable 0.81577000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -1200000.00000000 NC -6468.40000000 -0.00007805414 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1200000.00000000 EUR 12298473.60000000 SEK 2022-01-18 -6468.40000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 1680000.00000000 NC 16690.54000000 0.000201404637 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1896528.48000000 USD 1680000.00000000 EUR 2022-01-20 16690.54000000 N N N SANDY BIDCO BV N/A N/A 4700000.00000000 PA 5355988.16000000 0.064630674122 Long LON CORP NL N 2 2028-06-12 Variable 4.00000000 N N N N N N Wells Fargo Commercial Mortgag 5493002S7XBI8CVRR075 94989HAF7 1019830.90600000 PA USD 1019460.81000000 0.012301826931 Long ABS-MBS CORP US N 2 2048-05-15 Fixed 2.63200000 N N N N N N PLAYTIKA HOLDING CORP 254900E35Z4TKA4UFG64 72815LAA5 8750000.00000000 PA USD 8575000.00000000 0.103474468958 Long DBT CORP US N 2 2029-03-15 Fixed 4.25000000 N N N N N N FIRST KEY REVOLVING TRUST 2021-1 N/A N/A 33850000.00000000 PA USD 33575815.00000000 0.405159140172 Long ABS-MBS CORP US Y 3 2058-11-30 Fixed 2.21100000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 5903000.00000000 NC 65070.36000000 0.000785203608 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased N/A Foreign Exchange AUD/USD 5903000 0.71800000 AUD 2022-01-18 XXXX 23305.85000000 N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 3561000.00000000 NC USD 18236.66000000 0.000220061657 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased N/A Foreign Exchange USD/SEK 3561000 9.10400000 USD 2022-01-18 XXXX -20400.19000000 N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599EF8 2250000.00000000 PA USD 2733750.00000000 0.032988143383 Long DBT CORP US N 2 2031-01-01 Fixed 6.12500000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A -1205.00000000 NC USD -795300.00000000 -0.00959687990 N/A DE US N 1 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Written Matterport, Inc. N/A -120500 15.00000000 USD 2022-03-18 XXXX -361210.54000000 N N N KVK CLO Ltd 5493007VGL59COTLZY21 48274GAB8 11900000.00000000 PA USD 3183250.00000000 0.038412256946 Long ABS-O CORP KY N 2 2028-01-14 None 0.00000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A -790000.00000000 NC USD 17891.73000000 0.000215899388 N/A DFE CA N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 790000.00000000 USD 1021279.61000000 CAD 2022-01-07 17891.73000000 N N N BARENTZ MIDCO BV N/A N/A 1985037.46870000 PA USD 1985037.47000000 0.023953434177 Long LON CORP NL N 2 2027-11-30 Variable 5.25000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 7750000.00000000 NC 29565.04000000 0.000356761144 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 8796296.50000000 USD 7750000.00000000 EUR 2022-01-20 29565.04000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 505000.00000000 OU Notional Amount USD 179.19000000 0.000002162284 N/A DIR US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 London Clearing House F226TOH6YD6XJB17KS62 U.S. Secured Overnight Financing Rate N/A Y 2028-12-13 1204.80000000 USD 0.00000000 USD 505000.00000000 USD -1025.61000000 N N N RXR Acquisition Corp N/A 74981W107 1087275.00000000 NS USD 10600931.25000000 0.127921368111 Long EC CORP US N 1 N N N APTTUS CORP N/A N/A 17256750.00000000 PA USD 17271073.10000000 0.208409926223 Long LON CORP US N 2 2028-05-08 Variable 5.00000000 N N N N N N RENT-A-CENTER INC/TX N/A N/A 9780851.18520000 PA USD 9750334.93000000 0.117657227877 Long LON CORP US N 2 2028-02-17 Variable 3.75000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 14.00000000 NC USD 26040.00000000 0.000314224509 N/A DCO US N 1 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Purchased J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Commodity Exchange, Inc. N/A N/A 0.00000000 NC USD 0.00000000 0.00000000 DCO Long N/A Gold 100 oz. 2022-02-02 0.00000000 USD 1400 1840.00000000 USD 2022-01-26 XXXX 3318.19000000 N N N CITADEL ENTERPRISE AMERICAS LLC N/A N/A 6000000.00000000 PA USD 5804620.74000000 0.070044320533 Long ABS-O CORP US N 3 2031-03-22 Fixed 3.69000000 N N N N N N TENET HEALTHCARE CORP 0W9AIBT6U6ADJ2I8HK17 88033GDA5 550000.00000000 PA USD 572687.50000000 0.006910616319 Long DBT CORP US N 2 2027-11-01 Fixed 5.12500000 N N N N N N FR REFUEL LLC N/A N/A 20846666.67000000 PA USD 20690316.67000000 0.249669916036 Long LON CORP US N 3 2028-11-08 Variable 5.50000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 3410000.00000000 NC USD 22555.52000000 0.000272177312 N/A DFE JP N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 389828915.00000000 JPY 3410000.00000000 USD 2022-01-18 22555.52000000 N N N API HEAT TRANSFER THERMASYS CORP N/A N/A 1763707.00000000 NS USD 176.37000000 0.000002128255 Long EC CORP US N 3 N N N VanEck Gold Miners ETF/USA 54930031TORTKAM9TJ98 92189F106 1430590.00000000 NS USD 45821797.70000000 0.552931333380 Long EC RF US N 1 N N N REFRESCO GROUP BV (NL) N/A N/A 8400000.00000000 PA 9418060.11000000 0.113647669796 Long LON CORP US N 2 2025-03-28 Variable 2.75000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 14710000.00000000 NC 193396.10000000 0.002333709474 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 10496320.50000000 USD 14710000.00000000 AUD 2022-01-06 193396.10000000 N N N Fortress Credit Opportunities 2549008RD44HDM6DNP14 34961JBJ2 7750000.00000000 PA USD 7748825.88000000 0.093505031251 Long ABS-O CORP KY N 2 2033-10-15 Floating 4.07200000 N N N N N N SITECORE HOLDING III A/S N/A N/A 4566268.05430000 PA 5133114.40000000 0.061941257917 Long LON CORP DK N 3 2026-03-12 Variable 7.00000000 N N Y N N N Morgan Stanley Mortgage Loan T N/A 61748JAB3 9006606.24300000 PA USD 3301400.34000000 0.039837976326 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.40200000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 N/A 1100000.00000000 NC USD -14940.46000000 -0.00018028643 N/A DFE CA N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 1409428.90000000 CAD 1100000.00000000 USD 2022-01-07 -14940.46000000 N N N CLEAVER-BROOKS INC 549300TRZDD68CZBS255 185401AG1 9852000.00000000 PA USD 9630330.00000000 0.116209129171 Long DBT CORP US N 2 2023-03-01 Fixed 7.87500000 N N N N N N STATION CASINOS LLC 5493004E7Q60TX54WL62 857691AH2 3000000.00000000 PA USD 3024600.03000000 0.036497828794 Long DBT CORP US N 2 2031-12-01 Fixed 4.62500000 N N N N N N Conyers Park III Acquisition C N/A 21289P102 832100.00000000 NS USD 8112975.00000000 0.097899216303 Long EC CORP US N 1 N N N MCCORMICK & COMPANY INCORPORATED 549300JQQA6MQ4OJP259 N/A 37000000.00000000 PA USD 36998705.00000000 0.446463131431 Long STIV CORP US N 2 N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 071734AN7 13200000.00000000 PA USD 13464000.00000000 0.162470000006 Long DBT CORP CA N 2 2028-06-01 Fixed 4.87500000 N N N N N N TRANSDIGM GROUP INC 88Q84GB3X55CF5OC7582 N/A 14115154.71660000 PA USD 13909779.22000000 0.167849214941 Long LON CORP US N 2 2025-05-30 Variable 2.35000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 5903000.00000000 NC 11509.07000000 0.000138879872 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased N/A Foreign Exchange AUD/USD 5903000 0.71800000 AUD 2022-01-18 XXXX -30594.64000000 N N N LASERAWAY INTERMEDIATE HOLDINGS II LLC N/A N/A 13400000.00000000 PA USD 13299500.00000000 0.160484979581 Long LON CORP US N 3 2027-10-14 Variable 6.50000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -2390000.00000000 NC -8211.06000000 -0.00009908280 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 2390000.00000000 EUR 24536705.56000000 SEK 2022-01-18 -8211.06000000 N N N RADIATE HOLDINGS LP N/A N/A 7723089.83000000 PA USD 7691734.09000000 0.092816104995 Long LON CORP US N 2 2026-09-25 Variable 4.00000000 N N N N N N DATIX BIDCO LIMITED N/A N/A 9112505.10000000 PA USD 9069409.69000000 0.109440507456 Long LON CORP GB N 3 2025-04-28 Variable 4.18000000 N N N N N N BILLIKEN BUYER INC N/A N/A 2166954.44080000 PA USD 2152739.22000000 0.025977090098 Long LON CORP US N 2 2027-02-18 Variable 3.97000000 N N N N N N NCR CORP 549300YKTY8JX1DV2R67 62886EBA5 6350000.00000000 PA USD 6573520.00000000 0.079322622879 Long DBT CORP US N 2 2029-04-15 Fixed 5.12500000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 8996000.00000000 NC 9650.42000000 0.000116451555 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 Call Purchased N/A Foreign Exchange EUR/SEK 8996000 10.43000000 EUR 2022-01-14 XXXX -20629.94000000 N N N Navigator Aircraft ABS LLC N/A 63943BAB9 6350000.00000000 PA USD 6290310.64000000 0.075905137382 Long ABS-O CORP US N 2 2046-11-15 Variable 3.57100000 N N N N N N RASPRO TRUST N/A 75405RAC7 18130810.99100000 PA USD 18108832.82000000 0.218519167289 Long ABS-O CORP US N 2 2024-03-23 Floating 1.05700000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -567000000.00000000 NC 73215.55000000 0.000883491563 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 567000000.00000000 JPY 4999669.33000000 USD 2022-01-06 73215.55000000 N N N Confluent Health LLC N/A N/A -982300.88000000 PA USD -1640.44000000 -0.00001979517 Short LON CORP US N 3 2028-10-27 None 0.00000000 N N N N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A 328000.00000000 NC 3051.73000000 0.000036825205 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 440520.40000000 USD 328000.00000000 GBP 2022-01-05 3051.73000000 N N N HOST HOTELS & RESORTS LP FXB7X4WXVA8QPMNOGS12 44107TAZ9 24000000.00000000 PA USD 24636949.92000000 0.297293913671 Long DBT CORP US N 2 2030-09-15 Fixed 3.50000000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 7168000.00000000 NC 67.66000000 0.000000816452 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased N/A Foreign Exchange GBP/CAD 7168000 1.67550000 GBP 2022-01-05 XXXX -31310.88000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A -3000000.00000000 NC -2703.72000000 -0.00003262577 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 3000000.00000000 EUR 3112449.00000000 CHF 2022-01-20 -2703.72000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -290000.00000000 NC USD 3914.32000000 0.000047234073 N/A DFE CA N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 290000.00000000 USD 371545.70000000 CAD 2022-01-07 3914.32000000 N N N OSMOSIS HOLDINGS AUSTRALIA II PTY LTD N/A N/A 5967777.78000000 PA USD 5972014.90000000 0.072064264768 Long LON CORP AU N 2 2028-07-31 Variable 4.50000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 15559000.00000000 NC 1775636.13000000 0.021426589576 N/A DIR GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 0.00000000 OU Notional Amount 0.00000000 0.00000000 DIR Sterling Overnight Interbank Average Rate SONIA 2046-12-03 0.00000000 GBP 0.00000000 GBP 0.00000000 GBP 15559000 0.49600000 GBP 2026-12-03 XXXX -691037.11000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 2780000.00000000 NC 3952.62000000 0.000047696239 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 1899329.36000000 USD 2780000.00000000 NZD 2022-01-06 3952.62000000 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 2240000.00000000 NC -6984.43000000 -0.00008428107 N/A DFE SE N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 23129491.84000000 SEK 2240000.00000000 EUR 2022-01-18 -6984.43000000 N N N KRONOS ACQUISITION HOLDINGS INC N/A N/A 12505500.00000000 PA USD 12110826.42000000 0.146141263260 Long LON CORP US N 2 2026-12-22 Variable 4.25000000 N N N N N N ENDO LUX FIN CO I SARL N/A 29280BAA3 4400000.00000000 PA USD 4312000.00000000 0.052032875819 Long DBT CORP LU N 2 2029-04-01 Fixed 6.12500000 N N N N N N AUXEY HOLDCO LTD N/A N/A 3000000.00000000 PA 3886347.96000000 0.046896535434 Long LON CORP GB N 2 2025-06-16 Variable 5.17000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 8000.00000000 OU Notional Amount USD -41.25000000 -0.00000049776 N/A DIR US N 2 London Clearing House F226TOH6YD6XJB17KS62 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 U.S. Secured Overnight Financing Rate N/A Y 2033-12-18 4.33000000 USD 0.00000000 USD 8000.00000000 USD -45.58000000 N N N WENDYS FUNDING LLC 5493009DRVSTWJOXUL48 95058XAE8 384000.00000000 PA USD 398665.73000000 0.004810696758 Long ABS-O CORP US N 2 2048-03-15 Fixed 3.88400000 N N N N N N Bank of America, N.A. B4TYDEB6GKMZO031MB27 N/A 709900000.00000000 NC USD 1377206.00000000 0.016618735801 N/A DIR US N 2 Bank of America, N.A. B4TYDEB6GKMZO031MB27 Call Purchased N/A 2Y-10 CMS CAP 709900000 0.39500000 USD 2022-07-29 XXXX -273311.50000000 N N N GSAMP Trust N/A 3622MGAA6 20182498.40190000 PA USD 13357899.59000000 0.161189687052 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.23200000 N N N N N N J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 N/A -1874000.00000000 NC -16.88000000 -0.00000020369 N/A DFE US N 2 J.P. Morgan Securities PLC K6Q0W1PS1L1O4IQL9C32 Call Written N/A Foreign Exchange GBP/AUD -1874000 1.91350000 GBP 2022-01-06 XXXX 8927.40000000 N N N KREF FUNDING V LLC N/A N/A 17777382.66200000 PA USD 17766475.88000000 0.214387948332 Long ABS-O CORP US N 3 2026-06-25 Variable 1.83400000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94988U128 982000.00000000 NS USD 25335600.00000000 0.305724519620 Long EP CORP US N 2 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 7460000.00000000 NC 30789.31000000 0.000371534402 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 5390372.20000000 USD 7460000.00000000 AUD 2022-01-06 30789.31000000 N N N Barclays Bank plc G5GSEF7VJP5I7OUK5573 N/A 160000.00000000 NC USD -2450.95000000 -0.00002957559 N/A DFE CA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 205359.01000000 CAD 160000.00000000 USD 2022-01-07 -2450.95000000 N N N BDS Ltd N/A 05493NAJ1 2700000.00000000 PA USD 2691539.28000000 0.032478786901 Long ABS-O CORP KY N 2 2038-11-16 Floating 2.70400000 N N N N N N Marathon CLO LTD 635400LRBGQZIPTCBI09 56576QAQ1 7920233.00000000 PA USD 7914299.16000000 0.095501796240 Long ABS-O CORP KY N 2 2027-11-21 Floating 1.61000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -3749000.00000000 NC -10463.31000000 -0.00012626069 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 3749000.00000000 GBP 5059512.00000000 USD 2022-01-05 -10463.31000000 N N N VERSCEND HOLDING CORP N/A N/A 2388000.00000000 PA USD 2385015.00000000 0.028779960417 Long LON CORP US N 2 2025-08-27 Variable 4.10000000 N N N N N N PACKAGING COORDINATORS MIDCO INC N/A N/A 2550000.00000000 PA USD 2547883.50000000 0.030745293542 Long LON CORP US N 2 2027-11-30 Variable 4.50000000 N N N N N N AVERY POINT CLO LTD AVERY_13-3A N/A N/A 6270000.00000000 PA USD 104709.00000000 0.001263522818 Long ABS-O CORP KY N 2 2025-01-18 None 0.00000000 N N N N N N SERVICE CORP INTL 549300RKVM2ME20JHZ15 817565CG7 1650000.00000000 PA USD 1670625.00000000 0.020159420956 Long DBT CORP US N 2 2031-05-15 Fixed 4.00000000 N N N N N N WAMU Asset-Backed Certificates N/A 933631AE3 8046136.59840000 PA USD 4982171.80000000 0.060119834549 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.33200000 N N N N N N INGENOVIS HEALTH INC N/A N/A 1890500.00000000 PA USD 1886964.77000000 0.022769991547 Long LON CORP US N 2 2028-03-06 Variable 4.50000000 N N N N N N BOOZ ALLEN HAMILTON INC 549300D7XCH2480XU542 09951LAA1 11800000.00000000 PA USD 12006500.00000000 0.144882357032 Long DBT CORP US N 2 2028-09-01 Fixed 3.87500000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -5623000.00000000 NC -15232.79000000 -0.00018381397 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 5623000.00000000 GBP 7589054.00000000 USD 2022-01-05 -15232.79000000 N N N Capital Automotive Reit N/A 12510HAJ9 21105000.00000000 PA USD 21760413.66000000 0.262582769421 Long ABS-O CORP US N 2 2050-02-15 Fixed 4.95000000 N N N N N N BX Commercial Mortgage Trust 2 N/A 056054AK5 1989000.00010000 PA USD 1972823.26000000 0.023806045385 Long ABS-MBS CORP US N 2 2036-10-15 Floating 2.41000000 N N N N N N ARAMARK SERVICES INC 42YMHYH0XMHJEXDUB065 038522AR9 5100000.00000000 PA USD 5329500.00000000 0.064311041669 Long DBT CORP US N 2 2025-05-01 Fixed 6.37500000 N N N N N N JONES DESLAURIERS INSURANCE MANAGEMENT INC N/A N/A 10612000.00000000 PA 8426186.39000000 0.101678736099 Long LON CORP CA N 2 2029-03-26 Variable 8.00000000 N N N N N N Vacasa Inc N/A 91854V107 503817.00000000 NS USD 4191757.44000000 0.050581909633 Long EC CORP US N 1 N N N HYATT HOTELS CORP T27JQIMTYSH41TCD5186 448579AJ1 6530000.00000000 PA USD 7789350.20000000 0.093994037956 Long DBT CORP US N 2 2030-04-23 Fixed 5.75000000 N N N N N N BOXER PARENT CO INC 5493006T045HLTF7YX04 N/A 8500000.00000000 PA 10143662.34000000 0.122403507163 Long DBT CORP US N 2 2025-10-02 Fixed 6.50000000 N N N N N N UNITED AIRLINES INC K1OQBWM7XEOO08LDNP29 90932LAH0 1700000.00000000 PA USD 1753125.00000000 0.021154947917 Long DBT CORP US N 2 2029-04-15 Fixed 4.62500000 N N N N N N TEXGEN POWER LLC N/A N/A 180169.00000000 NS USD 4188929.25000000 0.050547781883 Long EC CORP US N 3 N N N ALCOA NEDERLAND HOLDING 5493000UL1QLQLT1VQ42 013822AC5 7450000.00000000 PA USD 8018062.50000000 0.096753907785 Long DBT CORP NL N 2 2028-05-15 Fixed 6.12500000 N N N N N N KRONOS ACQ / KIK CUSTOM N/A 50106GAE2 5500000.00000000 PA USD 5433065.00000000 0.065560759847 Long DBT CORP US N 2 2026-12-31 Fixed 5.00000000 N N N N N N MATTERHORN BUYER LLC 549300B7GQ818BSKC852 N/A 6740935.78940000 PA USD 6689165.40000000 0.080718115165 Long LON CORP US N 2 2025-05-23 Variable 3.79000000 N N N N N N SABRE GLBL INC F2TJC7HPPHLHU1AQMP98 78573NAC6 1680000.00000000 PA USD 1898400.00000000 0.022907980393 Long DBT CORP US N 2 2025-04-15 Fixed 9.25000000 N N N N N N Ladder Capital Commercial Mort N/A 50190FAG6 28865000.00000000 PA USD 28790153.06000000 0.347410588818 Long ABS-O CORP US N 2 2038-11-15 Floating 2.70000000 N N N N N N SELECTIVE INSURANCE GROU 549300R3WGJWLE40R258 816300503 246000.00000000 NS USD 6371400.00000000 0.076883642160 Long EP CORP US N 2 N N N VENTURE GLOBAL LNG INC N/A N/A 4134402.74290000 PA USD 4093058.72000000 0.049390912824 Long LON CORP US N 3 2026-08-19 Variable 2.48000000 N N N N N N Acres PLC N/A 00103CAJ8 7250000.00000000 PA USD 7229291.83000000 0.087235817265 Long ABS-O CORP KY N 2 2036-06-15 Floating 2.76000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 1690000.00000000 NC 17292.32000000 0.000208666312 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 2268186.01000000 USD 1690000.00000000 GBP 2022-01-05 17292.32000000 N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 N/A 3092000.00000000 NC 24972.12000000 0.000301338408 N/A DFE US N 2 DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 Call Purchased N/A Foreign Exchange EUR/USD 3092000 1.13000000 EUR 2022-01-06 XXXX -1476.89000000 N N N AIR CANADA 4B4HI3CGXMBDC0G6BM51 N/A 9800000.00000000 PA USD 9759722.00000000 0.117770501589 Long LON CORP CA N 2 2028-08-11 Variable 4.25000000 N N N N N N SABRE GLBL INC F2TJC7HPPHLHU1AQMP98 78573NAF9 7300000.00000000 PA USD 7628499.93000000 0.092053058799 Long DBT CORP US N 2 2025-09-01 Fixed 7.37500000 N N N N N N HUNT COS INC 549300ODPWDNCH5TKM49 445587AE8 17200000.00000000 PA USD 16942000.00000000 0.204439003276 Long DBT CORP US N 2 2029-04-15 Fixed 5.25000000 N N N N N N US FOODS INC 5493000JOOFAOUY1JZ87 90290MAE1 2250000.00000000 PA USD 2275087.50000000 0.027453465993 Long DBT CORP US N 2 2030-06-01 Fixed 4.62500000 N N N N N N AASET 2021-2 Trust N/A 00258BAB0 4000000.00000000 PA USD 3966425.20000000 0.047862826966 Long ABS-O CORP US N 2 2047-01-15 Fixed 3.53800000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 11714000.00000000 NC 65221.28000000 0.000787024759 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 7954579.12000000 USD 11714000.00000000 NZD 2022-01-06 65221.28000000 N N N GoldenTree Loan Management US N/A 38138JAJ2 9950000.00000000 PA USD 9823196.21000000 0.118536444467 Long ABS-O CORP KY N 2 2033-01-20 Floating 3.03200000 N N N N N N GS Mortgage Securities Trust N/A 36258BAS7 7340000.00000000 PA USD 7191497.85000000 0.086779757556 Long ABS-MBS CORP US N 2 2036-12-15 Floating 2.61000000 N N N N N N BlackRock Debt Strategies Fund Y02PFSGMGNYKWM70AJ95 09255R202 237789.00000000 NS USD 2782131.30000000 0.033571960214 Long EC RF US N 1 N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A -290000.00000000 NC USD 3469.48000000 0.000041866192 N/A DFE CA N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 290000.00000000 USD 370983.37000000 CAD 2022-01-07 3469.48000000 N N N Citibank, N.A. E57ODZWZ7FF32TWEFA76 N/A -2155000.00000000 NC -1271.88000000 -0.00001534776 N/A DFE US N 2 Citibank, N.A. E57ODZWZ7FF32TWEFA76 Call Written N/A Foreign Exchange EUR/CHF -2155000 1.04990000 EUR 2022-01-19 XXXX 3406.05000000 N N N MSD Acquisition Corp. N/A N/A 166604.00000000 NS USD 190761.58000000 0.002301918739 N/A DE US N 1 MSD Acquisition Corp. N/A Call Purchased N/A MSD Acquisition Corp. 166604 11.50000000 USD 2023-05-13 XXXX 4147.35000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -51062000.00000000 NC -1346353.28000000 -0.01624643623 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 51062000.00000000 ILS 15138003.62000000 USD 2022-01-31 -1346353.28000000 N N N Nomura Resecuritization Trust N/A 65540WCC1 2488707.63130000 PA USD 2462844.73000000 0.029719131261 Long ABS-MBS CORP US N 2 2036-03-26 Floating 2.19700000 N N N N N N WAMU Asset-Backed Certificates N/A 93363XAA1 7429979.68750000 PA USD 6232845.76000000 0.075211709051 Long ABS-MBS CORP US N 2 2047-07-25 Floating 0.27200000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -4030000.00000000 NC -15902.55000000 -0.00019189596 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 4030000.00000000 GBP 5434084.24000000 USD 2022-01-05 -15902.55000000 N N N Starwood Commercial Mortgage T N/A 78486BAJ3 3750000.00000000 PA USD 3749993.63000000 0.045251148625 Long ABS-O CORP KY N 2 2038-04-18 Floating 2.90900000 N N N N N N API HEAT TRANSFER THERMASYS CORP N/A N/A 216452.03490000 PA USD 151516.42000000 0.001828347649 Long LON CORP US N 3 2023-10-02 Variable 6.00000000 N N Y N N N BSPDF 2021-FL1 Issuer Ltd N/A 055731AJ2 19975000.00000000 PA USD 19865740.75000000 0.239719763798 Long ABS-O CORP KY N 2 2036-10-15 Floating 2.86000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAB2 6320000.00000000 PA USD 7400722.15000000 0.089304465817 Long DBT CORP US N 2 2046-06-01 Fixed 4.37500000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50076QAE6 2490000.00000000 PA USD 3097454.03000000 0.037376957536 Long DBT CORP US N 2 2042-06-04 Fixed 5.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 N/A -5830000.00000000 NC -21715.62000000 -0.00026204224 N/A DFE US N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 5830000.00000000 NZD 3969699.47000000 USD 2022-01-06 -21715.62000000 N N N Conyers Park III Acquisition Corp. N/A 21289P110 277366.00000000 NS USD 244082.08000000 0.002945336864 N/A DE US N 1 Conyers Park III Acquisition Corp. N/A Call Purchased N/A Conyers Park III Acquisition Corp. 277366 11.50000000 USD 2028-08-12 XXXX -34115.67000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 N/A 19960000.00000000 NC 159617.01000000 0.001926097416 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 22571247.04000000 USD 19960000.00000000 EUR 2022-01-20 159617.01000000 N N N VIRGIN MEDIA FINANCE PLC 2138001LVYC87DDHT482 92769VAJ8 21150000.00000000 PA USD 21044250.00000000 0.253940827216 Long DBT CORP US N 2 2030-07-15 Fixed 5.00000000 N N N N N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N/A 400000.00000000 NC 3838.82000000 0.000046323015 N/A DFE US N 2 JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 537102.80000000 USD 400000.00000000 GBP 2022-01-05 3838.82000000 N N N 2022-01-31 Guggenheim Funds Trust John Sullivan John Sullivan CFO XXXX