NPORT-P false 0000896435 XXXXXXXX S000064661 C000209370 C000209369 AIM Variable Insurance Funds (Invesco Variable Insurance Funds) 811-07452 0000896435 FC4UULIMJMGKBDUARB13 11 Greenway Plaza Suite 1000 Houston 77046-1173 800-959-4246 Invesco Oppenheimer V.I. Global Strategic Income Fund S000064661 549300NCC31DI84NL880 2020-12-31 2020-03-31 N 3369446863.22 2453228889.85 916217973.37 0.00000000 33724358.88000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 80235977.33000000 0.00000000 0.00000000 131312302.70000000 GBP IDR INR ZAR RUB ARS USD EUR MXN N N/A N/A N/A 1.00000000 NC N/A 1051.75000000 0.000114792552 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 1410000.00000000 EUR 1560658.50000000 USD 2020-06-17 1051.75000000 N N N N/A N/A N/A 1.00000000 NC N/A 2079686.82000000 0.226986031757 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 350500000.00000000 ZAR 21480664.34000000 USD 2020-06-17 2079686.82000000 N N N N/A N/A N/A 1.00000000 NC N/A 10486.34000000 0.001144524589 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 725000.00000000 EUR 812411.80000000 USD 2020-06-17 10486.34000000 N N N N/A N/A N/A 1.00000000 NC N/A 375866.74000000 0.041023724803 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 51167000000.00000000 IDR 3491436.37000000 USD 2020-06-17 375866.74000000 N N N N/A N/A N/A 1.00000000 NC N/A -69638.26000000 -0.00760062147 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5311000.00000000 EUR 5804880.51000000 USD 2020-06-17 -69638.26000000 N N N N/A N/A N/A 1.00000000 NC N/A 375760.09000000 0.041012084560 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7524000.00000000 EUR 8686458.00000000 USD 2020-05-11 375760.09000000 N N N N/A N/A N/A 1.00000000 NC N/A 1224406.97000000 0.133637082614 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 250200000.00000000 MXN 11653469.96000000 USD 2020-06-17 1224406.97000000 N N N N/A N/A N/A 1.00000000 NC N/A 42054.10000000 0.004589966713 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 4680000.00000000 EUR 5218621.20000000 USD 2020-06-17 42054.10000000 N N N N/A N/A N/A 1.00000000 NC N/A 21629.11000000 0.002360694794 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2407000.00000000 EUR 2684021.63000000 USD 2020-06-17 21629.11000000 N N N N/A N/A N/A 1.00000000 NC N/A -30850.01000000 -0.00336710377 N/A DFE N/A N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 6225000000.00000000 COP 1500000.00000000 USD 2020-04-20 -30850.01000000 N N N N/A N/A N/A 1.00000000 NC N/A 135975.32000000 0.014840935667 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1228200000.00000000 INR 16339943.19000000 USD 2020-04-20 135975.32000000 N N N N/A N/A N/A 1.00000000 NC N/A 1283978.19000000 0.140138943714 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4500000000.00000000 CLP 6547454.50000000 USD 2020-05-13 1283978.19000000 N N N N/A N/A N/A 1.00000000 NC N/A 1502006.28000000 0.163935474270 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1306900000.00000000 RUB 17948224.95000000 USD 2020-06-17 1502006.28000000 N N N N/A N/A N/A 1.00000000 NC N/A 152014.52000000 0.016591523460 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2110000.00000000 GBP 2776338.00000000 USD 2020-06-17 152014.52000000 N N N N/A N/A N/A 1.00000000 NC N/A -1451.74000000 -0.00015844919 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 255855.68000000 USD 230000.00000000 EUR 2020-06-17 -1451.74000000 N N N N/A N/A N/A 1.00000000 NC N/A 1151738.38000000 0.125705717795 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 274000000.00000000 ZAR 16318265.74000000 USD 2020-06-17 1151738.38000000 N N N N/A N/A N/A 1.00000000 NC N/A 492561.74000000 0.053760322796 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1083750000.00000000 INR 14624262.71000000 USD 2020-08-07 492561.74000000 N N N N/A N/A N/A 1.00000000 NC N/A -2198.40000000 -0.00023994290 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 338345.64000000 USD 303902.00000000 EUR 2020-06-17 -2198.40000000 N N N N/A N/A N/A 1.00000000 NC N/A 4807.47000000 0.000524708108 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 535000.00000000 EUR 596573.15000000 USD 2020-06-17 4807.47000000 N N N N/A N/A N/A 1.00000000 NC N/A 27584.01000000 0.003010638385 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 140000000.00000000 INR 1862692.92000000 USD 2020-06-17 27584.01000000 N N N N/A N/A N/A 1.00000000 NC N/A 955.91000000 0.000104332159 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 105000.00000000 EUR 117096.84000000 USD 2020-06-17 955.91000000 N N N N/A N/A N/A 1.00000000 NC N/A -487592.10000000 -0.05321791475 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 14639374.11000000 USD 1085290000.00000000 INR 2020-08-07 -487592.10000000 N N N N/A N/A N/A 1.00000000 NC N/A -173215.97000000 -0.01890554158 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 871386.86000000 USD 596900000.00000000 CLP 2020-05-13 -173215.97000000 N N N N/A N/A N/A 1.00000000 NC N/A 242414.59000000 0.026458178844 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 173700000.00000000 THB 5537137.39000000 USD 2020-06-17 242414.59000000 N N N N/A N/A N/A 1.00000000 NC N/A -6502.94000000 -0.00070975905 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 780775.80000000 USD 700000.00000000 EUR 2020-06-17 -6502.94000000 N N N N/A N/A N/A 1.00000000 NC N/A -51147.86000000 -0.00558249908 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 6347092.28000000 USD 5692000.00000000 EUR 2020-06-17 -51147.86000000 N N N N/A N/A N/A 1.00000000 NC N/A -7812.76000000 -0.00085271848 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 700000.00000000 EUR 766460.10000000 USD 2020-06-17 -7812.76000000 N N N N/A N/A N/A 1.00000000 NC N/A -122390.19000000 -0.01335819570 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 992609637.00000000 JPY 9139000.00000000 USD 2020-06-17 -122390.19000000 N N N N/A N/A N/A 1.00000000 NC N/A -15281.92000000 -0.00166793497 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1834823.13000000 USD 1645000.00000000 EUR 2020-06-17 -15281.92000000 N N N N/A N/A N/A 1.00000000 NC N/A -84483.51000000 -0.00922089638 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3194848.18000000 USD 2812000.00000000 EUR 2020-06-17 -84483.51000000 N N N N/A N/A N/A 1.00000000 NC N/A 136201.89000000 0.014865664498 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2135000.00000000 GBP 2791619.25000000 USD 2020-06-17 136201.89000000 N N N N/A N/A N/A 1.00000000 NC N/A -56730.64000000 -0.00619182788 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 1454719.00000000 USD 1263885.00000000 EUR 2020-06-17 -56730.64000000 N N N N/A N/A N/A 1.00000000 NC N/A -128200.26000000 -0.01399233192 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 11774370.12000000 USD 10529000.00000000 EUR 2020-06-17 -128200.26000000 N N N N/A N/A N/A 1.00000000 NC N/A 738.90000000 0.000080646747 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 27600000.00000000 CLP 33049.93000000 USD 2020-06-17 738.90000000 N N N N/A N/A N/A 1.00000000 NC N/A 96239.00000000 0.010503941507 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 19665845.00000000 MXN 915968.56000000 USD 2020-06-17 96239.00000000 N N N N/A N/A N/A 1.00000000 NC N/A -6606.18000000 -0.00072102711 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 623573.00000000 EUR 683130.46000000 USD 2020-06-17 -6606.18000000 N N N N/A N/A N/A 1.00000000 NC N/A -2683.63000000 -0.00029290300 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 400000.00000000 EUR 439758.00000000 USD 2020-06-17 -2683.63000000 N N N N/A N/A N/A 1.00000000 NC N/A 11315.53000000 0.001235025979 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 715000.00000000 EUR 802179.95000000 USD 2020-06-17 11315.53000000 N N N N/A N/A N/A 1.00000000 NC N/A 105656.52000000 0.011531810450 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 7741163.48000000 USD 841000000.00000000 JPY 2020-06-17 105656.52000000 N N N N/A N/A N/A 1.00000000 NC N/A -18723.33000000 -0.00204354537 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3057191.24000000 USD 2747000.00000000 EUR 2020-06-17 -18723.33000000 N N N N/A N/A N/A 1.00000000 NC N/A -499259.56000000 -0.05449135189 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 14624250.00000000 USD 12750000.00000000 EUR 2020-08-07 -499259.56000000 N N N N/A N/A N/A 1.00000000 NC N/A -1933020.60000000 -0.21097824493 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 19965778.68000000 USD 325781610.68000000 ZAR 2020-06-17 -1933020.60000000 N N N N/A N/A N/A 1.00000000 NC N/A -251783.99000000 -0.02748079576 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2577510.00000000 USD 3900000.00000000 NZD 2020-06-17 -251783.99000000 N N N N/A N/A N/A 1.00000000 NC N/A -29801.61000000 -0.00325267685 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2257000.00000000 EUR 2466675.30000000 USD 2020-06-17 -29801.61000000 N N N N/A N/A N/A 1.00000000 NC N/A 846962.29000000 0.092441134600 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 11730000.00000000 GBP 15436210.80000000 USD 2020-06-17 846962.29000000 N N N N/A N/A N/A 1.00000000 NC N/A 14894.33000000 0.001625631720 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 6970000.00000000 EUR 7724439.77000000 USD 2020-06-17 14894.33000000 N N N N/A N/A N/A 1.00000000 NC N/A -182578.74000000 -0.01992743487 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 22719449.38000000 USD 20375000.00000000 EUR 2020-06-17 -182578.74000000 N N N N/A N/A N/A 1.00000000 NC N/A 14377.47000000 0.001569219379 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1600000.00000000 EUR 1784144.00000000 USD 2020-06-17 14377.47000000 N N N N/A N/A N/A 1.00000000 NC N/A -638371.83000000 -0.06967466787 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5929853.29000000 USD 86902000000.00000000 IDR 2020-06-17 -638371.83000000 N N N N/A N/A N/A 1.00000000 NC N/A -2737296.35000000 -0.29876038558 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 20272412.28000000 USD 182250000.00000000 NOK 2020-06-17 -2737296.35000000 N N N N/A N/A N/A 1.00000000 NC N/A 615230.75000000 0.067148950127 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 127582125.00000000 MXN 5933224.43000000 USD 2020-06-17 615230.75000000 N N N N/A N/A N/A 1.00000000 NC N/A 1878624.45000000 0.205041213401 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 26018000.00000000 GBP 34238647.28000000 USD 2020-06-17 1878624.45000000 N N N N/A N/A N/A 1.00000000 NC N/A 15854.99000000 0.001730482315 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 1390042.01000000 USD 1271035.00000000 EUR 2020-06-17 15854.99000000 N N N N/A N/A N/A 1.00000000 NC N/A 79835.43000000 0.008713584793 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 947531250.00000000 INR 12500000.00000000 USD 2020-06-17 79835.43000000 N N N N/A N/A N/A 1.00000000 NC N/A -268945.89000000 -0.02935391989 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3213769.00000000 USD 234010589.64000000 RUB 2020-06-17 -268945.89000000 N N N N/A N/A N/A 1.00000000 NC N/A 132.77000000 0.000014491093 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 15000.00000000 EUR 16724.33000000 USD 2020-06-17 132.77000000 N N N N/A N/A N/A 1.00000000 NC N/A -574352.91000000 -0.06268736552 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 4257448.87000000 USD 38280000.00000000 NOK 2020-06-17 -574352.91000000 N N N N/A N/A N/A 1.00000000 NC N/A -3297380.66000000 -0.35989041427 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 15353991.96000000 USD 62647358.00000000 BRL 2020-04-01 -3297380.66000000 N N N N/A N/A N/A 1.00000000 NC N/A -279266.17000000 -0.03048031998 N/A DFE N/A N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 1423311.99000000 USD 978100000.00000000 CLP 2020-05-13 -279266.17000000 N N N N/A N/A N/A 1.00000000 NC N/A -122484.41000000 -0.01336847928 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5780574.13000000 USD 29400000.00000000 BRL 2020-04-02 -122484.41000000 N N N N/A N/A N/A 1.00000000 NC N/A -2967.97000000 -0.00032393710 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 356921.28000000 USD 320000.00000000 EUR 2020-06-17 -2967.97000000 N N N N/A N/A N/A 1.00000000 NC N/A -25430.15000000 -0.00277555677 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3155704.70000000 USD 2830000.00000000 EUR 2020-06-17 -25430.15000000 N N N N/A N/A N/A 1.00000000 NC N/A -14337.47000000 -0.00156485360 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1784104.00000000 USD 1600000.00000000 EUR 2020-06-17 -14337.47000000 N N N N/A N/A N/A 1.00000000 NC N/A -380.05000000 -0.00004148030 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 34796.00000000 EUR 38107.95000000 USD 2020-06-17 -380.05000000 N N N N/A N/A N/A 1.00000000 NC N/A 316979.07000000 0.034596469313 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4390000.00000000 GBP 5777064.40000000 USD 2020-06-17 316979.07000000 N N N N/A N/A N/A 1.00000000 NC N/A -2360.92000000 -0.00025768103 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 7285000.00000000 EUR 8055607.30000000 USD 2020-06-17 -2360.92000000 N N N N/A N/A N/A 1.00000000 NC N/A 9810.25000000 0.001070733197 N/A DFE N/A N 2 HSBC BANK USA, NATIONAL ASSOCIATION 1IE8VN30JCEQV1H4R804 4248187.50000000 CNY 608985.36000000 USD 2020-06-17 9810.25000000 N N N N/A N/A N/A 1.00000000 NC N/A -10189.31000000 -0.00111210544 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 198747540.00000000 RUB 2700000.00000000 EUR 2020-11-05 -10189.31000000 N N N N/A N/A N/A 1.00000000 NC N/A 514559.56000000 0.056161260197 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 12750000.00000000 EUR 14639550.00000000 USD 2020-08-07 514559.56000000 N N N N/A N/A N/A 1.00000000 NC N/A -180636.74000000 -0.01971547658 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 11529264.60000000 USD 10260000.00000000 EUR 2020-06-17 -180636.74000000 N N N N/A N/A N/A 1.00000000 NC N/A 3824.50000000 0.000417422503 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 85205.00000000 EUR 98070.10000000 USD 2020-06-17 3824.50000000 N N N N/A N/A N/A 1.00000000 NC N/A -673738.11000000 -0.07353469693 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 18061785.00000000 USD 15525000.00000000 EUR 2021-08-30 -673738.11000000 N N N N/A N/A N/A 1.00000000 NC N/A -973671.31000000 -0.10627070613 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 21660000.00000000 USD 1571866200.00000000 INR 2020-05-11 -973671.31000000 N N N N/A N/A N/A 1.00000000 NC N/A 129.38000000 0.000014121093 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 187908.31000000 USD 170000.00000000 EUR 2020-06-17 129.38000000 N N N N/A N/A N/A 1.00000000 NC N/A -552470.40000000 -0.06029901355 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 9905700.47000000 USD 38203315000.00000000 COP 2020-06-17 -552470.40000000 N N N N/A N/A N/A 1.00000000 NC N/A 811.87000000 0.000088611009 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 4615000.00000000 EUR 5105482.20000000 USD 2020-06-17 811.87000000 N N N N/A N/A N/A 1.00000000 NC N/A -282937.79000000 -0.03088105649 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1423357.66000000 USD 975000000.00000000 CLP 2020-05-13 -282937.79000000 N N N N/A N/A N/A 1.00000000 NC N/A -98081.22000000 -0.01070500938 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 9487798.76000000 USD 8489000.00000000 EUR 2020-06-17 -98081.22000000 N N N N/A N/A N/A 1.00000000 NC N/A -887981.02000000 -0.09691809654 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 6129168.64000000 USD 27233735.00000000 BRL 2020-04-02 -887981.02000000 N N N N/A N/A N/A 1.00000000 NC N/A -1748733.91000000 -0.19086439699 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10139785.66000000 USD 690200000.00000000 RUB 2021-02-08 -1748733.91000000 N N N N/A N/A N/A 1.00000000 NC N/A -146.28000000 -0.00001596563 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 281096.72000000 USD 254000.00000000 EUR 2020-06-17 -146.28000000 N N N N/A N/A N/A 1.00000000 NC N/A 22200.83000000 0.002423094792 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8575000.00000000 USD 704142127.50000000 RUB 2021-01-11 22200.83000000 N N N N/A N/A N/A 1.00000000 NC N/A 138274.23000000 0.015091848666 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 13530000.00000000 TRY 2139637.86000000 USD 2020-06-17 138274.23000000 N N N N/A N/A N/A 1.00000000 NC N/A 117693.82000000 0.012845613535 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1630000.00000000 GBP 2145014.80000000 USD 2020-06-17 117693.82000000 N N N N/A N/A N/A 1.00000000 NC N/A -154201.50000000 -0.01683021993 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2402592.27000000 USD 15200000.00000000 TRY 2020-06-17 -154201.50000000 N N N N/A N/A N/A 1.00000000 NC N/A 933.59000000 0.000101896058 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 38084.23000000 USD 35275.00000000 EUR 2020-06-17 933.59000000 N N N N/A N/A N/A 1.00000000 NC N/A 1106.37000000 0.000120754016 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 125000.00000000 EUR 139369.38000000 USD 2020-06-17 1106.37000000 N N N N/A N/A N/A 1.00000000 NC N/A -2643.33000000 -0.00028850449 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 252477.95000000 USD 225869.00000000 EUR 2020-06-17 -2643.33000000 N N N N/A N/A N/A 1.00000000 NC N/A 452179.07000000 0.049352783195 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 92400000.00000000 MXN 4303679.55000000 USD 2020-06-17 452179.07000000 N N N N/A N/A N/A 1.00000000 NC N/A 39269.06000000 0.004285995378 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2941681.44000000 USD 2695000.00000000 EUR 2020-06-17 39269.06000000 N N N N/A N/A N/A 1.00000000 NC N/A -139684.95000000 -0.01524582076 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3175000.00000000 USD 16068357.50000000 BRL 2021-02-18 -139684.95000000 N N N N/A N/A N/A 1.00000000 NC N/A 3027069.00000000 0.330387428317 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 412077000000.00000000 IDR 28118526.10000000 USD 2020-06-17 3027069.00000000 N N N N/A N/A N/A 1.00000000 NC N/A 60381.72000000 0.006590322582 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 9894555.00000000 USD 9000000.00000000 EUR 2020-06-17 60381.72000000 N N N N/A N/A N/A 1.00000000 NC N/A 1731780.36000000 0.189014013077 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 690200000.00000000 RUB 10122832.11000000 USD 2021-02-08 1731780.36000000 N N N N/A N/A N/A 1.00000000 NC N/A 98002.76000000 0.010696445916 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 21639500.00000000 MXN 1000000.00000000 USD 2020-06-17 98002.76000000 N N N N/A N/A N/A 1.00000000 NC N/A 114120.72000000 0.012455629917 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3500000.00000000 BRL 787702.83000000 USD 2020-04-02 114120.72000000 N N N N/A N/A N/A 1.00000000 NC N/A 85761.46000000 0.009360377387 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 62647358.00000000 BRL 12142372.76000000 USD 2020-04-01 85761.46000000 N N N N/A N/A N/A 1.00000000 NC N/A 2541.14000000 0.000277351031 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 745000.00000000 EUR 826588.68000000 USD 2020-06-17 2541.14000000 N N N N/A N/A N/A 1.00000000 NC N/A 161924.07000000 0.017673094689 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 11200000.00000000 BRL 2317386.82000000 USD 2020-04-02 161924.07000000 N N N N/A N/A N/A 1.00000000 NC N/A 13418.16000000 0.001464516129 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2198790.00000000 USD 2000000.00000000 EUR 2020-06-17 13418.16000000 N N N N/A N/A N/A 1.00000000 NC N/A 12000.38000000 0.001309773476 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 72047600.00000000 ZAR 4000000.00000000 USD 2020-06-17 12000.38000000 N N N N/A N/A N/A 1.00000000 NC N/A 184584.30000000 0.020146330389 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12764000000.00000000 COP 3309565.17000000 USD 2020-06-17 184584.30000000 N N N N/A N/A N/A 1.00000000 NC N/A -52673.84000000 -0.00574905115 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6324283.98000000 USD 5670000.00000000 EUR 2020-06-17 -52673.84000000 N N N N/A N/A N/A 1.00000000 NC N/A -21471.67000000 -0.00234351111 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2992467.23000000 USD 2686000.00000000 EUR 2020-06-17 -21471.67000000 N N N N/A N/A N/A 1.00000000 NC N/A 59992.85000000 0.006547879625 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 10000000.00000000 ZAR 613515.75000000 USD 2020-06-17 59992.85000000 N N N N/A N/A N/A 1.00000000 NC N/A 153996.82000000 0.016807880272 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 36210000.00000000 BRL 7107804.65000000 USD 2020-05-05 153996.82000000 N N N N/A N/A N/A 1.00000000 NC N/A -209257.81000000 -0.02283930419 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2367412.28000000 USD 3619000.00000000 NZD 2020-06-17 -209257.81000000 N N N N/A N/A N/A 1.00000000 NC N/A 219839.41000000 0.023994225870 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7300562.23000000 USD 6799000.00000000 EUR 2020-06-17 219839.41000000 N N N N/A N/A N/A 1.00000000 NC N/A -35140.90000000 -0.00383543010 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 285000000.00000000 JPY 2624007.37000000 USD 2020-06-17 -35140.90000000 N N N N/A N/A N/A 1.00000000 NC N/A -834924.78000000 -0.09112730859 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 20735008.00000000 USD 16000000.00000000 GBP 2020-06-17 -834924.78000000 N N N N/A N/A N/A 1.00000000 NC N/A 274185.03000000 0.029925742341 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 14700000.00000000 BRL 3103229.89000000 USD 2020-04-02 274185.03000000 N N N N/A N/A N/A 1.00000000 NC N/A 589815.96000000 0.064375069813 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 9525000.00000000 USD 243330412.50000000 MXN 2020-07-06 589815.96000000 N N N N/A N/A N/A 1.00000000 NC N/A 547486.09000000 0.059755004367 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 53310000.00000000 TRY 8433125.05000000 USD 2020-06-17 547486.09000000 N N N N/A N/A N/A 1.00000000 NC N/A 448182.68000000 0.048916599873 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 31000000.00000000 BRL 6414195.65000000 USD 2020-04-02 448182.68000000 N N N N/A N/A N/A 1.00000000 NC N/A 76.34000000 0.000008332078 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 6269.00000000 EUR 7010.51000000 USD 2020-06-17 76.34000000 N N N N/A N/A N/A 1.00000000 NC N/A 493872.02000000 0.053903332433 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2506600000.00000000 INR 33350186.27000000 USD 2020-06-17 493872.02000000 N N N N/A N/A N/A 1.00000000 NC N/A -45850.05000000 -0.00500427314 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 835634.60000000 USD 635000.00000000 GBP 2020-06-17 -45850.05000000 N N N N/A N/A N/A 1.00000000 NC N/A -7400.52000000 -0.00080772482 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 698553.00000000 EUR 765271.80000000 USD 2020-06-17 -7400.52000000 N N N N/A N/A N/A 1.00000000 NC N/A 7290.02000000 0.000795664373 N/A DFE N/A N 2 Natwest Markets PLC RR3QWICWWIPCS8A4S074 805000.00000000 EUR 897703.80000000 USD 2020-06-17 7290.02000000 N N N N/A N/A N/A 1.00000000 NC N/A 547.62000000 0.000059769619 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 60000.00000000 EUR 66913.86000000 USD 2020-06-17 547.62000000 N N N N/A N/A N/A 1.00000000 NC N/A 56357.42000000 0.006151093040 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1080000.00000000 GBP 1399613.04000000 USD 2020-06-17 56357.42000000 N N N N/A N/A N/A 1.00000000 NC N/A 8064.83000000 0.000880230494 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 900000.00000000 EUR 1003558.50000000 USD 2020-06-17 8064.83000000 N N N N/A N/A N/A 1.00000000 NC N/A 3200.40000000 0.000349305524 N/A DFE N/A N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 2835000000.00000000 COP 700000.00000000 USD 2020-04-27 3200.40000000 N N N N/A N/A N/A 1.00000000 NC N/A 138880.32000000 0.015157999955 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 28800000.00000000 MXN 1339348.00000000 USD 2020-06-17 138880.32000000 N N N N/A N/A N/A 1.00000000 NC N/A -165652.80000000 -0.01808006444 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2551609.59000000 USD 16130000.00000000 TRY 2020-06-17 -165652.80000000 N N N N/A N/A N/A 1.00000000 NC N/A 1282853.27000000 0.140016165070 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 492093750.00000000 RUB 7250000.00000000 USD 2021-02-25 1282853.27000000 N N N N/A N/A N/A 1.00000000 NC N/A -90070.54000000 -0.00983068905 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 622443.86000000 USD 2766265.00000000 BRL 2020-04-02 -90070.54000000 N N N N/A N/A N/A 1.00000000 NC N/A -140679.51000000 -0.01535437134 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6493137.17000000 USD 33078638.00000000 BRL 2020-05-05 -140679.51000000 N N N N/A N/A N/A 1.00000000 NC N/A 349699.58000000 0.038167727567 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 312865000.00000000 THB 9884213.19000000 USD 2020-05-05 349699.58000000 N N N N/A N/A N/A 1.00000000 NC N/A -20127.24000000 -0.00219677419 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3000000.00000000 EUR 3298185.00000000 USD 2020-06-17 -20127.24000000 N N N N/A N/A N/A 1.00000000 NC N/A -27171.58000000 -0.00296562398 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 851219.12000000 USD 745000.00000000 EUR 2020-06-17 -27171.58000000 N N N N/A N/A N/A 1.00000000 NC N/A -7496.29000000 -0.00081817757 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 96908.87000000 USD 370000.00000000 PLN 2020-06-17 -7496.29000000 N N N N/A N/A N/A 1.00000000 NC N/A 8806.20000000 0.000961146829 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 980000.00000000 EUR 1092788.20000000 USD 2020-06-17 8806.20000000 N N N N/A N/A N/A 1.00000000 NC N/A 197117.58000000 0.021514266880 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7503445875.00000000 CLP 8981322.49000000 USD 2020-06-17 197117.58000000 N N N N/A N/A N/A 1.00000000 NC N/A -239822.49000000 -0.02617526581 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1779256.54000000 USD 16000000.00000000 NOK 2020-06-17 -239822.49000000 N N N N/A N/A N/A 1.00000000 NC N/A -3375.19000000 -0.00036838286 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 584079.83000000 USD 525000.00000000 EUR 2020-06-17 -3375.19000000 N N N N/A N/A N/A 1.00000000 NC N/A -886407.95000000 -0.09674640486 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 4500000.00000000 USD 93574800.00000000 MXN 2022-01-10 -886407.95000000 N N N N/A N/A N/A 1.00000000 NC N/A 14253.93000000 0.001555735688 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1429274.94000000 USD 1305057.00000000 EUR 2020-06-17 14253.93000000 N N N N/A N/A N/A 1.00000000 NC N/A -56484.22000000 -0.00616493254 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 870046.67000000 USD 5500000.00000000 TRY 2020-06-17 -56484.22000000 N N N N/A N/A N/A 1.00000000 NC N/A 12076.34000000 0.001318064079 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1978911.00000000 USD 1800000.00000000 EUR 2020-06-17 12076.34000000 N N N N/A N/A N/A 1.00000000 NC N/A 8916.12000000 0.000973143974 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 995000.00000000 EUR 1109489.68000000 USD 2020-06-17 8916.12000000 N N N N/A N/A N/A 1.00000000 NC N/A 7455.49000000 0.000813724486 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 832000.00000000 EUR 927734.08000000 USD 2020-06-17 7455.49000000 N N N N/A N/A N/A 1.00000000 NC N/A -42880.73000000 -0.00468018869 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6071186.33000000 USD 31323678.75000000 BRL 2020-04-01 -42880.73000000 N N N N/A N/A N/A 1.00000000 NC N/A 2725.22000000 0.000297442320 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 8700000.00000000 HUF 29372.84000000 USD 2020-06-17 2725.22000000 N N N N/A N/A N/A 1.00000000 NC N/A 14439.64000000 0.001576004883 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 1265954.37000000 USD 1157571.00000000 EUR 2020-06-17 14439.64000000 N N N N/A N/A N/A 1.00000000 NC N/A 233974.07000000 0.025536943915 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 26435000.00000000 EUR 29473835.43000000 USD 2020-06-17 233974.07000000 N N N N/A N/A N/A 1.00000000 NC N/A -448772.07000000 -0.04898092845 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 11145066.80000000 USD 8600000.00000000 GBP 2020-06-17 -448772.07000000 N N N N/A N/A N/A 1.00000000 NC N/A 34508.65000000 0.003766423602 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 8000000.00000000 ZAR 477326.97000000 USD 2020-06-17 34508.65000000 N N N N/A N/A N/A 1.00000000 NC N/A 1620944.40000000 0.176916896100 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 31323678.75000000 BRL 7649250.00000000 USD 2020-04-01 1620944.40000000 N N N N/A N/A N/A 1.00000000 NC N/A 77244.88000000 0.008430840940 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 15555000.00000000 EUR 17282693.85000000 USD 2020-06-17 77244.88000000 N N N N/A N/A N/A 1.00000000 NC N/A 2801.70000000 0.000305789679 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 505000.00000000 EUR 561384.26000000 USD 2020-06-17 2801.70000000 N N N N/A N/A N/A 1.00000000 NC N/A 139118.28000000 0.015183971941 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 15525000.00000000 EUR 17311384.13000000 USD 2020-06-17 139118.28000000 N N N N/A N/A N/A 1.00000000 NC N/A 125034.70000000 0.013646828989 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 29400000.00000000 BRL 5771042.71000000 USD 2020-05-05 125034.70000000 N N N N/A N/A N/A 1.00000000 NC N/A 6952.16000000 0.000758788869 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 535038.84000000 USD 490000.00000000 EUR 2020-06-17 6952.16000000 N N N N/A N/A N/A 1.00000000 NC N/A 1076148.32000000 0.117455491081 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 133542500000.00000000 IDR 9100000.00000000 USD 2020-10-26 1076148.32000000 N N N N/A N/A N/A 1.00000000 NC N/A -135309.89000000 -0.01476830775 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 16837481.50000000 USD 15100000.00000000 EUR 2020-06-17 -135309.89000000 N N N N/A N/A N/A 1.00000000 NC N/A -375760.09000000 -0.04101208456 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8686458.00000000 USD 7524000.00000000 EUR 2020-05-11 -375760.09000000 N N N N/A N/A N/A 1.00000000 NC N/A 755407.74000000 0.082448474266 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 40500000.00000000 BRL 8549715.01000000 USD 2020-04-02 755407.74000000 N N N N/A N/A N/A 1.00000000 NC N/A -1496781.95000000 -0.16336526825 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 15313979.80000000 USD 23170000.00000000 NZD 2020-06-17 -1496781.95000000 N N N N/A N/A N/A 1.00000000 NC N/A -30876.99000000 -0.00337004849 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 2890000.00000000 EUR 3165763.80000000 USD 2020-06-17 -30876.99000000 N N N N/A N/A N/A 1.00000000 NC N/A -18239.33000000 -0.00199071951 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2639706.00000000 USD 2370000.00000000 EUR 2020-06-17 -18239.33000000 N N N N/A N/A N/A 1.00000000 NC N/A -1522.79000000 -0.00016620389 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 251431.52000000 USD 225936.00000000 EUR 2020-06-17 -1522.79000000 N N N N/A N/A N/A 1.00000000 NC N/A -7043.45000000 -0.00076875265 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 650000.00000000 EUR 711924.20000000 USD 2020-06-17 -7043.45000000 N N N N/A N/A N/A 1.00000000 NC N/A 2757.46000000 0.000300961133 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 220000.00000000 EUR 246100.36000000 USD 2020-06-17 2757.46000000 N N N N/A N/A N/A 1.00000000 NC N/A -30646.35000000 -0.00334487544 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3813522.30000000 USD 3420000.00000000 EUR 2020-06-17 -30646.35000000 N N N N/A N/A N/A 1.00000000 NC N/A 45283.19000000 0.004942403589 N/A DFE N/A N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 33078637.50000000 BRL 6411334.17000000 USD 2020-04-01 45283.19000000 N N N N/A N/A N/A 1.00000000 NC N/A 596174.02000000 0.065069016034 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 942208400.00000000 INR 12995977.93000000 USD 2020-05-11 596174.02000000 N N N N/A N/A N/A 1.00000000 NC N/A 2450668.10000000 0.267476536286 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 162250000.00000000 NOK 18063302.27000000 USD 2021-08-30 2450668.10000000 N N N N/A N/A N/A 1.00000000 NC N/A 657813.91000000 0.071796660742 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 67994500.00000000 MXN 3500000.00000000 USD 2020-05-29 657813.91000000 N N N N/A N/A N/A 1.00000000 NC N/A -2723136.55000000 -0.29721492364 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 26261658.90000000 USD 564704451.25000000 MXN 2020-06-17 -2723136.55000000 N N N N/A N/A N/A 1.00000000 NC N/A -105915.80000000 -0.01156010939 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3791605.45000000 USD 36400000.00000000 SEK 2020-06-17 -105915.80000000 N N N N/A N/A N/A 1.00000000 NC N/A -61700.02000000 -0.00673420755 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 12450000000.00000000 COP 3000000.00000000 USD 2020-04-20 -61700.02000000 N N N N/A N/A N/A 1.00000000 NC N/A 45128.00000000 0.004925465480 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 625000.00000000 GBP 822475.00000000 USD 2020-06-17 45128.00000000 N N N N/A N/A N/A 1.00000000 NC N/A -39165.78000000 -0.00427472295 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 2740000.00000000 EUR 2991559.40000000 USD 2020-06-17 -39165.78000000 N N N N/A N/A N/A 1.00000000 NC N/A -201612.40000000 -0.02200485101 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 9017767.33000000 USD 7530737500.00000000 CLP 2020-06-17 -201612.40000000 N N N N/A N/A N/A 1.00000000 NC N/A -5367.26000000 -0.00058580601 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 800000.00000000 EUR 879516.00000000 USD 2020-06-17 -5367.26000000 N N N N/A N/A N/A 1.00000000 NC N/A 510279.79000000 0.055694147553 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 86000000.00000000 ZAR 5270576.70000000 USD 2020-06-17 510279.79000000 N N N N/A N/A N/A 1.00000000 NC N/A 154512.89000000 0.016864206388 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 17195000.00000000 EUR 19173972.55000000 USD 2020-06-17 154512.89000000 N N N N/A N/A N/A 1.00000000 NC N/A -42880.73000000 -0.00468018869 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6071186.33000000 USD 31323678.75000000 BRL 2020-04-01 -42880.73000000 N N N N/A N/A N/A 1.00000000 NC N/A -195195.96000000 -0.02130453294 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 3553335.00000000 USD 2700000.00000000 GBP 2020-06-17 -195195.96000000 N N N N/A N/A N/A 1.00000000 NC N/A -273313.03000000 -0.02983056848 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6242907.24000000 USD 195840000.00000000 THB 2020-06-17 -273313.03000000 N N N N/A N/A N/A 1.00000000 NC N/A -2964.69000000 -0.00032357911 N/A DFE N/A N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 178697.39000000 USD 760000.00000000 MYR 2020-06-17 -2964.69000000 N N N N/A N/A N/A 1.00000000 NC N/A 99857.65000000 0.010898896649 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 21595000.00000000 MXN 1000000.00000000 USD 2020-06-17 99857.65000000 N N N N/A N/A N/A 1.00000000 NC N/A 394960.25000000 0.043107673226 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5470000.00000000 GBP 7198301.20000000 USD 2020-06-17 394960.25000000 N N N N/A N/A N/A 1.00000000 NC N/A 93224.33000000 0.010174907359 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 124778500.00000000 ZAR 7000000.00000000 USD 2020-06-17 93224.33000000 N N N N/A N/A N/A 1.00000000 NC N/A -162847.11000000 -0.01777383927 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 17623806.12000000 USD 15786000.00000000 EUR 2020-06-17 -162847.11000000 N N N N/A N/A N/A 1.00000000 NC N/A -518600.48000000 -0.05660230371 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 6250000.00000000 USD 137500000.00000000 MXN 2020-06-17 -518600.48000000 N N N N/A N/A N/A 1.00000000 NC N/A 8992.44000000 0.000981473869 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 560000.00000000 EUR 628410.72000000 USD 2020-06-17 8992.44000000 N N N N/A N/A N/A 1.00000000 NC N/A 130931.67000000 0.014290449849 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 30786581.29000000 BRL 6043220.26000000 USD 2020-05-05 130931.67000000 N N N N/A N/A N/A 1.00000000 NC N/A 123603.10000000 0.013490577962 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 13965000.00000000 EUR 15570346.58000000 USD 2020-06-17 123603.10000000 N N N N/A N/A N/A 1.00000000 NC N/A -71323.99000000 -0.00778460934 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5086399.89000000 USD 4534000.00000000 EUR 2020-06-17 -71323.99000000 N N N N/A N/A N/A 1.00000000 NC N/A 18768.82000000 0.002048510348 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1401486.94000000 USD 152219000.00000000 JPY 2020-06-17 18768.82000000 N N N N/A N/A N/A 1.00000000 NC N/A -45283.18000000 -0.00494240249 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6411334.26000000 USD 33078638.00000000 BRL 2020-04-01 -45283.18000000 N N N N/A N/A N/A 1.00000000 NC N/A 213307.17000000 0.023281268890 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 24100000.00000000 EUR 26870415.50000000 USD 2020-06-17 213307.17000000 N N N N/A N/A N/A 1.00000000 NC N/A -2097345.96000000 -0.22891342682 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 9643201.54000000 USD 40000000.00000000 BRL 2021-03-08 -2097345.96000000 N N N N/A N/A N/A 1.00000000 NC N/A 18121.22000000 0.001977828478 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 20500000.00000000 EGP 1250000.00000000 USD 2020-08-10 18121.22000000 N N N N/A N/A N/A 1.00000000 NC N/A -3242.74000000 -0.00035392669 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 490000.00000000 PEN 139078.11000000 USD 2020-06-17 -3242.74000000 N N N N/A N/A N/A 1.00000000 NC N/A 236908.73000000 0.025857245424 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8750000.00000000 USD 741125000.00000000 RUB 2021-02-25 236908.73000000 N N N N/A N/A N/A 1.00000000 NC N/A -150855.80000000 -0.01646505573 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7119543.85000000 USD 36210000.00000000 BRL 2020-04-02 -150855.80000000 N N N N/A N/A N/A 1.00000000 NC N/A 8.05000000 0.000000878611 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 661.00000000 EUR 739.18000000 USD 2020-06-17 8.05000000 N N N N/A N/A N/A 1.00000000 NC N/A 16950.06000000 0.001850003000 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 1486048.50000000 USD 1358822.00000000 EUR 2020-06-17 16950.06000000 N N N N/A N/A N/A 1.00000000 NC N/A 1329742.26000000 0.145133832630 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 140358825.00000000 MXN 6750000.00000000 USD 2022-01-10 1329742.26000000 N N N N/A N/A N/A 1.00000000 NC N/A 788723.13000000 0.086084660301 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 88018100.00000000 EUR 98145902.68000000 USD 2020-06-17 788723.13000000 N N N N/A N/A N/A 1.00000000 NC N/A -130236.87000000 -0.01421461636 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 688517.91000000 USD 10085961.16000000 ZAR 2020-06-17 -130236.87000000 N N N N/A N/A N/A 1.00000000 NC N/A -257338.90000000 -0.02808708271 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 12144946.91000000 USD 61769200.00000000 BRL 2020-04-02 -257338.90000000 N N N N/A N/A N/A 1.00000000 NC N/A -89312.40000000 -0.00974794236 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 14925000.00000000 EUR 16419291.00000000 USD 2020-06-17 -89312.40000000 N N N N/A N/A N/A 1.00000000 NC N/A 29500.33000000 0.003219793854 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5888156.50000000 USD 5350000.00000000 EUR 2020-06-17 29500.33000000 N N N N/A N/A N/A 1.00000000 NC N/A 732895.83000000 0.079991426854 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 24770350.00000000 BRL 5500000.00000000 USD 2020-04-02 732895.83000000 N N N N/A N/A N/A 1.00000000 NC N/A 1969537.44000000 0.214963851097 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 30500000.00000000 NZD 20157907.50000000 USD 2020-06-17 1969537.44000000 N N N N/A N/A N/A 1.00000000 NC N/A 3086.18000000 0.000336839059 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 505721.70000000 USD 460000.00000000 EUR 2020-06-17 3086.18000000 N N N N/A N/A N/A 1.00000000 NC N/A 623569.69000000 0.068059098175 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 107400000.00000000 ZAR 6568405.60000000 USD 2020-06-17 623569.69000000 N N N N/A N/A N/A 1.00000000 NC N/A 2167597.55000000 0.236580989786 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 40000000.00000000 BRL 9713453.13000000 USD 2021-03-08 2167597.55000000 N N N N/A N/A N/A 1.00000000 NC N/A -5915.65000000 -0.00064565967 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 541623.00000000 EUR 593175.76000000 USD 2020-06-17 -5915.65000000 N N N N/A N/A N/A 1.00000000 NC N/A -613022.99000000 -0.06690798563 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10991398.09000000 USD 42390525000.00000000 COP 2020-06-17 -613022.99000000 N N N N/A N/A N/A 1.00000000 NC N/A -43790.28000000 -0.00477946092 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 405910.52000000 USD 8687500.00000000 MXN 2020-06-17 -43790.28000000 N N N N/A N/A N/A 1.00000000 NC N/A 21912.21000000 0.002391593554 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 6100000.00000000 USD 113074480.00000000 ZAR 2021-01-11 21912.21000000 N N N N/A N/A N/A 1.00000000 NC N/A 64159.47000000 0.007002642587 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 7140000.00000000 EUR 7961742.60000000 USD 2020-06-17 64159.47000000 N N N N/A N/A N/A 1.00000000 NC N/A 342884.84000000 0.037423937312 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 38628750000.00000000 IDR 2694997.73000000 USD 2020-06-17 342884.84000000 N N N N/A N/A N/A 1.00000000 NC N/A 129763.78000000 0.014162981274 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 33078638.00000000 BRL 6495814.86000000 USD 2020-04-01 129763.78000000 N N N N/A N/A N/A 1.00000000 NC N/A 35901.70000000 0.003918467116 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2623246.57000000 USD 285000000.00000000 JPY 2020-06-17 35901.70000000 N N N N/A N/A N/A 1.00000000 NC N/A 35440.47000000 0.003868126475 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3944000.00000000 EUR 4397914.96000000 USD 2020-06-17 35440.47000000 N N N N/A N/A N/A 1.00000000 NC N/A -19601.75000000 -0.00213941993 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1429884.45000000 USD 1275000.00000000 EUR 2020-06-17 -19601.75000000 N N N N/A N/A N/A 1.00000000 NC N/A 75286.81000000 0.008217128695 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1045000.00000000 GBP 1375011.00000000 USD 2020-06-17 75286.81000000 N N N N/A N/A N/A 1.00000000 NC N/A -308512.68000000 -0.03367241082 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2597656.25000000 USD 37614062500.00000000 IDR 2020-06-22 -308512.68000000 N N N N/A N/A N/A 1.00000000 NC N/A 4178.45000000 0.000456054140 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 465000.00000000 EUR 518516.85000000 USD 2020-06-17 4178.45000000 N N N N/A N/A N/A 1.00000000 NC N/A 1118435.17000000 0.122070861138 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 86230200.00000000 ZAR 5880000.00000000 USD 2020-07-09 1118435.17000000 N N N N/A N/A N/A 1.00000000 NC N/A 146704.00000000 0.016011910294 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 16575000.00000000 EUR 18480379.13000000 USD 2020-06-17 146704.00000000 N N N N/A N/A N/A 1.00000000 NC N/A -250477.43000000 -0.02733819214 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 6220502.40000000 USD 4800000.00000000 GBP 2020-06-17 -250477.43000000 N N N N/A N/A N/A 1.00000000 NC N/A -8087.33000000 -0.00088268624 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1003581.00000000 USD 900000.00000000 EUR 2020-06-17 -8087.33000000 N N N N/A N/A N/A 1.00000000 NC N/A 882722.67000000 0.096344177439 N/A DFE N/A N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 354809812.50000000 RUB 5362500.00000000 USD 2020-05-26 882722.67000000 N N N N/A N/A N/A 1.00000000 NC N/A -24519.56000000 -0.00267617103 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 983511.80000000 USD 867000.00000000 EUR 2020-06-17 -24519.56000000 N N N N/A N/A N/A 1.00000000 NC N/A -1149560.10000000 -0.12546797087 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10950000.00000000 USD 50974440.00000000 BRL 2020-04-17 -1149560.10000000 N N N N/A N/A N/A 1.00000000 NC N/A 1556527.87000000 0.169886196870 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 21605000.00000000 GBP 28427859.00000000 USD 2020-06-17 1556527.87000000 N N N N/A N/A N/A 1.00000000 NC N/A -37402.43000000 -0.00408226329 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 4641380.37000000 USD 4162337.00000000 EUR 2020-06-17 -37402.43000000 N N N N/A N/A N/A 1.00000000 NC N/A 149787.18000000 0.016348421920 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 11600000.00000000 ZAR 791873.74000000 USD 2020-06-17 149787.18000000 N N N N/A N/A N/A 1.00000000 NC N/A -465486.39000000 -0.05080520176 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 10000000.00000000 USD 312865000.00000000 THB 2020-05-05 -465486.39000000 N N N N/A N/A N/A 1.00000000 NC N/A 339078.19000000 0.037008463035 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 11300000.00000000 EUR 12838054.30000000 USD 2020-06-17 339078.19000000 N N N N/A N/A N/A 1.00000000 NC N/A 8512.87000000 0.000929131521 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 950000.00000000 EUR 1059311.75000000 USD 2020-06-17 8512.87000000 N N N N/A N/A N/A 1.00000000 NC N/A 156769.52000000 0.017110504765 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 36400000.00000000 SEK 3842459.17000000 USD 2020-06-17 156769.52000000 N N N N/A N/A N/A 1.00000000 NC N/A -1268949.02000000 -0.13849859497 N/A DFE N/A N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 7635000.00000000 USD 33078637.50000000 BRL 2020-04-01 -1268949.02000000 N N N N/A N/A N/A 1.00000000 NC N/A 1637.79000000 0.000178755497 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 40000.00000000 GBP 51388.00000000 USD 2020-06-17 1637.79000000 N N N N/A N/A N/A 1.00000000 NC N/A -565979.49000000 -0.06177345418 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2846819.23000000 USD 1950000000.00000000 CLP 2020-05-13 -565979.49000000 N N N N/A N/A N/A 1.00000000 NC N/A -268943.18000000 -0.02935362411 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 32290656.30000000 USD 28950000.00000000 EUR 2020-06-17 -268943.18000000 N N N N/A N/A N/A 1.00000000 NC N/A 262697.06000000 0.028671895513 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 61769200.00000000 BRL 12124921.48000000 USD 2020-05-05 262697.06000000 N N N N/A N/A N/A 1.00000000 NC N/A 19274.80000000 0.002103735198 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 2145000.00000000 EUR 2391868.05000000 USD 2020-06-17 19274.80000000 N N N N/A N/A N/A 1.00000000 NC N/A 1180660.41000000 0.128862393482 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 36210000.00000000 BRL 8149348.46000000 USD 2020-04-02 1180660.41000000 N N N N/A N/A N/A 1.00000000 NC N/A 2936.23000000 0.000320472866 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 600000.00000000 MXN 27945.97000000 USD 2020-06-17 2936.23000000 N N N N/A N/A N/A 1.00000000 NC N/A -15179.33000000 -0.00165673785 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1912147.83000000 USD 1715000.00000000 EUR 2020-06-17 -15179.33000000 N N N N/A N/A N/A 1.00000000 NC N/A 5147.18000000 0.000561785530 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 451264.55000000 USD 412630.00000000 EUR 2020-06-17 5147.18000000 N N N N/A N/A N/A 1.00000000 NC N/A -11062.53000000 -0.00120741246 N/A DFE N/A N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 5737900000.00000000 COP 1400000.00000000 USD 2020-04-20 -11062.53000000 N N N N/A N/A N/A 1.00000000 NC N/A 61.06000000 0.000006664353 N/A DFE N/A N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 3360000.00000000 KRW 2828.88000000 USD 2020-06-17 61.06000000 N N N N/A N/A N/A 1.00000000 NC N/A 51335.33000000 0.005602960375 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5800000.00000000 EUR 6466739.00000000 USD 2020-06-17 51335.33000000 N N N N/A N/A N/A 1.00000000 NC N/A 18663.47000000 0.002037011993 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 3017592.23000000 USD 2745000.00000000 EUR 2020-06-17 18663.47000000 N N N N/A N/A N/A 1.00000000 NC N/A 19.28000000 0.000002104302 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 1583.00000000 EUR 1770.24000000 USD 2020-06-17 19.28000000 N N N N/A N/A N/A 1.00000000 NC N/A 8883.41000000 0.000969573863 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 1420000.00000000 EUR 1579551.20000000 USD 2020-06-17 8883.41000000 N N N N/A N/A N/A 1.00000000 NC N/A -2274739.13000000 -0.24827488612 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 28432650.00000000 USD 23500000.00000000 EUR 2021-01-08 -2274739.13000000 N N N N/A N/A N/A 1.00000000 NC N/A 5529206.77000000 0.603481587428 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 243000000.00000000 NOK 28911957.38000000 USD 2021-01-08 5529206.77000000 N N N N/A N/A N/A 1.00000000 NC N/A 19652.85000000 0.002144997213 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 17100000.00000000 RUB 234841.72000000 USD 2020-06-17 19652.85000000 N N N N/A N/A N/A 1.00000000 NC N/A 398605.47000000 0.043505528333 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 629757800.00000000 INR 8686446.28000000 USD 2020-05-11 398605.47000000 N N N N/A N/A N/A 1.00000000 NC N/A 1620944.40000000 0.176916896100 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 31323678.75000000 BRL 7649250.00000000 USD 2020-04-01 1620944.40000000 N N N N/A N/A N/A 1.00000000 NC N/A -8366.56000000 -0.00091316261 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 10057322.13000000 USD 9085000.00000000 EUR 2020-06-17 -8366.56000000 N N N N/A N/A N/A 1.00000000 NC N/A 138320.90000000 0.015096942432 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 14228865.00000000 USD 12989000.00000000 EUR 2020-06-17 138320.90000000 N N N N/A N/A N/A 1.00000000 NC N/A 1035007.02000000 0.112965151315 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 46583000.00000000 BRL 10000000.00000000 USD 2020-04-02 1035007.02000000 N N N N/A N/A N/A 1.00000000 NC N/A 18184.41000000 0.001984725308 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 1447403.50000000 USD 1325000.00000000 EUR 2020-06-17 18184.41000000 N N N N/A N/A N/A 1.00000000 NC N/A 10987.56000000 0.001199229912 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 818590.50000000 USD 750000.00000000 EUR 2020-06-17 10987.56000000 N N N N/A N/A N/A 1.00000000 NC N/A -111411.03000000 -0.01215988260 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 7523363.49000000 USD 565456000.00000000 INR 2020-06-17 -111411.03000000 N N N N/A N/A N/A 1.00000000 NC N/A 1183111.14000000 0.129129876774 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 19250000.00000000 USD 492800000.00000000 MXN 2020-07-24 1183111.14000000 N N N N/A N/A N/A 1.00000000 NC N/A 7602.20000000 0.000829737051 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 429308.91000000 USD 395000.00000000 EUR 2020-06-17 7602.20000000 N N N N/A N/A N/A 1.00000000 NC N/A 99219.12000000 0.010829204718 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 8270670.46000000 USD 7567000.00000000 EUR 2020-06-17 99219.12000000 N N N N/A N/A N/A 1.00000000 NC N/A 533213.13000000 0.058197191661 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 103912187.50000000 MXN 4864575.04000000 USD 2020-06-17 533213.13000000 N N N N/A N/A N/A 1.00000000 NC N/A -19902.21000000 -0.00217221344 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2476559.37000000 USD 2221000.00000000 EUR 2020-06-17 -19902.21000000 N N N N/A N/A N/A 1.00000000 NC N/A 269738.22000000 0.029440398228 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 234700000.00000000 RUB 3223236.97000000 USD 2020-06-17 269738.22000000 N N N N/A N/A N/A 1.00000000 NC N/A -1218751.56000000 -0.13301982665 N/A DFE N/A N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 11050000.00000000 USD 51084150.00000000 BRL 2020-04-02 -1218751.56000000 N N N Fannie Mae REMICs N/A 31394EVY1 41080.47000000 PA USD 42524.73000000 0.004641333311 Long ABS-APCP USGSE US N 2 2025-08-25 Fixed 4.50000000 N N N N N N N/A N/A N/A -152.00000000 NC USD -1881329.84000000 -0.20533649138 N/A DIR N/A N 1 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Short United States Treasury Note/Bond U.S. Treasury Bonds 2020-06-19 25336170.16000000 USD -1881329.84000000 N N N Freddie Mac Structured Agency Credit Risk Debt Notes N/A 3137G0HF9 52069.84000000 PA USD 51564.99000000 0.005628026462 Long ABS-MBS USGSE US N 2 2028-05-25 Floating 4.42675000 N N N N N N TMB Bank PCL 549300WKGLXEV3DB7I54 ZQ7660751 1130000.00000000 PA USD 802300.00000000 0.087566498728 Long DBT CORP TH Y 2 N/A Variable 4.90000000 N N N N N N Freddie Mac N/A 3137G0AM1 815000.00000000 PA USD 763361.27000000 0.083316556997 Long ABS-MBS USGSE US N 2 2024-02-25 Floating 6.12675000 N N N N N N Comstock Resources, Inc. I03QQGEA4SS774AURI46 205677AB3 214000.00000000 PA USD 153463.15000000 0.016749633216 Long DBT CORP US N 2 2026-08-15 Fixed 9.75000000 N N N N N N Telecom Italia S.p.A. 549300W384M3RI3VXU42 87927YAA0 435000.00000000 PA USD 440450.55000000 0.048072681698 Long DBT CORP IT Y 2 2024-05-30 Fixed 5.30300000 N N N N N N Hawksmoor Mortgage Funding PLC 213800QGK28TOM7GHF98 BCC2KP4A2 8770000.00000000 PA 10416128.81000000 1.136861436115 Long ABS-MBS CORP GB Y 2 2053-05-25 Floating 2.46128700 N N N N N N NGL Energy Partners L.P. / NGL Energy Finance Corp. N/A 62913TAP7 147000.00000000 PA USD 52496.27000000 0.005729670397 Long DBT CORP US N 2 2026-04-15 Fixed 7.50000000 N N N N N N Ukraine Government International Bond 6354001WLTJXOMEXPY07 QJ1143487 700000.00000000 PA USD 646625.00000000 0.070575454618 Long DBT NUSS UA Y 2 2026-09-01 Fixed 7.75000000 N N N N N N AmeriCredit Automobile Receivables Trust N/A 03066FAH4 375000.00000000 PA USD 368344.73000000 0.040202740036 Long ABS-O CORP US N 2 2023-12-18 Fixed 3.08000000 N N N N N N Fannie Mae REMICs N/A 31392FJ73 110009.03000000 PA USD 112034.80000000 0.012227963569 Long ABS-APCP USGSE US N 2 2032-12-25 Floating 2.62675000 N N N N N N Norbord, Inc. 549300VL705RQ5PHI407 65548PAF3 894000.00000000 PA USD 823783.01000000 0.089911247535 Long DBT CORP CA Y 2 2027-07-15 Fixed 5.75000000 N N N N N N Minejesa Capital B.V. 549300KS7ERCP10BKC35 602736AA8 3750000.00000000 PA USD 3380465.63000000 0.368958667942 Long DBT CORP NL Y 2 2030-08-10 Fixed 4.62500000 N N N N N N Party City Holdings Inc. 5493005PYM1JS6EZN307 702150AD5 218000.00000000 PA USD 22890.00000000 0.002498313792 Long DBT CORP US Y 2 2026-08-01 Fixed 6.62500000 N N N N N N N/A N/A N/A -12500000.00000000 NC USD -31012.50000000 -0.00338483864 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written N/A Option 1.00000000 14.00000000 USD 2021-01-07 XXXX 360962.50000000 N N N Fannie Mae REMICs N/A 31396XUE2 278542.80000000 PA USD 58064.22000000 0.006337380589 Long ABS-APCP USGSE US N 2 2037-06-25 Floating 4.91325000 N N N N N N N/A N/A N/A 12500000.00000000 NC USD 22437.50000000 0.002448925981 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Purchased N/A Option 1.00000000 13730.00000000 USD 2020-07-23 XXXX -121312.50000000 N N N XPO Logistics, Inc. 54930096DB9LCLPN7H13 983793AG5 222000.00000000 PA USD 218460.21000000 0.023843694006 Long DBT CORP US Y 2 2024-08-15 Fixed 6.75000000 N N N N N N N/A N/A N/A 1.00000000 NC 237528.36000000 0.025924874528 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2023-02-22 0.00000000 MXN 0.00000000 MXN 368400000.00000000 MXN 237528.36000000 N N N Darling Ingredients, Inc. L1N0SPPKS7EXZYUMZ898 237266AH4 119000.00000000 PA USD 116223.43000000 0.012685128798 Long DBT CORP US Y 2 2027-04-15 Fixed 5.25000000 N N N N N N Fannie Mae REMICs N/A 31395D7F0 84770.19000000 PA USD 140235.56000000 0.015305916722 Long ABS-APCP USGSE US N 2 2036-06-25 Floating 18.23469300 N N N N N N Moog, Inc. 549300WM2I4U7OBAHG07 615394AM5 264000.00000000 PA USD 240240.00000000 0.026220834668 Long DBT CORP US Y 2 2027-12-15 Fixed 4.25000000 N N N N N N Titan International, Inc. 54930043H7SFLNS88586 88830MAK8 864000.00000000 PA USD 396355.68000000 0.043259976503 Long DBT CORP US N 2 2023-11-30 Fixed 6.50000000 N N N N N N Energy Transfer Operating, L.P. 5493008K8W3OKZE54J59 29278NAA1 263000.00000000 PA USD 130643.94000000 0.014259045750 Long DBT CORP US N 2 N/A Variable 6.25000000 N N N N N N Banco do Brasil S.A. QE0Q0253K88YAGNPE356 05958AAK4 625000.00000000 PA USD 493906.25000000 0.053907068443 Long DBT CORP BR Y 2 N/A Variable 6.25000000 N N N N Y United States Dollar USD XXXX N N N Embarq Corp. N/A 29078EAA3 451000.00000000 PA USD 448891.58000000 0.048993972291 Long DBT CORP US N 2 2036-06-01 Fixed 7.99500000 N N N N N N Eagle Intermediate Global Holding B.V./Ruyi US Finance LLC N/A 26963PAA2 285000.00000000 PA USD 166367.33000000 0.018158051341 Long DBT CORP XX Y 2 2025-05-01 Fixed 7.50000000 N N N N N N Banco de Sabadell S.A. SI5RG2M0WQQLZCXKRM20 AN4046750 600000.00000000 PA 485452.21000000 0.052984357883 Long DBT CORP ES Y 2 N/A Variable 6.50000000 N N N N Y Euro EUR XXXX N N N Trivium Packaging Finance B.V. 724500GMZWW3PVYET548 89686QAA4 145000.00000000 PA USD 145090.19000000 0.015835772077 Long DBT CORP NL Y 2 2026-08-15 Fixed 5.50000000 N N N N N N Paragon Mortgages PLC FO8K74JMQ503WLB3U634 BCC0TP9X2 9870000.00000000 PA 11119687.39000000 1.213650868373 Long ABS-MBS CORP GB Y 2 2039-01-15 Floating 0.96500000 N N N N N N Sensata Technologies BV PUCKW5P5O3XMOZVH7T53 81725WAH6 245000.00000000 PA USD 241017.53000000 0.026305697662 Long DBT CORP NL Y 2 2024-11-01 Fixed 5.62500000 N N N N N N Standard Industries, Inc. 54930064UHXCIUWVI755 120111BM0 348000.00000000 PA USD 336700.44000000 0.036748945096 Long DBT CORP US Y 2 2024-11-15 Fixed 5.37500000 N N N N N N Penske Automotive Group, Inc. 549300W7UTQ0M4C7LB15 70959WAG8 762000.00000000 PA USD 698395.86000000 0.076225950625 Long DBT CORP US N 2 2026-05-15 Fixed 5.50000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 371360.70000000 0.040531916071 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2026-02-26 0.00000000 USD 0.00000000 USD 135000000.00000000 USD 371360.70000000 N N N Cable Onda S.A. 5299008Q5GONPYNF9J32 12686LAA7 235000.00000000 PA USD 208104.25000000 0.022713399654 Long DBT CORP PA Y 2 2030-01-30 Fixed 4.50000000 N N N N N N Arcelormittal 2EULGUTUI56JI9SAL165 03938LAZ7 1185000.00000000 PA USD 1175291.92000000 0.128276453219 Long DBT CORP LU N 2 2025-06-01 Fixed 6.12500000 N N N N N N N/A N/A N/A 1.00000000 NC 596644.53000000 0.065120369534 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2021-10-01 0.00000000 CAD 528.49000000 CAD 50550000.00000000 CAD 596116.04000000 N N N Danske Bank A/S MAES062Z21O4RZ2U7M96 EK7502777 1110000.00000000 PA 1179935.92000000 0.128783319504 Long DBT CORP DK Y 2 N/A Variable 5.87500000 N N N N Y Euro EUR XXXX N N N CIFI Holdings Group Co. Ltd. 549300WGKSV867C0JF48 ZQ3483513 600000.00000000 PA USD 547502.55000000 0.059756800882 Long DBT CORP KY Y 2 2024-11-07 Fixed 6.45000000 N N N N N N Fannie Mae Interest STRIPS B1V7KEBTPIMZEU4LTD58 31364HG27 77260.00000000 PA USD 7481.39000000 0.000816551324 Long ABS-APCP USGSE US N 2 2024-01-25 Fixed 7.50000000 N N N N N N Level 3 Financing, Inc. OKXQCBALRQBU7RU5WQ22 527298BH5 692000.00000000 PA USD 692868.46000000 0.075622666236 Long DBT CORP US N 2 2025-05-01 Fixed 5.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31385XQT7 232568.44000000 PA USD 272709.92000000 0.029764742444 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 7.50000000 N N N N N N Deutsche Bank AG 7LTWFZYICNSX8D621K86 AX0775038 3850000.00000000 PA 3847452.30000000 0.419927616770 Long DBT CORP DE Y 2 2026-02-12 Fixed 2.62500000 N N N N N N Ashland LLC 6O4MRU8C1MS0K34UQF79 044209AF1 27000.00000000 PA USD 26797.50000000 0.002924795275 Long DBT CORP US N 2 2022-08-15 Fixed 4.75000000 N N N N N N Diamond Sports Group LLC / Diamond Sports Finance Co. N/A 25277LAA4 1153000.00000000 PA USD 943317.73000000 0.102957784874 Long DBT CORP US Y 2 2026-08-15 Fixed 5.37500000 N N N N N N Transocean, Inc. DOL4HJ22ADYSIWES4H94 893830BL2 140000.00000000 PA USD 67025.00000000 0.007315398949 Long DBT CORP KY Y 2 2027-02-01 Fixed 8.00000000 N N N N N N N/A N/A N/A -63000000.00000000 NC USD -44474.85000000 -0.00485417785 N/A DIR N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A N/A 1.00000000 NC USD N/A N/A DIR 2049-12-31 0.00000000 USD 0.00000000 USD 63000000.00000000 USD 1.00000000 2.20000000 USD 2020-11-27 XXXX 467325.18000000 N N N Intelsat Jackson Holdings S.A. 8XJ8KF85PBKK1TLMFN29 45824TBA2 553000.00000000 PA USD 351683.12000000 0.038384219718 Long DBT CORP LU Y 2 2024-10-15 Fixed 8.50000000 N N N N N N Superior Plus L.P. / Superior General Partner Inc. N/A 86828LAA0 512000.00000000 PA USD 503573.76000000 0.054962222379 Long DBT CORP CA Y 2 2026-07-15 Fixed 7.00000000 N N N N N N BMC East LLC N/A 055604AA0 603000.00000000 PA USD 587168.24000000 0.064086086178 Long DBT CORP US Y 2 2024-10-01 Fixed 5.50000000 N N N N N N Ivory Coast Government International Bond 254900ICW11T82O6H590 AR7768682 2110000.00000000 PA 2007139.07000000 0.219067855940 Long DBT NUSS CI Y 2 2030-03-22 Fixed 5.25000000 N N N N N N US Foods, Inc. 5493000JOOFAOUY1JZ87 90290MAB7 600000.00000000 PA USD 545247.00000000 0.059510620381 Long DBT CORP US Y 2 2024-06-15 Fixed 5.87500000 N N N N N N EnLink Midstream Partners, L.P. 88CPW63VL7KHJWS0NY83 29336UAC1 589000.00000000 PA USD 204857.15000000 0.022358997089 Long DBT CORP US N 2 2044-04-01 Fixed 5.60000000 N N N N N N Hadrian Merger Sub, Inc. 5493008FRC0GRKBN1075 42239PAA7 670000.00000000 PA USD 504873.48000000 0.055104079452 Long DBT CORP US Y 2 2026-05-01 Fixed 8.50000000 N N N N N N Flex Acquisition Co., Inc. 549300HHED2KGPBEDW39 33936YAC9 343000.00000000 PA USD 318315.15000000 0.034742294874 Long DBT CORP US Y 2 2026-07-15 Fixed 7.87500000 N N N N N N Angolan Government International Bond 549300QHR2R3J8JSGK83 035198AC4 750000.00000000 PA USD 299053.50000000 0.032639994923 Long DBT NUSS AO Y 2 2048-05-08 Fixed 9.37500000 N N N N N N BENCHMARK Mortgage Trust N/A 08162PAY7 5712949.01000000 PA USD 181946.00000000 0.019858374894 Long ABS-MBS CORP US N 2 2051-01-15 Variable 0.52169600 N N N N N N MPT Operating Partnership L.P./MPT Finance Corp. N/A 55342UAH7 78000.00000000 PA USD 76250.85000000 0.008322348198 Long DBT CORP US N 2 2027-10-15 Fixed 5.00000000 N N N N N N N/A N/A N/A 1.00000000 NC -470825.09000000 -0.05138789062 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2023-01-02 0.00000000 BRL 0.00000000 BRL 358875495.80000000 BRL -470825.09000000 N N N Callon Petroleum Co. 549300EFOWPEB0WLZW21 13123XAZ5 629000.00000000 PA USD 106013.23000000 0.011570743325 Long DBT CORP US N 2 2026-07-01 Fixed 6.37500000 N N N N N N Colfax Corp. 635400OP2DYYYMOIYL17 15723RAA2 224000.00000000 PA USD 224281.12000000 0.024479013348 Long DBT CORP US Y 2 2024-02-15 Fixed 6.00000000 N N N N N N China Aoyuan Group Ltd. 549300YSOKQO5QD6MP25 AS4874747 1001000.00000000 PA USD 973472.50000000 0.106249007146 Long DBT CORP KY Y 2 2021-05-10 Fixed 7.50000000 N N N N N N ReNew Power Pvt Ltd. 335800BITJZHVZ1CN475 75975AAA8 625000.00000000 PA USD 446871.24000000 0.048773463628 Long DBT CORP IN Y 2 2027-03-05 Fixed 5.87500000 N N N N N N PBF Holding Co. LLC/PBF Finance Corp. N/A 69318FAG3 167000.00000000 PA USD 112984.69000000 0.012331638680 Long DBT CORP US N 2 2025-06-15 Fixed 7.25000000 N N N N N N Ziggo B.V. 213800TQASLF9JXH5J59 98954NAA7 381000.00000000 PA USD 383114.55000000 0.041814782195 Long DBT CORP NL Y 2 2027-01-15 Fixed 5.50000000 N N N N N N Fannie Mae REMICs N/A 31394DQF0 258830.64000000 PA USD 48596.82000000 0.005304067526 Long ABS-APCP USGSE US N 2 2035-05-25 Floating 5.07325000 N N N N N N Freddie Mac REMICs N/A 31394JMS3 208143.45000000 PA USD 218578.76000000 0.023856633066 Long ABS-APCP USGSE US N 2 2023-09-15 Fixed 5.00000000 N N N N N N Diamond Sports Group LLC / Diamond Sports Finance Co. N/A 25277LAC0 583000.00000000 PA USD 393116.90000000 0.042906482019 Long DBT CORP US Y 2 2027-08-15 Fixed 6.62500000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 EJ9764584 3370000.00000000 PA USD 3264923.40000000 0.356347888264 Long DBT CORP CH Y 2 N/A Variable 7.50000000 N N N N Y United States Dollar USD XXXX N N N NuStar Logistics, L.P. N62BF2PKP51FIIOIUN20 67059TAF2 818000.00000000 PA USD 609918.80000000 0.066569180885 Long DBT CORP US N 2 2026-06-01 Fixed 6.00000000 N N N N N N N/A N/A N/A -1500000.00000000 NC -670266.16000000 -0.07315575326 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written N/A Option 1.00000000 20.00000000 EUR 2020-08-05 XXXX -342571.14000000 N N N Southwestern Energy Co. EFWMP121W54QV9MGOP87 845467AM1 462000.00000000 PA USD 306109.65000000 0.033410133712 Long DBT CORP US N 2 2026-04-01 Fixed 7.50000000 N N N N N N Meritage Homes Corp. 52990044W9UMFJO2FB97 59001ABA9 508000.00000000 PA USD 481859.59000000 0.052592243767 Long DBT CORP US N 2 2027-06-06 Fixed 5.12500000 N N N N N N Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. 254900CEKKWIHTEAB172 983133AA7 357000.00000000 PA USD 326878.13000000 0.035676895618 Long DBT CORP US Y 2 2029-10-01 Fixed 5.12500000 N N N N N N Indonesia Treasury Bond 529900FWX0GRR7WG5W79 EJ3146325 20000000000.00000000 PA 1080703.35000000 0.117952646794 Long DBT NUSS ID N 2 2028-05-15 Fixed 6.12500000 N N N N N N NuStar Logistics L.P. N62BF2PKP51FIIOIUN20 67059TAB1 235000.00000000 PA USD 206485.69000000 0.022536743002 Long DBT CORP US N 2 2020-09-01 Fixed 4.80000000 N N N N N N Itau Unibanco Holding S.A. 5493002W2IVG62O3ZJ94 465562AA4 1075000.00000000 PA USD 882037.50000000 0.096269395016 Long DBT CORP BR Y 2 N/A Variable 4.62500000 N N N N N N United Rentals North America, Inc. NGIZXNT70J2LYT3FBI09 911365BG8 280000.00000000 PA USD 273154.00000000 0.029813211259 Long DBT CORP US N 2 2028-01-15 Fixed 4.87500000 N N N N N N Freddie Mac REMICs N/A 3129112B5 86780.00000000 PA USD 91705.15000000 0.010009097470 Long ABS-APCP USGSE US N 2 2022-09-15 Fixed 7.50000000 N N N N N N Taseko Mines Ltd. 549300XKUO1JSLU7KX54 876511AC0 856000.00000000 PA USD 392421.22000000 0.042830552489 Long DBT CORP CA Y 2 2022-06-15 Fixed 8.75000000 N N N N N N AmeriCredit Automobile Receivables Trust N/A 03066KAH3 3290000.00000000 PA USD 3231563.35000000 0.352706827842 Long ABS-O CORP US N 2 2025-06-18 Fixed 2.99000000 N N N N N N Targa Resources Partners L.P. / Targa Resources Partners Finance Corp. N/A 87612BBL5 105000.00000000 PA USD 90300.00000000 0.009855733310 Long DBT CORP US N 2 2027-07-15 Fixed 6.50000000 N N N N N N Sunoco L.P./Sunoco Finance Corp N/A 86765LAN7 733000.00000000 PA USD 614651.65000000 0.067085744644 Long DBT CORP US N 2 2028-03-15 Fixed 5.87500000 N N N N N N N/A N/A N/A 1.00000000 NC 107422.39000000 0.011724545154 N/A DIR N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Y 2029-06-24 0.00000000 RUB 0.00000000 RUB 130925000.00000000 RUB 107422.39000000 N N N Drive Auto Receivables Trust N/A 26209WAG8 2540000.00000000 PA USD 2454942.77000000 0.267943092293 Long ABS-O CORP US N 2 2026-10-15 Fixed 3.18000000 N N N N N N Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. N/A 03969AAL4 456000.00000000 PA USD 460696.80000000 0.050282445159 Long DBT CORP XX Y 2 2025-02-15 Fixed 6.00000000 N N N N N N Vistra Operations Co. LLC 549300ZH5GKBTJZ7NM23 92840VAF9 491000.00000000 PA USD 501090.05000000 0.054691139506 Long DBT CORP US Y 2 2027-07-31 Fixed 5.00000000 N N N N N N Penn National Gaming, Inc. N/A 707569AS8 279000.00000000 PA USD 209365.09000000 0.022851013196 Long DBT CORP US Y 2 2027-01-15 Fixed 5.62500000 N N N N N N Banco Comercial Portugues, S.A. JU1U6S0DG9YLT7N8ZV32 AQ1803867 500000.00000000 PA 422107.18000000 0.046070606806 Long DBT CORP PT Y 2 2027-12-07 Variable 4.50000000 N N N N N N Basic Energy Services, Inc. 5493006BE5UNWTVG4F46 06985PAN0 208000.00000000 PA USD 104000.00000000 0.011351010678 Long DBT CORP US Y 2 2023-10-15 Fixed 10.75000000 N N N N N N N/A N/A N/A -12500000.00000000 NC USD -1799100.00000000 -0.19636157031 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written N/A Option 1.00000000 14325.00000000 USD 2020-07-23 XXXX -1712168.75000000 N N N Freddie Mac REMICs N/A 31392RMJ7 45541.50000000 PA USD 46381.15000000 0.005062239701 Long ABS-APCP USGSE US N 2 2032-03-15 Floating 1.70463000 N N N N N N Freddie Mac N/A 31292HYT5 161987.01000000 PA USD 179952.65000000 0.019640812037 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 5.00000000 N N N N N N Argentine Treasury Bills 549300KPBYGYF7HCHO27 AW9262063 505000000.00000000 PA 6881407.48000000 0.751066632614 Long DBT NUSS AR N 2 2020-10-29 None 0.00000000 N N N N N N Dell Equipment Finance Trust N/A 24703KAF2 1290000.00000000 PA USD 1271587.06000000 0.138786522089 Long ABS-O CORP US Y 2 2025-04-22 Fixed 2.48000000 N N N N N N Camelot Finance S.A. N/A 13323AAB6 192000.00000000 PA USD 187319.42000000 0.020444853238 Long DBT CORP LU Y 2 2026-11-01 Fixed 4.50000000 N N N N N N CCO Holdings LLC/CCO Holdings Capital Corp. N/A 1248EPBK8 90000.00000000 PA USD 93316.28000000 0.010184943180 Long DBT CORP US Y 2 2027-05-01 Fixed 5.87500000 N N N N N N Azure Power Energy Ltd. 54930051LQDFHGQMHF47 05502JAA8 1515000.00000000 PA USD 1396186.13000000 0.152385804533 Long DBT CORP MU Y 2 2022-11-03 Fixed 5.50000000 N N N N N N Olin Corp. 549300GKK294V7W57P06 680665AK2 117000.00000000 PA USD 101140.65000000 0.011038928829 Long DBT CORP US N 2 2030-02-01 Fixed 5.00000000 N N N N N N Alpha Holding S.A. de C.V. 549300R872G37EN6NT94 02074AAB0 580000.00000000 PA USD 404550.00000000 0.044154340097 Long DBT CORP MX Y 2 2025-02-10 Fixed 9.00000000 N N N N N N Whiting Petroleum Corp. 52990028CHK9KUB1B293 966387AL6 66000.00000000 PA USD 32340.00000000 0.003529727743 Long DBT CORP US N 2 2020-04-01 None 1.25000000 N N N Y N Whiting Petroleum Corp USD XXXX N N N Banco Bilbao Vizcaya Argentaria S.A. K8MS7FD7N5Z2WQ51AZ71 AN6439524 825000.00000000 PA 767657.70000000 0.083785487985 Long DBT CORP ES Y 2 N/A Variable 5.87500000 N N N N Y Euro EUR XXXX N N N ADT Security Corp. (The) 5493009JEEDYLVRA0J13 00101JAK2 658000.00000000 PA USD 646787.68000000 0.070593210218 Long DBT CORP US N 2 2021-10-15 Fixed 6.25000000 N N N N N N Melco Resorts Finance Ltd. 529900NRV6LBR3T6B421 58547DAA7 3250000.00000000 PA USD 3016952.32000000 0.329283250022 Long DBT CORP KY Y 2 2025-06-06 Fixed 4.87500000 N N N N N N Iron Mountain Inc. SQL3F6CKNNBM3SQGHX24 46284VAC5 164000.00000000 PA USD 160222.67000000 0.017487396521 Long DBT CORP US Y 2 2027-09-15 Fixed 4.87500000 N N N N N N Credit Agricole S.A. 969500TJ5KRTCJQWXH05 225313AJ4 600000.00000000 PA USD 621763.80000000 0.067861995515 Long DBT CORP FR Y 2 N/A Variable 8.12500000 N N N N Y United States Dollar USD XXXX N N N WFRBS Commercial Mortgage Trust 549300GADFYEKC4OLM57 92890PAG9 640000.00000000 PA USD 648633.34000000 0.070794653548 Long ABS-MBS CORP US N 2 2046-06-15 Fixed 3.48800000 N N N N N N Freddie Mac REMICs N/A 31393VKX8 30764.09000000 PA USD 32910.16000000 0.003591957476 Long ABS-APCP USGSE US N 2 2032-05-15 Fixed 3.50000000 N N N N N N JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc. N/A 46590XAB2 504000.00000000 PA USD 523177.20000000 0.057101826771 Long DBT CORP XX Y 2 2030-01-15 Fixed 5.50000000 N N N N N N N/A N/A N/A -1460000.00000000 NC USD -893927.34000000 -0.09756710367 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Written N/A N/A 1.00000000 4.80000000 USD 2021-08-17 XXXX -584261.34000000 N N N COMM Mortgage Trust N/A 12592LBG6 165808.80000000 PA USD 170991.78000000 0.018662783853 Long ABS-MBS CORP US N 2 2047-11-10 Fixed 3.30500000 N N N N N N Genesis Energy L.P. / Genesis Energy Finance Corp. N/A 37185LAJ1 226000.00000000 PA USD 165041.02000000 0.018013292120 Long DBT CORP US N 2 2025-10-01 Fixed 6.50000000 N N N N N N N/A N/A N/A 1.00000000 NC -213537.61000000 -0.02330642011 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2021-01-04 0.00000000 BRL 0.00000000 BRL 207186560.88000000 BRL -213537.61000000 N N N Sri Lanka Government International Bond 254900HXCCIOHM74FA02 85227SBA3 1210000.00000000 PA USD 762300.00000000 0.083200725390 Long DBT NUSS LK Y 2 2024-06-28 Fixed 6.35000000 N N N N N N N/A N/A N/A -4800000.00000000 NC USD -12235.20000000 -0.00133540274 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written N/A Option 1.00000000 14.30000000 USD 2020-12-08 XXXX 102283.20000000 N N N Citigroup Mortgage Loan Trust, Inc. N/A 17307G2Z0 93440.18000000 PA USD 86820.28000000 0.009475941590 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.88000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 135228.19000000 0.014759390661 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2030-08-25 0.00000000 USD 0.00000000 USD 43750000.00000000 USD 135228.19000000 N N N Freddie Mac N/A 3137G0KQ1 3819991.25000000 PA USD 3674078.28000000 0.401004824920 Long ABS-MBS USGSE US N 2 2028-12-25 Floating 6.62675000 N N N N N N Windstream Services LLC 549300L3SXBFJVGRCF66 97381HAR8 169085.85000000 PA USD 107792.23000000 0.011764911094 Long LON CORP US Y 2 2021-03-29 Floating 5.58040000 Y Y N N N N L Brands, Inc. GR3KVMWVCR54YWQNXU90 501797AR5 491000.00000000 PA USD 390074.95000000 0.042574470413 Long DBT CORP US N 2 2029-06-15 Fixed 7.50000000 N N N N N N Fannie Mae REMICs N/A 31397NP41 11576.90000000 PA USD 11687.19000000 0.001275590562 Long ABS-APCP USGSE US N 2 2037-06-25 Floating 2.56675000 N N N N N N El Salvador Government International Bond 529900AKDMUSFSDOM949 283875BZ4 1365500.00000000 PA USD 1063724.50000000 0.116099501528 Long DBT NUSS SV Y 2 2050-01-20 Fixed 7.12460000 N N N N N N Capital Auto Receivables Asset Trust N/A 13975WAG8 110000.00000000 PA USD 108824.44000000 0.011877570967 Long ABS-O CORP US Y 2 2025-02-20 Fixed 3.15000000 N N N N N N Indonesia Treasury Bond 529900FWX0GRR7WG5W79 AU6526563 29100000000.00000000 PA 1815357.65000000 0.198136000685 Long DBT NUSS ID N 2 2029-05-15 Fixed 8.25000000 N N N N N N Future Retail Ltd. 335800XO19WYIUZC9H61 36118EAA0 1250000.00000000 PA USD 630058.38000000 0.068767301920 Long DBT CORP IN Y 2 2025-01-22 Fixed 5.60000000 N N N N N N N/A N/A N/A 116.00000000 NC USD 432953.18000000 0.047254386246 N/A DIR N/A N 1 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Long United States Treasury Note/Bond U.S. Treasury Notes 2020-06-30 14108734.32000000 USD 432953.18000000 N N N Fannie Mae REMICs N/A 31393BGX7 51456.65000000 PA USD 11630.03000000 0.001269351872 Long ABS-APCP USGSE US N 2 2033-05-25 Floating 6.62325000 N N N N N N West Corp. 5493005Z5DB0O5S30R71 952355AN5 624000.00000000 PA USD 600600.00000000 0.065552086671 Long DBT CORP US Y 2 2022-07-15 Fixed 5.37500000 N N N N N N Freddie Mac REMICs N/A 31392RNB3 24379.87000000 PA USD 24823.46000000 0.002709339995 Long ABS-APCP USGSE US N 2 2032-02-15 Floating 1.70463000 N N N N N N Freddie Mac REMICs N/A 3133TKAQ3 241410.40000000 PA USD 40862.21000000 0.004459878673 Long ABS-APCP USGSE US N 2 2029-03-15 Floating 6.94537000 N N N N N N FMG Resources August 2006 Pty. Ltd. 549300EFD6S2NFE9D745 30251GAU1 119000.00000000 PA USD 119189.21000000 0.013008826880 Long DBT CORP AU Y 2 2022-05-15 Fixed 4.75000000 N N N N N N JSW Steel Ltd. 335800EK6HZSC4CVAJ09 AN0568328 1600000.00000000 PA USD 1315953.63000000 0.143628881799 Long DBT CORP IN Y 2 2022-04-13 Fixed 5.25000000 N N N N N N Egypt Government International Bond 529900GFIVH4086NMH82 03846JW89 1711000.00000000 PA USD 1428462.57000000 0.155908595063 Long DBT NUSS EG Y 2 2049-03-01 Fixed 8.70020000 N N N N N N Federal Home Loan Mortgage Corp. N/A 31292G4U7 21740.24000000 PA USD 24426.92000000 0.002666059901 Long ABS-MBS USGSE US N 2 2029-07-01 Fixed 6.50000000 N N N N N N N/A N/A N/A 312500000.00000000 NC 461997.67000000 0.050424427748 N/A DIR N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A N/A 1.00000000 NC N/A N/A DIR 2049-12-31 0.00000000 EUR 0.00000000 EUR 312500000.00000000 EUR 1.00000000 -0.40600000 EUR 2021-02-08 XXXX 230430.55000000 N N N Ukraine Government Bond 6354001WLTJXOMEXPY07 903724AS1 938000.00000000 PA USD 857332.00000000 0.093572929686 Long DBT NUSS UA Y 2 2025-09-01 Fixed 7.75000000 N N N N N N Ford Motor Credit Co. LLC UDSQCVRUX5BONN0VY111 345397ZQ9 1135000.00000000 PA USD 1083925.00000000 0.118304271636 Long DBT CORP US N 2 2024-03-18 Fixed 5.58400000 N N N N N N Federal National Mortgage Association N/A 01F030645 28970000.00000000 PA USD 30381155.64000000 3.315930981822 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.00000000 N N N N N N Freeport-McMoRan, Inc. 549300IRDTHJQ1PVET45 35671DBJ3 2506000.00000000 PA USD 2335510.56000000 0.254907743340 Long DBT CORP US N 2 2034-11-14 Fixed 5.40000000 N N N N N N Citigroup Mortgage Loan Trust, Inc. N/A 17323AAB7 2745157.74000000 PA USD 2613621.59000000 0.285261986335 Long ABS-MBS CORP US Y 2 2036-07-20 Floating 2.22700000 N N N N N N CaixaBank S.A. 7CUNS533WID6K7DGFI87 AN7632044 1200000.00000000 PA 1087127.07000000 0.118653759432 Long DBT CORP ES Y 2 N/A Variable 6.75000000 N N N N Y Euro EUR XXXX N N N N/A N/A N/A 1457000.00000000 NC USD 1.46000000 0.000000159350 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased N/A Option 1.00000000 3.43000000 USD 2020-03-30 XXXX -254682.14000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403DLW7 65227.49000000 PA USD 80174.41000000 0.008750582539 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 7.50000000 N N N N N N Santander Drive Auto Receivables Trust N/A 80286HAG4 1910000.00000000 PA USD 1825906.52000000 0.199287350070 Long ABS-O CORP US N 2 2025-10-15 Fixed 2.68000000 N N N N N N Fannie Mae REMICs N/A 3136A0ML8 5279.19000000 PA USD 5327.80000000 0.000581499179 Long ABS-APCP USGSE US N 2 2026-08-25 Fixed 4.00000000 N N N N N N Bombardier, Inc. W7L3VLU8EHQY34Z36697 097751BT7 222000.00000000 PA USD 154861.65000000 0.016902271566 Long DBT CORP CA Y 2 2027-04-15 Fixed 7.87500000 N N N N N N N/A N/A N/A 2800000.00000000 NC 3600.75000000 0.000393001458 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased N/A Option 1.00000000 9.25000000 EUR 2020-04-29 XXXX -474939.88000000 N N N Iron Mountain, Inc. SQL3F6CKNNBM3SQGHX24 46284VAE1 233000.00000000 PA USD 231450.55000000 0.025261516006 Long DBT CORP US Y 2 2028-03-15 Fixed 5.25000000 N N N N N N Berry Global, Inc. 549300AP2Q7ERHX6RI89 085770AA3 427000.00000000 PA USD 433670.59000000 0.047332687483 Long DBT CORP US Y 2 2026-07-15 Fixed 4.87500000 N N N N N N Fannie Mae Interest STRIPS B1V7KEBTPIMZEU4LTD58 3136FANS5 29424.45000000 PA USD 5878.10000000 0.000641561306 Long ABS-APCP USGSE US N 2 2032-07-25 Fixed 6.50000000 N N N N N N WFRBS Commercial Mortgage Trust 549300QGM7D5K3CV2643 96221TAG2 395000.00000000 PA USD 413456.93000000 0.045126481035 Long ABS-MBS CORP US N 2 2047-03-15 Variable 4.35100000 N N N N N N Kaisa Group Holdings Ltd. 254900N8L3L7NRJT0120 BG0695273 625000.00000000 PA USD 587507.93000000 0.064123161417 Long DBT CORP KY Y 2 2021-02-18 Fixed 6.75000000 N N N N N N Freeport-McMoRan, Inc. 549300IRDTHJQ1PVET45 35671DBC8 96000.00000000 PA USD 86668.80000000 0.009459408407 Long DBT CORP US N 2 2043-03-15 Fixed 5.45000000 N N N N N N Dell International LLC/EMC Corp. N/A 25272KAW3 616000.00000000 PA USD 638330.00000000 0.069670102372 Long DBT CORP US Y 2 2024-06-15 Fixed 7.12500000 N N N N N N Caisse Nationale de Reassurance Mutuelle Agricole Groupama 969500P4HYOPYINEPE06 EK2619147 2000000.00000000 PA 2212965.46000000 0.241532640083 Long DBT CORP FR Y 2 N/A Variable 6.37500000 N N N N N N Fannie Mae REMICs N/A 31397QWP9 34130.91000000 PA USD 36831.48000000 0.004019947334 Long ABS-APCP USGSE US N 2 2041-03-25 Fixed 4.00000000 N N N N N N Freddie Mac N/A 3137G0HT9 37435.77000000 PA USD 37229.57000000 0.004063396602 Long ABS-MBS USGSE US N 2 2028-07-25 Floating 4.52675000 N N N N N N Murray Energy Corp. 549300WM5IIFYHZYTT63 627048AQ4 540736.83000000 PA USD 63806.95000000 0.006964167027 Long LON CORP US Y 2 2022-10-17 Floating 8.23940000 Y Y N N N N Caixa Geral de Depositos S.A. TO822O0VT80V06K0FH57 AM8890270 2400000.00000000 PA 2627926.96000000 0.286823336409 Long DBT CORP PT Y 2 N/A Variable 10.75000000 N N N N Y Euro EUR XXXX N N N Invesco Government & Agency Portfolio 5493007T1J7WZ5QI1A47 825252885 63495171.40000000 NS USD 63495171.40000000 6.930138159858 Long STIV RF US N 1 N N N Freddie Mac REMICs N/A 3133THBY2 171750.00000000 PA USD 171414.09000000 0.018708876597 Long ABS-APCP USGSE US N 2 2028-12-15 Floating 1.15463000 N N N N N N Fannie Mae REMICs N/A 31392DW40 6676.53000000 PA USD 1436.29000000 0.000156762914 Long ABS-APCP USGSE US N 2 2032-07-25 Floating 6.37325000 N N N N N N Hughes Satellite Systems Corp. N/A 444454AF9 322000.00000000 PA USD 328909.32000000 0.035898588497 Long DBT CORP US N 2 2026-08-01 Fixed 6.62500000 N N N N N N Freddie Mac N/A 3137G0LU1 4580000.00000000 PA USD 4165242.07000000 0.454612569395 Long ABS-MBS USGSE US N 2 2029-04-25 Floating 5.52675000 N N N N N N BNP Paribas S.A. R0MUWSFPU8MPRO8K5P83 JK5850959 2265000.00000000 PA USD 2212621.88000000 0.241495140273 Long DBT CORP FR Y 2 N/A Variable 7.62500000 N N N N Y United States Dollar USD XXXX N N N MSCI, Inc. 549300HTIN2PD78UB763 55354GAB6 594000.00000000 PA USD 617659.02000000 0.067413982038 Long DBT CORP US Y 2 2025-08-15 Fixed 5.75000000 N N N N N N Freddie Mac REMICs N/A 3133994L8 48951.67000000 PA USD 49746.23000000 0.005429519115 Long ABS-APCP USGSE US N 2 2031-08-15 Floating 1.65463000 N N N N N N VICI Properties L.P. / VICI Note Co., Inc. N/A 92564RAD7 161000.00000000 PA USD 152648.13000000 0.016660678401 Long DBT CORP US Y 2 2027-02-15 Fixed 3.75000000 N N N N N N Banca Monte dei Paschi di Siena S.p.A. J4CP7MHCXR8DAQMKIL78 AQ6127833 750000.00000000 PA 441304.24000000 0.048165857124 Long DBT CORP IT Y 2 2028-01-18 Variable 5.37500000 N N N N N N N/A N/A N/A 1.00000000 NC 53278.31000000 0.005815025632 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2025-01-01 0.00000000 MXN 0.00000000 MXN 112500000.00000000 MXN 53278.31000000 N N N N/A N/A N/A 12500000.00000000 NC USD 77187.50000000 0.008424578238 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Purchased N/A N/A 1.00000000 19.98000000 USD 2021-03-04 XXXX -306197.63000000 N N N Freddie Mac REMICs N/A 31397TEH1 122164.77000000 PA USD 24668.40000000 0.002692416075 Long ABS-APCP USGSE US N 2 2038-05-15 Floating 5.36537000 N N N N N N Claire's Stores, Inc. N/A N/A 235.00000000 NS USD 129250.00000000 0.014106905098 Long EC CORP US N 2 N N N Alliance Data Systems Corp. 549300G8S4PO686J7H97 018581AK4 435000.00000000 PA USD 333862.50000000 0.036439200027 Long DBT CORP US Y 2 2024-12-15 Fixed 4.75000000 N N N N N N CaixaBank S.A. 7CUNS533WID6K7DGFI87 AN7632044 1415000.00000000 PA 1281904.00000000 0.139912557629 Long DBT CORP ES Y 2 N/A Variable 6.75000000 N N N N Y Euro EUR XXXX N N N N/A N/A N/A 1.00000000 NC 248109.92000000 0.027079791841 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2022-11-04 0.00000000 MXN 0.00000000 MXN 420000000.00000000 MXN 248109.92000000 N N N Fannie Mae Interest STRIPS B1V7KEBTPIMZEU4LTD58 3136FAYU8 495568.31000000 PA USD 96457.40000000 0.010527778629 Long ABS-APCP USGSE US N 2 2033-03-25 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31409FMR6 1384.08000000 PA USD 1405.06000000 0.000153354337 Long ABS-MBS USGSE US N 2 2021-04-01 Fixed 5.50000000 N N N N N N N/A N/A N/A 1.00000000 NC -173539.01000000 -0.01894079957 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2021-01-04 0.00000000 BRL 0.00000000 BRL 175601853.53000000 BRL -173539.01000000 N N N Coriolanus DAC 2138007VV3P448DEQX41 21887JAP7 782856.37000000 PA USD 779662.14000000 0.085095704587 Long DBT CORP IE Y 2 2025-04-30 None 0.00000000 N N N N N N COMM Mortgage Trust N/A 12623SAF7 2422346.68000000 PA USD 78009.01000000 0.008514241399 Long ABS-MBS CORP US N 2 2045-12-10 Variable 1.52538200 N N N N N N N/A N/A N/A 1.00000000 NC -54483.05000000 -0.00594651617 N/A DIR N/A N 2 Chicago Mercantile Exchange Inc SNZ2OJLFK8MNNCLQOF39 Y 2029-08-01 0.00000000 COP 0.00000000 COP 12445000000.00000000 COP -54483.05000000 N N N iHeartCommunications, Inc. 54930076J6KDZL504O62 45174HBD8 493000.00000000 PA USD 422476.35000000 0.046110899619 Long DBT CORP US N 2 2027-05-01 Fixed 8.37500000 N N N N N N AES Corp. 2NUNNB7D43COUIRE5295 00130HBZ7 227000.00000000 PA USD 224332.75000000 0.024484648470 Long DBT CORP US N 2 2021-03-15 Fixed 4.00000000 N N N N N N Carrizo Oil & Gas, Inc. 549300EFOWPEB0WLZW21 144577AJ2 106000.00000000 PA USD 17886.97000000 0.001952261418 Long DBT CORP US N 2 2025-07-15 Fixed 8.25000000 N N N N N N Standard Life Aberdeen PLC 0TMBS544NMO7GLCE7H90 AP5373554 1875000.00000000 PA USD 1785937.50000000 0.194924958024 Long DBT CORP GB Y 2 2028-06-30 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403DDN6 67313.05000000 PA USD 77793.71000000 0.008490742624 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 7.00000000 N N N N N N Azure Power Solar Energy Ltd. 549300N77HEXIINE3X94 05502TAA6 1750000.00000000 PA USD 1497930.00000000 0.163490571407 Long DBT CORP MU Y 2 2024-12-24 Fixed 5.65000000 N N N N N N Freddie Mac REMICs N/A 31339MYP7 125771.47000000 PA USD 15929.86000000 0.001738653951 Long ABS-APCP USGSE US N 2 2026-12-15 Floating 7.24537000 N N N N N N CSN Islands XI Corp. 222100R8R68DM7VM3661 12642KAB0 1150000.00000000 PA USD 741738.50000000 0.080956554178 Long DBT CORP KY Y 2 2028-01-28 Fixed 6.75000000 N N N N N N Targa Resources Partners L.P./Targa Resources Partners Finance Corp. N/A 87612BBB7 589000.00000000 PA USD 506463.43000000 0.055277613485 Long DBT CORP US N 2 2025-02-01 Fixed 5.12500000 N N N N N N CCO Holdings LLC/CCO Holdings Capital Corp. N/A 1248EPBF9 204000.00000000 PA USD 207316.02000000 0.022627368816 Long DBT CORP US Y 2 2023-05-01 Fixed 5.12500000 N N N N N N Dominican Republic International Bond 254900EHU7Q8FGVPI369 25714PEE4 1500000.00000000 PA USD 1278750.00000000 0.139568316401 Long DBT NUSS DO Y 2 2060-01-30 Fixed 5.87500000 N N N N N N N/A N/A N/A 1.00000000 NC 132982.74000000 0.014514312517 N/A DIR N/A N 2 Chicago Mercantile Exchange Inc SNZ2OJLFK8MNNCLQOF39 Y 2020-10-17 0.00000000 COP 0.00000000 COP 46900000000.00000000 COP 132982.74000000 N N N Icahn Enterprises LP/Icahn Enterprises Finance Corp. N/A 451102BM8 222000.00000000 PA USD 216171.39000000 0.023593882272 Long DBT CORP US N 2 2024-02-01 Fixed 6.75000000 N N N N N N SBA Communications Corp. 5299001HX8ZN8Y8QIT49 78410GAB0 280000.00000000 PA USD 282010.12000000 0.030779806574 Long DBT CORP US N 2 2022-10-01 Fixed 4.00000000 N N N N N N N/A N/A N/A 1.00000000 NC 381526.59000000 0.041641465359 N/A DIR N/A N 2 Chicago Mercantile Exchange Inc SNZ2OJLFK8MNNCLQOF39 Y 2023-12-07 0.00000000 MXN 0.00000000 MXN 146300000.00000000 MXN 381526.59000000 N N N Republic of South Africa Government Bond 378900AAFB4F17004C49 EJ7500196 57000000.00000000 PA 2413599.45000000 0.263430703189 Long DBT NUSS ZA N 2 2037-01-31 Fixed 8.50000000 N N N N N N CCO Holdings LLC/CCO Holdings Capital Corp. N/A 1248EPBG7 90000.00000000 PA USD 92830.95000000 0.010131972161 Long DBT CORP US Y 2 2025-05-01 Fixed 5.37500000 N N N N N N FREMF Mortgage Trust N/A 30291JAL7 2300000.00000000 PA USD 2255869.44000000 0.246215366383 Long ABS-APCP USGSE US Y 2 2046-05-25 Variable 3.47617700 N N N N N N Centrais Eletricas Brasileiras S.A. 254900I8KYDELP4B4Z08 15236FAA8 2241000.00000000 PA USD 1995632.91000000 0.217812023776 Long DBT CORP BR Y 2 2025-02-04 Fixed 3.62500000 N N N N N N N/A N/A N/A 1.00000000 NC USD -144236.89000000 -0.01574263921 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2029-08-07 0.00000000 USD 0.00000000 USD 1610000.00000000 USD -144236.89000000 N N N Fannie Mae REMICs N/A 31398NEM2 402.08000000 PA USD 2.64000000 0.000000288141 Long ABS-APCP USGSE US N 2 2020-11-25 Fixed 4.50000000 N N N N N N Fannie Mae REMICs N/A 31392GDP7 61549.50000000 PA USD 61508.46000000 0.006713299868 Long ABS-APCP USGSE US N 2 2032-09-25 Floating 2.12675000 N N N N N N UBS Group Funding Switzerland AG 549300SZJ9VS8SGXAN81 EK7554620 2400000.00000000 PA USD 2328187.20000000 0.254108440094 Long DBT CORP CH Y 2 N/A Variable 7.00000000 N N N N Y United States Dollar USD XXXX N N N N/A N/A N/A 1.00000000 NC -972802.95000000 -0.10617592955 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2025-02-03 -366.97000000 CAD 0.00000000 CAD 41250000.00000000 CAD -972435.98000000 N N N iStar, Inc. QFFLKWYYS3UPWD86E794 45031UCF6 880000.00000000 PA USD 744704.40000000 0.081280265356 Long DBT CORP US N 2 2024-10-01 Fixed 4.75000000 N N N N N N Invesco Oppenheimer Master Event-Linked Bond Fund 549300AZWYYNU8L02N27 00900R440 1494386.46700000 NS USD 23545852.05000000 2.569896327551 Long EC RF US N 1 N N N Murphy Oil USA, Inc. N32S6DTR2ZZ5222WHV58 626738AD0 577000.00000000 PA USD 570273.62000000 0.062242134140 Long DBT CORP US N 2 2027-05-01 Fixed 5.62500000 N N N N N N N/A N/A N/A 1.00000000 NC -195268.32000000 -0.02131243063 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2021-01-04 0.00000000 BRL 0.00000000 BRL 123298858.72000000 BRL -195268.32000000 N N N Senegal Government International Bond 549300NP14ZLQGWIUZ97 81720TAB1 1250000.00000000 PA USD 1177475.00000000 0.128514724031 Long DBT NUSS SN Y 2 2024-07-30 Fixed 6.25000000 N N N N N N Freddie Mac REMICs N/A 3133T3Q27 53583.64000000 PA USD 57480.87000000 0.006273711242 Long ABS-APCP USGSE US N 2 2024-02-15 Fixed 6.75000000 N N N N N N N/A N/A N/A 1.00000000 NC -281289.21000000 -0.03070112333 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 24054815.33000000 BRL -281289.21000000 N N N Icahn Enterprises L.P. / Icahn Enterprises Finance Corp. N/A 451102BT3 142000.00000000 PA USD 134988.32000000 0.014733210210 Long DBT CORP US N 2 2026-05-15 Fixed 6.25000000 N N N N N N CITGO Petroleum Corp. YX52P86PXMLYDOTUQ225 17302XAJ5 70000.00000000 PA USD 65276.47000000 0.007124556808 Long DBT CORP US Y 2 2022-08-15 Fixed 6.25000000 N N N N N N N/A N/A N/A -303.00000000 NC USD -928534.41000000 -0.10134426926 N/A DIR N/A N 1 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Short United States Treasury Note/Bond U.S. Treasury Notes 2020-06-30 65847457.63000000 USD -928534.41000000 N N N Export-Import Bank of India 335800OFZ8YEIVN1QI11 LW2253588 80000000.00000000 PA 1080103.33000000 0.117887158011 Long DBT NUSS IN N 2 2021-05-27 Fixed 8.00000000 N N N N N N Argentine Republic Government International Bond 549300KPBYGYF7HCHO27 040114HL7 3025000.00000000 PA USD 847030.25000000 0.092448552049 Long DBT NUSS AR N 2 2027-01-26 Fixed 6.87500000 N N N N N N CarMax Auto Owner Trust N/A 14315PAH8 990000.00000000 PA USD 990421.84000000 0.108098931562 Long ABS-O CORP US N 2 2026-01-15 Fixed 2.85000000 N N N N N N Freddie Mac REMICs N/A 31392MJE3 123319.62000000 PA USD 142825.11000000 0.015588551431 Long ABS-APCP USGSE US N 2 2032-06-15 Fixed 6.50000000 N N N N N N N/A N/A N/A 1.00000000 NC -231746.52000000 -0.02529381945 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2022-01-03 0.00000000 BRL 0.00000000 BRL 92432134.01000000 BRL -231746.52000000 N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AL2 1190000.00000000 PA USD 1045456.65000000 0.114105669216 Long DBT CORP CH Y 2 N/A Variable 6.37500000 N N N N Y United States Dollar USD XXXX N N N DT Auto Owner Trust N/A 26253KAD6 875000.00000000 PA USD 847122.06000000 0.092458572590 Long ABS-O CORP US Y 2 2025-04-15 Fixed 2.96000000 N N N N N N Ingles Markets, Inc. 549300XH5RYBMYP8TF26 457030AJ3 218000.00000000 PA USD 218538.46000000 0.023852234550 Long DBT CORP US N 2 2023-06-15 Fixed 5.75000000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QCZ3 1588915.10000000 PA USD 1100482.60000000 0.120111439852 Long DBT CORP MX Y 2 2031-01-28 Fixed 5.95000000 N N N N N N Freddie Mac REMICs N/A 31395LMA6 101273.02000000 PA USD 18907.66000000 0.002063663947 Long ABS-APCP USGSE US N 2 2035-01-15 Floating 5.99537000 N N N N N N Parkland Fuel Corp. 549300Q72GWZCL8MQC95 70137TAL9 853000.00000000 PA USD 798024.15000000 0.087099813930 Long DBT CORP CA Y 2 2026-04-01 Fixed 6.00000000 N N N N N N N/A N/A N/A -62500000.00000000 NC -4174120.66000000 -0.45558161718 N/A DCR N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A N/A 1.00000000 NC N/A N/A DCR MARKIT ITRX EUR XOVER 06/25 ITRX XOVER CDSI S33 5Y ITXEX533 Other Other 2025-06-20 0.00000000 EUR 0.00000000 EUR 62500000.00000000 EUR 1.00000000 550.00000000 EUR 2020-06-17 XXXX -1014215.44000000 N N N Pilgrim's Pride Corp. 549300ZSLGV64ZL3HD75 72147KAE8 586000.00000000 PA USD 587142.70000000 0.064083298632 Long DBT CORP US Y 2 2027-09-30 Fixed 5.87500000 N N N N N N Reynolds Group Issuer, Inc./LLC 5493002QNV81KCX40V06 76173FAU1 510683.80000000 PA USD 486426.32000000 0.053090676469 Long LON CORP US Y 2 2023-02-05 Floating 3.73938000 N N N N N N FREMF Mortgage Trust N/A 30291GAQ2 1460000.00000000 PA USD 1440084.72000000 0.157177086878 Long ABS-APCP USGSE US Y 2 2046-01-25 Variable 3.49581700 N N N N N N Ginnie Mae 549300M8ZYFG0OCMTT87 36206N4V4 6839.49000000 PA USD 6868.37000000 0.000749643665 Long ABS-MBS USGA US N 2 2026-05-15 Fixed 8.00000000 N N N N N N Vistra Operations Co. LLC 549300ZH5GKBTJZ7NM23 92840VAB8 224000.00000000 PA USD 232243.20000000 0.025348029262 Long DBT CORP US Y 2 2027-02-15 Fixed 5.62500000 N N N N N N Acadia Healthcare Co., Inc. 5493005CW985Y9D0NC11 00404AAJ8 84000.00000000 PA USD 79686.18000000 0.008697295001 Long DBT CORP US N 2 2023-02-15 Fixed 5.62500000 N N N N N N Antero Resources Corp. APVBKPOULHUX7YZLKU17 03674PAL7 235000.00000000 PA USD 172245.60000000 0.018799631202 Long DBT CORP US N 2 2021-11-01 Fixed 5.37500000 N N N N N N Sri Lanka Government International Bond 254900HXCCIOHM74FA02 AN4614144 200000.00000000 PA USD 122006.57000000 0.013316325759 Long DBT NUSS LK Y 2 2027-05-11 Fixed 6.20000000 N N N N N N Navient Corp. 54930067J0ZNOEBRW338 63938CAK4 417000.00000000 PA USD 361622.40000000 0.039469035809 Long DBT CORP US N 2 2027-03-15 Fixed 5.00000000 N N N N N N United Airlines Holdings, Inc. N/A 910047AK5 261000.00000000 PA USD 226742.45000000 0.024747653570 Long DBT CORP US N 2 2025-01-15 Fixed 4.87500000 N N N N N N Fannie Mae REMICs N/A 3136A4HF9 140050.37000000 PA USD 137996.48000000 0.015061533828 Long ABS-APCP USGSE US N 2 2042-03-25 Floating 2.02675000 N N N N N N United Auto Credit Securitization Trust N/A 90945QAC5 130000.00000000 PA USD 125823.30000000 0.013732900211 Long ABS-O CORP US Y 2 2024-08-12 Fixed 3.16000000 N N N N N N Genesis Energy L.P. / Genesis Energy Finance Corp. N/A 37185LAK8 413000.00000000 PA USD 298823.05000000 0.032614842612 Long DBT CORP US N 2 2026-05-15 Fixed 6.25000000 N N N N N N Freddie Mac REMICs N/A 3133T7ZF9 199108.63000000 PA USD 222508.89000000 0.024285584486 Long ABS-APCP USGSE US N 2 2026-09-15 Fixed 7.00000000 N N N N N N Flex Acquisition Co., Inc. 549300HHED2KGPBEDW39 33936YAA3 408000.00000000 PA USD 384527.76000000 0.041969026058 Long DBT CORP US Y 2 2025-01-15 Fixed 6.87500000 N N N N N N Starfruit Finco B.V. / Starfruit US Holdco LLC 549300K7VB5G6LULFT41 AU4389725 1455000.00000000 PA 1283774.92000000 0.140116757945 Long DBT CORP XX Y 2 2026-10-01 Fixed 6.50000000 N N N N N N Deutsche Alt-B Securities, Inc. Mortgage Loan Trust N/A 251511AA9 38680.96000000 PA USD 34439.38000000 0.003758863174 Long ABS-MBS CORP US N 2 2036-06-25 Variable 5.15274700 N N N N N N PetSmart, Inc. N/A 716768AC0 251000.00000000 PA USD 249117.50000000 0.027189763488 Long DBT CORP US Y 2 2025-06-01 Fixed 5.87500000 N N N N N N N/A N/A N/A 1.00000000 NC 683640.33000000 0.074615468138 N/A DIR N/A N 2 Chicago Mercantile Exchange Inc SNZ2OJLFK8MNNCLQOF39 Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 24429010.99000000 BRL 683640.33000000 N N N Indonesia Treasury Bond 529900FWX0GRR7WG5W79 AZ8693857 55000000000.00000000 PA 3161404.05000000 0.345049337808 Long DBT NUSS ID N 2 2030-09-15 Fixed 7.00000000 N N N N N N N/A N/A N/A -6250000.00000000 NC USD -129581.25000000 -0.01414305915 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Written N/A N/A 1.00000000 104.00000000 USD 2021-02-24 XXXX 42556.25000000 N N N Icahn Enterprises L.P. / Icahn Enterprises Finance Corp. N/A 451102BQ9 186000.00000000 PA USD 176933.43000000 0.019311281282 Long DBT CORP US N 2 2025-12-15 Fixed 6.37500000 N N N N N N JBS Investments GmbH 529900RVHZ2M1RC3JM20 29605YAA1 1250000.00000000 PA USD 1237506.25000000 0.135066794798 Long DBT CORP AT Y 2 2023-02-05 Fixed 6.25000000 N N N N N N Credit Agricole S.A. 969500TJ5KRTCJQWXH05 EK1580118 625000.00000000 PA 711086.86000000 0.077611101361 Long DBT CORP FR Y 2 N/A Variable 7.50000000 N N N N Y British Pound GBP XXXX N N N Freddie Mac REMICs N/A 3133TJC27 5086.93000000 PA USD 4991.41000000 0.000544784117 Long ABS-APCP USGSE US N 2 2029-02-15 Floating 1.15463000 N N N N N N Ensign Drilling, Inc. 549300MJ7RLJKQNMN618 29359NAA3 138000.00000000 PA USD 51745.86000000 0.005647767398 Long DBT CORP CA Y 2 2024-04-15 Fixed 9.25000000 N N N N N N Freddie Mac REMICs N/A 31394YVA9 124675.89000000 PA USD 10742.98000000 0.001172535391 Long ABS-APCP USGSE US N 2 2024-03-15 Floating 5.29537000 N N N N N N TerraForm Power Operating, LLC 5493000S2OLR3UT5BE13 88104LAC7 157000.00000000 PA USD 156995.29000000 0.017135146282 Long DBT CORP US Y 2 2023-01-31 Fixed 4.25000000 N N N N N N National Bank for Agriculture and Rural Development 3358004AM7JXCRY2SR95 AT6592410 55000000.00000000 PA 747162.00000000 0.081548498470 Long DBT CORP IN N 2 2021-07-19 Fixed 8.39000000 N N N N N N N/A N/A N/A 1.00000000 NC 186365.37000000 0.020340724087 N/A DIR N/A N 2 Chicago Mercantile Exchange Inc SNZ2OJLFK8MNNCLQOF39 Y 2028-12-26 0.00000000 MXN 0.00000000 MXN 37300000.00000000 MXN 186365.37000000 N N N Targa Resources Partners L.P./Targa Resources Partners Finance Corp. N/A 87612BBJ0 1176000.00000000 PA USD 985631.47000000 0.107576089822 Long DBT CORP US N 2 2026-04-15 Fixed 5.87500000 N N N N N N BNP Paribas S.A. R0MUWSFPU8MPRO8K5P83 05565ACA9 2000000.00000000 PA USD 1805620.00000000 0.197073191367 Long DBT CORP FR Y 2 N/A Variable 6.75000000 N N N N Y United States Dollar USD XXXX N N N Murphy Oil USA, Inc. N32S6DTR2ZZ5222WHV58 626738AE8 392000.00000000 PA USD 369675.60000000 0.040347996955 Long DBT CORP US N 2 2029-09-15 Fixed 4.75000000 N N N N N N CCO Holdings LLC/CCO Holdings Capital Corp. N/A 1248EPBP7 132000.00000000 PA USD 135795.66000000 0.014821326796 Long DBT CORP US Y 2 2024-04-01 Fixed 5.87500000 N N N N N N First Quantum Minerals Ltd. 549300I7UVBGWRYMYZ18 335934AK1 1324000.00000000 PA USD 1141956.62000000 0.124638094120 Long DBT CORP CA Y 2 2023-04-01 Fixed 7.25000000 N N N N N N N/A N/A N/A 1.00000000 NC 45581.08000000 0.004974916594 N/A DIR N/A N 2 Chicago Mercantile Exchange Inc SNZ2OJLFK8MNNCLQOF39 Y 2029-07-24 0.00000000 MXN 0.00000000 MXN 39500000.00000000 MXN 45581.08000000 N N N N/A N/A N/A -37500000.00000000 NC USD -3557850.00000000 -0.38831916677 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written N/A Option 1.00000000 17.21000000 USD 2021-01-27 XXXX -2598975.00000000 N N N DPL, Inc. C4T88WP756EM6RS6DL04 233293AP4 453000.00000000 PA USD 432559.65000000 0.047211434677 Long DBT CORP US Y 2 2029-04-15 Fixed 4.35000000 N N N N N N JSW Steel Ltd. 335800EK6HZSC4CVAJ09 ZS1337683 250000.00000000 PA USD 184983.71000000 0.020189923727 Long DBT CORP IN Y 2 2024-04-18 Fixed 5.95000000 N N N N N N HCA, Inc. L3CJ6J7LJ2DX62FTXD46 404119BR9 200000.00000000 PA USD 204749.00000000 0.022347193129 Long DBT CORP US N 2 2025-02-01 Fixed 5.37500000 N N N N N N Antero Resources Corp. APVBKPOULHUX7YZLKU17 03674XAC0 97000.00000000 PA USD 50957.98000000 0.005561774761 Long DBT CORP US N 2 2022-12-01 Fixed 5.12500000 N N N N N N Freddie Mac REMICs N/A 31395XLV5 60532.95000000 PA USD 102164.31000000 0.011150655517 Long ABS-APCP USGSE US N 2 2035-08-15 Floating 22.16634700 N N N N N N N/A N/A N/A 146250000.00000000 NC 9279.53000000 0.001012808116 N/A DIR N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A N/A 1.00000000 NC N/A N/A DIR 2049-12-31 0.00000000 EUR 0.00000000 EUR 146250000.00000000 EUR 1.00000000 0.61500000 EUR 2021-04-12 XXXX -155953.80000000 N N N Owens-Brockway Glass Container, Inc. V2UQUCDZJ9WY98W8QU33 690872AA4 225000.00000000 PA USD 228485.25000000 0.024937870314 Long DBT CORP US Y 2 2022-01-15 Fixed 5.00000000 N N N N N N Quatrim SASU 9695009HF8DZ2EWJAN45 ZQ3918138 100000.00000000 PA 107921.80000000 0.011779052925 Long DBT CORP FR Y 2 2024-01-15 Fixed 5.87500000 N N N N N N Boyd Gaming Corp. 254900787YGRYS2A1Z35 103304BM2 94000.00000000 PA USD 81831.70000000 0.008931466351 Long DBT CORP US N 2 2026-04-01 Fixed 6.37500000 N N N N N N Gray Television, Inc. 529900TM5726KDN7UU35 389375AJ5 205000.00000000 PA USD 198511.75000000 0.021666432636 Long DBT CORP US Y 2 2026-07-15 Fixed 5.87500000 N N N N N N Ginnie Mae 549300M8ZYFG0OCMTT87 36208LLZ8 10989.62000000 PA USD 12265.59000000 0.001338719644 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 7.00000000 N N N N N N N/A N/A N/A 300000000.00000000 NC USD 4911.00000000 0.000536007821 N/A DIR N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A N/A 1.00000000 NC USD N/A N/A DIR 2049-12-31 0.00000000 USD 0.00000000 USD 300000000.00000000 USD 1.00000000 2.25000000 USD 2020-05-29 XXXX -280089.00000000 N N N Credit Acceptance Auto Loan Trust N/A 22534UAE2 565000.00000000 PA USD 562650.39000000 0.061410101782 Long ABS-O CORP US Y 2 2026-10-15 Fixed 3.48000000 N N N N N N N/A N/A N/A 25000000.00000000 NC USD 2050.00000000 0.000223745883 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased N/A Option 1.00000000 62.22500000 USD 2020-04-29 XXXX -146500.00000000 N N N Teleflex, Inc. UUL85LWXB4NGSWWXIQ25 879369AE6 592000.00000000 PA USD 582257.16000000 0.063550069625 Long DBT CORP US N 2 2026-06-01 Fixed 4.87500000 N N N N N N CSC Holdings, LLC 3HG2WD2W22M120IUNG49 64072TAA3 319000.00000000 PA USD 345516.88000000 0.037711209563 Long DBT CORP US Y 2 2025-10-15 Fixed 10.87500000 N N N N N N Freddie Mac REMICs N/A 31392MW99 23823.48000000 PA USD 24256.94000000 0.002647507547 Long ABS-APCP USGSE US N 2 2032-02-15 Floating 1.70463000 N N N N N N Country Garden Holdings Co. Ltd. 549300MGHLPT1EFHGF84 N/A 1250000.00000000 PA USD 1187500.00000000 0.129608895973 Long DBT CORP KY Y 2 2022-07-25 Fixed 4.75000000 N N N N N N Virgin Media Secured Finance PLC 213800X3RLP4NOTPY579 92769XAP0 130000.00000000 PA USD 130721.50000000 0.014267510985 Long DBT CORP GB Y 2 2029-05-15 Fixed 5.50000000 N N N N N N N/A N/A N/A 1.00000000 NC 66380.70000000 0.007245077255 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2022-03-02 0.00000000 MXN 0.00000000 MXN 252500000.00000000 MXN 66380.70000000 N N N Kenan Advantage Group, Inc. (The) 549300GVUXCXDWYPIY65 67109EAA6 654000.00000000 PA USD 554670.48000000 0.060539139824 Long DBT CORP US Y 2 2023-07-31 Fixed 7.87500000 N N N N N N CarMax Auto Owner Trust N/A 14314AAG4 195000.00000000 PA USD 180648.76000000 0.019716788499 Long ABS-O CORP US N 2 2024-07-15 Fixed 3.37000000 N N N N N N American Airlines Group, Inc. SJOGX7XK2CIBGNSF4D44 02376RAC6 395000.00000000 PA USD 319456.25000000 0.034866839473 Long DBT CORP US Y 2 2022-06-01 Fixed 5.00000000 N N N N N N Reynolds Group Issuer, Inc./LLC N/A 761735AT6 315000.00000000 PA USD 314604.68000000 0.034337318099 Long DBT CORP US Y 2 2023-07-15 Fixed 5.12500000 N N N N N N Freddie Mac N/A 31297BTP7 15294.97000000 PA USD 17268.10000000 0.001884715264 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 7.00000000 N N N N N N Herc Holdings, Inc. 549300TP80QLITMSBP82 42704LAA2 423000.00000000 PA USD 396594.23000000 0.043286012884 Long DBT CORP US Y 2 2027-07-15 Fixed 5.50000000 N N N N N N Banco BTG Pactual S.A. ZXLTQRYIK6IJH3R0IK66 05971AAE1 823000.00000000 PA USD 724240.00000000 0.079046692059 Long DBT CORP BR Y 2 2025-01-10 Fixed 4.50000000 N N N N N N Freeport-McMoRan, Inc. 549300IRDTHJQ1PVET45 35671DAU9 20000.00000000 PA USD 19293.20000000 0.002105743454 Long DBT CORP US N 2 2022-03-01 Fixed 3.55000000 N N N N N N HCA, Inc. L3CJ6J7LJ2DX62FTXD46 404119BX6 739000.00000000 PA USD 746774.83000000 0.081506241058 Long DBT CORP US N 2 2029-06-15 Fixed 4.12500000 N N N N N N Lions Gate Capital Holdings LLC 549300MWJHNLR35C0837 53627NAA9 299000.00000000 PA USD 257305.95000000 0.028083486405 Long DBT CORP US Y 2 2024-11-01 Fixed 5.87500000 N N N N N N N/A N/A N/A -25000000.00000000 NC USD -748625.00000000 -0.08170817663 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written N/A Option 1.00000000 77.55000000 USD 2020-10-27 XXXX -475875.00000000 N N N Indonesia Treasury Bond 529900FWX0GRR7WG5W79 AU6526555 26000000000.00000000 PA 1644408.34000000 0.179477852191 Long DBT NUSS ID N 2 2024-05-15 Fixed 8.12500000 N N N N N N Freddie Mac REMICs N/A 3133TEPR9 7019.72000000 PA USD 824.35000000 0.000089973131 Long ABS-APCP USGSE US N 2 2028-07-17 Floating 7.89987000 N N N N N N N/A N/A N/A 1.00000000 NC 108277.71000000 0.011817898485 N/A DIR N/A N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Y 2022-01-31 0.00000000 INR 0.00000000 INR 210000000.00000000 INR 108277.71000000 N N N Quicken Loans, Inc. 549300FGXN1K3HLB1R50 74840LAA0 140000.00000000 PA USD 140175.70000000 0.015299383342 Long DBT CORP US Y 2 2025-05-01 Fixed 5.75000000 N N N N N N EnPro Industries, Inc. 549300Y5CFT2LKCFDN54 29355XAG2 913000.00000000 PA USD 896344.60000000 0.097830933910 Long DBT CORP US N 2 2026-10-15 Fixed 5.75000000 N N N N N N China Resources Land Ltd. 5299001HL0TU7X15HK51 ZQ8759503 1250000.00000000 PA USD 1233437.50000000 0.134622713791 Long DBT CORP KY Y 2 N/A Variable 3.75000000 N N N N N N Netflix, Inc. 549300Y7VHGU0I7CE873 64110LAT3 1707000.00000000 PA USD 1835963.85000000 0.200385050649 Long DBT CORP US N 2 2028-11-15 Fixed 5.87500000 N N N N N N N/A N/A N/A 36000000000.00000000 NC 33094.51000000 0.003612078234 N/A DIR N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A N/A 1.00000000 NC N/A N/A DIR 2049-12-31 0.00000000 KRW 0.00000000 KRW 36000000000.00000000 KRW 1.00000000 2.00000000 KRW 2020-08-28 XXXX -2534.33000000 N N N Southwestern Energy Co. EFWMP121W54QV9MGOP87 845467AL3 67000.00000000 PA USD 46124.14000000 0.005034188516 Long DBT CORP US N 2 2025-01-23 Fixed 6.20000000 N N N N N N AmeriCredit Automobile Receivables Trust N/A 03065GAG5 830000.00000000 PA USD 827316.11000000 0.090296865379 Long ABS-O CORP US N 2 2023-04-18 Fixed 3.42000000 N N N N N N Fannie Mae Connecticut Avenue Securities N/A 30711XAK0 686253.94000000 PA USD 635340.90000000 0.069343859045 Long ABS-MBS USGSE US N 2 2024-07-25 Floating 4.62675000 N N N N N N United Rentals North America, Inc. NGIZXNT70J2LYT3FBI09 911365BE3 1120000.00000000 PA USD 1142820.00000000 0.124732327155 Long DBT CORP US N 2 2026-09-15 Fixed 5.87500000 N N N N N N Occidental Petroleum Corp. IM7X0T3ECJW4C1T7ON55 674599CP8 900000.00000000 PA USD 642088.21000000 0.070080289697 Long DBT CORP US N 2 2022-08-15 Fixed 2.70000000 N N N N N N Argentine Republic Government International Bond 549300KPBYGYF7HCHO27 040114HK9 1476000.00000000 PA USD 435420.00000000 0.047523625671 Long DBT NUSS AR N 2 2022-01-26 Fixed 5.62500000 N N N N N N Everi Payments, Inc. 5493006Q4MDLHOY1JV70 30034VAB4 263000.00000000 PA USD 202179.94000000 0.022066794788 Long DBT CORP US Y 2 2025-12-15 Fixed 7.50000000 N N N N N N Navient Corp. 54930067J0ZNOEBRW338 63938CAD0 237000.00000000 PA USD 244524.75000000 0.026688490851 Long DBT CORP US N 2 2021-07-26 Fixed 6.62500000 N N N N N N WAMU Mortgage Pass-Through Certificates Trust N/A 92922FEB0 37515.53000000 PA USD 34314.38000000 0.003745220132 Long ABS-MBS CORP US N 2 2033-10-25 Variable 4.18339300 N N N N N N La Mondiale SAM 969500L0T16HX3R78P61 EK6494950 825000.00000000 PA 920640.94000000 0.100482741744 Long DBT CORP FR Y 2 N/A Variable 5.05000000 N N N N N N Albertsons Cos LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC N/A 013093AD1 143000.00000000 PA USD 144073.22000000 0.015724775565 Long DBT CORP US N 2 2025-03-15 Fixed 5.75000000 N N N N N N Freddie Mac STRIPS S6XOOCT0IEG5ABCC6L87 31282YCU1 18871.48000000 PA USD 3531.59000000 0.000385453036 Long ABS-APCP USGSE US N 2 2029-09-01 Fixed 7.00000000 N N N N N N Ginnie Mae 549300M8ZYFG0OCMTT87 36208T6S4 27663.55000000 PA USD 31253.37000000 0.003411128236 Long ABS-MBS USGA US N 2 2028-07-15 Fixed 7.00000000 N N N N N N Freddie Mac N/A 3137G0MD8 1980000.00000000 PA USD 1768698.76000000 0.193043447237 Long ABS-MBS USGSE US N 2 2029-07-25 Floating 4.87675000 N N N N N N L Brands, Inc. GR3KVMWVCR54YWQNXU90 501797AN4 115000.00000000 PA USD 88486.75000000 0.009657827348 Long DBT CORP US N 2 2028-02-01 Fixed 5.25000000 N N N N N N AMC Networks, Inc. 549300VGG9K75226LR46 00164VAE3 221000.00000000 PA USD 216304.86000000 0.023608449767 Long DBT CORP US N 2 2025-08-01 Fixed 4.75000000 N N N N N N N/A N/A N/A 1.00000000 NC 73823.50000000 0.008057416700 N/A DCR N/A N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 Deutsche Bank AG DEUTSCHE BANK AG Y The Fund makes or receives a payment if a defined credit event occurs with respect to the reference instrument 2021-12-20 0.00000000 EUR 25927.60000000 EUR 2500000.00000000 EUR 47895.90000000 N N N DT Auto Owner Trust 54930028PUXRRYF5WB25 23342LAG7 455334.39000000 PA USD 454337.94000000 0.049588411623 Long ABS-O CORP US Y 2 2023-07-17 Fixed 3.47000000 N N N N N N N/A N/A N/A 1.00000000 NC -133649.68000000 -0.01458710523 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2030-03-25 0.00000000 CAD 488.06000000 CAD 35500000.00000000 CAD -134137.74000000 N N N N/A N/A N/A 1.00000000 NC USD 519840.95000000 0.056737693988 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2030-05-18 0.00000000 USD 0.00000000 USD 72500000.00000000 USD 519840.95000000 N N N N/A N/A N/A -4800000.00000000 NC USD -593054.40000000 -0.06472852718 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Written N/A Option 1.00000000 16.30000000 USD 2020-12-08 XXXX -406204.80000000 N N N N/A N/A N/A -300000000.00000000 NC USD -60.00000000 -0.00000654866 N/A DIR N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A N/A N/A 1.00000000 NC USD N/A N/A DIR 2049-12-31 0.00000000 USD 0.00000000 USD 300000000.00000000 USD 1.00000000 1.61800000 USD 2020-11-27 XXXX 1139940.00000000 N N N Fannie Mae REMICs N/A 31397M4E4 422.70000000 PA USD 27.48000000 0.000002999286 Long ABS-APCP USGSE US N 2 2024-02-25 Floating 5.07325000 N N N N N N General Motors Financial Co., Inc. 5493008B6JBRUJ90QL97 37045XCP9 1135000.00000000 PA USD 1084109.13000000 0.118324368382 Long DBT CORP US N 2 2021-11-06 Fixed 4.20000000 N N N N N N Freddie Mac REMICs N/A 3137B2ZH6 82092.92000000 PA USD 82790.68000000 0.009036133584 Long ABS-APCP USGSE US N 2 2023-07-15 Fixed 1.50000000 N N N N N N Belo Corp. N/A 080555AE5 311000.00000000 PA USD 335775.66000000 0.036648010600 Long DBT CORP US N 2 2027-06-01 Fixed 7.75000000 N N N N N N Whiting Petroleum Corp. 52990028CHK9KUB1B293 966387BG6 831000.00000000 PA USD 62387.33000000 0.006809223548 Long DBT CORP US N 2 2026-01-15 None 6.62500000 N N N N N N Freddie Mac STRIPS S6XOOCT0IEG5ABCC6L87 31282YCE7 3116.84000000 PA USD 479.45000000 0.000052329250 Long ABS-APCP USGSE US N 2 2028-02-01 Fixed 6.50000000 N N N N N N N/A N/A N/A 1.00000000 NC 229042.73000000 0.024998716097 N/A DIR N/A N 2 Chicago Mercantile Exchange Inc SNZ2OJLFK8MNNCLQOF39 Y 2024-07-17 0.00000000 MXN 0.00000000 MXN 135555000.00000000 MXN 229042.73000000 N N N N/A N/A N/A 1.00000000 NC USD 124149.00000000 0.013550159853 N/A DCR N/A N 2 Intercontinental Exchange Inc 5493000F4ZO33MV32P92 Indonesia Government International Bond INDONESIA GOVERNMENT INTERNATIONAL BOND INDON 3.7 01/08/22 Y The Fund makes or receives a payment if a defined credit event occurs with respect to the reference instrument 2024-12-20 -12601.88000000 USD 0.00000000 USD 3000000.00000000 USD 136750.88000000 N N N Mexican Bonos 254900EGTWEU67VP6075 EH6834517 256700000.00000000 PA 11689548.28000000 1.275847955372 Long DBT NUSS MX N 2 2029-05-31 Fixed 8.50000000 N N N N N N TerraForm Power Operating, LLC 5493000S2OLR3UT5BE13 88104LAE3 43000.00000000 PA USD 45294.05000000 0.004943588896 Long DBT CORP US Y 2 2028-01-31 Fixed 5.00000000 N N N N N N Lithia Motors, Inc. SE8N1EZEHPZQBCBVKD53 536797AE3 189000.00000000 PA USD 171536.40000000 0.018722226040 Long DBT CORP US Y 2 2027-12-15 Fixed 4.62500000 N N N N N N Freddie Mac REMICs N/A 31394KL51 100246.13000000 PA USD 19212.22000000 0.002096904946 Long ABS-APCP USGSE US N 2 2033-10-15 Floating 6.34537000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307AH0 261000.00000000 PA USD 263282.45000000 0.028735787514 Long DBT CORP US N 2 2024-06-01 Fixed 5.25000000 N N N N N N N/A N/A N/A 1.00000000 NC USD -585858.36000000 -0.06394312019 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2030-05-18 0.00000000 USD 0.00000000 USD 7250000.00000000 USD -585858.36000000 N N N Fannie Mae N/A 01F022444 5285000.00000000 PA USD 5484219.77000000 0.598571511299 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 2.50000000 N N N N N N Virgin Media Bristol LLC 213800X3RLP4NOTPY579 92769XAM7 619000.00000000 PA USD 632597.88000000 0.069044473955 Long DBT CORP GB Y 2 2026-08-15 Fixed 5.50000000 N N N N N N N/A N/A N/A 1.00000000 NC -341071.18000000 -0.03722598660 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2022-01-03 0.00000000 BRL 0.00000000 BRL 152902025.06000000 BRL -341071.18000000 N N N Coriolanus DAC 2138007VV3P448DEQX41 21887JAR3 1042534.90000000 PA USD 1038281.13000000 0.113322501869 Long DBT CORP IE Y 2 2025-04-30 None 0.00000000 N N N N N N N/A N/A N/A -29450000.00000000 NC USD -61845.00000000 -0.00675003130 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written N/A N/A 1.00000000 62.81650000 USD 2021-03-08 XXXX 179173.80000000 N N N Fannie Mae REMICs N/A 31394EGT9 14090.84000000 PA USD 2511.70000000 0.000274137822 Long ABS-APCP USGSE US N 2 2031-10-25 Floating 5.07325000 N N N N N N Hawksmoor Mortgage Funding PLC 213800QGK28TOM7GHF98 BCC2KP4B0 4040000.00000000 PA 4799356.69000000 0.523822586927 Long ABS-MBS CORP GB Y 2 2053-05-25 Floating 2.81128700 N N N N N N COMM Mortgage Trust N/A 12592RBJ7 25000.00000000 PA USD 26023.73000000 0.002840342664 Long ABS-MBS CORP US N 2 2047-12-10 Fixed 3.98700000 N N N N N N N/A N/A N/A 1.00000000 NC 255808.30000000 0.027920026394 N/A DIR N/A N 2 Chicago Mercantile Exchange Inc SNZ2OJLFK8MNNCLQOF39 Y 2024-01-15 0.00000000 MXN 0.00000000 MXN 70450000.00000000 MXN 255808.30000000 N N N Connecticut Avenue Securities Trust N/A 20753KAB8 644841.11000000 PA USD 540367.50000000 0.058978050606 Long ABS-MBS USGSE US Y 2 2031-08-25 Floating 3.92675000 N N N N N N Marriott Ownership Resorts, Inc. BW4532OH033VURR0IT68 57164PAD8 1074000.00000000 PA USD 814674.65000000 0.088917121654 Long DBT CORP US Y 2 2028-01-15 Fixed 4.75000000 N N N N N N N/A N/A N/A 775.00000000 NS USD 0.01000000 0.000000001091 N/A DE N/A N 3 Affinion Group Inc T9OUIBIU0EIG4W07U515 Call Purchased Affinion Group Inc Affinion Group, Inc. 1.00000000 1.00000000 USD 2024-04-10 XXXX 0.00000000 N N N N/A N/A N/A -12000000.00000000 NC USD -1504680.00000000 -0.16422729565 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written N/A Option 1.00000000 15.83800000 USD 2020-07-07 XXXX -1297248.00000000 N N N PBF Holding Co. LLC / PBF Finance Corp. N/A 69318FAH1 326000.00000000 PA USD 221680.00000000 0.024195115839 Long DBT CORP US Y 2 2028-02-15 Fixed 6.00000000 N N N N N N N/A N/A N/A 1.00000000 NC -77046.79000000 -0.00840922053 N/A DCR N/A N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 MARKIT ITRX EUR XOVER 12/22 ITRX XOVER CDSI S28 5Y 1479940 N/A Y The Fund makes or receives a payment if a defined credit event occurs with respect to the reference instrument 2022-12-20 0.00000000 EUR 1853739.08000000 EUR 15000000.00000000 EUR -1930785.87000000 N N N N/A N/A N/A 1.00000000 NC 65165.00000000 0.007112390489 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2024-10-21 0.00000000 MXN 0.00000000 MXN 275000000.00000000 MXN 65165.00000000 N N N KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC N/A 48250NAB1 350000.00000000 PA USD 352161.25000000 0.038436404898 Long DBT CORP US Y 2 2026-06-01 Fixed 5.25000000 N N N N N N Builders FirstSource, Inc. 549300W0SKP6L3H7DP63 12008RAN7 136000.00000000 PA USD 123165.00000000 0.013442761829 Long DBT CORP US Y 2 2030-03-01 Fixed 5.00000000 N N N N N N Frontier Communications Corp. 549300ZCZ76HYCS0H445 35906AAZ1 105000.00000000 PA USD 28087.50000000 0.003065591465 Long DBT CORP US N 2 2025-09-15 Fixed 11.00000000 N N N N N N N/A N/A N/A 300000000.00000000 NC USD 2308833.00000000 0.251996038836 N/A DIR N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A N/A 1.00000000 NC USD N/A N/A DIR 2049-12-31 0.00000000 USD 0.00000000 USD 300000000.00000000 USD 1.00000000 0.70100000 USD 2020-09-04 XXXX 1198833.00000000 N N N Banco Santander S.A. 5493006QMFDDMYWIAM13 ZP3895189 600000.00000000 PA 498189.37000000 0.054374546721 Long DBT CORP ES Y 2 N/A Variable 4.37500000 N N N N Y Euro EUR XXXX N N N Calpine Corp. 43R4VPJBXTU2O15HEF41 131347CK0 367000.00000000 PA USD 351207.07000000 0.038332261558 Long DBT CORP US Y 2 2026-06-01 Fixed 5.25000000 N N N N N N N/A N/A N/A -25000000.00000000 NC USD -868150.00000000 -0.09475365308 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written N/A N/A 1.00000000 77.10000000 USD 2020-11-23 XXXX -645150.00000000 N N N N/A N/A N/A 1.00000000 NC USD 22928.25000000 0.002502488563 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2025-06-17 0.00000000 USD 0.00000000 USD 37500000.00000000 USD 22928.25000000 N N N AMC Entertainment Holdings, Inc. 549300ZO77UNR6NRBR11 00165AAH1 227000.00000000 PA USD 96759.89000000 0.010560793698 Long DBT CORP US N 2 2025-06-15 Fixed 5.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415YML0 31.25000000 PA USD 32.93000000 0.000003594122 Long ABS-MBS USGSE US N 2 2024-01-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411UZV6 2783.92000000 PA USD 2858.92000000 0.000312034917 Long ABS-MBS USGSE US N 2 2022-04-01 Fixed 5.50000000 N N N N N N EMC Corp. KDMDXRWU7UTJ30FC8R59 268648AQ5 103000.00000000 PA USD 102799.15000000 0.011219944706 Long DBT CORP US N 2 2020-06-01 Fixed 2.65000000 N N N N N N Muthoot Finance Ltd. 335800HAMJMBFL4RRF02 62828L2B8 2000000.00000000 PA USD 1579100.00000000 0.172349816953 Long DBT CORP IN Y 2 2023-09-02 Fixed 4.40000000 N N N N N N Kraft Heinz Foods Co. 5493003STKEZ2S0RNU91 50076QAE6 399000.00000000 PA USD 379930.92000000 0.041467307021 Long DBT CORP US N 2 2042-06-04 Fixed 5.00000000 N N N N N N Republic of South Africa Government Bond 378900AAFB4F17004C49 EJ2359143 89000000.00000000 PA 3737297.97000000 0.407904895846 Long DBT NUSS ZA N 2 2048-02-28 Fixed 8.75000000 N N N N N N N/A N/A N/A 25000000.00000000 NC USD 25.00000000 0.000002728608 N/A DFE N/A N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Put Purchased N/A Option 1.00000000 4.00000000 USD 2020-05-27 XXXX -236100.00000000 N N N N/A N/A N/A -9375000.00000000 NC -284908.91000000 -0.03109619307 N/A DIR N/A N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Written Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A N/A N/A 1.00000000 NC N/A N/A DIR 2049-12-31 0.00000000 EUR 0.00000000 EUR 9375000.00000000 EUR 1.00000000 0.03200000 EUR 2021-11-25 XXXX -126625.83000000 N N N Logan Property Holdings Co. Ltd. 549300NJ0E6Q0S1VOG90 AX3064588 565000.00000000 PA USD 546612.02000000 0.059659604579 Long DBT CORP KY Y 2 2022-08-25 Fixed 7.50000000 N N N N N N Rede D'or Finance S.a.r.l. 549300FDE772OLJUCP79 75735GAA6 905000.00000000 PA USD 789838.75000000 0.086206423903 Long DBT CORP LU Y 2 2030-01-22 Fixed 4.50000000 N N N N N N Triumph Group, Inc. 5493007L6S47Q14SL582 896818AP6 586000.00000000 PA USD 421184.57000000 0.045969909152 Long DBT CORP US N 2 2025-08-15 Fixed 7.75000000 N N N N N N Novo Banco S.A. 5493009W2E2YDCXY6S81 EK4251642 500000.00000000 PA 470447.26000000 0.051346652616 Long DBT CORP PT Y 2 2043-03-18 Fixed 3.50000000 N N N N N N N/A N/A N/A 146000000.00000000 NC 8977.05000000 0.000979794138 N/A DIR N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A N/A 1.00000000 NC N/A N/A DIR 2049-12-31 0.00000000 EUR 0.00000000 EUR 146000000.00000000 EUR 1.00000000 0.60750000 EUR 2021-04-06 XXXX -173154.18000000 N N N GLP Capital LP/GLP Financing II, Inc. N/A 361841AF6 563000.00000000 PA USD 518038.82000000 0.056541001711 Long DBT CORP US N 2 2023-11-01 Fixed 5.37500000 N N N N N N Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 ZQ3492860 600000.00000000 PA USD 521598.00000000 0.056929466039 Long DBT CORP SE Y 2 N/A Variable 5.12500000 N N N N Y United States Dollar USD XXXX N N N EnLink Midstream Partners L.P. 88CPW63VL7KHJWS0NY83 29336UAB3 53000.00000000 PA USD 27145.01000000 0.002962724022 Long DBT CORP US N 2 2024-04-01 Fixed 4.40000000 N N N N N N Fannie Mae Interest STRIPS B1V7KEBTPIMZEU4LTD58 3136FAKM1 31045.16000000 PA USD 7395.87000000 0.000807217301 Long ABS-APCP USGSE US N 2 2032-04-25 Fixed 6.50000000 N N N N N N N/A N/A N/A -25000000.00000000 NC USD -103225.00000000 -0.01126642382 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written N/A Option 1.00000000 18.40000000 USD 2022-01-06 XXXX 121375.00000000 N N N Boise Cascade Co. 549300Z8B8LSRHC7XA55 09739DAC4 692000.00000000 PA USD 661721.54000000 0.072223156413 Long DBT CORP US Y 2 2024-09-01 Fixed 5.62500000 N N N N N N Invesco Oppenheimer Ultra-Short Duration Fund 549300IZLZQDVLVQJD07 001421148 2533041.92700000 NS USD 12639879.22000000 1.379571192377 Long EC RF US N 1 N N N Global Bank Corp. 5493005ROG3FS85TE513 37954JAC0 1575000.00000000 PA USD 1535625.00000000 0.167604767056 Long DBT CORP PA Y 2 2029-04-16 Variable 5.25000000 N N N N N N ENN Clean Energy International Investment Ltd. 3003009YZ3S5V395NR77 AX3286959 1250000.00000000 PA USD 1164078.68000000 0.127052591614 Long DBT CORP VG Y 2 2021-02-27 Fixed 7.50000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 EK4835634 1985000.00000000 PA 1946256.75000000 0.212422895704 Long DBT CORP GB Y 2 N/A Variable 5.25000000 N N N N Y Euro EUR XXXX N N N Indian Government International Bond N/A EG2045466 215000000.00000000 PA 3114819.65000000 0.339964914521 Long DBT NUSS IN N 2 2027-02-15 Fixed 8.24000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 1645325.69000000 0.179577975746 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2025-03-03 0.00000000 USD 0.00000000 USD 68750000.00000000 USD 1645325.69000000 N N N Fannie Mae Connecticut Avenue Securities N/A 30711XR63 733920.88000000 PA USD 609652.22000000 0.066540085189 Long ABS-MBS USGSE US N 2 2030-12-25 Floating 4.17675000 N N N N N N McDermott Technology Americas Inc. / McDermott Technology US Inc. N/A 58003XAA0 1470000.00000000 PA USD 71662.50000000 0.007821555795 Long DBT CORP US Y 2 2049-12-31 None 10.62500000 N N N N N N Argentine Republic Government International Bond 549300KPBYGYF7HCHO27 040114GX2 5196000.00000000 PA USD 1467921.96000000 0.160215363883 Long DBT NUSS AR N 2 2026-04-22 Fixed 7.50000000 N N N N N N Albertsons Cos. LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC N/A 013092AA9 235000.00000000 PA USD 254604.17000000 0.027788602428 Long DBT CORP US Y 2 2026-03-15 Fixed 7.50000000 N N N N N N Fannie Mae Interest STRIPS B1V7KEBTPIMZEU4LTD58 3136FA2H2 272123.34000000 PA USD 55441.02000000 0.006051073173 Long ABS-APCP USGSE US N 2 2033-10-25 Variable 6.00000000 N N N N N N Freddie Mac Multifamily Connecticut Avenue Securities Trust 549300HG8ZEWVWVSN227 62547NAB5 133000.00000000 PA USD 94614.94000000 0.010326684560 Long ABS-APCP USGSE US Y 2 2049-10-15 Floating 4.87675000 N N N N N N Logan Property Holdings Co. Ltd. 549300NJ0E6Q0S1VOG90 AS2765913 1365000.00000000 PA USD 1343842.50000000 0.146672793926 Long DBT CORP KY Y 2 2021-04-24 Fixed 6.87500000 N N N N N N Piraeus Bank S.A. M6AD1Y1KW32H8THQ6F76 AZ2271502 250000.00000000 PA 181978.40000000 0.019861911170 Long DBT CORP GR Y 2 2029-06-26 Variable 9.75000000 N N N N N N N/A N/A N/A 12000000.00000000 NC USD 8964.00000000 0.000978369805 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased N/A Option 1.00000000 14.27500000 USD 2020-07-07 XXXX -317760.00000000 N N N Argentina Treasury Bill 549300KPBYGYF7HCHO27 AZ6534863 166600000.00000000 PA 2007130.24000000 0.219066892195 Long DBT NUSS AR N 2 2020-08-27 None 0.00000000 N N N N N N Enviva Partners L.P. / Enviva Partners Finance Corp. N/A 29413XAD9 375000.00000000 PA USD 368437.50000000 0.040212865356 Long DBT CORP US Y 2 2026-01-15 Fixed 6.50000000 N N N N N N Fannie Mae REMICs N/A 31392AZY7 5533.04000000 PA USD 1125.91000000 0.000122886696 Long ABS-APCP USGSE US N 2 2031-11-25 Floating 6.27325000 N N N N N N Federal National Mortgage Association N/A 01F032641 27235000.00000000 PA USD 28812714.83000000 3.144744555056 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 3.50000000 N N N N N N CCO Holdings LLC/CCO Holdings Capital Corp. N/A 1248EPBX0 251000.00000000 PA USD 253399.56000000 0.027657126073 Long DBT CORP US Y 2 2028-02-01 Fixed 5.00000000 N N N N N N VTR Finance B.V. 213800F4XI4RJB82XM19 918370AB3 734000.00000000 PA USD 670688.83000000 0.073201885303 Long DBT CORP NL Y 2 2024-01-15 Fixed 6.87500000 N N N N N N Islamic Republic of Pakistan Bond 529900LOP29R5WKHOD86 695847AK9 1096000.00000000 PA USD 975056.40000000 0.106421880855 Long DBT NUSS PK Y 2 2024-04-15 Fixed 8.25000000 N N N N N N Freddie Mac REMICs N/A 31392X3Q9 21197.01000000 PA USD 21582.69000000 0.002355628314 Long ABS-APCP USGSE US N 2 2032-02-15 Floating 1.70463000 N N N N N N Element Solutions Inc. 549300FLGN6P5CU20J91 72766QAD7 490000.00000000 PA USD 483860.30000000 0.052810609927 Long DBT CORP US Y 2 2025-12-01 Fixed 5.87500000 N N N N N N CIT Group, Inc. N8O96ZZJQRFYQUJY7K79 125581GQ5 116000.00000000 PA USD 113972.44000000 0.012439445995 Long DBT CORP US N 2 2022-08-15 Fixed 5.00000000 N N N N N N N/A N/A N/A 1.00000000 NC 124192.00000000 0.013554853060 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2022-02-21 0.00000000 HUF 0.00000000 HUF 5905000000.00000000 HUF 124192.00000000 N N N Freddie Mac REMICs N/A 31392PU94 95564.00000000 PA USD 95604.82000000 0.010434724353 Long ABS-APCP USGSE US N 2 2031-06-15 Floating 1.25463000 N N N N N N N/A N/A N/A 176.00000000 NC 1176114.29000000 0.128366210245 N/A DIR N/A N 1 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Long Italy Buoni Poliennali Del Tesoro Italy Buoni Poliennali Del Tesoro 2020-06-08 26616063.42000000 USD 1176114.29000000 N N N Suburban Propane Partners,L.P. / Suburban Energy Finance Corp. N/A 864486AK1 274000.00000000 PA USD 254763.15000000 0.027805954194 Long DBT CORP US N 2 2027-03-01 Fixed 5.87500000 N N N N N N N/A N/A N/A 1.00000000 NC -50361.16000000 -0.00549663524 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2025-03-25 0.00000000 CAD 904.05000000 CAD 51500000.00000000 CAD -51265.21000000 N N N Cemex S.A.B. de C.V. 549300RIG2CXWN6IV731 151290BU6 1250000.00000000 PA USD 1125700.00000000 0.122863776166 Long DBT CORP MX Y 2 2026-04-16 Fixed 7.75000000 N N N N N N N/A N/A N/A 1.00000000 NC -107661.40000000 -0.01175063174 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2025-01-02 0.00000000 BRL 0.00000000 BRL 21886801.74000000 BRL -107661.40000000 N N N AMC Networks, Inc. 549300VGG9K75226LR46 00164VAD5 872000.00000000 PA USD 841480.00000000 0.091842773712 Long DBT CORP US N 2 2024-04-01 Fixed 5.00000000 N N N N N N N/A N/A N/A 75000000.00000000 NC USD 13851.75000000 0.001511840020 N/A DIR N/A N 2 Nomura Global Financial Products Inc. 0Z3VO5H2G7GRS05BHJ91 Put Purchased Nomura Global Financial Products Inc. 0Z3VO5H2G7GRS05BHJ91 N/A N/A N/A 1.00000000 NC USD N/A N/A DIR 2049-12-31 0.00000000 USD 0.00000000 USD 75000000.00000000 USD 1.00000000 1.85000000 USD 2020-06-15 XXXX -1186148.25000000 N N N Station Casinos LLC 5493004E7Q60TX54WL62 857691AG4 222000.00000000 PA USD 181485.00000000 0.019808059356 Long DBT CORP US Y 2 2028-02-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403DPW3 17.14000000 PA USD 18.06000000 0.000001971146 Long ABS-MBS USGSE US N 2 2021-03-01 Fixed 5.00000000 N N N N N N Angolan Government International Bond 549300QHR2R3J8JSGK83 035198AE0 500000.00000000 PA USD 202840.00000000 0.022138836597 Long DBT NUSS AO Y 2 2049-11-26 Fixed 9.12500000 N N N N N N N/A N/A N/A -12500000.00000000 NC USD -32337.50000000 -0.00352945488 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written N/A N/A 1.00000000 18.57000000 USD 2021-03-04 XXXX 67393.13000000 N N N Mexican Bonos 254900EGTWEU67VP6075 QJ1649335 24445000.00000000 PA 974708.63000000 0.106383923731 Long DBT NUSS MX N 2 2026-03-05 Fixed 5.75000000 N N N N N N ArcelorMittal S.A. 2EULGUTUI56JI9SAL165 03938LBB9 2500000.00000000 PA USD 2283471.98000000 0.249228027212 Long DBT CORP LU N 2 2024-07-16 Fixed 3.60000000 N N N N N N Iron Mountain, Inc. SQL3F6CKNNBM3SQGHX24 46284VAF8 370000.00000000 PA USD 350148.58000000 0.038216733373 Long DBT CORP US Y 2 2029-09-15 Fixed 4.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410KQD9 109971.27000000 PA USD 125517.52000000 0.013699526056 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 6.50000000 N N N N N N Freddie Mac N/A 3128CUHH2 3820.07000000 PA USD 3881.12000000 0.000423602255 Long ABS-MBS USGSE US N 2 2022-11-01 Fixed 6.50000000 N N N N N N Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. N/A 03969AAN0 580000.00000000 PA USD 580360.76000000 0.063343088311 Long DBT CORP XX Y 2 2026-08-15 Fixed 4.12500000 N N N N N N Russian Federal Bond - OFZ 5493004EHVGF71PDBU58 AR4281549 537500000.00000000 PA 7155614.18000000 0.780994740114 Long DBT NUSS RU N 2 2034-05-10 Fixed 7.25000000 N N N N N N Springleaf Finance Corp. 5493008I795YYBFWFU90 85172FAM1 653000.00000000 PA USD 662527.27000000 0.072311097277 Long DBT CORP US N 2 2025-03-15 Fixed 6.87500000 N N N N N N DT Auto Owner Trust N/A 23341LAJ2 415000.00000000 PA USD 417946.83000000 0.045616528178 Long ABS-O CORP US Y 2 2024-02-15 Fixed 5.79000000 N N N N N N Deutsche Mortgage Securities, Inc. 529900RSBMUF46QF5O69 25158MAB4 2778949.56000000 PA USD 2667552.31000000 0.291148218822 Long ABS-MBS CORP US Y 2 2036-07-22 Floating 1.86700000 N N N N N N N/A N/A N/A -224000000.00000000 NC USD -2.24000000 -0.00000024448 N/A DIR N/A N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Put Written Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A N/A N/A 1.00000000 NC USD N/A N/A DIR 2049-12-31 0.00000000 USD 0.00000000 USD 224000000.00000000 USD 1.00000000 1.53000000 USD 2020-08-17 XXXX 821933.76000000 N N N Fannie Mae REMICs N/A 31392JDD8 93354.29000000 PA USD 21348.03000000 0.002330016504 Long ABS-APCP USGSE US N 2 2033-03-25 Fixed 7.00000000 N N N N N N Invesco Oppenheimer Limited-Term Bond Fund 5493001LZCS2IL5SCB19 001422872 2165.97300000 NS USD 9508.62000000 0.001037811991 Long EC RF US N 1 N N N MGM Resorts International 54930066VBP7DZEGGJ87 552953CC3 1141000.00000000 PA USD 1108201.96000000 0.120953964254 Long DBT CORP US N 2 2023-03-15 Fixed 6.00000000 N N N N N N Perusahaan Perseroan PT Perusahaan Listrik Negara 254900OYVDRYS9J51J61 71568PAC3 2045000.00000000 PA USD 1988062.09000000 0.216985711673 Long DBT CORP ID Y 2 2027-05-15 Fixed 4.12500000 N N N N N N Hudbay Minerals, Inc. 549300WI524AL577IX21 443628AG7 535000.00000000 PA USD 468796.43000000 0.051166473876 Long DBT CORP CA Y 2 2025-01-15 Fixed 7.62500000 N N N N N N Nationstar Mortgage Holdings, Inc. N/A 63861CAA7 116000.00000000 PA USD 99252.50000000 0.010832847955 Long DBT CORP US Y 2 2027-01-15 Fixed 6.00000000 N N N N N N Citigroup Commercial Mortgage Trust N/A 17322MAX4 224247.74000000 PA USD 231137.51000000 0.025227349464 Long ABS-MBS CORP US N 2 2047-05-10 Fixed 3.47700000 N N N N N N Hughes Satellite Systems Corp. N/A 444454AD4 327000.00000000 PA USD 326523.40000000 0.035638178849 Long DBT CORP US N 2 2026-08-01 Fixed 5.25000000 N N N N N N Brazil Notas do Tesouro Nacional 254900ZFY40OYEADAP90 AQ6084745 4500000.00000000 PA 987994.41000000 0.107833991333 Long DBT NUSS BR N 2 2029-01-01 Fixed 10.00000000 N N N N N N China Evergrande Group 549300CUF7B1LAB15T90 ZS0897661 375000.00000000 PA USD 285008.49000000 0.031107061669 Long DBT CORP KY Y 2 2023-04-11 Fixed 10.00000000 N N N N N N Alhambra SME Funding 635400YAJGI5TGJENW90 BCC2KKGS1 625000.00000000 PA 670121.00000000 0.073139909877 Long ABS-CBDO CORP IE Y 2 2028-11-30 Floating 2.50000000 N N N N N N N/A N/A N/A 1.00000000 NC 45850.75000000 0.005004349547 N/A DIR N/A N 2 Chicago Mercantile Exchange Inc SNZ2OJLFK8MNNCLQOF39 Y 2022-07-01 0.00000000 BRL 0.00000000 BRL 424218058.20000000 BRL 45850.75000000 N N N Fannie Mae Interest STRIPS B1V7KEBTPIMZEU4LTD58 31364HVU8 3878.04000000 PA USD 318.90000000 0.000034806127 Long ABS-APCP USGSE US N 2 2023-05-25 Fixed 7.50000000 N N N N N N Micron Technology, Inc. B3DXGBC8GAIYWI2Z0172 595112BQ5 639000.00000000 PA USD 670033.95000000 0.073130408862 Long DBT CORP US N 2 2030-02-15 Fixed 4.66300000 N N N N N N GS Mortgage Securities Trust 549300SSCQUZ3RRV2T53 36197XAL8 58871.06000000 PA USD 59289.65000000 0.006471129329 Long ABS-MBS CORP US N 2 2046-06-10 Fixed 2.67800000 N N N N N N N/A N/A N/A 1.00000000 NC 1303199.03000000 0.142236789484 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2022-01-30 0.00000000 CAD 680.97000000 CAD 101250000.00000000 CAD 1302518.06000000 N N N N/A N/A N/A 1.00000000 NC 355432.98000000 0.038793495688 N/A DCR N/A N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Deutsche Bank AG DEUTSCHE BANK AG Y The Fund makes or receives a payment if a defined credit event occurs with respect to the reference instrument 2024-12-20 0.00000000 EUR 73488.90000000 EUR 1875000.00000000 EUR 281944.08000000 N N N Claire's Stores, Inc. N/A N/A 71.00000000 NS USD 12425.00000000 0.001356118343 Long EP CORP US N 2 N N N CarMax Auto Owner Trust N/A 14314JAG5 630000.00000000 PA USD 633643.16000000 0.069158560344 Long ABS-O CORP US N 2 2023-07-17 Fixed 3.43000000 N N N N N N Aramark Services, Inc. 42YMHYH0XMHJEXDUB065 038522AN8 183000.00000000 PA USD 173715.95000000 0.018960111572 Long DBT CORP US N 2 2026-06-01 Fixed 4.75000000 N N N N N N Clear Channel Worldwide Holdings, Inc. N/A 18453H106 46536.00000000 NS USD 29783.04000000 0.003250650048 Long EC CORP US N 1 N N N Gray Television, Inc. 529900TM5726KDN7UU35 389375AK2 215000.00000000 PA USD 209088.58000000 0.022820833696 Long DBT CORP US Y 2 2024-10-15 Fixed 5.12500000 N N N N N N Dell Equipment Finance Trust 549300CHGEQ6XHCQGX20 24704BAJ3 270000.00000000 PA USD 270778.65000000 0.029553955267 Long ABS-O CORP US Y 2 2024-03-22 Fixed 3.14000000 N N N N N N FREMF Mortgage Trust N/A 30292PAE8 4646000.00000000 PA USD 4598370.14000000 0.501886043894 Long ABS-APCP USGSE US Y 2 2048-04-25 Variable 3.71340000 N N N N N N Petrobras Global Finance B.V. 549300FNENFFSMO3GT38 71647NAZ2 948000.00000000 PA USD 899225.40000000 0.098145356905 Long DBT CORP NL N 2 2029-02-01 Fixed 5.75000000 N N N N N N Banco Votorantim S.A. X2EUTZGMHS8RBQFIUS93 05967CAE3 1200000.00000000 PA USD 1083612.00000000 0.118270109460 Long DBT CORP BR Y 2 2024-09-24 Fixed 4.50000000 N N N N N N Altice France S.A. 5493001ZMCICV4N02J21 67054KAA7 487000.00000000 PA USD 494572.85000000 0.053979824056 Long DBT CORP FR Y 2 2026-05-01 Fixed 7.37500000 N N N N N N Wells Fargo Commercial Mortgage Trust N/A 95001GAG8 2781479.04000000 PA USD 155212.93000000 0.016940611787 Long ABS-MBS CORP US N 2 2050-12-15 Variable 0.88947800 N N N N N N Olin Corp. 549300GKK294V7W57P06 680665AL0 943000.00000000 PA USD 873029.40000000 0.095286211946 Long DBT CORP US N 2 2029-08-01 Fixed 5.62500000 N N N N N N Ghana Government International Bond 213800PP4399SNNXZ126 37443GAC5 1250000.00000000 PA USD 888452.50000000 0.096969555916 Long DBT NUSS GH Y 2 2051-03-26 Fixed 8.95000000 N N N N N N N/A N/A N/A 1.00000000 NC -202069.25000000 -0.02205471360 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2021-01-04 0.00000000 BRL 0.00000000 BRL 122273180.84000000 BRL -202069.25000000 N N N N/A N/A N/A 1.00000000 NC 132805.75000000 0.014494995062 N/A DIR N/A N 2 Chicago Mercantile Exchange Inc SNZ2OJLFK8MNNCLQOF39 Y 2026-08-26 0.00000000 COP 0.00000000 COP 12803000000.00000000 COP 132805.75000000 N N N Navistar Financial Dealer Note Master Trust 549300S28N49H5RT4J50 63938PBL2 255000.00000000 PA USD 248028.78000000 0.027070935869 Long ABS-O CORP US Y 2 2024-05-25 Floating 3.07675000 N N N N N N AmWINS Group, Inc. 549300SJE7MUB8NMRG61 031921AA7 189000.00000000 PA USD 186124.84000000 0.020314471600 Long DBT CORP US Y 2 2026-07-01 Fixed 7.75000000 N N N N N N N/A N/A N/A 25000000.00000000 NC USD 268025.00000000 0.029253409973 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Purchased N/A Option 1.00000000 20.10000000 USD 2022-01-06 XXXX -579475.00000000 N N N Fannie Mae REMICs N/A 31393AHE0 66013.82000000 PA USD 16261.16000000 0.001774813469 Long ABS-APCP USGSE US N 2 2033-04-25 Fixed 7.00000000 N N N N N N Exeter Automobile Receivables Trust N/A 30167GAG5 2730000.00000000 PA USD 2593190.42000000 0.283032039904 Long ABS-O CORP US Y 2 2025-09-15 Fixed 2.58000000 N N N N N N Fannie Mae REMICs N/A 31392ATX6 7053.10000000 PA USD 1295.79000000 0.000141428135 Long ABS-APCP USGSE US N 2 2031-12-18 Floating 6.24150000 N N N N N N Waste Pro USA, Inc. 549300BY1QXU5BI3UF28 94107JAA1 433000.00000000 PA USD 404754.33000000 0.044176641559 Long DBT CORP US Y 2 2026-02-15 Fixed 5.50000000 N N N N N N Bombardier, Inc. W7L3VLU8EHQY34Z36697 097751BM2 228000.00000000 PA USD 159600.00000000 0.017419435618 Long DBT CORP CA Y 2 2025-03-15 Fixed 7.50000000 N N N N N N Fannie Mae Interest STRIPS B1V7KEBTPIMZEU4LTD58 3136FAHB9 102664.05000000 PA USD 19330.89000000 0.002109857104 Long ABS-APCP USGSE US N 2 2032-02-25 Fixed 6.50000000 N N N N N N N/A N/A N/A 18750000.00000000 NC USD 9768.75000000 0.001066203707 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased N/A N/A 1.00000000 71.75000000 USD 2020-04-29 XXXX -143118.75000000 N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 EK1728840 1400000.00000000 PA 1126718.51000000 0.122974940761 Long DBT CORP MX Y 2 2026-04-16 Fixed 3.75000000 N N N N N N Residential Asset Securitization Trust N/A 45660LPH6 1450164.55000000 PA USD 1231118.79000000 0.134369639734 Long ABS-MBS CORP US N 2 2035-06-25 Fixed 6.00000000 N N N N N N L Brands, Inc. GR3KVMWVCR54YWQNXU90 501797AL8 1152000.00000000 PA USD 858614.40000000 0.093712896380 Long DBT CORP US N 2 2035-11-01 Fixed 6.87500000 N N N N N N Claire's Stores, Inc. N/A 17958DAL1 72788.23000000 PA USD 61324.08000000 0.006693175836 Long LON CORP US Y 2 2026-12-18 Floating 8.42075000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402QYV7 15878.59000000 PA USD 17982.28000000 0.001962663964 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.50000000 N N N N N N AT&T, Inc. 549300Z40J86GGSTL398 ZP9910362 700000.00000000 PA 687878.36000000 0.075078025098 Long DBT CORP US N 2 N/A Variable 2.87500000 N N N N N N MGM Growth Properties Operating Partnership L.P. / MGP Finance Co-Issuer, Inc. N/A 55303XAJ4 105000.00000000 PA USD 91743.75000000 0.010013310442 Long DBT CORP US N 2 2027-02-01 Fixed 5.75000000 N N N N N N VEON Holdings B.V. 5493000XDKGUH5NQGE22 92334VAA3 895000.00000000 PA USD 853606.25000000 0.093166285186 Long DBT CORP NL Y 2 2025-04-09 Fixed 4.00000000 N N N N N N Alhambra SME Funding 635400YAJGI5TGJENW90 BCC2KKGR3 5000000.00000000 PA 5442841.69000000 0.594055328338 Long ABS-CBDO CORP IE Y 2 2028-11-30 Floating 2.00000000 N N N N N N CSN Resources S.A. 222100ZEX458NMOXZP08 12644VAB4 1210000.00000000 PA USD 848518.55000000 0.092610991561 Long DBT CORP LU Y 2 2023-02-13 Fixed 7.62500000 N N N N N N Societe Generale S.A. O2RNE8IBXP4R0TD8PU41 UV9578161 625000.00000000 PA USD 572309.38000000 0.062464325808 Long DBT CORP FR Y 2 N/A Variable 8.00000000 N N N N Y United States Dollar USD XXXX N N N N/A N/A N/A -12000000.00000000 NC USD -3672.00000000 -0.00040077799 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written N/A Option 1.00000000 13.32300000 USD 2020-07-07 XXXX 80484.00000000 N N N N/A N/A N/A 1.00000000 NC -255319.78000000 -0.02786670720 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2022-02-27 0.00000000 INR 0.00000000 INR 1500000000.00000000 INR -255319.78000000 N N N AmeriCredit Automobile Receivables Trust N/A 03066NAG9 1550000.00000000 PA USD 1470421.92000000 0.160488220351 Long ABS-O CORP US N 2 2025-09-18 Fixed 2.58000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 79174.37000000 0.008641433840 N/A DCR N/A N 2 Intercontinental Exchange Inc 5493000F4ZO33MV32P92 Republic of South Africa Government International Bond Republic of South Africa Government International Bond Y The Fund makes or receives a payment if a defined credit event occurs with respect to the reference instrument 2024-12-20 0.00000000 USD 24532.67000000 USD 625000.00000000 USD 54641.70000000 N N N Prime Security Services Borrower LLC N/A 74166MAC0 437000.00000000 PA USD 430716.81000000 0.047010299133 Long DBT CORP US Y 2 2026-04-15 Fixed 5.75000000 N N N N N N GEMS MENASA Cayman Ltd. / GEMS Education Delaware LLC N/A 36166LAA5 815000.00000000 PA USD 682974.08000000 0.074542750726 Long DBT CORP XX Y 2 2026-07-31 Fixed 7.12500000 N N N N N N N/A N/A N/A 45000000.00000000 NC USD 28236.15000000 0.003081815770 N/A DIR N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A N/A 1.00000000 NC USD N/A N/A DIR 2049-12-31 0.00000000 USD 0.00000000 USD 45000000.00000000 USD 1.00000000 2.26625000 USD 2020-12-02 XXXX -363263.85000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31401NXS3 3623.97000000 PA USD 4187.98000000 0.000457094285 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 7.00000000 N N N N N N N/A N/A N/A 29450000.00000000 NC USD 178290.30000000 0.019459375954 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased N/A N/A 1.00000000 67.98950000 USD 2021-03-08 XXXX -740991.45000000 N N N OI European Group B.V. 72450053F5WRDY8CDZ66 67777LAC7 442000.00000000 PA USD 423765.29000000 0.046251580117 Long DBT CORP NL Y 2 2023-03-15 Fixed 4.00000000 N N N N N N N/A N/A N/A 1.00000000 NC -162495.53000000 -0.01773546631 N/A DIR N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Y 2021-10-25 0.00000000 RUB 0.00000000 RUB 2170000000.00000000 RUB -162495.53000000 N N N American Credit Acceptance Receivables Trust N/A 02529NAE7 1835000.00000000 PA USD 1819155.88000000 0.198550555967 Long ABS-O CORP US Y 2 2025-09-12 Fixed 2.76000000 N N N N N N N/A N/A N/A 1.00000000 NC -118935.32000000 -0.01298111622 N/A DIR N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Y 2025-02-28 0.00000000 RUB 0.00000000 RUB 287500000.00000000 RUB -118935.32000000 N N N Towd Point Mortgage Funding 635400655NWVVZHH1395 BCC2J58U0 3700000.00000000 PA 4305469.84000000 0.469917635883 Long ABS-MBS CORP GB Y 2 2051-10-20 Floating 2.45013000 N N N N N N N/A N/A N/A 1.00000000 NC USD 203445.11000000 0.022204880924 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2022-03-11 0.00000000 USD 0.00000000 USD 78750000.00000000 USD 203445.11000000 N N N Countrywide Home Equity Loan Trust N/A 126686AB0 14167.38000000 PA USD 10124.72000000 0.001105055815 Long ABS-MBS CORP US N 2 2036-11-15 Floating 1.80850000 N N N N N N Centene Corp. 549300Z7JJ4TQSQGT333 15137TAA8 844000.00000000 PA USD 874097.04000000 0.095402738802 Long DBT CORP US Y 2 2026-06-01 Fixed 5.37500000 N N N N N N Freddie Mac 549300RWLR7W4OBRM426 35564RAK0 745000.00000000 PA USD 633091.02000000 0.069098297392 Long ABS-MBS USGSE US Y 2 2049-02-25 Floating 3.02675000 N N N N N N Neiman Marcus Group, Inc. 549300VXED5TMJSBCI17 64021SAE9 501.76000000 PA USD 195.69000000 0.000021358454 Long LON CORP US Y 2 2023-10-25 Floating 7.00000000 N N Y N N N Whiting Petroleum Corp. 52990028CHK9KUB1B293 966387AH5 410000.00000000 PA USD 30319.50000000 0.003309201618 Long DBT CORP US N 2 2021-03-15 None 5.75000000 N N N N N N N/A N/A N/A 75000000.00000000 NC USD 9350.25000000 0.001020526803 N/A DIR N/A N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Put Purchased Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A N/A N/A 1.00000000 NC USD N/A N/A DIR 2049-12-31 0.00000000 USD 0.00000000 USD 75000000.00000000 USD 1.00000000 2.50000000 USD 2020-08-26 XXXX -178149.75000000 N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 UV9268987 1250000.00000000 PA 1292170.74000000 0.141033114123 Long DBT CORP GB Y 2 N/A Variable 6.00000000 N N N N Y Euro EUR XXXX N N N Fannie Mae REMICs N/A 3136A1QW8 116981.54000000 PA USD 24016.11000000 0.002621222318 Long ABS-APCP USGSE US N 2 2041-10-25 Floating 4.92325000 N N N N N N R.R. Donnelley & Sons Co. SU4X0P4WWRGOQDTSV032 74978DAA2 158000.00000000 PA USD 161349.60000000 0.017610394544 Long DBT CORP US N 2 2021-03-15 Fixed 7.87500000 N N N N N N Republic of South Africa Government Bond 378900AAFB4F17004C49 CP5073947 25000000.00000000 PA 1427511.11000000 0.155804748595 Long DBT NUSS ZA N 2 2026-12-21 Fixed 10.50000000 N N N N N N Spectrum Brands, Inc. 549300VU3EH2E73C1Q04 84762LAS4 231000.00000000 PA USD 222625.10000000 0.024298268149 Long DBT CORP US N 2 2024-12-15 Fixed 6.12500000 N N N N N N N/A N/A N/A -15100000.00000000 NC -1497374.77000000 -0.16342997119 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written N/A Option 1.00000000 19.05000000 EUR 2020-12-08 XXXX -1047377.04000000 N N N Mattamy Group Corp. 5493008TNY7A82WCXU31 57701RAJ1 314000.00000000 PA USD 294375.00000000 0.032129363159 Long DBT CORP CA Y 2 2027-12-15 Fixed 5.25000000 N N N N N N FREMF Mortgage Trust N/A 30288RAG5 1810000.00000000 PA USD 1723335.21000000 0.188092272809 Long ABS-APCP USGSE US Y 2 2048-04-25 Variable 4.05087600 N N N N N N N/A N/A N/A 1.00000000 NC USD -3068355.01000000 -0.33489356235 N/A DO N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2024-07-19 0.00000000 USD 0.00000000 USD 49000000.00000000 USD -3068355.01000000 N N N N/A N/A N/A 1.00000000 NC USD 212775.63000000 0.023223254311 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2030-07-27 0.00000000 USD 0.00000000 USD 32700000.00000000 USD 212775.63000000 N N N Tegna, Inc. 549300YC5EDBGX85AO10 364725BC4 209000.00000000 PA USD 199333.75000000 0.021756149278 Long DBT CORP US Y 2 2024-09-15 Fixed 5.50000000 N N N N N N Rumo Luxembourg S.a r.l. 222100HOIQFT7YOSPB46 781467AB1 1225000.00000000 PA USD 1140775.13000000 0.124509141182 Long DBT CORP LU Y 2 2025-01-18 Fixed 5.87500000 N N N N N N Freddie Mac REMICs N/A 3133TKCT5 93743.84000000 PA USD 106183.31000000 0.011589306593 Long ABS-APCP USGSE US N 2 2029-04-15 Fixed 6.00000000 N N N N N N PT Bayan Resources Tbk 254900UPPX8UP6LW9723 69375DAA1 1125000.00000000 PA USD 833152.66000000 0.090933891739 Long DBT CORP ID Y 2 2023-01-24 Fixed 6.12500000 N N N N N N GW B-CR Security Corp. N/A 36257BAA7 231000.00000000 PA USD 207772.95000000 0.022677240137 Long DBT CORP CA Y 2 2027-11-01 Fixed 9.50000000 N N N N N N Holly Energy Partners L.P. / Holly Energy Finance Corp. N/A 435765AH5 164000.00000000 PA USD 138272.50000000 0.015091659847 Long DBT CORP US Y 2 2028-02-01 Fixed 5.00000000 N N N N N N Muthoot Finance Ltd. 335800HAMJMBFL4RRF02 62828L2A0 1250000.00000000 PA USD 1076468.75000000 0.117490464200 Long DBT CORP IN Y 2 2022-10-31 Fixed 6.12500000 N N N N N N Unigel Luxembourg S.A. N/A 904752AB8 780000.00000000 PA USD 471900.00000000 0.051505210955 Long DBT CORP LU Y 2 2026-10-01 Fixed 8.75000000 N N N N N N Boyd Gaming Corp. 254900787YGRYS2A1Z35 103304BQ3 570000.00000000 PA USD 495069.23000000 0.054034001120 Long DBT CORP US N 2 2026-08-15 Fixed 6.00000000 N N N N N N MPT Operating Partnership L.P./MPT Finance Corp. N/A 55342UAJ3 962000.00000000 PA USD 890451.25000000 0.097187708152 Long DBT CORP US N 2 2029-08-01 Fixed 4.62500000 N N N N N N Hellenic Republic Government Bond 2138003EKTMKZ5598902 ZP7361592 9940000.00000000 PA 11302667.58000000 1.233622119246 Long DBT NUSS GR Y 2 2035-02-04 Fixed 1.87500000 N N N N N N Fannie Mae Connecticut Avenue Securities N/A 30711XDK7 1691115.95000000 PA USD 1632054.91000000 0.178129545308 Long ABS-MBS USGSE US N 2 2029-01-25 Floating 6.07675000 N N N N N N Murray Energy Corp. 549300WM5IIFYHZYTT63 62704PAM5 2352945.00000000 PA USD 2964.71000000 0.000323581296 Long DBT CORP US Y 2 2024-04-15 None 12.00000000 N N Y N N N Power Finance Corp. Ltd. 3358003Q6D9LIJJZ1614 AL9066526 140000000.00000000 PA 1872570.94000000 0.204380507087 Long DBT CORP IN N 2 2021-12-22 Fixed 7.27000000 N N N N N N Cemex S.A.B. de C.V. 549300RIG2CXWN6IV731 151290BV4 930000.00000000 PA USD 758182.50000000 0.082751323597 Long DBT CORP MX Y 2 2029-11-19 Fixed 5.45000000 N N N N N N Lennar Corp. 529900G61XVRLX5TJX09 526057BZ6 134000.00000000 PA USD 131895.53000000 0.014395649707 Long DBT CORP US N 2 2024-04-30 Fixed 4.50000000 N N N N N N LIC Housing Finance Ltd. 335800NFSMJ2ZKBCYP06 AN0238872 70000000.00000000 PA 942475.49000000 0.102865859150 Long DBT CORP IN N 2 2022-10-17 Fixed 7.45000000 N N N N N N Shriram Transport Finance Co. Ltd. 335800TM2YO24B76XL26 825547AC6 1000000.00000000 PA USD 700295.54000000 0.076433289932 Long DBT CORP IN Y 2 2023-07-16 Fixed 5.10000000 N N N N N N Altice Financing S.A. 549300DIYGW8HVDF7Q17 02154CAE3 374000.00000000 PA USD 364444.30000000 0.039777030203 Long DBT CORP LU Y 2 2026-05-15 Fixed 7.50000000 N N N N N N American Greetings Corp. 549300WMJOT8C9DNMF90 02639DAL0 521331.23000000 PA USD 422278.30000000 0.046089283584 Long LON CORP US Y 2 2024-04-06 Floating 5.50000000 N N N N N N Melco Resorts Finance Ltd. 529900NRV6LBR3T6B421 58547DAC3 290000.00000000 PA USD 254905.18000000 0.027821455964 Long DBT CORP KY Y 2 2027-07-17 Fixed 5.62500000 N N N N N N National Bank of Greece S.A. 5UMCZOEYKCVFAW8ZLO05 AZ6193835 500000.00000000 PA 445046.93000000 0.048574350529 Long DBT CORP GR Y 2 2029-07-18 Variable 8.25000000 N N N N N N Centene Corp. 549300Z7JJ4TQSQGT333 15135BAS0 157000.00000000 PA USD 158656.35000000 0.017316441568 Long DBT CORP US Y 2 2029-12-15 Fixed 4.62500000 N N N N N N Coriolanus DAC 2138007VV3P448DEQX41 21887JAU6 820726.93000000 PA USD 817378.18000000 0.089212196634 Long DBT CORP IE Y 2 2025-04-30 Variable 0.00000000 N N N N N N WAMU Mortgage Pass-Through Certificates Trust N/A 92922F6W3 5746.44000000 PA USD 5015.31000000 0.000547392667 Long ABS-MBS CORP US N 2 2035-12-25 Variable 3.75160000 N N N N N N N/A N/A N/A 1.00000000 NC -138201.44000000 -0.01508390405 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2026-12-16 0.00000000 MXN 0.00000000 MXN 247125000.00000000 MXN -138201.44000000 N N N Bausch Health Americas, Inc. KOO0397YRO83WY5MGD97 91911XAW4 290000.00000000 PA USD 304659.50000000 0.033251858057 Long DBT CORP US Y 2 2027-01-31 Fixed 8.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403DCQ0 146346.90000000 PA USD 173234.64000000 0.018907579313 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 7.00000000 N N N N N N Freddie Mac REMICs N/A 3133TDPP5 101504.54000000 PA USD 116371.34000000 0.012701272337 Long ABS-APCP USGSE US N 2 2028-04-15 Fixed 6.50000000 N N N N N N GLS Auto Receivables Trust N/A 36255GAA8 201684.40000000 PA USD 200890.31000000 0.021926038981 Long ABS-O CORP US Y 2 2022-07-15 Fixed 2.82000000 N N N N N N Fannie Mae REMICs N/A 31392F6J1 8596.88000000 PA USD 1455.06000000 0.000158811553 Long ABS-APCP USGSE US N 2 2032-12-18 Floating 6.44150000 N N N N N N Bear Stearns Adjustable Rate Mortgage Trust N/A 07387AGZ2 23037.85000000 PA USD 21716.84000000 0.002370270026 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.84000000 N N N N N N Wynn Macau Ltd. 254900NMDQ8ENTHU1I31 98313RAC0 3025000.00000000 PA USD 2854828.63000000 0.311588367940 Long DBT CORP KY Y 2 2024-10-01 Fixed 4.87500000 N N N N N N Credit Suisse Group AG 549300506SI9CRFV9Z86 225401AN8 201000.00000000 PA USD 155523.75000000 0.016974536029 Long DBT CORP CH Y 2 N/A Variable 5.10000000 N N N N Y United States Dollar USD XXXX N N N N/A N/A N/A 1.00000000 NC USD 305760.96000000 0.033372076174 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2025-08-18 0.00000000 USD 0.00000000 USD 144000000.00000000 USD 305760.96000000 N N N Exeter Automobile Receivables Trust 549300KR7NUJOX0UJ040 30167DAD9 2170000.00000000 PA USD 1961420.69000000 0.214077953828 Long ABS-O CORP US Y 2 2024-12-16 Fixed 4.13000000 N N N N N N N/A N/A N/A 1.00000000 NC -235832.19000000 -0.02573974718 N/A DIR N/A N 2 Standard Chartered Bank/New York RILFO74KP1CM8P6PCT96 Y 2024-01-10 0.00000000 INR 0.00000000 INR 250000000.00000000 INR -235832.19000000 N N N AmeriGas Partners LP/AmeriGas Finance Corp. N/A 030981AK0 230000.00000000 PA USD 213318.10000000 0.023282461837 Long DBT CORP US N 2 2025-05-20 Fixed 5.50000000 N N N N N N Celanese US Holdings LLC CD30XVRLT4QO00B1C706 15089QAC8 1019000.00000000 PA USD 1008571.72000000 0.110079888117 Long DBT CORP US N 2 2021-06-15 Fixed 5.87500000 N N N N N N Freddie Mac REMICs N/A 3133TENT7 3515.80000000 PA USD 339.42000000 0.000037045769 Long ABS-APCP USGSE US N 2 2028-07-17 Floating 7.89987000 N N N N N N Sonic Capital LLC N/A 83546DAG3 483596.67000000 PA USD 470609.34000000 0.051364342730 Long ABS-O CORP US Y 2 2050-01-20 Fixed 3.84500000 N N N N N N N/A N/A N/A 1.00000000 NC USD -3183018.03000000 -0.34740838124 N/A DO N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2024-07-30 0.00000000 USD 0.00000000 USD 51824462.00000000 USD -3183018.03000000 N N N Inkia Energy Ltd. N/A 45721RAC7 1865000.00000000 PA USD 1650525.00000000 0.180145450970 Long DBT CORP BM Y 2 2027-11-09 Fixed 5.87500000 N N N N N N Fannie Mae REMICs N/A 31392F7G6 54069.43000000 PA USD 11724.84000000 0.001279699846 Long ABS-APCP USGSE US N 2 2032-12-18 Floating 6.44150000 N N N N N N N/A N/A N/A 1.00000000 NC -56134.75000000 -0.00612678987 N/A DCR N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Assicurazioni Generali SpA Assicurazioni Generali S.p.A Y The Fund makes or receives a payment if a defined credit event occurs with respect to the reference instrument 2024-12-20 0.00000000 EUR 42939.44000000 EUR 2500000.00000000 EUR -99074.19000000 N N N Power Finance Corp. Ltd. 3358003Q6D9LIJJZ1614 QZ1988612 140000000.00000000 PA 1875039.32000000 0.204649916777 Long DBT CORP IN N 2 2021-08-16 Fixed 7.50000000 N N N N N N Ginnie Mae 549300M8ZYFG0OCMTT87 36202KWF8 1393.93000000 PA USD 1434.75000000 0.000156594832 Long ABS-MBS USGA US N 2 2025-11-20 Floating 3.12500000 N N N N N N Geopark Ltd. 529900ZR5QI19AH4KZ07 37255BAB5 475000.00000000 PA USD 229187.50000000 0.025014516922 Long DBT CORP BM Y 2 2027-01-17 Fixed 5.50000000 N N N N N N Republic of South Africa Government Bond 378900AAFB4F17004C49 EJ7500048 90000000.00000000 PA 4131531.13000000 0.450933211319 Long DBT NUSS ZA N 2 2030-01-31 Fixed 8.00000000 N N N N N N T-Mobile USA, Inc. 549300V2JRLO5DIFGE82 87264AAV7 427000.00000000 PA USD 443247.35000000 0.048377936570 Long DBT CORP US N 2 2028-02-01 Fixed 4.75000000 N N N N N N N/A N/A N/A 18750000.00000000 NC USD 7031.25000000 0.000767421094 N/A DFE N/A N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Put Purchased N/A N/A 1.00000000 64.00000000 USD 2020-05-25 XXXX -146531.25000000 N N N CommScope, Inc. 549300Z6K4JXMFE8QY54 20338QAD5 683000.00000000 PA USD 685815.33000000 0.074852857063 Long DBT CORP US Y 2 2026-03-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371NGN9 1946.75000000 PA USD 2019.93000000 0.000220463913 Long ABS-MBS USGSE US N 2 2022-07-01 Fixed 5.50000000 N N N N N N Centrais Eletricas Brasileiras S.A. 254900I8KYDELP4B4Z08 15236FAB6 326000.00000000 PA USD 289977.00000000 0.031649346381 Long DBT CORP BR Y 2 2030-02-04 Fixed 4.62500000 N N N N N N MGM Resorts International 54930066VBP7DZEGGJ87 552953CE9 123000.00000000 PA USD 111003.81000000 0.012115436853 Long DBT CORP US N 2 2025-06-15 Fixed 5.75000000 N N N N N N Drive Auto Receivables Trust N/A 26208KAG5 175000.00000000 PA USD 173901.86000000 0.018980402595 Long ABS-O CORP US N 2 2024-09-16 Fixed 4.30000000 N N N N N N Republic of Angola Bond 549300QHR2R3J8JSGK83 035198AD2 1100000.00000000 PA USD 459250.00000000 0.050124535137 Long DBT NUSS AO Y 2 2029-11-26 Fixed 8.00000000 N N N N N N Element Rail Leasing I LLC N/A 28618WAA2 51601.68000000 PA USD 51395.63000000 0.005609541778 Long ABS-O CORP US Y 2 2044-04-19 Fixed 2.29900000 N N N N N N BBVA Consumer Auto 959800A2U14EAVRDZ695 BCC2H2136 5000000.00000000 PA 5521515.75000000 0.602642156177 Long ABS-O CORP ES Y 2 2031-07-20 Fixed 2.30000000 N N N N N N GS Mortgage Securities Trust N/A 36248GAH3 160000.00000000 PA USD 168664.54000000 0.018408778795 Long ABS-MBS CORP US N 2 2046-11-10 Fixed 4.64900000 N N N N N N N/A N/A N/A 1.00000000 NC 15935.39000000 0.001739257519 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2030-03-06 0.00000000 CAD 67.28000000 CAD 8750000.00000000 CAD 15868.11000000 N N N Sunoco L.P./Sunoco Finance Corp. N/A 86765LAQ0 105000.00000000 PA USD 91031.59000000 0.009935582213 Long DBT CORP US N 2 2027-04-15 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H032647 11310000.00000000 PA USD 11916890.42000000 1.300661061708 Long ABS-MBS USGA US N 2 2050-04-01 Fixed 3.50000000 N N N N N N American Credit Acceptance Receivables Trust N/A 02529JAG1 673000.00000000 PA USD 671941.30000000 0.073338585307 Long ABS-O CORP US Y 2 2024-01-10 Fixed 3.57000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 1915046.90000000 0.209016517429 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2025-03-02 0.00000000 USD 0.00000000 USD 65000000.00000000 USD 1915046.90000000 N N N DCP Midstream Operating L.P. 549300Y6CTBSE0QIPL28 23311VAH0 662000.00000000 PA USD 420701.00000000 0.045917130227 Long DBT CORP US N 2 2029-05-15 Fixed 5.12500000 N N N N N N CCO Holdings LLC / CCO Holdings Capital Corp. N/A 1248EPBM4 583000.00000000 PA USD 592298.85000000 0.064646063187 Long DBT CORP US Y 2 2026-02-15 Fixed 5.75000000 N N N N N N Towd Point Mortgage Funding 635400655NWVVZHH1395 BCC2J58T3 2520000.00000000 PA 2918194.73000000 0.318504418688 Long ABS-MBS CORP GB Y 2 2051-10-20 Floating 2.10013000 N N N N N N DISH DBS Corp. N/A 25470XAW5 426000.00000000 PA USD 417516.21000000 0.045569528445 Long DBT CORP US N 2 2024-11-15 Fixed 5.87500000 N N N N N N Power Finance Corp. Ltd. 3358003Q6D9LIJJZ1614 AN0014794 43000000.00000000 PA 571998.51000000 0.062430396109 Long DBT CORP IN N 2 2020-06-26 Fixed 7.42000000 N N N N N N Freddie Mac REMICs N/A 31393FG91 8995.29000000 PA USD 1786.69000000 0.000195007089 Long ABS-APCP USGSE US N 2 2029-06-15 Floating 7.39537000 N N N N N N QEP Resources, Inc. Q6JQDZPXKEDQKVK58165 74733VAA8 235000.00000000 PA USD 121894.50000000 0.013304093953 Long DBT CORP US N 2 2021-03-01 Fixed 6.87500000 N N N N N N Freddie Mac N/A 3128M5F54 13532.79000000 PA USD 15473.50000000 0.001688844843 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 7.00000000 N N N N N N Metinvest B.V. 635400TMCKVEU87EJ582 591555AE7 1250000.00000000 PA USD 889356.25000000 0.097068195107 Long DBT CORP NL Y 2 2026-04-23 Fixed 8.50000000 N N N N N N Fannie Mae Interest STRIPS B1V7KEBTPIMZEU4LTD58 3136FASW1 59183.40000000 PA USD 11960.54000000 0.001305425166 Long ABS-APCP USGSE US N 2 2032-12-25 Fixed 6.00000000 N N N N N N JP Morgan Chase Commercial Mortgage Securities Trust N/A 46639YAU1 235000.00000000 PA USD 237656.35000000 0.025938843911 Long ABS-MBS CORP US N 2 2046-04-15 Fixed 3.21600000 N N N N N N Banco Bilbao Vizcaya Argentaria, S.A. K8MS7FD7N5Z2WQ51AZ71 JK7186717 620000.00000000 PA 669803.72000000 0.073105280562 Long DBT CORP ES Y 2 N/A Variable 8.87500000 N N N N Y Euro EUR XXXX N N N CIMPOR Financial Operations B.V. 213800IVMAMWIHPCZJ07 17186LAA1 650000.00000000 PA USD 377815.75000000 0.041236448201 Long DBT CORP NL Y 2 2024-07-17 Fixed 5.75000000 N N N N N N Fannie Mae Interest STRIPS B1V7KEBTPIMZEU4LTD58 3136FAA83 93714.34000000 PA USD 18392.39000000 0.002007425147 Long ABS-APCP USGSE US N 2 2033-03-25 Fixed 6.00000000 N N N N N N Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons LLC N/A 013092AC5 371000.00000000 PA USD 371204.05000000 0.040514818611 Long DBT CORP US Y 2 2027-01-15 Fixed 4.62500000 N N N N N N Hess Midstream Operations LP N/A 428102AC1 700000.00000000 PA USD 499122.75000000 0.054476419859 Long DBT CORP US Y 2 2026-02-15 Fixed 5.62500000 N N N N N N Navient Corp. 54930067J0ZNOEBRW338 63938CAB4 316000.00000000 PA USD 292413.76000000 0.031915304927 Long DBT CORP US N 2 2024-10-25 Fixed 5.87500000 N N N N N N ASGN, Inc. LZBNYYCBUKY537072438 00191UAA0 597000.00000000 PA USD 563000.85000000 0.061448352506 Long DBT CORP US Y 2 2028-05-15 Fixed 4.62500000 N N N N N N AmeriGas Partners, L.P./AmeriGas Finance Corp. N/A 030981AJ3 653000.00000000 PA USD 629067.55000000 0.068659158440 Long DBT CORP US N 2 2026-08-20 Fixed 5.87500000 N N N N N N Egyptian Government International Bond 529900GFIVH4086NMH82 038461AM1 625000.00000000 PA USD 515401.25000000 0.056253125891 Long DBT NUSS EG Y 2 2047-01-31 Fixed 8.50000000 N N N N N N CD Commercial Mortgage Trust N/A 125039AG2 2279112.57000000 PA USD 110853.76000000 0.012099059745 Long ABS-MBS CORP US N 2 2050-11-13 Variable 0.95964900 N N N N N N Fannie Mae REMICs N/A 3136AAQJ7 402954.48000000 PA USD 76060.00000000 0.008301518002 Long ABS-APCP USGSE US N 2 2042-12-25 Floating 4.52325000 N N N N N N Indian Government International Bond N/A EK9252801 15000000.00000000 PA 212157.76000000 0.023155817301 Long DBT NUSS IN N 2 2025-05-25 Fixed 7.72000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31368HLS0 169424.29000000 PA USD 188161.23000000 0.020536732029 Long ABS-MBS USGSE US N 2 2033-07-01 Fixed 5.00000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307AT4 157000.00000000 PA USD 159552.04000000 0.017414201056 Long DBT CORP US Y 2 2023-07-15 Fixed 5.37500000 N N N N N N Astana-Finance JSC N/A EK9409906 315159.32000000 PA USD 0.00000000 0.000000 Long DBT CORP KZ Y 3 2024-12-22 None 0.00000000 Y Y N N N N Freddie Mac Multifamily Structured Pass Through Ctfs. N/A 3137FMCT7 20093122.70000000 PA USD 1464728.37000000 0.159866801631 Long ABS-APCP USGSE US N 2 2029-05-25 Variable 0.95162200 N N N N N N International Game Technology PLC 549300UQ6KHRCZDRGZ76 460599AB9 2225000.00000000 PA USD 2057791.25000000 0.224596254364 Long DBT CORP GB Y 2 2022-02-15 Fixed 6.25000000 N N N N N N CenturyLink, Inc. 8M3THTGWLTYZVE6BBY25 156700BA3 218000.00000000 PA USD 240073.59000000 0.026202671959 Long DBT CORP US N 2 2024-04-01 Fixed 7.50000000 N N N N N N N/A N/A N/A -1500000.00000000 NC -308823.97000000 -0.03370638635 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Written N/A Option 1.00000000 90.00000000 EUR 2020-08-05 XXXX -15309.34000000 N N N Lennar Corp. 529900G61XVRLX5TJX09 526057BX1 1045000.00000000 PA USD 1040255.70000000 0.113538014995 Long DBT CORP US N 2 2021-04-01 Fixed 4.75000000 N N N N N N N/A N/A N/A 67.00000000 NC USD 1330429.38000000 0.145208827884 N/A DIR N/A N 1 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Long United States Treasury Note/Bond U.S. Treasury Bonds 2020-06-19 13535195.62000000 USD 1330429.38000000 N N N AES Gener S.A. 549300IF4IFG0FS0RM26 00105DAG0 750000.00000000 PA USD 573375.00000000 0.062580632192 Long DBT CORP CL Y 2 2079-10-07 Variable 6.35000000 N N N N N N CarMax Auto Owner Trust 5493003IB59OF448TR74 14314RAG7 280000.00000000 PA USD 277352.49000000 0.030271452652 Long ABS-O CORP US N 2 2024-05-15 Fixed 3.30000000 N N N N N N N/A N/A N/A 1.00000000 NC 233580.96000000 0.025494038186 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2022-02-25 0.00000000 MXN 0.00000000 MXN 382500000.00000000 MXN 233580.96000000 N N N Acadia Healthcare Co., Inc. 5493005CW985Y9D0NC11 00404AAM1 118000.00000000 PA USD 115788.09000000 0.012637613904 Long DBT CORP US N 2 2024-03-01 Fixed 6.50000000 N N N N N N Freddie Mac REMICs N/A 3133TMBG0 72114.33000000 PA USD 82686.23000000 0.009024733458 Long ABS-APCP USGSE US N 2 2029-10-15 Fixed 6.50000000 N N N N N N Logan Property Holdings Co. Ltd. 549300NJ0E6Q0S1VOG90 AN6287683 1250000.00000000 PA USD 1156174.78000000 0.126189925716 Long DBT CORP KY Y 2 2023-02-23 Fixed 5.25000000 N N N N N N Turkey Government Bond 5493000PCHOG3B6S3Q85 EJ3484700 15200000.00000000 PA 2134653.91000000 0.232985378157 Long DBT NUSS TR N 2 2022-09-14 Fixed 8.50000000 N N N N N N Alba PLC 2138008XOOHJFP498784 BCC0XU0N7 435909.60000000 PA 465322.44000000 0.050787307553 Long ABS-MBS CORP GB Y 2 2039-03-17 Floating 3.73675000 N N N N N N N/A N/A N/A 1.00000000 NC -1781953.98000000 -0.19449017938 N/A DCR N/A N 2 Intercontinental Exchange Inc 5493000F4ZO33MV32P92 MARKIT ITRX EUR XOVER 12/24 ITRX XOVER CDSI S32 5Y 2185114 N/A Y The Fund makes or receives a payment if a defined credit event occurs with respect to the reference instrument 2024-12-20 0.00000000 EUR 3061404.00000000 EUR 66875000.00000000 EUR -4843357.98000000 N N N Freddie Mac REMICs N/A 31395U5F4 206676.17000000 PA USD 42501.65000000 0.004638814259 Long ABS-APCP USGSE US N 2 2035-05-15 Floating 6.01537000 N N N N N N N/A N/A N/A 146200000.00000000 NC 38421.20000000 0.004193456264 N/A DIR N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A N/A 1.00000000 NC N/A N/A DIR 2049-12-31 0.00000000 EUR 0.00000000 EUR 146200000.00000000 EUR 1.00000000 1.12200000 EUR 2021-03-29 XXXX -281378.59000000 N N N Freddie Mac N/A 3129354W6 179764.52000000 PA USD 203300.74000000 0.022189123757 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 5.50000000 N N N N N N Freddie Mac Multifamily Structured Pass Through Ctfs. N/A 3137FMU83 3103004.39000000 PA USD 159369.68000000 0.017394297496 Long ABS-APCP USGSE US N 2 2026-05-25 Variable 1.10250000 N N N N N N Oman Government International Bond 549300SZ20F0QTKNQC75 682051AD9 2355000.00000000 PA USD 2061597.62000000 0.225011698080 Long DBT NUSS OM Y 2 2022-03-08 Fixed 3.87500000 N N N N N N N/A N/A N/A 3750000.00000000 NC 239003.82000000 0.026085912626 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Purchased N/A Option 1.00000000 8.90000000 EUR 2021-08-26 XXXX -333236.97000000 N N N N/A N/A N/A -7.00000000 NC 80280.11000000 0.008762119095 N/A DIR N/A N 1 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Short Bundesrepublik Deutschland Bundesanleihe Bundesrepublik Deutchland 2.500 Jul 04 44 2020-06-08 1731535.64000000 USD 80280.11000000 N N N Gulfport Energy Corp. 549300FJX18IDUFPHD40 402635AL0 118000.00000000 PA USD 29646.91000000 0.003235792230 Long DBT CORP US N 2 2025-05-15 Fixed 6.37500000 N N N N N N Danske Bank A/S MAES062Z21O4RZ2U7M96 AM9264657 1500000.00000000 PA USD 1248333.00000000 0.136248473210 Long DBT CORP DK Y 2 N/A Variable 6.12500000 N N N N Y United States Dollar USD XXXX N N N Blue Cube Spinco LLC N/A 095370AB8 118000.00000000 PA USD 123453.96000000 0.013474300176 Long DBT CORP US N 2 2023-10-15 Fixed 9.75000000 N N N N N N Swiss Insured Brazil Power Finance S.a r.l. 254900OBFHBLNHXH1Z48 870880AA9 5250000.00000000 PA 1065943.69000000 0.116341713542 Long DBT CORP LU Y 2 2032-07-16 Fixed 9.85000000 N N N N N N AmeriCredit Automobile Receivables Trust N/A 03067DAG0 2350000.00000000 PA USD 2204598.69000000 0.240619454548 Long ABS-O CORP US N 2 2025-12-18 Fixed 1.80000000 N N N N N N NAK Naftogaz Ukraine via Kondor Finance PLC N/A 50050MAB1 600000.00000000 PA USD 492041.57000000 0.053703549188 Long DBT CORP GB Y 2 2026-11-08 Fixed 7.62500000 N N N N N N Downstream Development Authority of the Quapaw Tribe of Oklahoma 549300NM30NX0VZ5ZB32 26112TAJ5 133000.00000000 PA USD 107563.09000000 0.011739901762 Long DBT CORP US Y 2 2023-02-15 Fixed 10.50000000 N N N N N N NGL Energy Partners L.P. / NGL Energy Finance Corp. N/A 62913TAM4 369000.00000000 PA USD 128686.91000000 0.014045447015 Long DBT CORP US N 2 2025-03-01 Fixed 6.12500000 N N N N N N MGM Growth Properties Operating Partnership LP / Mgp Finance Co.-Issuer, Inc. N/A 55303XAC9 351000.00000000 PA USD 339155.51000000 0.037016902075 Long DBT CORP US N 2 2024-05-01 Fixed 5.62500000 N N N N N N QEP Resources, Inc. Q6JQDZPXKEDQKVK58165 74733VAD2 814000.00000000 PA USD 303276.05000000 0.033100862329 Long DBT CORP US N 2 2026-03-01 Fixed 5.62500000 N N N N N N N/A N/A N/A 1.00000000 NC USD -101.76000000 -0.00001110652 N/A DCR N/A N 2 Bank of America NA B4TYDEB6GKMZO031MB27 Uruguay Government International Bond URUGUAY GOVERNMENT INTERNATIONAL BOND URUGUA 9 1/4 05/17/17 Y The Fund makes or receives a payment if a defined credit event occurs with respect to the reference instrument 2021-12-20 -18948.12000000 USD 0.00000000 USD 2697000.00000000 USD 18846.36000000 N N N DT Auto Owner Trust N/A 23343JAG1 2050000.00000000 PA USD 2010288.02000000 0.219411545988 Long ABS-O CORP US Y 2 2025-07-15 Fixed 2.85000000 N N N N N N J.B. Poindexter & Co., Inc. 549300W6P81HOZZGPQ16 730481AJ7 917000.00000000 PA USD 856439.03000000 0.093475467071 Long DBT CORP US Y 2 2026-04-15 Fixed 7.12500000 N N N N N N Petrobras Global Finance B.V. 549300FNENFFSMO3GT38 71647NAN9 225000.00000000 PA USD 214943.63000000 0.023459879226 Long DBT CORP NL N 2 2115-06-05 Fixed 6.85000000 N N N N N N Panama Notas del Tesoro 549300SHS4T08CL0LP14 ZS1514182 1830000.00000000 PA USD 1843025.03000000 0.201155738434 Long DBT NUSS PA Y 2 2026-04-17 Fixed 3.75000000 N N N N N N N/A N/A N/A 1.00000000 NC USD -1504022.28000000 -0.16415550924 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2050-08-19 0.00000000 USD 0.00000000 USD 4875000.00000000 USD -1504022.28000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31391AKD0 367.80000000 PA USD 372.01000000 0.000040602783 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 8.50000000 N N N N N N MGM Resorts International 54930066VBP7DZEGGJ87 552953CD1 344000.00000000 PA USD 294900.02000000 0.032186666117 Long DBT CORP US N 2 2026-09-01 Fixed 4.62500000 N N N N N N Scientific Games International, Inc. RLTHESQ0RNFQJWPBJN60 80874YBC3 280000.00000000 PA USD 173754.00000000 0.018964264514 Long DBT CORP US Y 2 2028-05-15 Fixed 7.00000000 N N N N N N GSR Mortgage Loan Trust N/A 362341FR5 6823.90000000 PA USD 5892.73000000 0.000643158088 Long ABS-MBS CORP US N 2 2035-07-25 Variable 4.65545500 N N N N N N Taylor Morrison Communities, Inc. 549300O1Z08HI2MRK572 87724RAE2 298000.00000000 PA USD 280492.50000000 0.030614166950 Long DBT CORP US Y 2 2025-01-31 Fixed 5.87500000 N N N N N N Lions Gate Capital Holdings LLC 549300MWJHNLR35C0837 53627NAC5 235000.00000000 PA USD 208555.45000000 0.022762645577 Long DBT CORP US Y 2 2024-02-01 Fixed 6.37500000 N N N N N N Freddie Mac N/A 3137G0JU4 922715.01000000 PA USD 887246.12000000 0.096837886375 Long ABS-MBS USGSE US N 2 2028-10-25 Floating 6.27675000 N N N N N N Hilcorp Energy I L.P. / Hilcorp Finance Co. 549300ITPIHLG0LHEC09 431318AS3 448000.00000000 PA USD 200947.04000000 0.021932230739 Long DBT CORP US Y 2 2028-11-01 Fixed 6.25000000 N N N N N N AES Corp./VA 2NUNNB7D43COUIRE5295 00130HBX2 152000.00000000 PA USD 150563.60000000 0.016433163764 Long DBT CORP US N 2 2026-05-15 Fixed 6.00000000 N N N N N N AECOM 0EEB8GF0W0NPCIHZX097 00774CAB3 442000.00000000 PA USD 401575.79000000 0.043829721929 Long DBT CORP US N 2 2027-03-15 Fixed 5.12500000 N N N N N N N/A N/A N/A 1.00000000 NC -273457.66000000 -0.02984635402 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2028-03-08 0.00000000 EUR 0.00000000 EUR 2475000.00000000 EUR -273457.66000000 N N N Indonesian Treasury Bond 529900FWX0GRR7WG5W79 AL1453656 72480000000.00000000 PA 4111276.29000000 0.448722510308 Long DBT NUSS ID N 2 2032-08-15 Fixed 7.50000000 N N N N N N Export-Import Bank of India 335800OFZ8YEIVN1QI11 AN6888324 70000000.00000000 PA 947943.54000000 0.103462665823 Long DBT NUSS IN N 2 2022-05-18 Fixed 7.35000000 N N N N N N Freddie Mac REMICs N/A 3137A9D29 62044.64000000 PA USD 63931.01000000 0.006977707473 Long ABS-APCP USGSE US N 2 2040-04-15 Fixed 4.00000000 N N N N N N Fannie Mae REMICs N/A 31392BKZ8 49326.19000000 PA USD 55229.70000000 0.006028008793 Long ABS-APCP USGSE US N 2 2032-01-25 Fixed 6.00000000 N N N N N N KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC N/A 48250NAC9 144000.00000000 PA USD 136363.32000000 0.014883283668 Long DBT CORP US Y 2 2027-06-01 Fixed 4.75000000 N N N N N N VICI Properties L.P. / VICI Note Co., Inc. N/A 92564RAE5 161000.00000000 PA USD 153453.13000000 0.016748539589 Long DBT CORP US Y 2 2030-08-15 Fixed 4.12500000 N N N N N N Telenet Finance Luxembourg Notes S.a r.l. 2138007RI9GLJPCC3E25 AQ2322842 605000.00000000 PA USD 571725.00000000 0.062400544042 Long DBT CORP LU Y 2 2028-03-01 Fixed 5.50000000 N N N N N N Fannie Mae REMICs N/A 31398RCS2 682.06000000 PA USD 684.19000000 0.000074675461 Long ABS-APCP USGSE US N 2 2021-01-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411G6Q0 5568.52000000 PA USD 5868.30000000 0.000640491691 Long ABS-MBS USGSE US N 2 2021-12-01 Fixed 5.00000000 N N N N N N Charles River Laboratories International, Inc. 549300BSQ0R4UZ5KX287 159864AE7 815000.00000000 PA USD 790101.75000000 0.086235128862 Long DBT CORP US Y 2 2028-05-01 Fixed 4.25000000 N N N N N N N/A N/A N/A 1.00000000 NC USD -42935.00000000 -0.00468611195 N/A DCR N/A N 2 Intercontinental Exchange Inc 5493000F4ZO33MV32P92 Brazilian Government International Bond Brazilian Government International Bond Y The Fund makes or receives a payment if a defined credit event occurs with respect to the reference instrument 2022-06-20 -65556.04000000 USD 0.00000000 USD 2500000.00000000 USD 22621.04000000 N N N Dominican Republic International Bond 254900EHU7Q8FGVPI369 25714PAK4 2400000.00000000 PA USD 2407224.00000000 0.262734858949 Long DBT NUSS DO Y 2 2021-05-06 Fixed 7.50000000 N N N N N N PT Tower Bersama Infrastructure Tbk 213800ELUARKGNPAPY10 ZP2924501 1250000.00000000 PA USD 1125005.78000000 0.122788005987 Long DBT CORP ID Y 2 2025-01-21 Fixed 4.25000000 N N N N N N Tenneco, Inc. 549300U0EXXFAQFAD785 88037EAJ0 628000.00000000 PA USD 357171.86000000 0.038983284587 Long DBT CORP US N 2 2024-12-15 Fixed 5.37500000 N N N N N N Nuveen Floating Rate Income Fund HJXCPP3KYE3BVU373P27 67072T108 375000.00000000 NS USD 2831250.00000000 0.309014894085 Long EC RF US N 1 N N N N/A N/A N/A -18750000.00000000 NC USD -4237.50000000 -0.00046249911 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written N/A N/A 1.00000000 70.40000000 USD 2020-04-29 XXXX 34837.50000000 N N N Banco Santander, S.A. 5493006QMFDDMYWIAM13 AP3065806 1400000.00000000 PA 1270016.47000000 0.138615101090 Long DBT CORP ES Y 2 N/A Variable 5.25000000 N N N N Y Euro EUR XXXX N N N Dana, Inc. KVWHW7YLZPFJM8QYNJ51 235825AF3 220000.00000000 PA USD 179850.00000000 0.019629608371 Long DBT CORP US N 2 2027-11-15 Fixed 5.37500000 N N N N N N Colfax Corp. 635400OP2DYYYMOIYL17 15723RAC8 106000.00000000 PA USD 104807.50000000 0.011439144728 Long DBT CORP US Y 2 2026-02-15 Fixed 6.37500000 N N N N N N JP Morgan Chase Commercial Mortgage Securities Trust N/A 46642CBN9 630000.00000000 PA USD 658442.99000000 0.071865321259 Long ABS-MBS CORP US N 2 2047-07-15 Fixed 4.04320000 N N N N N N N/A N/A N/A 1.00000000 NC -111681.43000000 -0.01218939523 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2030-03-10 0.00000000 AUD 0.00000000 AUD 28750000.00000000 AUD -111681.43000000 N N N Fannie Mae REMICs N/A 31398GWV7 263.01000000 PA USD 263.47000000 0.000028756257 Long ABS-APCP USGSE US N 2 2020-12-25 Fixed 3.00000000 N N N N N N N/A N/A N/A 1.00000000 NC USD -808622.38000000 -0.08825655067 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2025-02-19 0.00000000 USD 0.00000000 USD 18375000.00000000 USD -808622.38000000 N N N Eskom Holdings SOC Ltd. 3789001900ED06F65111 29646AAA4 625000.00000000 PA USD 469062.50000000 0.051195513909 Long DBT CORP ZA Y 2 2023-08-06 Fixed 6.75000000 N N N N N N Fannie Mae REMICs N/A 31392EQ29 7820.29000000 PA USD 7963.58000000 0.000869179630 Long ABS-APCP USGSE US N 2 2032-04-25 Floating 2.62675000 N N N N N N Morgan Stanley Capital I Trust N/A 61691NAF2 2003999.37000000 PA USD 96118.62000000 0.010490802712 Long ABS-MBS CORP US N 2 2050-12-15 Variable 0.79262700 N N N N N N N/A N/A N/A 1.00000000 NC USD 647374.20000000 0.070657225552 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2025-03-03 0.00000000 USD 0.00000000 USD 30000000.00000000 USD 647374.20000000 N N N JP Morgan Mortgage Trust N/A 46630GAR6 29801.92000000 PA USD 27394.94000000 0.002990002466 Long ABS-MBS CORP US N 2 2035-07-25 Variable 3.98299000 N N N N N N eG Global Finance PLC 549300TL8Q5207VYET27 ZR9760300 250000.00000000 PA 221916.32000000 0.024220908828 Long DBT CORP GB Y 2 2025-10-30 Fixed 6.25000000 N N N N N N Ghanian Government International Bond 213800PP4399SNNXZ126 AS6138877 625000.00000000 PA USD 452216.25000000 0.049356841182 Long DBT NUSS GH Y 2 2029-05-16 Fixed 7.62500000 N N N N N N Dana Financing Luxembourg Sarl 222100DKCE3D036DQU13 235822AA1 271000.00000000 PA USD 240837.70000000 0.026286070236 Long DBT CORP LU Y 2 2026-06-01 Fixed 6.50000000 N N N N N N Argentum Netherlands B.V. for Swiss Re Ltd. 724500RPEZI5VVQQWE89 LW2260898 500000.00000000 PA USD 501530.00000000 0.054739157556 Long DBT CORP NL Y 2 2052-08-15 Variable 5.62500000 N N N N N N N/A N/A N/A 1.00000000 NC 168189.91000000 0.018356975620 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2028-03-08 0.00000000 HUF 0.00000000 HUF 825000000.00000000 HUF 168189.91000000 N N N Freddie Mac N/A 3137G0LA5 3400000.00000000 PA USD 3073007.04000000 0.335401305073 Long ABS-MBS USGSE US N 2 2029-03-25 Floating 5.47675000 N N N N N N CNH Equipment Trust N/A 18978CAE3 185000.00000000 PA USD 184821.48000000 0.020172217242 Long ABS-O CORP US N 2 2025-05-15 Fixed 2.54000000 N N N N N N European Bank for Reconstruction and Development 549300HTGDOVDU6OGK19 AT0275418 10600000000.00000000 PA 647360.29000000 0.070655707355 Long DBT CORP XX N 2 2021-06-21 Fixed 6.85000000 N N N N N N Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. N/A 983130AV7 467000.00000000 PA USD 437798.49000000 0.047783224377 Long DBT CORP US Y 2 2025-03-01 Fixed 5.50000000 N N N N N N Oil India International Pte. Ltd. 529900MQ8CL8FLAGEQ79 AN2172558 2119000.00000000 PA USD 1823740.28000000 0.199050917249 Long DBT CORP SG Y 2 2027-04-21 Fixed 4.00000000 N N N N N N Ascent Resources Utica Holdings, LLC/ARU Finance Corp. N/A 04364VAA1 504000.00000000 PA USD 273410.17000000 0.029841170763 Long DBT CORP US Y 2 2022-04-01 Fixed 10.00000000 N N N N N N Santander Drive Auto Receivables Trust N/A 80285LAF8 190000.00000000 PA USD 189596.78000000 0.020693414177 Long ABS-O CORP US N 2 2023-07-17 Fixed 3.49000000 N N N N N N Itron, Inc. 24F6LSZD18II6ICG6S41 465740AA6 516000.00000000 PA USD 494607.93000000 0.053983652839 Long DBT CORP US Y 2 2026-01-15 Fixed 5.00000000 N N N N N N WFRBS Commercial Mortgage Trust N/A 92935VAJ7 2758366.27000000 PA USD 27741.72000000 0.003027851538 Long ABS-MBS CORP US Y 2 2044-03-15 Variable 1.30565900 N N N N N N MARB BondCo PLC 254900PVA1EU6QM1JN57 566007AA8 625000.00000000 PA USD 561715.63000000 0.061308078025 Long DBT CORP GB Y 2 2024-03-15 Fixed 7.00000000 N N N N N N Costa Rica Government Bonds N/A 221597BS5 2500000.00000000 PA USD 2078112.50000000 0.226814203650 Long DBT NUSS CR Y 2 2025-04-30 Fixed 4.37500000 N N N N N N Iron Mountain US Holdings, Inc. 549300RUAW0D4WBMPU54 46289RAA3 822000.00000000 PA USD 837241.94000000 0.091380213479 Long DBT CORP US Y 2 2026-06-01 Fixed 5.37500000 N N N N N N Santander Drive Auto Receivables Trust N/A 80286GAG6 170000.00000000 PA USD 168227.55000000 0.018361083812 Long ABS-O CORP US N 2 2025-07-15 Fixed 3.22000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 UV9268987 955000.00000000 PA 987218.44000000 0.107749298605 Long DBT CORP GB Y 2 N/A Variable 6.00000000 N N N N Y Euro EUR XXXX N N N N/A N/A N/A -18750000.00000000 NC USD -666000.00000000 -0.07269012607 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Written N/A N/A 1.00000000 73.50000000 USD 2020-04-29 XXXX -577500.00000000 N N N N/A N/A N/A 1.00000000 NC USD 137808.37000000 0.015041002687 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2030-08-28 0.00000000 USD 0.00000000 USD 37500000.00000000 USD 137808.37000000 N N N Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. N/A 226373AL2 70000.00000000 PA USD 39651.85000000 0.004327774738 Long DBT CORP US N 2 2023-04-01 Fixed 6.25000000 N N N N N N Times China Holdings Ltd. 2549000KTINB9ZPZP710 AS8273763 3305000.00000000 PA USD 3189362.02000000 0.348100791809 Long DBT CORP KY Y 2 2021-06-04 Fixed 7.85000000 N N N N N N Navient Corp. 54930067J0ZNOEBRW338 63938CAH1 306000.00000000 PA USD 283815.00000000 0.030976798998 Long DBT CORP US N 2 2025-06-25 Fixed 6.75000000 N N N N N N Fannie Mae REMICs N/A 31394CXB3 289724.86000000 PA USD 53841.80000000 0.005876527372 Long ABS-APCP USGSE US N 2 2035-03-25 Floating 4.42325000 N N N N N N UniCredit S.p.A. 549300TRUWO2CD2G5692 AX2154406 200000.00000000 PA 206099.03000000 0.022494541254 Long DBT CORP IT Y 2 2029-02-20 Variable 4.87500000 N N N N N N Cincinnati Bell, Inc. 549300JYVZOCUJOHL272 14987RAA6 445000.00000000 PA USD 460016.53000000 0.050208197543 Long DBT CORP US Y 2 2025-10-15 Fixed 8.00000000 N N N N N N CIFI Holdings Group Co., Ltd. 549300WGKSV867C0JF48 AW2600269 3000000.00000000 PA USD 2995499.52000000 0.326941798465 Long DBT CORP KY Y 2 2021-03-02 Fixed 7.62500000 N N N N N N Federal National Mortgage Association B1V7KEBTPIMZEU4LTD58 31385JK49 30802.75000000 PA USD 36173.95000000 0.003948181661 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 7.00000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307AZ0 480000.00000000 PA USD 520375.20000000 0.056796004348 Long DBT CORP US Y 2 2029-02-01 Fixed 6.50000000 N N N N N N N/A N/A N/A 25000000.00000000 NC 222.51000000 0.000024285705 N/A DCR N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A N/A 1.00000000 NC N/A N/A DCR MARKIT ITRX EUR XOVER 12/24 ITRX XOVER CDSI S32 5Y ITXEX532 Other Other 2024-12-20 0.00000000 EUR 0.00000000 EUR 25000000.00000000 EUR 1.00000000 250.00000000 EUR 2020-04-15 XXXX -68774.37000000 N N N N/A N/A N/A 1250000.00000000 NC 80091.18000000 0.008741498456 N/A DFE N/A N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Call Purchased N/A N/A 1.00000000 1.15000000 EUR 2020-06-01 XXXX -51278.89000000 N N N Altice France S.A. 5493001ZMCICV4N02J21 02156LAA9 264000.00000000 PA USD 276685.20000000 0.030198621729 Long DBT CORP FR Y 2 2027-02-01 Fixed 8.12500000 N N N N N N Altice Financing S.A. 549300DIYGW8HVDF7Q17 L0178UAG1 367804.49000000 PA USD 338380.13000000 0.036932273742 Long LON CORP LU Y 2 2025-07-15 Floating 4.41186000 N N N N N N International Finance Corp. QKL54NQY28TCDAI75F60 AM4724424 3700000.00000000 PA 188212.83000000 0.020542363877 Long DBT CORP XX Y 2 2029-02-15 None 0.00000000 N N N N N N Coriolanus DAC 2138007VV3P448DEQX41 21887JAS1 913424.17000000 PA USD 909697.20000000 0.099288294536 Long DBT CORP IE Y 2 2025-04-30 None 0.00000000 N N N N N N Prestige Auto Receivables Trust N/A 74113NAE8 1410000.00000000 PA USD 1361717.79000000 0.148623780538 Long ABS-O CORP US Y 2 2024-10-15 Fixed 2.70000000 N N N N N N Cyprus Government International Bond 213800IOEYYAHPDLUL60 ZS3023307 1375000.00000000 PA 1886236.48000000 0.205872023342 Long DBT NUSS CY Y 2 2049-05-03 Fixed 2.75000000 N N N N N N Silgan Holdings, Inc. KAF673KJXD92C8KSLU49 827048AV1 350000.00000000 PA USD 325500.00000000 0.035526480538 Long DBT CORP US Y 2 2028-02-01 Fixed 4.12500000 N N N N N N Lamar Media Corp. N/A 513075BL4 267000.00000000 PA USD 274676.25000000 0.029979356221 Long DBT CORP US N 2 2026-02-01 Fixed 5.75000000 N N N N N N N/A N/A N/A 1.00000000 NC -495887.39000000 -0.05412329864 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 40194844.92000000 BRL -495887.39000000 N N N EnerSys 7ZS3DE5PN30BYUJFWP05 29275YAB8 749000.00000000 PA USD 719980.00000000 0.078581737198 Long DBT CORP US Y 2 2023-04-30 Fixed 5.00000000 N N N N N N N/A N/A N/A 25000000.00000000 NC USD 119650.00000000 0.013059119497 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased N/A N/A 1.00000000 73.00000000 USD 2020-11-23 XXXX -237350.00000000 N N N TreeHouse Foods, Inc. 5493007M7EVHE470Q576 89469AAC8 659000.00000000 PA USD 658172.96000000 0.071835849015 Long DBT CORP US Y 2 2024-02-15 Fixed 6.00000000 N N N N N N N/A N/A N/A 1.00000000 NC -93300.18000000 -0.01018318595 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2025-01-02 0.00000000 BRL 0.00000000 BRL 23294056.27000000 BRL -93300.18000000 N N N FREMF Mortgage Trust N/A 30295XAS7 1535000.00000000 PA USD 1528556.68000000 0.166833299981 Long ABS-APCP USGSE US Y 2 2023-11-25 Variable 3.60049000 N N N N N N Fannie Mae REMICs N/A 31392BJ98 8580.55000000 PA USD 1825.28000000 0.000199218968 Long ABS-APCP USGSE US N 2 2032-03-25 Floating 6.47325000 N N N N N N Freddie Mac REMICs N/A 31339GRA1 35251.57000000 PA USD 41439.74000000 0.004522912800 Long ABS-APCP USGSE US N 2 2031-10-15 Fixed 6.50000000 N N N N N N Drive Auto Receivables Trust N/A 26209WAF0 2255000.00000000 PA USD 2203643.50000000 0.240515200972 Long ABS-O CORP US N 2 2025-08-15 Fixed 2.90000000 N N N N N N Freddie Mac N/A 31283HS97 28386.45000000 PA USD 32911.08000000 0.003592057889 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 6.50000000 N N N N N N Sunoco L.P./Sunoco Finance Corp. N/A 86765LAJ6 135000.00000000 PA USD 131546.03000000 0.014357503762 Long DBT CORP US N 2 2023-01-15 Fixed 4.87500000 N N N N N N Banco Bilbao Vizcaya Argentaria S.A. K8MS7FD7N5Z2WQ51AZ71 05946KAG6 200000.00000000 PA USD 155139.00000000 0.016932542747 Long DBT CORP ES N 2 N/A Variable 6.50000000 N N N N Y United States Dollar USD XXXX N N N CCO Holdings LLC/CCO Holdings Capital Corp. N/A 1248EPBT9 381000.00000000 PA USD 385579.62000000 0.042083830617 Long DBT CORP US Y 2 2027-05-01 Fixed 5.12500000 N N N N N N Residential Accredit Loans, Inc. Trust N/A 75115DAH8 10667.03000000 PA USD 8990.39000000 0.000981250124 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.00000000 N N N N N N Simmons Foods, Inc. 5493002Z1TVWRIL6NM97 82873LAB1 114000.00000000 PA USD 114996.93000000 0.012551263273 Long DBT CORP US Y 2 2024-01-15 Fixed 7.75000000 N N N N N N HLF Financing S.a.r.l. LLC/Herbalife International, Inc. N/A 40390DAA3 495000.00000000 PA USD 422606.25000000 0.046125077468 Long DBT CORP US Y 2 2026-08-15 Fixed 7.25000000 N N N N N N N/A N/A N/A 1.00000000 NC -1102767.04000000 -0.12036077353 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2030-03-26 0.00000000 CAD 3057.92000000 CAD 213850000.00000000 CAD -1105824.96000000 N N N N/A N/A N/A 15858620.69000000 NC USD 20283.18000000 0.002213794161 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased N/A Option 1.00000000 14.50000000 USD 2020-07-23 XXXX -889843.09000000 N N N Prosil Acquisition S.A. 529900REZH4056FENJ94 N/A 2372597.70000000 PA 2587274.77000000 0.282386380228 Long ABS-MBS CORP LU Y 2 2039-10-31 Floating 1.59900000 N N N N N N Indonesia Treasury Bond 529900FWX0GRR7WG5W79 N/A 104095000000.00000000 PA 6588531.74000000 0.719100905188 Long DBT NUSS ID N 2 2026-09-15 Fixed 8.37500000 N N N N N N Egyptian Government International Bond 529900GFIVH4086NMH82 AS0110237 1900000.00000000 PA 1806135.87000000 0.197129495654 Long DBT NUSS EG Y 2 2026-04-16 Fixed 4.75000000 N N N N N N Egyptian Government Bond 529900GFIVH4086NMH82 AQ3853308 29000000.00000000 PA 1858939.58000000 0.202892721386 Long DBT NUSS EG N 2 2020-12-12 Fixed 16.00000000 N N N N N N Freddie Mac N/A 3128K7XS2 84766.50000000 PA USD 95604.09000000 0.010434644678 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 6.50000000 N N N N N N N/A N/A N/A 300000000.00000000 NC USD 81.00000000 0.000008840691 N/A DIR N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A N/A 1.00000000 NC USD N/A N/A DIR 2049-12-31 0.00000000 USD 0.00000000 USD 300000000.00000000 USD 1.00000000 2.25000000 USD 2020-04-30 XXXX -187419.00000000 N N N N/A N/A N/A 1.00000000 NC 656358.13000000 0.071637770604 N/A DIR N/A N 2 Chicago Mercantile Exchange Inc SNZ2OJLFK8MNNCLQOF39 Y 2025-01-02 0.00000000 BRL 0.00000000 BRL 26699194.36000000 BRL 656358.13000000 N N N Eterna Capital Pte. Ltd. N/A AP3072315 1319387.00000000 PA USD 959854.04000000 0.104762629406 Long DBT CORP SG Y 2 2022-12-11 Fixed 7.50000000 N N Y N N N Fannie Mae Interest STRIPS B1V7KEBTPIMZEU4LTD58 3136FCHX7 94996.68000000 PA USD 18168.89000000 0.001983031388 Long ABS-APCP USGSE US N 2 2034-04-25 Fixed 5.50000000 N N N N N N Turkey Government Bond 5493000PCHOG3B6S3Q85 AR5472865 13500000.00000000 PA 1973991.61000000 0.215449998512 Long DBT NUSS TR N 2 2028-03-08 Fixed 12.40000000 N N N N N N ASG Finance Designated Activity Co. 5493005UOB0OMEJ4WK10 00217AAA4 250000.00000000 PA USD 156301.25000000 0.017059395748 Long DBT CORP IE Y 2 2024-12-03 Fixed 7.87500000 N N N N N N N/A N/A N/A 1.00000000 NC 4139.52000000 0.000451805151 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2025-03-25 0.00000000 CAD 920.42000000 CAD 55000000.00000000 CAD 3219.10000000 N N N Terraform Global Operating, LLC 549300LC7QMVR79H5O86 88104UAC7 342000.00000000 PA USD 336371.54000000 0.036713047525 Long DBT CORP US Y 2 2026-03-01 Fixed 6.12500000 N N N N N N Egyptian Government International Bond 529900GFIVH4086NMH82 03846JW30 3050000.00000000 PA USD 2835569.75000000 0.309486370319 Long DBT NUSS EG Y 2 2023-02-21 Fixed 5.57700000 N N N N N N N/A N/A N/A 1650000.00000000 NC USD 35019.60000000 0.003822190899 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Purchased N/A Option 1.00000000 59.00000000 USD 2020-08-05 XXXX -234590.40000000 N N N Navistar Financial Dealer Note Master Trust 549300S28N49H5RT4J50 63938PBK4 270000.00000000 PA USD 262691.13000000 0.028671248287 Long ABS-O CORP US Y 2 2024-05-25 Floating 2.57675000 N N N N N N Vistra Operations Co. LLC 549300ZH5GKBTJZ7NM23 92840VAA0 131000.00000000 PA USD 135842.74000000 0.014826465311 Long DBT CORP US Y 2 2026-09-01 Fixed 5.50000000 N N N N N N Fannie Mae Connecticut Avenue Securities N/A 30711X5R1 1249476.53000000 PA USD 1062938.68000000 0.116013733728 Long ABS-MBS USGSE US N 2 2031-03-25 Floating 3.72675000 N N N N N N Egypt Government Bond 529900GFIVH4086NMH82 AZ0940975 50300000.00000000 PA 3293431.01000000 0.359459332355 Long DBT NUSS EG N 2 2022-06-11 Fixed 16.00000000 N N N N N N Panther BF Aggregator 2 L.P. / Panther Finance Co., Inc. N/A 69867DAA6 138000.00000000 PA USD 131185.84000000 0.014318191065 Long DBT CORP XX Y 2 2026-05-15 Fixed 6.25000000 N N N N N N Astana-Finance JSC N/A 46630H400 446837.65000000 NS USD 0.45000000 0.000000049114 Long EC CORP KZ Y 3 N N N Ally Financial, Inc. 549300JBN1OSM8YNAI90 02005NAV2 794000.00000000 PA USD 778711.53000000 0.084991950893 Long DBT CORP US N 2 2024-09-30 Fixed 5.12500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38377VGZ3 260375.69000000 PA USD 46785.55000000 0.005106377669 Long ABS-APCP USGA US N 2 2041-04-16 Floating 5.94537000 N N N N N N Listrindo Capital B.V. N/A 536576AD3 2285000.00000000 PA USD 2007932.33000000 0.219154435774 Long DBT CORP NL Y 2 2026-09-14 Fixed 4.95000000 N N N N N N Russian Federal Bond - OFZ 5493004EHVGF71PDBU58 AM8549157 400000000.00000000 PA 5521568.63000000 0.602647927729 Long DBT NUSS RU N 2 2033-03-23 Fixed 7.70000000 N N N N N N Santander Drive Auto Receivables Trust N/A 80284YAG9 760000.00000000 PA USD 764018.58000000 0.083388298658 Long ABS-O CORP US N 2 2023-11-15 Fixed 3.20000000 N N N N N N TransDigm, Inc. 88Q84GB3X55CF5OC7582 893647AX5 362000.00000000 PA USD 346942.61000000 0.037866819914 Long DBT CORP US N 2 2024-07-15 Fixed 6.50000000 N N N N N N J.P. Morgan S.A. / Hipotecaria Su Casita, S.A. de C.V. N/A EG2981140 5808600.35000000 PA 27387.16000000 0.002989153323 Long DBT CORP MX Y 2 2035-08-26 Fixed 6.47000000 N N N N N N T-Mobile USA, Inc. 549300V2JRLO5DIFGE82 87264AAR6 299000.00000000 PA USD 301983.72000000 0.032959811832 Long DBT CORP US N 2 2022-04-15 Fixed 4.00000000 N N N N N N N/A N/A N/A -12500000.00000000 NC USD -1465012.50000000 -0.15989781281 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written N/A N/A 1.00000000 22.52000000 USD 2021-03-04 XXXX -1213645.12000000 N N N Eurosail PLC 213800PBNX9J895VX562 BCC0T5HQ2 1830000.00000000 PA 1793394.91000000 0.195738892067 Long ABS-MBS CORP GB Y 2 2044-12-15 Floating 3.75550000 N N N N N N Lennar Corp. 529900G61XVRLX5TJX09 526057CT9 244000.00000000 PA USD 244791.17000000 0.026717569084 Long DBT CORP US N 2 2026-06-01 Fixed 5.25000000 N N N N N N Lithia Motors, Inc. SE8N1EZEHPZQBCBVKD53 536797AC7 680000.00000000 PA USD 597546.60000000 0.065218825363 Long DBT CORP US Y 2 2025-08-01 Fixed 5.25000000 N N N N N N Precision Drilling Corp. 549300WF2OE8T5BP4B84 740212AL9 160000.00000000 PA USD 54166.80000000 0.005911999281 Long DBT CORP CA Y 2 2026-01-15 Fixed 7.12500000 N N N N N N Fannie Mae REMICs N/A 31397QUQ9 36.16000000 PA USD 36.17000000 0.000003947750 Long ABS-APCP USGSE US N 2 2020-06-25 Fixed 2.75000000 N N N N N N N/A N/A N/A -11300000.00000000 NC -1794438.52000000 -0.19585279618 N/A DFE N/A N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Call Written N/A Option 1.00000000 5.25000000 EUR 2021-08-24 XXXX -1159232.05000000 N N N N/A N/A N/A 62500000.00000000 NC USD 43619.38000000 0.004760808155 N/A DIR N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A N/A 1.00000000 NC USD N/A N/A DIR 2049-12-31 0.00000000 USD 0.00000000 USD 62500000.00000000 USD 1.00000000 2.04100000 USD 2020-10-16 XXXX -620755.62000000 N N N Fannie Mae Interest STRIPS B1V7KEBTPIMZEU4LTD58 3136FCHZ2 52322.87000000 PA USD 9952.48000000 0.001086256795 Long ABS-APCP USGSE US N 2 2034-04-25 Fixed 5.50000000 N N N N N N N/A N/A N/A 1.00000000 NC -165530.12000000 -0.01806667461 N/A DIR N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Y 2022-03-05 0.00000000 RUB 0.00000000 RUB 700000000.00000000 RUB -165530.12000000 N N N Koppers, Inc. LTO4ZL5EBDR1NE6FGJ36 500605AH3 570000.00000000 PA USD 460257.90000000 0.050234541711 Long DBT CORP US Y 2 2025-02-15 Fixed 6.00000000 N N N N N N Fannie Mae REMICs N/A 31359XCD9 60146.09000000 PA USD 68459.45000000 0.007471961038 Long ABS-APCP USGSE US N 2 2029-11-25 Fixed 6.50000000 N N N N N N CCG Receivables Trust N/A 12508VAD5 70000.00000000 PA USD 70165.91000000 0.007658211477 Long ABS-O CORP US Y 2 2025-06-16 Fixed 3.42000000 N N N N N N Westlake Automobile Receivables Trust N/A 96042KAF0 2565000.00000000 PA USD 2237560.05000000 0.244217000215 Long ABS-O CORP US Y 2 2025-06-16 Fixed 2.80000000 N N N N N N Omnicare, Inc. 2X4NKSER9ZE7V4QZQT33 681904AS7 1765000.00000000 PA USD 1870609.16000000 0.204166389916 Long DBT CORP US N 2 2022-12-01 Fixed 4.75000000 N N N N N N Bankinter, S.A. VWMYAEQSTOPNV0SUGU82 JK9078722 1145000.00000000 PA 1205878.02000000 0.131614752717 Long DBT CORP ES Y 2 N/A Variable 8.62500000 N N N N Y Euro EUR XXXX N N N Fannie Mae REMICs N/A 31394DQD5 398129.82000000 PA USD 64038.35000000 0.006989423026 Long ABS-APCP USGSE US N 2 2035-05-25 Floating 5.12325000 N N N N N N Dominican Republic International Bond 254900EHU7Q8FGVPI369 AT5867565 4000000.00000000 PA USD 3825570.00000000 0.417539287723 Long DBT NUSS DO Y 2 2028-07-19 Fixed 6.00000000 N N N N N N N/A N/A N/A 1.00000000 NC 121089.26000000 0.013216206570 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2029-12-12 0.00000000 MXN 0.00000000 MXN 107250000.00000000 MXN 121089.26000000 N N N N/A N/A N/A 3650000.00000000 NC 91682.65000000 0.010006641723 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased N/A Option 1.00000000 8.35950000 EUR 2021-01-06 XXXX -319858.07000000 N N N Mercer International, Inc. 549300Z5IAG39VRTY874 588056AW1 368000.00000000 PA USD 282412.40000000 0.030823713156 Long DBT CORP US N 2 2026-01-15 Fixed 5.50000000 N N N N N N Calumet Specialty Products Partners L.P./Calumet Finance Corp. N/A 131477AL5 606000.00000000 PA USD 474762.22000000 0.051817606049 Long DBT CORP US N 2 2022-01-15 Fixed 7.62500000 N N N N N N DT Auto Owner Trust N/A 23341LAG8 247109.30000000 PA USD 246615.13000000 0.026916643982 Long ABS-O CORP US Y 2 2022-11-15 Fixed 3.55000000 N N N N N N Quicken Loans, Inc. 549300FGXN1K3HLB1R50 74840LAB8 147000.00000000 PA USD 144760.82000000 0.015799823208 Long DBT CORP US Y 2 2028-01-15 Fixed 5.25000000 N N N N N N N/A N/A N/A 1.00000000 NC -159464.67000000 -0.01740466511 N/A DIR N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Y 2030-01-14 0.00000000 RUB 0.00000000 RUB 198000000.00000000 RUB -159464.67000000 N N N Nigeria Government International Bond 549300GSBZD84TNEQ285 65412JAH6 1250000.00000000 PA USD 854442.50000000 0.093257557135 Long DBT NUSS NG Y 2 2038-02-23 Fixed 7.69600000 N N N N N N China SCE Group Holdings Ltd. 549300Q8UEI2ERAP6P49 AM7528640 625000.00000000 PA USD 564045.34000000 0.061562352670 Long DBT CORP KY Y 2 2022-03-10 Fixed 5.87500000 N N N N N N Netflix, Inc. 549300Y7VHGU0I7CE873 64110LAU0 594000.00000000 PA USD 624026.70000000 0.068108978227 Long DBT CORP US Y 2 2029-11-15 Fixed 5.37500000 N N N N N N Santander Retail Auto Lease Trust N/A 80281GAG1 1410000.00000000 PA USD 1223654.96000000 0.133555004984 Long ABS-O CORP US Y 2 2023-08-21 Fixed 2.77000000 N N N N N N Banco Invex S.A. / Hipotecaria Credito y Casa S.A. de C.V. N/A EG0455204 4830530.82000000 PA 0.00000000 0.000000 Long DBT CORP MX N 3 2034-03-13 Fixed 6.45000000 Y Y N N N N Medco Bell Pte Ltd. 2549003PNDCWIWGKC768 58406LAA9 625000.00000000 PA USD 370308.73000000 0.040417099507 Long DBT CORP SG Y 2 2027-01-30 Fixed 6.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410FV85 118262.70000000 PA USD 138215.58000000 0.015085447351 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 7.00000000 N N N N N N N/A N/A N/A -25000000.00000000 NC USD -45325.00000000 -0.00494696691 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written N/A N/A 1.00000000 70.30000000 USD 2020-11-23 XXXX 39175.00000000 N N N Credit Acceptance Auto Loan Trust 549300J9CNONESCISQ91 22534BAE4 1040000.00000000 PA USD 1042267.51000000 0.113757592657 Long ABS-O CORP US Y 2 2027-06-15 Fixed 3.77000000 N N N N N N N/A N/A N/A -2925000.00000000 NC -2093935.74000000 -0.22854122063 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Written N/A Option 1.00000000 11.00000000 EUR 2021-01-06 XXXX -1508372.19000000 N N N Santander Drive Auto Receivables Trust N/A 80284TAP0 1110000.00000000 PA USD 1104303.48000000 0.120528467253 Long ABS-O CORP US Y 2 2024-07-15 Fixed 5.05000000 N N N N N N N/A N/A N/A -60000000.00000000 NC USD -2639839.80000000 -0.28812355539 N/A DIR N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A N/A 1.00000000 NC USD N/A N/A DIR 2049-12-31 0.00000000 USD 0.00000000 USD 60000000.00000000 USD 1.00000000 1.07100000 USD 2020-09-04 XXXX -1394839.80000000 N N N Freddie Mac REMICs N/A 3133TTX30 8773.19000000 PA USD 10061.82000000 0.001098190637 Long ABS-APCP USGSE US N 2 2031-06-15 Fixed 6.50000000 N N N N N N FREMF Mortgage Trust 5493000QSGFCHIR1BT31 30261QAM5 95000.00000000 PA USD 94017.42000000 0.010261468638 Long ABS-APCP USGSE US Y 2 2045-12-25 Variable 3.59765100 N N N N N N COMM Mortgage Trust N/A 12592PBH5 1600000.00000000 PA USD 1669341.76000000 0.182199193698 Long ABS-MBS CORP US N 2 2047-12-10 Fixed 4.04800000 N N N N N N N/A N/A N/A -21143750.00000000 NC USD -2537482.58000000 -0.27695184483 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written N/A Option 1.00000000 16.00000000 USD 2020-07-23 XXXX -1921903.44000000 N N N Fannie Mae REMICs N/A 31397QRZ3 15.86000000 PA USD 15.86000000 0.000001731029 Long ABS-APCP USGSE US N 2 2020-05-25 Fixed 3.00000000 N N N N N N Santander Drive Auto Receivables Trust N/A 80285TAG9 290000.00000000 PA USD 281480.82000000 0.030722036478 Long ABS-O CORP US N 2 2024-03-15 Fixed 3.32000000 N N N N N N N/A N/A N/A 1.00000000 NC -983903.05000000 -0.10738744257 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2025-01-30 -366.15000000 CAD 0.00000000 CAD 41250000.00000000 CAD -983536.90000000 N N N N/A N/A N/A 1.00000000 NC -440223.17000000 -0.04804786445 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2029-10-01 -192.49000000 CAD 0.00000000 CAD 10650000.00000000 CAD -440030.68000000 N N N N/A N/A N/A 1460000.00000000 NC USD 51234.32000000 0.005591935706 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased N/A N/A 1.00000000 3.85000000 USD 2021-08-17 XXXX -366033.68000000 N N N NRG Energy, Inc. 5E2UPK5SW04M13XY7I38 629377CC4 816000.00000000 PA USD 853168.80000000 0.093118539997 Long DBT CORP US N 2 2027-01-15 Fixed 6.62500000 N N N N N N N/A N/A N/A 1.00000000 NC 55501.25000000 0.006057646936 N/A DIR N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Y 2024-05-23 0.00000000 RUB 0.00000000 RUB 100000000.00000000 RUB 55501.25000000 N N N REC Ltd. 335800B4YRYWAMIJZ374 QZ9333951 140000000.00000000 PA 1864861.88000000 0.203539106872 Long DBT CORP IN N 2 2021-10-21 Fixed 7.24000000 N N N N N N Scientific Games International, Inc. RLTHESQ0RNFQJWPBJN60 80875AAP6 702475.69000000 PA USD 570174.93000000 0.062231362685 Long LON CORP US Y 2 2024-08-14 Floating 4.44180000 N N N N N N Genesis Energy L.P. / Genesis Energy Finance Corp. N/A 37185LAL6 168000.00000000 PA USD 117591.60000000 0.012834456801 Long DBT CORP US N 2 2028-02-01 Fixed 7.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411ES57 491.88000000 PA USD 518.15000000 0.000056553136 Long ABS-MBS USGSE US N 2 2022-01-01 Fixed 5.00000000 N N N N N N SMC Global Power Holdings Corp. 549300HBCE80QXKII590 ZQ3446163 900000.00000000 PA USD 747023.63000000 0.081533396169 Long DBT CORP PH Y 2 N/A Variable 5.95000000 N N N N N N Fannie Mae Interest STRIPS B1V7KEBTPIMZEU4LTD58 3136FCCL8 87235.84000000 PA USD 16088.33000000 0.001755950054 Long ABS-APCP USGSE US N 2 2034-01-25 Fixed 5.50000000 N N N N N N Citigroup Mortgage Loan Trust, Inc. 549300R1KUK063S4I339 17307GRB6 384761.78000000 PA USD 362372.76000000 0.039550933351 Long ABS-MBS CORP US N 2 2035-05-25 Variable 4.36049000 N N N N N N Barclays PLC 213800LBQA1Y9L22JB70 N/A 625000.00000000 PA 551921.81000000 0.060239138069 Long DBT CORP GB Y 2 N/A Variable 5.87500000 N N N N Y British Pound GBP XXXX N N N Aramark Services, Inc. 42YMHYH0XMHJEXDUB065 038522AQ1 225000.00000000 PA USD 210638.25000000 0.022989971395 Long DBT CORP US Y 2 2028-02-01 Fixed 5.00000000 N N N N N N Futura Srl 8156007F4EF8CA400F85 BCC2MEZ52 2740000.00000000 PA 2200060.13000000 0.240124096442 Long ABS-MBS CORP IT Y 2 2044-07-31 Floating 2.66900000 N N N N N N Grupo Aval Ltd. 549300J4FW1ELLQ80113 40053FAC2 750000.00000000 PA USD 604687.50000000 0.065998214134 Long DBT CORP KY Y 2 2030-02-04 Fixed 4.37500000 N N N N N N Fannie Mae REMICs N/A 31396KV58 283902.06000000 PA USD 47024.37000000 0.005132443519 Long ABS-APCP USGSE US N 2 2036-09-25 Floating 5.60325000 N N N N N N Indonesia Treasury Bond 529900FWX0GRR7WG5W79 ZQ4375866 21250000000.00000000 PA 1211028.51000000 0.132176899515 Long DBT NUSS ID N 2 2040-04-15 Fixed 7.50000000 N N N N N N Cosan Ltd. 6354007UNEBWHVSGS270 22113AAB1 1760000.00000000 PA USD 1443200.00000000 0.157517102037 Long DBT CORP BM Y 2 2029-09-20 Fixed 5.50000000 N N N N N N T-Mobile USA, Inc. 549300V2JRLO5DIFGE82 87264AAS4 139000.00000000 PA USD 143161.66000000 0.015625283956 Long DBT CORP US N 2 2025-04-15 Fixed 5.12500000 N N N N N N Argentine Republic Government International Bond 549300KPBYGYF7HCHO27 040114HQ6 1200000.00000000 PA USD 328212.00000000 0.035822479970 Long DBT NUSS AR N 2 2028-01-11 Fixed 5.87500000 N N N N N N N/A N/A N/A -12500000.00000000 NC USD -1878437.50000000 -0.20502080886 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Written N/A Option 1.00000000 15.80000000 USD 2021-01-07 XXXX -1446775.00000000 N N N Freddie Mac Multifamily Structured Pass Through Ctfs. N/A 3137FLN59 1678595.87000000 PA USD 54725.92000000 0.005973024060 Long ABS-APCP USGSE US N 2 2026-02-25 Variable 0.64810000 N N N N N N EQT Corp. 4NT01YGM4X7ZX86ISY52 26884LAF6 128000.00000000 PA USD 89241.60000000 0.009740214948 Long DBT CORP US N 2 2027-10-01 Fixed 3.90000000 N N N N N N KazTransGas JSC 635400YGLXBBSVHONW39 48668NAA9 1590000.00000000 PA USD 1427756.40000000 0.155831520609 Long DBT CORP KZ Y 2 2027-09-26 Fixed 4.37500000 N N N N N N Spirit AeroSystems, Inc. ZD2NBKV6GCC3UMGBM518 85205TAK6 167000.00000000 PA USD 143932.55000000 0.015709422231 Long DBT CORP US N 2 2028-06-15 Fixed 4.60000000 N N N N N N EQT Corp. 4NT01YGM4X7ZX86ISY52 26884LAG4 117000.00000000 PA USD 88044.84000000 0.009609595375 Long DBT CORP US N 2 2030-02-01 Fixed 7.00000000 N N N N N N N/A N/A N/A 1.00000000 NC -236653.06000000 -0.02582934049 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 23985868.00000000 BRL -236653.06000000 N N N Freddie Mac REMICs N/A 31395MTC3 17356.87000000 PA USD 3223.05000000 0.000351777643 Long ABS-APCP USGSE US N 2 2035-02-15 Floating 6.04537000 N N N N N N ING Groep N.V. 549300NYKK9MWM7GGW15 AL2981127 1250000.00000000 PA USD 1095880.00000000 0.119609092143 Long DBT CORP NL Y 2 N/A Variable 6.87500000 N N N N Y United States Dollar USD XXXX N N N Charter Communications Operating LLC 549300TPZNMN50BJ3745 16117LBW8 510389.32000000 PA USD 493801.67000000 0.053895654129 Long LON CORP US Y 2 2025-04-30 Floating 2.74000000 N N N N N N Freddie Mac N/A 3128LXNJ5 160491.72000000 PA USD 187397.21000000 0.020453343576 Long ABS-MBS USGSE US N 2 2032-01-01 Fixed 7.50000000 N N N N N N Coriolanus DAC 2138007VV3P448DEQX41 21887JAW2 746096.14000000 PA USD 743051.90000000 0.081099904345 Long DBT CORP IE Y 2 2025-04-30 None 0.00000000 N N N N N N N/A N/A N/A -25000000.00000000 NC USD -3669075.00000000 -0.40045874525 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written N/A Option 1.00000000 23.09000000 USD 2022-01-06 XXXX -3098950.00000000 N N N N/A N/A N/A -1875000.00000000 NC -1181347.96000000 -0.12893743566 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written N/A Option 1.00000000 11.00000000 EUR 2021-08-26 XXXX -624089.48000000 N N N 1011778 BC ULC/New Red Finance, Inc. N/A 68245XAE9 855000.00000000 PA USD 821864.48000000 0.089701850857 Long DBT CORP CA Y 2 2025-10-15 Fixed 5.00000000 N N N N N N ACCO Brands Corp. JCT8P4Y190IH4I1NX328 00081TAJ7 438000.00000000 PA USD 424310.31000000 0.046311065961 Long DBT CORP US Y 2 2024-12-15 Fixed 5.25000000 N N N N N N Axtel S.A.B de C.V. 549300BVRDR8XTSXAD13 05462GAJ3 1155000.00000000 PA USD 960700.13000000 0.104854975335 Long DBT CORP MX Y 2 2024-11-14 Fixed 6.37500000 N N N N N N N/A N/A N/A 1.00000000 NC 77692.80000000 0.008479728870 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2022-09-29 0.00000000 MXN 0.00000000 MXN 108000000.00000000 MXN 77692.80000000 N N N N/A N/A N/A 1250000.00000000 NC USD 18063.75000000 0.001971555953 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased N/A N/A 1.00000000 3.85000000 USD 2021-02-12 XXXX -228561.25000000 N N N Affinion Group, Inc. T9OUIBIU0EIG4W07U515 00828DAP6 1158507.00000000 PA USD 683519.13000000 0.074602239845 Long DBT CORP US Y 2 2022-11-10 Fixed 12.50000000 N N Y N N N SunCoke Energy Partners L.P./SunCoke Energy Partners Finance Corp. N/A 86723CAF5 1231000.00000000 PA USD 895515.57000000 0.097740449983 Long DBT CORP US Y 2 2025-06-15 Fixed 7.50000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 64072UAK8 512000.00000000 PA USD 495784.96000000 0.054112118994 Long LON CORP US Y 2 2027-04-15 Floating 3.11163000 N N N N N N N/A N/A N/A -255500000.00000000 NC -1044.25000000 -0.00011397397 N/A DIR N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Written Goldman Sachs International W22LROWP2IHZNBB6K528 N/A N/A N/A 1.00000000 NC N/A N/A DIR 2049-12-31 0.00000000 RUB 0.00000000 RUB 255500000.00000000 RUB 1.00000000 8.08000000 RUB 2020-06-15 XXXX 78322.06000000 N N N N/A N/A N/A -29450000.00000000 NC USD -2793833.15000000 -0.30493105693 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Written N/A N/A 1.00000000 77.08900000 USD 2021-03-08 XXXX -2156358.45000000 N N N HSBC Bank PLC MP6I5ZYZBEU3UXPYFY54 ZZ2005481 370000.00000000 PA USD 247900.00000000 0.027056880262 Long DBT CORP GB N 2 N/A Floating 1.42525000 N N N N N N Caesars Resort Collection LLC 549300V3UCT773B1KR38 12769LAB5 724441.63000000 PA USD 594042.14000000 0.064836333412 Long LON CORP US Y 2 2024-12-23 Floating 3.73938000 N N N N N N Argentine Bonos del Tesoro 549300KPBYGYF7HCHO27 QZ7003432 9285000.00000000 PA 69874.65000000 0.007626422099 Long DBT NUSS AR N 2 2021-10-03 Fixed 18.20000000 N N N N N N Fannie Mae Interest STRIPS B1V7KEBTPIMZEU4LTD58 3136FCQE9 68052.46000000 PA USD 11766.63000000 0.001284260988 Long ABS-APCP USGSE US N 2 2035-06-25 Fixed 5.50000000 N N N N N N Par Pharmaceutical, Inc. 549300KK5WR4MGN4YT97 69888XAA7 488000.00000000 PA USD 489256.60000000 0.053399585493 Long DBT CORP US Y 2 2027-04-01 Fixed 7.50000000 N N N N N N Fannie Mae REMICs N/A 31393Y5U5 238260.42000000 PA USD 50828.81000000 0.005547676587 Long ABS-APCP USGSE US N 2 2033-10-25 Floating 5.92325000 N N N N N N AerCap Global Aviation Trust 635400FBSV8LXXNRV758 00773HAA5 483000.00000000 PA USD 404053.65000000 0.044100166308 Long DBT CORP US Y 2 2045-06-15 Variable 6.50000000 N N N N N N NGL Energy Partners L.P./NGL Energy Finance Corp. N/A 62913TAJ1 124000.00000000 PA USD 44016.28000000 0.004804127541 Long DBT CORP US N 2 2023-11-01 Fixed 7.50000000 N N N N N N Tenet Healthcare Corp. 0W9AIBT6U6ADJ2I8HK17 88033GCX6 258000.00000000 PA USD 252517.50000000 0.027560854222 Long DBT CORP US Y 2 2027-02-01 Fixed 6.25000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 550770.34000000 0.060113461644 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2030-06-17 0.00000000 USD 0.00000000 USD 71250000.00000000 USD 550770.34000000 N N N Republic of Ghana Bond 213800PP4399SNNXZ126 37443GAH4 840000.00000000 PA USD 595560.00000000 0.065001999230 Long DBT NUSS GH Y 2 2035-02-11 Fixed 7.87500000 N N N N N N Russian Federal Bond - OFZ 5493004EHVGF71PDBU58 ZS2796762 200000000.00000000 PA 2728418.64000000 0.297791433840 Long DBT NUSS RU N 2 2030-04-10 Fixed 7.65000000 N N N N N N Sabine Oil & Gas Holdings, Inc. N/A 78532M104 837.00000000 NS USD 13475.70000000 0.001470796294 Long EC CORP US N 1 N N N Kenya Government International Bond 549300VVURQQYU45PR87 491798AE4 750000.00000000 PA USD 717804.75000000 0.078344320987 Long DBT NUSS KE Y 2 2024-06-24 Fixed 6.87500000 N N N N N N N/A N/A N/A 1.00000000 NC 14435.68000000 0.001575572671 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2030-03-06 0.00000000 CAD 67.88000000 CAD 8750000.00000000 CAD 14367.80000000 N N N Citigroup Commercial Mortgage Trust N/A 17326FAF4 6073537.45000000 PA USD 341788.93000000 0.037304324946 Long ABS-MBS CORP US N 2 2050-10-12 Variable 1.10621200 N N N N N N Bausch Health Americas, Inc. KOO0397YRO83WY5MGD97 C9413PBB8 496400.00000000 PA USD 474062.00000000 0.051741181004 Long LON CORP US Y 2 2025-11-27 Floating 3.36163000 N N N N N N Argentine Treasury Bills 549300KPBYGYF7HCHO27 AV2670751 189100000.00000000 PA 3212838.47000000 0.350663113296 Long DBT NUSS AR N 2 2020-07-29 None 0.00000000 N N N N N N Fannie Mae Interest STRIPS B1V7KEBTPIMZEU4LTD58 3136FAAB6 205966.56000000 PA USD 33766.79000000 0.003685453787 Long ABS-APCP USGSE US N 2 2031-06-25 Fixed 6.50000000 N N N N N N Beazer Homes USA, Inc. 549300DUPYT2T0F60I45 07556QBM6 526000.00000000 PA USD 428029.87000000 0.046717034858 Long DBT CORP US N 2 2025-03-15 Fixed 6.75000000 N N N N N N Lamb Weston Holdings, Inc. 5493005SMYID1D2OY946 513272AA2 235000.00000000 PA USD 232944.93000000 0.025424619115 Long DBT CORP US Y 2 2024-11-01 Fixed 4.62500000 N N N N N N Novelis Corp. 549300G5F3W3B52WYL23 670001AE6 340000.00000000 PA USD 304512.50000000 0.033235813840 Long DBT CORP US Y 2 2030-01-30 Fixed 4.75000000 N N N N N N PT Jasa Marga (Persero) Tbk 213800OEG8K7MC4FWG29 69369TAA4 9160000000.00000000 PA 557238.12000000 0.060819383181 Long DBT CORP ID Y 2 2020-12-11 Fixed 7.50000000 N N N N N N Brazil Notas do Tesouro Nacional 254900ZFY40OYEADAP90 ED5757767 3400000.00000000 PA 2680909.11000000 0.292606037855 Long DBT NUSS BR N 2 2045-05-15 Fixed 6.00000000 N N N N N N MGM China Holdings Ltd. 529900VZFN87OS7WJM66 55300RAA9 1505000.00000000 PA USD 1428327.78000000 0.155893883498 Long DBT CORP KY Y 2 2024-05-15 Fixed 5.37500000 N N N N N N Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. N/A 983130AX3 322000.00000000 PA USD 292617.50000000 0.031937541993 Long DBT CORP US Y 2 2027-05-15 Fixed 5.25000000 N N N N N N Coriolanus DAC 2138007VV3P448DEQX41 21887JAQ5 832863.47000000 PA USD 829465.20000000 0.090531426375 Long DBT CORP IE Y 2 2025-04-30 None 0.00000000 N N N N N N Agile Group Holdings Ltd. 549300ZRISRT38EEYY07 AX4499155 1250000.00000000 PA USD 1209338.59000000 0.131992454323 Long DBT CORP KY Y 2 2022-03-07 Fixed 6.70000000 N N N N N N N/A N/A N/A 2044.00000000 NC USD 9934415.15000000 1.084285119779 N/A DIR N/A N 1 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Long United States Treasury Note/Bond U.S. Treasury Notes 2020-06-19 273542834.85000000 USD 9934415.15000000 N N N Senegal Government International Bond 549300NP14ZLQGWIUZ97 81720TAD7 1180000.00000000 PA USD 976893.68000000 0.106622409556 Long DBT NUSS SN Y 2 2048-03-13 Fixed 6.75000000 N N N N N N CEC Entertainment, Inc. 549300MWTY75LB8TRO50 125137AB5 238000.00000000 PA USD 104347.77000000 0.011388967803 Long DBT CORP US N 2 2022-02-15 Fixed 8.00000000 N N N N N N China Evergrande Group 549300CUF7B1LAB15T90 ZP5378630 625000.00000000 PA USD 506222.91000000 0.055251362089 Long DBT CORP KY Y 2 2023-01-22 Fixed 11.50000000 N N N N N N Gemgarto 635400XEGHQ3XAFEI153 BCC2H8KP3 2224480.01000000 PA 2466070.81000000 0.269157654802 Long ABS-MBS CORP GB Y 2 2065-09-16 Floating 2.73675000 N N N N N N Sri Lanka Government International Bond 254900HXCCIOHM74FA02 85227SAK2 1350000.00000000 PA USD 931500.00000000 0.101667946610 Long DBT NUSS LK Y 2 2022-07-25 Fixed 5.87500000 N N N N N N FREMF Mortgage Trust N/A 30291HAG2 2330000.00000000 PA USD 2287141.28000000 0.249628510515 Long ABS-APCP USGSE US Y 2 2046-06-25 Variable 3.48986500 N N N N N N Republic of Sri Lanka Bond 254900HXCCIOHM74FA02 85227SAW6 200000.00000000 PA USD 117020.28000000 0.012772100460 Long DBT NUSS LK Y 2 2028-04-18 Fixed 6.75000000 N N N N N N Chase Mortgage Finance Trust N/A 16162WPX1 8442.00000000 PA USD 7281.23000000 0.000794704995 Long ABS-MBS CORP US N 2 2036-01-25 Variable 3.87764300 N N N N N N Credit Acceptance Auto Loan Trust N/A 22535AAE5 515000.00000000 PA USD 506440.80000000 0.055275143548 Long ABS-O CORP US Y 2 2028-06-15 Fixed 3.94000000 N N N N N N N/A N/A N/A 63000000.00000000 NC USD 154318.50000000 0.016842989821 N/A DIR N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A N/A 1.00000000 NC USD N/A N/A DIR 2049-12-31 0.00000000 USD 0.00000000 USD 63000000.00000000 USD 1.00000000 1.70000000 USD 2020-11-27 XXXX -1395481.50000000 N N N Fannie Mae REMICs N/A 31397L5D7 10378.85000000 PA USD 1712.97000000 0.000186960968 Long ABS-APCP USGSE US N 2 2038-07-25 Floating 4.42325000 N N N N N N Credit Acceptance Auto Loan Trust N/A 22535AAC9 85000.00000000 PA USD 83586.37000000 0.009122978639 Long ABS-O CORP US Y 2 2028-04-17 Fixed 3.75000000 N N N N N N William Carter Co. (The) TGI2A0HXEYNQPU7TYV27 96926JAC1 738000.00000000 PA USD 712562.99000000 0.077772212585 Long DBT CORP US Y 2 2027-03-15 Fixed 5.62500000 N N N N N N Taylor Morrison Communities, Inc. 549300O1Z08HI2MRK572 87724RAB8 410000.00000000 PA USD 369597.58000000 0.040339481514 Long DBT CORP US Y 2 2028-01-15 Fixed 5.75000000 N N N N N N Fannie Mae Connecticut Avenue Securities N/A 20753MAF5 1416220.73000000 PA USD 1174528.93000000 0.128193177184 Long ABS-MBS USGSE US Y 2 2031-09-25 Floating 3.77675000 N N N N N N Antero Midstream Partners L.P./Antero Midstream Finance Corp. N/A 03690AAF3 635000.00000000 PA USD 411210.13000000 0.044881255547 Long DBT CORP US Y 2 2028-01-15 Fixed 5.75000000 N N N N N N N/A N/A N/A 1500000.00000000 NC USD 5605.50000000 0.000611808561 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Purchased N/A Option 1.00000000 66.09150000 USD 2020-04-29 XXXX -255844.50000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31374GB89 11589.72000000 PA USD 13356.98000000 0.001457838679 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 7.50000000 N N N N N N Freddie Mac N/A 31335HRM7 11031.61000000 PA USD 12226.20000000 0.001334420449 Long ABS-MBS USGSE US N 2 2021-11-01 Fixed 6.00000000 N N N N N N HomeBanc Mortgage Trust N/A 43739EBK2 6859.55000000 PA USD 6744.07000000 0.000736077024 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.24675000 N N N N N N Morgan Stanley BAML Trust N/A 61690GAJ0 240000.00000000 PA USD 248681.62000000 0.027142189656 Long ABS-MBS CORP US N 2 2047-02-15 Variable 4.76441400 N N N N N N Standard Industries, Inc. 54930064UHXCIUWVI755 120111BN8 799000.00000000 PA USD 791225.73000000 0.086357804910 Long DBT CORP US Y 2 2025-10-15 Fixed 6.00000000 N N N N N N Fannie Mae REMICs N/A 31392CE67 25396.00000000 PA USD 25861.32000000 0.002822616533 Long ABS-APCP USGSE US N 2 2032-04-25 Floating 2.62675000 N N N N N N Fannie Mae Interest STRIPS B1V7KEBTPIMZEU4LTD58 3136FCWD4 44060.25000000 PA USD 9793.20000000 0.001068872286 Long ABS-APCP USGSE US N 2 2035-08-25 Fixed 6.00000000 N N N N N N N/A N/A N/A -25000000.00000000 NC USD -3860000.00000000 -0.42129712712 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Written N/A Option 1.00000000 66.14900000 USD 2020-04-29 XXXX -3676950.00000000 N N N Centene Corp. 549300Z7JJ4TQSQGT333 15135BAD3 268000.00000000 PA USD 270771.12000000 0.029553133410 Long DBT CORP US N 2 2022-05-15 Fixed 4.75000000 N N N N N N BNP Paribas S.A. R0MUWSFPU8MPRO8K5P83 05565AAQ6 925000.00000000 PA USD 903609.38000000 0.098623843480 Long DBT CORP FR Y 2 N/A Variable 7.62500000 N N N N Y United States Dollar USD XXXX N N N HCA, Inc. L3CJ6J7LJ2DX62FTXD46 404121AH8 985000.00000000 PA USD 1022011.38000000 0.111546750850 Long DBT CORP US N 2 2026-09-01 Fixed 5.37500000 N N N N N N United Rentals North America, Inc. NGIZXNT70J2LYT3FBI09 911365BL7 504000.00000000 PA USD 506646.00000000 0.055297539966 Long DBT CORP US N 2 2030-01-15 Fixed 5.25000000 N N N N N N N/A N/A N/A 9375000.00000000 NC 159356.43000000 0.017392851333 N/A DIR N/A N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Put Purchased Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A N/A N/A 1.00000000 NC N/A N/A DIR 2049-12-31 0.00000000 EUR 0.00000000 EUR 9375000.00000000 EUR 1.00000000 0.53200000 EUR 2021-11-25 XXXX -7184.89000000 N N N Telecom Italia Capital S.A. 549300777DJZOR5C4L39 87927VAR9 1039000.00000000 PA USD 1083469.20000000 0.118254523649 Long DBT CORP LU N 2 2036-07-18 Fixed 7.20000000 N N N N N N Coriolanus DAC 2138007VV3P448DEQX41 21887JAV4 950641.76000000 PA USD 946762.93000000 0.103333808931 Long DBT CORP IE Y 2 2025-04-30 None 0.00000000 N N N N N N Indian Government International Bond N/A AQ5842770 265000000.00000000 PA 3649163.10000000 0.398285474206 Long DBT NUSS IN N 2 2028-01-08 Fixed 7.17000000 N N N N N N Hanesbrands, Inc. GX5LWVWZLL5S4W1L2F20 410345AJ1 314000.00000000 PA USD 312824.07000000 0.034142974607 Long DBT CORP US Y 2 2024-05-15 Fixed 4.62500000 N N N N N N Fannie Mae REMICs N/A 31394UZH8 318589.29000000 PA USD 334351.50000000 0.036492571606 Long ABS-APCP USGSE US N 2 2025-12-25 Fixed 5.50000000 N N N N N N Dun & Bradstreet Corp. (The) RI37BMPWE56BCJ747E14 26483NAN0 432000.00000000 PA USD 392580.00000000 0.042847882426 Long LON CORP US Y 2 2026-02-06 Floating 4.95913000 N N N N N N N/A N/A N/A 1.00000000 NC 52851.13000000 0.005768401356 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2022-03-02 0.00000000 MXN 0.00000000 MXN 253750000.00000000 MXN 52851.13000000 N N N Meredith Corp. 549300YC8BC386CCTS24 589433AB7 578000.00000000 PA USD 501107.22000000 0.054693013514 Long DBT CORP US N 2 2026-02-01 Fixed 6.87500000 N N N N N N Madison Park Funding XI Ltd. N/A 55818KAU5 250000.00000000 PA USD 200644.48000000 0.021899208030 Long ABS-CBDO CORP KY Y 2 2029-07-23 Floating 5.05625000 N N N N N N Gulfport Energy Corp. 549300FJX18IDUFPHD40 402635AE6 735000.00000000 PA USD 211996.05000000 0.023138167571 Long DBT CORP US N 2 2023-05-01 Fixed 6.62500000 N N N N N N MASTR Asset Backed Securities Trust N/A 55291KAC1 815241.79000000 PA USD 324570.66000000 0.035425048343 Long ABS-MBS CORP US N 2 2036-08-25 Floating 1.72675000 N N N N N N WFRBS Commercial Mortgage Trust 549300UVB571ELWL8972 92890FBB1 490000.00000000 PA USD 511073.53000000 0.055780779776 Long ABS-MBS CORP US N 2 2047-05-15 Fixed 4.17600000 N N N N N N Fannie Mae REMICs N/A 313921R34 29626.38000000 PA USD 6238.04000000 0.000680846717 Long ABS-APCP USGSE US N 2 2031-11-18 Floating 6.24150000 N N N N N N Docuformas S.A. de C.V. 549300HM88E943FM9K17 25615WAB9 365000.00000000 PA USD 251395.58000000 0.027438403011 Long DBT CORP MX Y 2 2024-07-24 Fixed 10.25000000 N N N N N N UniCredit S.p.A. 549300TRUWO2CD2G5692 AN6130636 500000.00000000 PA 433906.55000000 0.047358441180 Long DBT CORP IT Y 2 N/A Variable 6.62500000 N N N N Y Euro EUR XXXX N N N Crestwood Midstream Partners L.P. / Crestwood Midstream Finance Corp. 549300VJQPPSEJPBNA66 226373AQ1 463000.00000000 PA USD 258022.96000000 0.028161743984 Long DBT CORP US Y 2 2027-05-01 Fixed 5.62500000 N N N N N N JPMBB Commercial Mortgage Securities Trust N/A 46643GAK6 680000.00000000 PA USD 676292.37000000 0.073813479942 Long ABS-MBS CORP US N 2 2047-11-15 Variable 4.11570000 N N N N N N Operadora de Servicios Mega S.A. de C.V. Sofom ER 4469000001BP4DCM0P31 68373NAA3 415000.00000000 PA USD 285831.25000000 0.031196861260 Long DBT CORP MX Y 2 2025-02-11 Fixed 8.25000000 N N N N N N Olin Corp. 549300GKK294V7W57P06 680665AJ5 110000.00000000 PA USD 99058.58000000 0.010811682686 Long DBT CORP US N 2 2027-09-15 Fixed 5.12500000 N N N N N N Ally Financial, Inc. 549300JBN1OSM8YNAI90 02005NBF6 785000.00000000 PA USD 773774.50000000 0.084453102044 Long DBT CORP US N 2 2025-11-20 Fixed 5.75000000 N N N N N N 1011778 BC ULC/New Red Finance, Inc. N/A 68245XAC3 287000.00000000 PA USD 288074.82000000 0.031441734213 Long DBT CORP CA Y 2 2024-05-15 Fixed 4.25000000 N N N N N N eG Global Finance PLC 549300TL8Q5207VYET27 28228PAB7 296000.00000000 PA USD 265291.48000000 0.028955061755 Long DBT CORP GB Y 2 2025-10-30 Fixed 8.50000000 N N N N N N Fannie Mae Interest STRIPS B1V7KEBTPIMZEU4LTD58 3136FAXJ4 115133.22000000 PA USD 23369.57000000 0.002550656140 Long ABS-APCP USGSE US N 2 2033-02-25 Fixed 6.00000000 N N N N N N Avis Budget Car Rental LLC / Avis Budget Finance, Inc. N/A 053773BC0 514000.00000000 PA USD 412574.95000000 0.045030217916 Long DBT CORP US Y 2 2027-07-15 Fixed 5.75000000 N N N N N N Newgate Funding PLC 2138006KF4KS6D5P1697 BCC0W9F25 8420668.52000000 PA 9204698.73000000 1.004640707510 Long ABS-MBS CORP GB Y 2 2050-12-01 Floating 0.83275000 N N N N N N Eskom Holdings SOC Ltd. 3789001900ED06F65111 29646AAB2 625000.00000000 PA USD 450246.25000000 0.049141826845 Long DBT CORP ZA Y 2 2025-02-11 Fixed 7.12500000 N N N N N N Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons LLC N/A 013092AB7 304000.00000000 PA USD 311098.40000000 0.033954627505 Long DBT CORP US Y 2 2028-02-15 Fixed 5.87500000 N N N N N N SLM Student Loan Trust 549300X8NQUWETBWGE24 BCC0FEJQ6 8246759.34000000 PA 8493762.65000000 0.927046062931 Long ABS-O CORP US Y 2 2039-10-25 Floating 0.01400000 N N N N N N HTA Group Ltd. 213800WEFU8O8X6EPU13 40435WAA8 1705000.00000000 PA USD 1598778.50000000 0.174497613719 Long DBT CORP MU Y 2 2022-03-08 Fixed 9.12500000 N N N N N N Russia Government Bond 5493004EHVGF71PDBU58 EJ5257898 250000000.00000000 PA 3271565.44000000 0.357072829292 Long DBT NUSS RU N 2 2028-01-19 Fixed 7.05000000 N N N N N N Coriolanus DAC 2138007VV3P448DEQX41 21887JAT9 733626.30000000 PA USD 730632.94000000 0.079744445234 Long DBT CORP IE Y 2 2025-04-30 None 0.00000000 N N N N N N Societe Generale S.A. O2RNE8IBXP4R0TD8PU41 83368JFA3 875000.00000000 PA USD 801233.13000000 0.087450055913 Long DBT CORP FR Y 2 N/A Variable 8.00000000 N N N N Y United States Dollar USD XXXX N N N Ivory Coast Government International Bond 254900ICW11T82O6H590 ZQ0749023 2330000.00000000 PA 2215776.93000000 0.241839496102 Long DBT NUSS CI Y 2 2040-10-17 Fixed 6.87500000 N N N N N N Freddie Mac REMICs N/A 31395U5B3 142391.25000000 PA USD 22978.39000000 0.002507961060 Long ABS-APCP USGSE US N 2 2035-05-15 Floating 6.01537000 N N N N N N Petroleos Mexicanos 549300CAZKPF4HKMPX17 71654QBW1 1797000.00000000 PA USD 1324375.52000000 0.144548083370 Long DBT CORP MX N 2 2026-01-23 Fixed 4.50000000 N N N N N N UBS Commercial Mortgage Trust N/A 90276TAH7 3776502.94000000 PA USD 199522.09000000 0.021776705521 Long ABS-MBS CORP US N 2 2050-11-15 Variable 1.01212600 N N N N N N Connecticut Avenue Securities Trust N/A 20753QAE9 2118987.13000000 PA USD 1834758.27000000 0.200253468424 Long ABS-MBS USGSE US Y 2 2031-04-25 Floating 4.02675000 N N N N N N CCO Holdings LLC / CCO Holdings Capital Corp. N/A 1248EPCE1 797000.00000000 PA USD 785543.13000000 0.085737581321 Long DBT CORP US Y 2 2030-08-15 Fixed 4.50000000 N N N N N N DT Auto Owner Trust N/A 23341TAG1 338350.36000000 PA USD 338209.98000000 0.036913702833 Long ABS-O CORP US Y 2 2023-01-15 Fixed 3.89000000 N N N N N N XPO Logistics, Inc. 54930096DB9LCLPN7H13 983793AF7 471000.00000000 PA USD 463937.36000000 0.050636133920 Long DBT CORP US Y 2 2023-09-01 Fixed 6.12500000 N N N N N N Lennar Corp. 529900G61XVRLX5TJX09 526057BV5 367000.00000000 PA USD 355533.09000000 0.038804422128 Long DBT CORP US N 2 2025-05-30 Fixed 4.75000000 N N N N N N N/A N/A N/A 1.00000000 NC USD -7716004.52000000 -0.84215817024 N/A DCR N/A N 2 Intercontinental Exchange Inc 5493000F4ZO33MV32P92 MARKIT CDX.NA.HY.33 12/24* CDX HY CDSI S33 5Y PRC 2276162 N/A Y The Fund makes or receives a payment if a defined credit event occurs with respect to the reference instrument 2024-12-20 -6499332.59000000 USD 0.00000000 USD 121765000.00000000 USD -1216671.93000000 N N N Asbury Automotive Group, Inc. 549300JH4DTA7U42GL91 043436AT1 102000.00000000 PA USD 87465.00000000 0.009546309125 Long DBT CORP US Y 2 2030-03-01 Fixed 4.75000000 N N N N N N Freddie Mac REMICs N/A 31398LPG7 33672.82000000 PA USD 6141.49000000 0.000670308832 Long ABS-APCP USGSE US N 2 2039-12-15 Floating 5.54537000 N N N N N N Amsted Industries, Inc. N2VLGYMEEBIU3PFSUY86 032177AH0 248000.00000000 PA USD 243401.46000000 0.026565890112 Long DBT CORP US Y 2 2027-07-01 Fixed 5.62500000 N N N N N N Sri Lanka Government International Bond 254900HXCCIOHM74FA02 85227SAJ5 1560000.00000000 PA USD 1076400.00000000 0.117482960527 Long DBT NUSS LK Y 2 2021-07-27 Fixed 6.25000000 N N N N N N Freddie Mac REMICs N/A 3137AEH57 43249.04000000 PA USD 47168.35000000 0.005148158120 Long ABS-APCP USGSE US N 2 2038-06-15 Fixed 4.00000000 N N N N N N Hanesbrands, Inc. GX5LWVWZLL5S4W1L2F20 410345AL6 335000.00000000 PA USD 330996.75000000 0.036126419653 Long DBT CORP US Y 2 2026-05-15 Fixed 4.87500000 N N N N N N Argentine Treasury Bills 549300KPBYGYF7HCHO27 AX2686340 56000000.00000000 PA 814461.70000000 0.088893879368 Long DBT NUSS AR N 2 2020-05-28 None 0.00000000 N N N N N N Fannie Mae Interest STRIPS B1V7KEBTPIMZEU4LTD58 31364JZP1 19476.89000000 PA USD 3547.58000000 0.000387198254 Long ABS-APCP USGSE US N 2 2029-04-25 Fixed 6.50000000 N N N N N N Level 3 Financing, Inc. OKXQCBALRQBU7RU5WQ22 527298BM4 971000.00000000 PA USD 975782.18000000 0.106501095630 Long DBT CORP US N 2 2026-03-15 Fixed 5.25000000 N N N N N N Golden Nugget Inc. 91D14OD6M4H1RVBN7R43 38113YAC3 451000.00000000 PA USD 236197.72000000 0.025779642712 Long DBT CORP US Y 2 2025-10-01 Fixed 8.75000000 N N N N N N Dcp Midstream Operating LP 549300Y6CTBSE0QIPL28 23311RAE6 235000.00000000 PA USD 207234.75000000 0.022618498656 Long DBT CORP US Y 2 2021-09-30 Fixed 4.75000000 N N N N N N N/A N/A N/A 1650000.00000000 NC USD 31602.45000000 0.003449228340 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased N/A Option 1.00000000 58.50000000 USD 2020-08-04 XXXX -270677.55000000 N N N Colombian Titulos De Tesoreria 549300MHDRBVRF6B9117 EH7652033 10146000000.00000000 PA 2856057.96000000 0.311722542343 Long DBT NUSS CO N 2 2024-07-24 Fixed 10.00000000 N N N N N N Countrywide Home Loans N/A 12669G5U1 326296.14000000 PA USD 305470.16000000 0.033340337002 Long ABS-MBS CORP US N 2 2035-09-25 Fixed 5.50000000 N N N N N N FREMF Mortgage Trust N/A 302949AQ5 280000.00000000 PA USD 274989.18000000 0.030013510757 Long ABS-APCP USGSE US Y 2 2050-01-25 Variable 3.87457200 N N N N N N N/A N/A N/A 1.00000000 NC -524686.97000000 -0.05726660961 N/A DCR N/A N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 MARKIT ITRX EUR SUB FIN 12/24 SUBFIN CDSI S32 5Y 2324797 N/A Y The Fund makes or receives a payment if a defined credit event occurs with respect to the reference instrument 2021-12-20 -93814.68000000 EUR 0.00000000 EUR 2500000.00000000 EUR -430872.29000000 N N N Sirius XM Radio, Inc. WP5O65E6BMU84LNO4227 82967NBC1 541000.00000000 PA USD 554822.55000000 0.060555737403 Long DBT CORP US Y 2 2029-07-01 Fixed 5.50000000 N N N N N N Alhambra SME Funding 635400YAJGI5TGJENW90 BCC2KKGU6 150000.00000000 PA 162091.47000000 0.017691365451 Long ABS-CBDO CORP IE Y 2 2028-11-30 Floating 8.81200000 N N N N N N AES Andres BV / Dominican Power Partners / Empresa Generadora de Electricidad It N/A 00809YAB4 490000.00000000 PA USD 458885.00000000 0.050084697456 Long DBT CORP NL Y 2 2026-05-11 Fixed 7.95000000 N N N N N N N/A N/A N/A 195000000.00000000 NC 1.39000000 0.000000151710 N/A DIR N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A N/A 1.00000000 NC N/A N/A DIR 2049-12-31 0.00000000 CAD 0.00000000 CAD 195000000.00000000 CAD 1.00000000 2.58750000 CAD 2020-03-30 XXXX -340945.75000000 N N N Equinix, Inc. 549300EVUN2BTLJ3GT74 29444UAQ9 781000.00000000 PA USD 801243.52000000 0.087451189922 Long DBT CORP US N 2 2026-01-15 Fixed 5.87500000 N N N N N N CCG Receivables Trust N/A 12508UAC9 635000.00000000 PA USD 634761.62000000 0.069280633915 Long ABS-O CORP US Y 2 2023-11-14 Fixed 2.75000000 N N N N N N Fannie Mae REMICs N/A 31392DCP5 31736.41000000 PA USD 6336.01000000 0.000691539588 Long ABS-APCP USGSE US N 2 2032-04-25 Floating 5.37325000 N N N N N N American Credit Acceptance Receivables Trust N/A 02529JAE6 113214.08000000 PA USD 112465.62000000 0.012274985131 Long ABS-O CORP US Y 2 2024-01-10 Fixed 2.94000000 N N N N N N Mos.ru N/A N/A 22725039.92000000 PA 0.00000000 0.000000 Long DBT CORP RU N 3 2034-08-22 Fixed 5.00000000 N N N N N N Ford Motor Credit Co. LLC UDSQCVRUX5BONN0VY111 345397XL2 2500000.00000000 PA USD 2230000.00000000 0.243391863597 Long DBT CORP US N 2 2025-08-04 Fixed 4.13400000 N N N N N N Freddie Mac N/A 3137G0CH0 915000.00000000 PA USD 855615.22000000 0.093385552878 Long ABS-MBS USGSE US N 2 2024-09-25 Floating 5.37675000 N N N N N N Cooperatieve Rabobank UA DG3RU1DBUFHT4ZF9WN62 AU3509638 1800000.00000000 PA 1744558.79000000 0.190408706301 Long DBT CORP NL Y 2 N/A Variable 4.62500000 N N N N Y Euro EUR XXXX N N N Centene Corp. 549300Z7JJ4TQSQGT333 15135BAM3 591000.00000000 PA USD 609468.75000000 0.066520060478 Long DBT CORP US Y 2 2026-08-15 Fixed 5.37500000 N N N N N N Panther BF Aggregator 2 L.P. / Panther Finance Co., Inc. N/A 69867DAC2 278000.00000000 PA USD 244070.10000000 0.026638868380 Long DBT CORP XX Y 2 2027-05-15 Fixed 8.50000000 N N N N N N Morgan Stanley BAML Trust 549300PFVBG5704L7K74 61762DAY7 570000.00000000 PA USD 576967.91000000 0.062972777960 Long ABS-MBS CORP US N 2 2046-05-15 Fixed 3.45600000 N N N N N N Dominican Republic International Bond 254900EHU7Q8FGVPI369 25714PEB0 1187000.00000000 PA USD 1056792.04000000 0.115342862802 Long DBT NUSS DO Y 2 2049-06-05 Fixed 6.40000000 N N N N N N Countrywide Home Equity Loan Trust N/A 126685AM8 14048.21000000 PA USD 13571.27000000 0.001481227218 Long ABS-MBS CORP US N 2 2035-12-15 Floating 1.88825000 N N N N N N GS Mortgage Securities Trust N/A 36252RAQ2 181269.03000000 PA USD 186925.42000000 0.020401850371 Long ABS-MBS CORP US N 2 2047-01-10 Fixed 3.64800000 N N N N N N FREMF Mortgage Trust N/A 30295MAU6 815000.00000000 PA USD 796726.64000000 0.086958198066 Long ABS-APCP USGSE US Y 2 2023-11-25 Variable 3.70228000 N N N N N N T-Mobile USA, Inc. 549300V2JRLO5DIFGE82 87264AAQ8 232000.00000000 PA USD 237213.04000000 0.025890459136 Long DBT CORP US N 2 2024-04-15 Fixed 6.00000000 N N N N N N MPH Acquisition Holdings LLC 5493002WXOPRPTXWTU06 553283AB8 503000.00000000 PA USD 441397.59000000 0.048176045747 Long DBT CORP US Y 2 2024-06-01 Fixed 7.12500000 N N N N N N Advanced Drainage Systems, Inc. 6QQTOZ5MF5DHM7K92I60 00790RAA2 114000.00000000 PA USD 102433.85000000 0.011180074281 Long DBT CORP US Y 2 2027-09-30 Fixed 5.00000000 N N N N N N N/A N/A N/A 1.00000000 NC 31994.41000000 0.003492008553 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2024-12-12 0.00000000 MXN 0.00000000 MXN 106250000.00000000 MXN 31994.41000000 N N N Lennar Corp. 529900G61XVRLX5TJX09 526057CV4 573000.00000000 PA USD 529189.85000000 0.057758073447 Long DBT CORP US N 2 2027-06-15 Fixed 5.00000000 N N N N N N EnerSys 7ZS3DE5PN30BYUJFWP05 29275YAC6 190000.00000000 PA USD 180025.00000000 0.019648708629 Long DBT CORP US Y 2 2027-12-15 Fixed 4.37500000 N N N N N N CIT Group, Inc. N8O96ZZJQRFYQUJY7K79 125581GW2 235000.00000000 PA USD 230594.93000000 0.025168129932 Long DBT CORP US N 2 2025-03-07 Fixed 5.25000000 N N N N N N N/A N/A N/A -12500000.00000000 NC USD -2119100.00000000 -0.23128775701 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written N/A N/A 1.00000000 19.79000000 USD 2020-05-27 XXXX -1974100.00000000 N N N HCA, Inc. L3CJ6J7LJ2DX62FTXD46 404121AJ4 246000.00000000 PA USD 258853.50000000 0.028252392719 Long DBT CORP US N 2 2028-09-01 Fixed 5.62500000 N N N N N N N/A N/A N/A 1.00000000 NC 42071.77000000 0.004591895293 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2022-03-02 0.00000000 MXN 0.00000000 MXN 191250000.00000000 MXN 42071.77000000 N N N MTS Systems Corp. 549300E7ZL4ZDETLML64 553777AA1 548000.00000000 PA USD 512951.29000000 0.055985726640 Long DBT CORP US Y 2 2027-08-15 Fixed 5.75000000 N N N N N N N/A N/A N/A 1.00000000 NC USD -1806126.70000000 -0.19712849480 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2030-01-17 0.00000000 USD 0.00000000 USD 19000000.00000000 USD -1806126.70000000 N N N Tenet Healthcare Corp. 0W9AIBT6U6ADJ2I8HK17 88033GDA5 1177000.00000000 PA USD 1128448.75000000 0.123163786653 Long DBT CORP US Y 2 2027-11-01 Fixed 5.12500000 N N N N N N Centurylink, Inc. 8M3THTGWLTYZVE6BBY25 156700AZ9 330000.00000000 PA USD 333710.85000000 0.036422648288 Long DBT CORP US N 2 2025-04-01 Fixed 5.62500000 N N N N N N PetSmart, Inc. N/A 71677HAG0 430205.25000000 PA USD 413698.27000000 0.045152821929 Long LON CORP US Y 2 2022-03-11 Floating 5.00000000 N N N N N N Cleaver-Brooks, Inc. 549300TRZDD68CZBS255 185401AG1 943000.00000000 PA USD 790936.54000000 0.086326241460 Long DBT CORP US Y 2 2023-03-01 Fixed 7.87500000 N N N N N N Fannie Mae REMICs N/A 31392EHB9 4743.20000000 PA USD 1006.22000000 0.000109823211 Long ABS-APCP USGSE US N 2 2032-09-25 Floating 6.37325000 N N N N N N Freddie Mac REMICs N/A 31339WXH4 429698.25000000 PA USD 70049.75000000 0.007645533272 Long ABS-APCP USGSE US N 2 2032-04-15 Floating 7.29537000 N N N N N N N/A N/A N/A -18750000.00000000 NC USD -19818.75000000 -0.00216310425 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written N/A Option 1.00000000 13320.00000000 USD 2020-07-23 XXXX 36999.38000000 N N N N/A N/A N/A 1.00000000 NC USD 1791825.64000000 0.195567615139 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2025-03-02 0.00000000 USD 0.00000000 USD 64125000.00000000 USD 1791825.64000000 N N N Fannie Mae REMICs N/A 31392DAG7 4720.36000000 PA USD 976.58000000 0.000106588173 Long ABS-APCP USGSE US N 2 2032-04-25 Floating 6.17325000 N N N N N N Freddie Mac N/A 3137G0BK4 1805568.49000000 PA USD 1733145.87000000 0.189163050755 Long ABS-MBS USGSE US N 2 2024-08-25 Floating 5.62675000 N N N N N N Quicksilver Resources, Inc. N/A N/A 4151000.00000000 NS USD 0.00000000 0.000000 Long EC CORP US N 3 N N N Mexico City Airport Trust N/A 59284MAC8 600000.00000000 PA USD 509374.50000000 0.055595340279 Long DBT CORP MX Y 2 2028-04-30 Fixed 3.87500000 N N N N N N TransDigm, Inc. 88Q84GB3X55CF5OC7582 893647BB2 706000.00000000 PA USD 679913.30000000 0.074208683933 Long DBT CORP US N 2 2026-06-15 Fixed 6.37500000 N N N N N N Adient Global Holdings Ltd. 213800VA38VCKE6M8790 00687YAA3 95000.00000000 PA USD 65780.38000000 0.007179555729 Long DBT CORP JE Y 2 2026-08-15 Fixed 4.87500000 N N N N N N N/A N/A N/A 1.00000000 NC 452204.21000000 0.049355527084 N/A DIR N/A N 2 Chicago Mercantile Exchange Inc SNZ2OJLFK8MNNCLQOF39 Y 2023-12-07 0.00000000 MXN 0.00000000 MXN 176800000.00000000 MXN 452204.21000000 N N N Santander Drive Auto Receivables Trust N/A 80285FAG9 145000.00000000 PA USD 144768.90000000 0.015800705095 Long ABS-O CORP US N 2 2024-02-15 Fixed 3.88000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307AQ0 504000.00000000 PA USD 524386.80000000 0.057233847756 Long DBT CORP US Y 2 2027-04-15 Fixed 5.50000000 N N N N N N Michaels Stores, Inc. BV4WJ23XIGNG4UDYEK73 594087AU2 618000.00000000 PA USD 460749.90000000 0.050288240723 Long DBT CORP US Y 2 2027-07-15 Fixed 8.00000000 N N N N N N Freddie Mac REMICs N/A 31392KST4 55483.00000000 PA USD 55524.09000000 0.006060139793 Long ABS-APCP USGSE US N 2 2032-01-15 Floating 1.25463000 N N N N N N Fannie Mae REMICs N/A 31394CKG6 7820.46000000 PA USD 1343.26000000 0.000146609217 Long ABS-APCP USGSE US N 2 2035-03-25 Floating 5.12325000 N N N N N N Banco del Estado de Chile 5493004R4EJC0W0XVQ72 05965MAG8 1250000.00000000 PA USD 1169075.00000000 0.127597911630 Long DBT CORP CL Y 2 2025-01-09 Fixed 2.70400000 N N N N N N Fannie Mae REMICs N/A 3136A5AX4 596710.36000000 PA USD 60724.05000000 0.006627685961 Long ABS-APCP USGSE US N 2 2041-04-25 Fixed 4.00000000 N N N N N N EnLink Midstream Partners, L.P. 88CPW63VL7KHJWS0NY83 29336UAF4 620000.00000000 PA USD 309173.85000000 0.033744573778 Long DBT CORP US N 2 2026-07-15 Fixed 4.85000000 N N N N N N Pitney Bowes, Inc. 549300N2O26NW4ST6W55 724479AN0 157000.00000000 PA USD 117020.74000000 0.012772150667 Long DBT CORP US N 2 2023-04-01 Fixed 5.70000000 N N N N N N Bausch Health Cos., Inc. B3BS7ACMDUWISF18KY76 071734AC1 235000.00000000 PA USD 243260.25000000 0.026550477841 Long DBT CORP CA Y 2 2027-08-15 Fixed 5.75000000 N N N N N N Fannie Mae Interest STRIPS B1V7KEBTPIMZEU4LTD58 31364HVE4 33191.68000000 PA USD 2673.22000000 0.000291766815 Long ABS-APCP USGSE US N 2 2023-03-25 Fixed 7.50000000 N N N N N N Societe Generale S.A. O2RNE8IBXP4R0TD8PU41 83368JKG4 3745000.00000000 PA USD 3464031.38000000 0.378079396026 Long DBT CORP FR Y 2 N/A Variable 7.37500000 N N N N Y United States Dollar USD XXXX N N N Targa Resources Partners L.P. / Targa Resources Partners Finance Corp. N/A 87612BBP6 113000.00000000 PA USD 88281.25000000 0.009635398187 Long DBT CORP US Y 2 2030-03-01 Fixed 5.50000000 N N N N N N Danske Bank A/S MAES062Z21O4RZ2U7M96 AT2149405 625000.00000000 PA USD 529456.25000000 0.057787149498 Long DBT CORP DK Y 2 N/A Variable 7.00000000 N N N N Y United States Dollar USD XXXX N N N AmeriCredit Automobile Receivables Trust N/A 03066KAG5 1185000.00000000 PA USD 1154783.21000000 0.126038043736 Long ABS-O CORP US N 2 2025-04-18 Fixed 2.74000000 N N N N N N N/A N/A N/A 52500000.00000000 NC USD 57530.03000000 0.006279076777 N/A DIR N/A N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Put Purchased Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 N/A N/A N/A 1.00000000 NC USD N/A N/A DIR 2049-12-31 0.00000000 USD 0.00000000 USD 52500000.00000000 USD 1.00000000 1.69500000 USD 2020-08-17 XXXX -766176.97000000 N N N DT Auto Owner Trust N/A 26252TAG1 285000.00000000 PA USD 236859.85000000 0.025851910449 Long ABS-O CORP US Y 2 2025-02-18 Fixed 3.48000000 N N N N N N N/A N/A N/A 1.00000000 NC 1162597.13000000 0.126890888826 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2022-02-25 0.00000000 MXN 1058601.98000000 MXN 260000000.00000000 MXN 103995.15000000 N N N N/A N/A N/A 1.00000000 NC 166859.29000000 0.018211745987 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2025-03-06 0.00000000 MXN 0.00000000 MXN 172500000.00000000 MXN 166859.29000000 N N N Freddie Mac STRIPS S6XOOCT0IEG5ABCC6L87 31282YW70 42683.50000000 PA USD 7265.61000000 0.000793000160 Long ABS-APCP USGSE US N 2 2032-12-15 Fixed 6.00000000 N N N N N N Chemours Co. (The) 549300M1BOLNXL8DOV14 163851AB4 192000.00000000 PA USD 164400.96000000 0.017943433198 Long DBT CORP US N 2 2023-05-15 Fixed 6.62500000 N N N N N N Indian Government International Bond N/A JV4805174 600000000.00000000 PA 8417942.12000000 0.918770681722 Long DBT NUSS IN N 2 2026-01-11 Fixed 7.59000000 N N N N N N Hexion Holdings Corp. 549300LBB370MUHGLV84 42830K103 25804.00000000 NS USD 245138.00000000 0.026755423613 Long EC CORP US N 1 N N N Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. N/A 226373AP3 61000.00000000 PA USD 35381.83000000 0.003861726251 Long DBT CORP US N 2 2025-04-01 Fixed 5.75000000 N N N N N N Targa Resources Partners L.P./Targa Resources Partners Finance Corp. N/A 87612BAM4 698000.00000000 PA USD 611625.99000000 0.066755511000 Long DBT CORP US N 2 2023-05-01 Fixed 5.25000000 N N N N N N Sri Lanka Government International Bond 254900HXCCIOHM74FA02 85227SAH9 3128000.00000000 PA USD 2314720.00000000 0.252638571527 Long DBT NUSS LK Y 2 2020-10-04 Fixed 6.25000000 N N N N N N Santander Retail Auto Lease Trust N/A 80285JAN6 2680000.00000000 PA USD 2708435.34000000 0.295610369881 Long ABS-O CORP US Y 2 2023-05-22 Fixed 3.30000000 N N N N N N Fannie Mae REMICs N/A 31394DXZ8 155387.02000000 PA USD 24495.24000000 0.002673516642 Long ABS-APCP USGSE US N 2 2035-05-25 Floating 4.97325000 N N N N N N Countrywide Home Loans N/A 126694RQ3 344852.47000000 PA USD 324092.56000000 0.035372866437 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.50000000 N N N N N N CCG Receivables Trust N/A 12508VAC7 240000.00000000 PA USD 236700.38000000 0.025834505202 Long ABS-O CORP US Y 2 2025-06-16 Fixed 3.09000000 N N N N N N Fannie Mae Interest STRIPS B1V7KEBTPIMZEU4LTD58 3136FCQG4 33661.57000000 PA USD 6191.63000000 0.000675781329 Long ABS-APCP USGSE US N 2 2035-02-25 Fixed 5.50000000 N N N N N N Highpoint Operating Corp. XE2KCQGOGYZ847CKN141 06846NAF1 81000.00000000 PA USD 38070.00000000 0.004155124774 Long DBT CORP US N 2 2025-06-15 Fixed 8.75000000 N N N N N N N/A N/A N/A -12500000.00000000 NC USD -510212.50000000 -0.05568680323 N/A DFE N/A N 2 Standard Chartered Bank RILFO74KP1CM8P6PCT96 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 Call Written N/A Option 1.00000000 31.65000000 USD 2020-07-27 XXXX -444937.50000000 N N N China Evergrande Group 549300CUF7B1LAB15T90 ZP5379026 250000.00000000 PA USD 188743.83000000 0.020600319518 Long DBT CORP KY Y 2 2024-01-22 Fixed 12.00000000 N N N N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 64072TAC9 403000.00000000 PA USD 426688.34000000 0.046570614460 Long DBT CORP US Y 2 2025-10-15 Fixed 6.62500000 N N N N N N Harland Clarke Holdings Corp. 549300J73P7FL8TVF308 412690AF6 160000.00000000 PA USD 124749.76000000 0.013615729403 Long DBT CORP US Y 2 2022-08-15 Fixed 8.37500000 N N N N N N Navient Corp. 54930067J0ZNOEBRW338 63938CAF5 221000.00000000 PA USD 218016.50000000 0.023795265573 Long DBT CORP US N 2 2022-06-15 Fixed 6.50000000 N N N N N N N/A N/A N/A -15100000.00000000 NC -2301169.51000000 -0.25115961232 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written N/A Option 1.00000000 78.00000000 EUR 2020-11-03 XXXX -1783937.07000000 N N N CCG Receivables Trust N/A 12510GAC6 140000.00000000 PA USD 140560.42000000 0.015341373350 Long ABS-O CORP US Y 2 2026-09-14 Fixed 3.22000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403C5V9 116367.71000000 PA USD 138935.07000000 0.015163975608 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 7.50000000 N N N N N N Freddie Mac REMICs N/A 3137AAGA5 3302.05000000 PA USD 3423.76000000 0.000373684003 Long ABS-APCP USGSE US N 2 2040-05-15 Fixed 3.00000000 N N N N N N ADES International Holding PLC 213800WADXE5U3ZY1K46 ZS2336023 500000.00000000 PA USD 392500.00000000 0.042839150879 Long DBT CORP AE Y 2 2024-04-24 Fixed 8.62500000 N N N N N N N/A N/A N/A 1.00000000 NC USD -1518445.16000000 -0.16572968487 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2030-03-06 0.00000000 USD 0.00000000 USD 26250000.00000000 USD -1518445.16000000 N N N Fannie Mae REMICs N/A 31392EXR6 18170.84000000 PA USD 18148.24000000 0.001980777558 Long ABS-APCP USGSE US N 2 2032-10-18 Floating 2.15850000 N N N N N N Unipol Gruppo S.p.A. 8156005CE5E7340CCA86 AQ1093600 1250000.00000000 PA 1297070.37000000 0.141567880973 Long DBT CORP IT Y 2 2027-11-29 Fixed 3.50000000 N N N N N N CIT Group, Inc. N8O96ZZJQRFYQUJY7K79 125581GV4 381000.00000000 PA USD 377365.26000000 0.041187279770 Long DBT CORP US N 2 2021-03-09 Fixed 4.12500000 N N N N N N American Credit Acceptance Receivables Trust N/A 02530DAD8 1720000.00000000 PA USD 1488424.36000000 0.162453084665 Long ABS-O CORP US Y 2 2025-06-12 Fixed 3.41000000 N N N N N N Scientific Games International, Inc. RLTHESQ0RNFQJWPBJN60 80874YBA7 187000.00000000 PA USD 120751.88000000 0.013179383455 Long DBT CORP US Y 2 2026-03-15 Fixed 8.25000000 N N N N N N VICI Properties L.P. / VICI Note Co., Inc. N/A 92564RAC9 160000.00000000 PA USD 148700.00000000 0.016229762384 Long DBT CORP US Y 2 2025-02-15 Fixed 3.50000000 N N N N N N Freddie Mac REMICs N/A 31397T4E9 20436.99000000 PA USD 3615.05000000 0.000394562222 Long ABS-APCP USGSE US N 2 2038-04-15 Floating 5.29537000 N N N N N N Freddie Mac REMICs N/A 31339DYV4 58773.26000000 PA USD 59748.30000000 0.006521188378 Long ABS-APCP USGSE US N 2 2032-02-15 Floating 1.65463000 N N N N N N Indonesian Treasury Bond 529900FWX0GRR7WG5W79 N/A 90000000000.00000000 PA 5262444.52000000 0.574365999462 Long DBT NUSS ID N 2 2027-05-15 Fixed 7.00000000 N N N N N N Core & Main Holdings L.P. N/A 21871MAA1 1231000.00000000 PA USD 1137130.10000000 0.124111306812 Long DBT CORP US Y 2 2024-09-15 Fixed 8.62500000 N N N N N N Spectrum Brands, Inc. 549300VU3EH2E73C1Q04 84762LAV7 444000.00000000 PA USD 381192.87000000 0.041605041712 Long DBT CORP US Y 2 2029-10-01 Fixed 5.00000000 N N N N N N CEMEX Finance LLC 529900USOXVC2TX3H980 12516UAD7 985000.00000000 PA USD 856979.55000000 0.093534461766 Long DBT CORP US Y 2 2024-04-01 Fixed 6.00000000 N N N N N N CCG Receivables Trust N/A 12510GAD4 35000.00000000 PA USD 35182.61000000 0.003839982517 Long ABS-O CORP US Y 2 2026-09-14 Fixed 3.57000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371HYB8 71802.15000000 PA USD 85482.39000000 0.009329918478 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 7.50000000 N N N N N N Cablevision Systems Corp. N/A 12686CBB4 151000.00000000 PA USD 153316.34000000 0.016733609736 Long DBT CORP US N 2 2022-09-15 Fixed 5.87500000 N N N N N N Sunoco L.P. / Sunoco Finance Corp. N/A 86765LAL1 66000.00000000 PA USD 57672.29000000 0.006294603650 Long DBT CORP US N 2 2026-02-15 Fixed 5.50000000 N N N N N N CPS Auto Receivables Trust N/A 12595MAB3 126597.78000000 PA USD 126369.68000000 0.013792534492 Long ABS-O CORP US Y 2 2022-04-18 Fixed 2.77000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411URH6 2630.64000000 PA USD 2708.62000000 0.000295630524 Long ABS-MBS USGSE US N 2 2022-04-01 Fixed 5.50000000 N N N N N N N/A N/A N/A 1.00000000 NC 49184.05000000 0.005368160353 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2023-02-28 0.00000000 COP 0.00000000 COP 15600000000.00000000 COP 49184.05000000 N N N Santander Retail Auto Lease Trust N/A 80284NAG3 2365000.00000000 PA USD 2336202.81000000 0.254983298505 Long ABS-O CORP US Y 2 2023-11-20 Fixed 2.39000000 N N N N N N Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc. N/A 87724LAA3 401000.00000000 PA USD 396486.75000000 0.043274282051 Long DBT CORP XX Y 2 2023-04-15 Fixed 5.87500000 N N N N N N Fannie Mae REMICs N/A 31392HRF2 14221.97000000 PA USD 3127.60000000 0.000341359817 Long ABS-APCP USGSE US N 2 2033-02-25 Floating 6.62325000 N N N N N N Novo Banco S.A. 5493009W2E2YDCXY6S81 EK4251287 750000.00000000 PA 699478.66000000 0.076344132109 Long DBT CORP PT Y 2 2043-02-19 Fixed 3.50000000 N N N N N N N/A N/A N/A 1.00000000 NC -206383.81000000 -0.02252562337 N/A DIR N/A N 2 CME Group Inc LCZ7XYGSLJUHFXXNXD88 Y 2027-01-04 0.00000000 BRL 0.00000000 BRL 19960371.50000000 BRL -206383.81000000 N N N N/A N/A N/A 1.00000000 NC -113830.35000000 -0.01242393767 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2030-02-21 0.00000000 HUF 0.00000000 HUF 1265000000.00000000 HUF -113830.35000000 N N N Fannie Mae Connecticut Avenue Securities N/A 30711XUX0 580000.00000000 PA USD 523110.47000000 0.057094543569 Long ABS-MBS USGSE US N 2 2030-05-25 Floating 4.02675000 N N N N N N Post Holdings, Inc. JM1I5YUAURL6DC8N1468 737446AQ7 349000.00000000 PA USD 336785.00000000 0.036758174341 Long DBT CORP US Y 2 2030-04-15 Fixed 4.62500000 N N N N N N N/A N/A N/A 2280000.00000000 NC USD 10800.36000000 0.001178798093 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased N/A Option 1.00000000 65.60000000 USD 2020-05-06 XXXX -433799.64000000 N N N Westlake Automobile Receivables Trust N/A 96042MAN9 685000.00000000 PA USD 684687.37000000 0.074729746621 Long ABS-O CORP US Y 2 2024-07-15 Fixed 4.63000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 547091.96000000 0.059711987311 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2051-12-07 0.00000000 USD 0.00000000 USD 17000000.00000000 USD 547091.96000000 N N N Hellenic Republic Government International Bond 2138003EKTMKZ5598902 EJ0435655 23730000.00000000 PA 81132.59000000 0.008855162456 Long DBT NUSS GR N 2 2042-10-15 Variable 0.00000000 N N N N N N Eterna Capital Pte. Ltd. N/A AP3072612 589529.00000000 PA USD 300654.00000000 0.032814680429 Long DBT CORP SG N 2 2022-12-11 Fixed 8.00000000 N N Y N N N Mattel, Inc. 549300VELLG24KHTJ564 577081BB7 423000.00000000 PA USD 434105.87000000 0.047380195828 Long DBT CORP US Y 2 2025-12-31 Fixed 6.75000000 N N N N N N N/A N/A N/A 25000000.00000000 NC USD 99325.00000000 0.010840760920 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Purchased N/A Option 1.00000000 72.50000000 USD 2020-10-27 XXXX -336175.00000000 N N N Springleaf Finance Corp. 5493008I795YYBFWFU90 85172FAN9 817000.00000000 PA USD 804234.38000000 0.087777625344 Long DBT CORP US N 2 2026-03-15 Fixed 7.12500000 N N N N N N United Continental Holdings, Inc. N/A 910047AJ8 322000.00000000 PA USD 294968.10000000 0.032194096664 Long DBT CORP US N 2 2022-10-01 Fixed 4.25000000 N N N N N N Ally Financial, Inc. 549300JBN1OSM8YNAI90 36186CBY8 383000.00000000 PA USD 442384.15000000 0.048283723181 Long DBT CORP US N 2 2031-11-01 Fixed 8.00000000 N N N N N N Hellenic Republic Government International Bond 2138003EKTMKZ5598902 AQ1829334 2186877.00000000 PA 3189429.36000000 0.348108141588 Long DBT NUSS GR Y 2 2037-01-30 Fixed 4.00000000 N N N N N N Fannie Mae REMICs N/A 31393T4V5 11606.81000000 PA USD 11537.49000000 0.001259251655 Long ABS-APCP USGSE US N 2 2033-11-25 Floating 2.02675000 N N N N N N Barclays PLC 213800LBQA1Y9L22JB70 ZR6733045 625000.00000000 PA 610958.06000000 0.066682610225 Long DBT CORP GB Y 2 N/A Variable 6.37500000 N N N N Y British Pound GBP XXXX N N N CCO Holdings, LLC / CCO Holdings Capital Corp. N/A 1248EPBZ5 138000.00000000 PA USD 138513.36000000 0.015117948351 Long DBT CORP US Y 2 2023-03-01 Fixed 4.00000000 N N N N N N Reliance Industries Ltd. 5493003UOETFYRONLG31 N/A 210000000.00000000 PA 2856661.25000000 0.311788388028 Long DBT CORP IN N 2 2022-08-31 Fixed 7.00000000 N N N N N N Indian Government International Bond N/A EJ3675885 215600000.00000000 PA 3101071.47000000 0.338464378579 Long DBT NUSS IN N 2 2025-09-24 Fixed 8.20000000 N N N N N N N/A N/A N/A -6250000.00000000 NC USD -176393.75000000 -0.01925237826 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Written N/A N/A 1.00000000 94.00000000 USD 2021-01-08 XXXX -21468.75000000 N N N Valeant Pharmaceuticals International, Inc. B3BS7ACMDUWISF18KY76 91911KAK8 525000.00000000 PA USD 541408.88000000 0.059091711332 Long DBT CORP CA Y 2 2024-03-15 Fixed 7.00000000 N N N N N N MPT Operating Partnership LP/MPT Finance Corp. N/A 55342UAF1 79000.00000000 PA USD 79296.25000000 0.008654736351 Long DBT CORP US N 2 2024-03-01 Fixed 6.37500000 N N N N N N Cascades, Inc./Cascades USA, Inc. FPD41G4F3GH7OJ38TS94 14739LAB8 398000.00000000 PA USD 383075.00000000 0.041810465537 Long DBT CORP XX Y 2 2028-01-15 Fixed 5.37500000 N N N N N N N/A N/A N/A 1.00000000 NC 109959.24000000 0.012001427956 N/A DCR N/A N 2 Citibank NA E57ODZWZ7FF32TWEFA76 Assicurazioni Generali SpA Generali Assicurazioni Y The Fund makes or receives a payment if a defined credit event occurs with respect to the reference instrument 2024-12-20 0.00000000 EUR 13946.84000000 EUR 1250000.00000000 EUR 96012.40000000 N N N Industrias Penoles S.A.B. de C.V. 549300WA2HB7776CB324 456472AC3 755000.00000000 PA USD 667944.73000000 0.072902382338 Long DBT CORP MX Y 2 2049-09-12 Fixed 5.65000000 N N N N N N Puma International Financing S.A. 222100YFBPO7IDRUBR17 AQ6899878 825000.00000000 PA USD 367022.43000000 0.040058418484 Long DBT CORP LU Y 2 2026-01-24 Fixed 5.00000000 N N N N N N Lloyds Bank PLC H7FNTJ4851HG0EXQ1Z70 ZZ2060031 750000.00000000 PA USD 570000.00000000 0.062212270067 Long DBT CORP GB N 2 N/A Floating 1.69050000 N N N N N N Louisiana-Pacific Corp. 549300C7E2UAO5BVRR75 546347AK1 816000.00000000 PA USD 710935.92000000 0.077594627115 Long DBT CORP US N 2 2024-09-15 Fixed 4.87500000 N N N N N N Fannie Mae or Freddie Mac N/A 01F030447 4525000.00000000 PA USD 4732398.62000000 0.516514493007 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 3.00000000 N N N N N N Bank Leumi Le-Israel 7JDSZWRGUQY2DSTWCR57 06326BAA7 625000.00000000 PA USD 581392.50000000 0.063455696886 Long DBT CORP IL Y 2 2031-01-29 Variable 3.27500000 N N N N Y United States Dollar USD XXXX N N N Frontier Communications Corp. 549300ZCZ76HYCS0H445 35906AAW8 732000.00000000 PA USD 197410.15000000 0.021546199238 Long DBT CORP US N 2 2022-09-15 Fixed 10.50000000 N N N N N N Brink's Co. (The) XFP140TFNOQMIVFTVQ13 109696AA2 890000.00000000 PA USD 827226.08000000 0.090287039115 Long DBT CORP US Y 2 2027-10-15 Fixed 4.62500000 N N N N N N N/A N/A N/A 1500000.00000000 NC 187437.76000000 0.020457769378 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased N/A Option 1.00000000 74.87500000 EUR 2020-08-05 XXXX -106076.87000000 N N N Hellenic Republic Government International Bond 2138003EKTMKZ5598902 AQ1829300 4885000.00000000 PA 6741718.20000000 0.735820339258 Long DBT NUSS GR Y 2 2033-01-30 Fixed 3.90000000 N N N N N N N/A N/A N/A 1.00000000 NC 1280278.69000000 0.139735164252 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2022-02-03 0.00000000 CAD 710.65000000 CAD 101250000.00000000 CAD 1279568.04000000 N N N Simmons Foods, Inc. 5493002Z1TVWRIL6NM97 82873LAA3 322000.00000000 PA USD 294325.71000000 0.032123983435 Long DBT CORP US Y 2 2024-11-01 Fixed 5.75000000 N N N N N N Controladora Mabe S.A. de C.V. 549300TVP7EHIDGWNR87 21240BAD3 2285000.00000000 PA USD 2178844.61000000 0.237808542653 Long DBT CORP MX Y 2 2028-10-23 Fixed 5.60000000 N N N N N N Celulosa Arauco y Constitucion S.A. 549300QEKV8G0AMNQD28 151191AZ6 1513000.00000000 PA USD 1435451.19000000 0.156671363335 Long DBT CORP CL N 2 2024-08-01 Fixed 4.50000000 N N N N N N Yum! Brands, Inc. 549300JE8XHZZ7OHN517 988498AM3 37000.00000000 PA USD 38942.50000000 0.004250353205 Long DBT CORP US Y 2 2025-04-01 Fixed 7.75000000 N N N N N N Republic of Cyprus Bond 213800IOEYYAHPDLUL60 ZP4820376 5250000.00000000 PA 5471562.84000000 0.597190079111 Long DBT NUSS CY Y 2 2040-01-21 Fixed 1.25000000 N N N N N N Freeport-McMoRan, Inc. 549300IRDTHJQ1PVET45 35671DBL8 99000.00000000 PA USD 94109.90000000 0.010271562306 Long DBT CORP US N 2 2024-11-14 Fixed 4.55000000 N N N N N N Republic of South Africa Government Bond 378900AAFB4F17004C49 CP5073947 133675000.00000000 PA 7632901.92000000 0.833087992361 Long DBT NUSS ZA N 2 2026-12-21 Fixed 10.50000000 N N N N N N Navient Corp. 54930067J0ZNOEBRW338 78442FET1 434000.00000000 PA USD 409058.02000000 0.044646364936 Long DBT CORP US N 2 2024-03-25 Fixed 6.12500000 N N N N N N FREMF Mortgage Trust N/A 30261NAG5 135000.00000000 PA USD 133762.81000000 0.014599452738 Long ABS-APCP USGSE US Y 2 2045-11-25 Variable 3.61932500 N N N N N N N/A N/A N/A 12500000.00000000 NC 111.26000000 0.000012143398 N/A DCR N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Purchased JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A N/A 1.00000000 NC N/A N/A DCR MARKIT ITRX EUR XOVER 12/24 ITRX XOVER CDSI S32 5Y ITXEX532 Other Other 2024-12-20 0.00000000 EUR 0.00000000 EUR 12500000.00000000 EUR 1.00000000 250.00000000 EUR 2020-04-15 XXXX -30247.37000000 N N N Targa Resources Partners L.P. / Targa Resources Partners Finance Corp. N/A 87612BBG6 371000.00000000 PA USD 301635.06000000 0.032921757569 Long DBT CORP US N 2 2028-01-15 Fixed 5.00000000 N N N N N N N/A N/A N/A -25000000.00000000 NC USD -32800.00000000 -0.00357993413 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written N/A Option 1.00000000 69.30000000 USD 2020-10-27 XXXX 81450.00000000 N N N Pilgrim's Pride Corp. 549300ZSLGV64ZL3HD75 72147KAC2 238000.00000000 PA USD 240678.69000000 0.026268715196 Long DBT CORP US Y 2 2025-03-15 Fixed 5.75000000 N N N N N N Freddie Mac REMICs N/A 31392KGA8 26543.15000000 PA USD 27032.53000000 0.002950447468 Long ABS-APCP USGSE US N 2 2032-03-15 Floating 1.70463000 N N N N N N COMM Mortgage Trust N/A 12591TAG1 455000.00000000 PA USD 474772.30000000 0.051818706224 Long ABS-MBS CORP US N 2 2047-04-10 Fixed 4.19800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38375JSQ9 160222.42000000 PA USD 32218.87000000 0.003516507090 Long ABS-APCP USGA US N 2 2037-04-16 Floating 5.84537000 N N N N N N Gulfport Energy Corp. 549300FJX18IDUFPHD40 402635AH9 347000.00000000 PA USD 87617.50000000 0.009562953636 Long DBT CORP US N 2 2024-10-15 Fixed 6.00000000 N N N N N N Freddie Mac N/A 3137G0AY5 840000.00000000 PA USD 774335.86000000 0.084514371307 Long ABS-MBS USGSE US N 2 2024-04-25 Floating 5.22675000 N N N N N N Transcanada Trust N/A 89356BAB4 1130000.00000000 PA USD 886196.85000000 0.096723364500 Long DBT CORP CA N 2 2076-08-15 Variable 5.87500000 N N N N N N Standard Chartered PLC U4LOSYZ7YG4W3S5F2G91 AM1320879 1590000.00000000 PA USD 1562954.10000000 0.170587583460 Long DBT CORP GB Y 2 N/A Variable 7.75000000 N N N N Y United States Dollar USD XXXX N N N N/A N/A N/A 1.00000000 NC -946312.09000000 -0.10328460230 N/A DCR N/A N 2 JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 MARKIT ITRX EUR XOVER 12/22 ITRX XOVER CDSI S28 5Y 1479940 N/A Y The Fund makes or receives a payment if a defined credit event occurs with respect to the reference instrument 2022-12-20 0.00000000 EUR 59496.01000000 EUR 2500000.00000000 EUR -1005808.10000000 N N N FREMF Mortgage Trust 549300OFE1DNC7KO4K57 30292NAG8 2310000.00000000 PA USD 2294924.02000000 0.250477952485 Long ABS-APCP USGSE US Y 2 2048-01-25 Variable 3.68085200 N N N N N N Fannie Mae REMICs N/A 31392HMC4 110011.40000000 PA USD 112037.22000000 0.012228227698 Long ABS-APCP USGSE US N 2 2032-09-25 Floating 2.62675000 N N N N N N UBS Group Funding Switzerland AG 549300SZJ9VS8SGXAN81 JK4458820 1880000.00000000 PA USD 1842400.00000000 0.201087519951 Long DBT CORP CH Y 2 N/A Variable 6.87500000 N N N N Y United States Dollar USD XXXX N N N Southern Copper Corp. 2549007U6NAP46Q9TU15 84265VAA3 480000.00000000 PA USD 568269.48000000 0.062023393615 Long DBT CORP US N 2 2035-07-27 Fixed 7.50000000 N N N N N N Standard Industries, Inc. 54930064UHXCIUWVI755 853496AC1 172000.00000000 PA USD 157718.41000000 0.017214070732 Long DBT CORP US Y 2 2027-02-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31402DPF1 174901.66000000 PA USD 196886.24000000 0.021489017430 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 6.50000000 N N N N N N TransDigm, Inc. 88Q84GB3X55CF5OC7582 893647BE6 235000.00000000 PA USD 235146.17000000 0.025664871988 Long DBT CORP US Y 2 2026-03-15 Fixed 6.25000000 N N N N N N American Credit Acceptance Receivables Trust N/A 02530AAG7 300000.00000000 PA USD 291938.64000000 0.031863448271 Long ABS-O CORP US Y 2 2024-10-15 Fixed 4.14000000 N N N N N N Cumulus Media New Holdings, Inc. 5493001D9VBAVY1OKJ46 23110AAA4 455000.00000000 PA USD 409783.01000000 0.044725493486 Long DBT CORP US Y 2 2026-07-01 Fixed 6.75000000 N N N N N N Calpine Corp. 43R4VPJBXTU2O15HEF41 131347CF1 86000.00000000 PA USD 80195.00000000 0.008752829821 Long DBT CORP US N 2 2025-01-15 Fixed 5.75000000 N N N N N N Fannie Mae REMICs N/A 31392ERQ5 9174.42000000 PA USD 1973.33000000 0.000215377787 Long ABS-APCP USGSE US N 2 2032-07-25 Floating 6.37325000 N N N N N N Fannie Mae REMICs N/A 31394V7G9 60367.47000000 PA USD 102348.12000000 0.011170717337 Long ABS-APCP USGSE US N 2 2036-03-25 Floating 18.60192000 N N N N N N Metinvest B.V. 635400TMCKVEU87EJ582 591555AF4 920000.00000000 PA USD 621000.00000000 0.067778631073 Long DBT CORP NL Y 2 2029-10-17 Fixed 7.75000000 N N N N N N N/A N/A N/A 3650000.00000000 NC 124406.61000000 0.013578276525 N/A DFE N/A N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Put Purchased N/A Option 1.00000000 8.64750000 EUR 2021-01-06 XXXX -539717.75000000 N N N Intesa Sanpaolo S.p.A. 2W8N8UU78PMDQKZENC08 AN5329338 625000.00000000 PA 576836.39000000 0.062958423297 Long DBT CORP IT Y 2 N/A Variable 6.25000000 N N N N Y Euro EUR XXXX N N N Navient Corp. 54930067J0ZNOEBRW338 63938CAJ7 165000.00000000 PA USD 152715.75000000 0.016668058741 Long DBT CORP US N 2 2026-06-15 Fixed 6.75000000 N N N N N N Carrizo Oil & Gas, Inc. 549300EFOWPEB0WLZW21 144577AH6 53000.00000000 PA USD 12983.41000000 0.001417065630 Long DBT CORP US N 2 2023-04-15 Fixed 6.25000000 N N N N N N NRG Energy, Inc. 5E2UPK5SW04M13XY7I38 629377CH3 826000.00000000 PA USD 855364.30000000 0.093358166381 Long DBT CORP US Y 2 2029-06-15 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410GVK6 69375.09000000 PA USD 78568.00000000 0.008575251990 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 5.50000000 N N N N N N Sociedad Quimica y Minera de Chile S.A. TJ88LXZZW5PWIN93ZC81 833636AJ2 625000.00000000 PA USD 487906.25000000 0.053252202443 Long DBT CORP CL Y 2 2050-01-22 Fixed 4.25000000 N N N N N N Suzano Austria GmbH 254900287ZNSGVP1R341 86964WAH5 3050000.00000000 PA USD 2700012.50000000 0.294691064623 Long DBT CORP AT N 2 2030-01-15 Fixed 5.00000000 N N N N N N Puma International Financing S.A. 222100YFBPO7IDRUBR17 AP4112532 1250000.00000000 PA USD 656250.00000000 0.071625968827 Long DBT CORP LU Y 2 2024-10-06 Fixed 5.12500000 N N N N N N Freddie Mac REMICs N/A 31397PM49 65028.97000000 PA USD 14834.94000000 0.001619149638 Long ABS-APCP USGSE US N 2 2037-12-15 Floating 6.29537000 N N N N N N N/A N/A N/A 1.00000000 NC USD -934869.76000000 -0.10203573681 N/A DIR N/A N 2 LCH.Clearnet LLC WAM6YERMS7OXFZUOY219 Y 2030-04-08 0.00000000 USD 0.00000000 USD 16750000.00000000 USD -934869.76000000 N N N Fannie Mae REMICs N/A 31392BMY9 6118.46000000 PA USD 1209.73000000 0.000132035174 Long ABS-APCP USGSE US N 2 2032-01-25 Floating 6.32325000 N N N N N N United Rentals North America, Inc. NGIZXNT70J2LYT3FBI09 911365BK9 471000.00000000 PA USD 480679.05000000 0.052463394516 Long DBT CORP US N 2 2026-12-15 Fixed 6.50000000 N N N N N N Fannie Mae REMICs N/A 31397QSU3 80552.11000000 PA USD 85606.34000000 0.009343446918 Long ABS-APCP USGSE US N 2 2040-04-25 Fixed 5.00000000 N N N N N N AMC Entertainment Holdings, Inc. 549300ZO77UNR6NRBR11 00165CAB0 690000.00000000 PA USD 291157.58000000 0.031778199998 Long DBT CORP US N 2 2026-11-15 Fixed 5.87500000 N N N N N N Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. N/A 03969AAM2 125000.00000000 PA USD 125778.63000000 0.013728024733 Long DBT CORP XX Y 2 2022-09-15 Fixed 4.25000000 N N N N N N 2020-05-26 AIM Variable Insurance Funds (Invesco Variable Insurance Funds) Sheri Morris Sheri Morris President XXXX