0001752724-20-055890.txt : 20200323
0001752724-20-055890.hdr.sgml : 20200323
20200323121933
ACCESSION NUMBER: 0001752724-20-055890
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200131
FILED AS OF DATE: 20200323
PERIOD START: 20200731
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PACE SELECT ADVISORS TRUST
CENTRAL INDEX KEY: 0000930007
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0731
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-08764
FILM NUMBER: 20734271
BUSINESS ADDRESS:
STREET 1: C/O UBS ASSET MANAGEMENT (AMERICAS) INC.
STREET 2: 12TH FLOOR 1285 AVENUE OF THE AMERICAS
CITY: NEW YORK
STATE: NY
ZIP: 10019
BUSINESS PHONE: 212-821-3000
MAIL ADDRESS:
STREET 1: C/O UBS ASSET MANAGEMENT (AMERICAS) INC.
STREET 2: 12TH FLOOR 1285 AVENUE OF THE AMERICAS
CITY: NEW YORK
STATE: NY
ZIP: 10019
FORMER COMPANY:
FORMER CONFORMED NAME: UBS PACE SELECT ADVISORS TRUST
DATE OF NAME CHANGE: 20020716
FORMER COMPANY:
FORMER CONFORMED NAME: PAINEWEBBER PACE SELECT ADVISORS TRUST
DATE OF NAME CHANGE: 19980212
FORMER COMPANY:
FORMER CONFORMED NAME: MANAGED ACCOUNTS SERVICES PORTFOLIO TRUST
DATE OF NAME CHANGE: 19941212
0000930007
S000002698
PACE Strategic Fixed Income Investments
C000007359
Class P
PCSIX
C000007360
Class A
PBNAX
C000007363
Class Y
PSFYX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000930007
XXXXXXXX
S000002698
C000007363
C000007360
C000007359
PACE SELECT ADVISORS TRUST
811-08764
0000930007
549300TPB2UX3QR3SC50
C/O UBS ASSET MANAGEMENT (AMERICAS) INC.
12TH FLOOR 1285 AVENUE OF THE AMERICAS
NEW YORK
10019
212-821-3000
PACE Strategic Fixed Income Investments
S000002698
5493008PS83BJ3Y3F160
2020-07-31
2020-01-31
N
1190348622.66
449009658.56
741338964.1
0
0
0
0
0
0
0
0
0
0
366580552.31
0
0
2057271.26
EUR
GBP
JPY
USD
UST
Fannie Mae
N/A
Fannie Mae REMICS
31358UR24
16211.36000000
PA
USD
17094.44000000
0.002305887161
Long
ABS-MBS
USGSE
US
N
2
2023-05-25
Fixed
7.00000000
N
N
N
N
N
N
FORTUNE BRANDS HOME & SE
54930032LHW54PQUJD44
Fortune Brands Home & Security Inc
34964CAE6
1400000.00000000
PA
USD
1463694.34000000
0.197439283631
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
3.25000000
N
N
N
N
N
N
FMG RESOURCES AUG 2006
549300EFD6S2NFE9D745
FMG Resources August 2006 Pty Ltd
30251GAW7
70000.00000000
PA
USD
74112.50000000
0.009997113815
Long
DBT
CORP
AU
N
2
2024-05-15
Fixed
5.13000000
N
N
N
N
N
N
EXPEDIA INC
CI7MUJI4USF3V0NJ1H64
Expedia Group Inc
30212PAP0
1400000.00000000
PA
USD
1453143.38000000
0.196016053434
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.80000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31395LRL7
1615817.53000000
PA
USD
1806858.71000000
0.243729089862
Long
ABS-MBS
USGSE
US
N
2
2035-01-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408GAM9
22299.70000000
PA
USD
23177.99000000
0.003126503680
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Floating
5.04000000
N
N
N
N
N
N
Berry Global Inc
549300AP2Q7ERHX6RI89
Berry Global Inc
085770AA3
215000.00000000
PA
USD
224643.18000000
0.030302357069
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
4.88000000
N
N
N
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
Discover Financial Services
254709AN8
125000.00000000
PA
USD
132656.25000000
0.017894142413
Long
DBT
CORP
US
N
2
2027-10-30
Variable
5.50000000
N
N
N
N
N
N
Range Resources Corp
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281AAS8
160000.00000000
PA
USD
124400.00000000
0.016780448084
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.88000000
N
N
N
N
N
N
Staples Inc
XQM2JINI1UL7642TU573
Staples Inc
855030AP7
60000.00000000
PA
USD
60978.00000000
0.008225387164
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
10.75000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
US 5YR FUTR OPTN Mar20P 111.25
000000000
1.00000000
NC
USD
1.00000000
0.000000134891
N/A
DIR
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
5 Year US Treasury Note Future
N/A
1000.00000000
NC
N/A
1.00000000
0.00000000
DIR
US
Long
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
1000.00000000
USD
1000.00000000
111.25
USD
2020-02-21
XXXX
-7.6
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAL3
1600000.00000000
PA
USD
1643005.87000000
0.221626806301
Long
DBT
CORP
US
N
2
2022-11-06
Fixed
2.90000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAM3
125000.00000000
PA
USD
132656.25000000
0.017894142413
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
5.38000000
N
N
N
N
N
N
HILCORP ENERGY I/HILCORP
549300ITPIHLG0LHEC09
Hilcorp Energy I LP / Hilcorp Finance Co
431318AS3
45000.00000000
PA
USD
40050.00000000
0.005402387023
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
6.25000000
N
N
N
N
N
N
Sprint Corp
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAF2
140000.00000000
PA
USD
148734.60000000
0.020062968116
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
7.88000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-SCHATZ FUT MAR20 XEUR 20200306
000000000
-75.00000000
NC
-6517.88000000
-0.00087920375
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Schatz Futures (FGBS)
DUH0 Comdty
2020-03-06
-8400498
EUR
-6517.88
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR20 XCBT 20200320
000000000
-128.00000000
NC
USD
-420431.36000000
-0.05671243255
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US 10 Year Ultra Bond
UXYH0 Comdty
2020-03-20
-18223568.64
USD
-420431.36
N
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust 2006-OPT2
83611MMK1
272869.37000000
PA
USD
272792.20000000
0.036797229500
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
1.84000000
N
N
N
N
N
N
eBay Inc
OML71K8X303XQONU6T67
eBay Inc
278642AN3
2100000.00000000
PA
USD
2176214.46000000
0.293551879151
Long
DBT
CORP
US
N
2
2022-03-09
Fixed
3.80000000
N
N
N
N
N
N
JETBLUE 2019-1 CLASS A
N/A
JetBlue 2019-1 Class A Pass Through Trust
477143AJ0
2200000.00000000
PA
USD
2257501.62000000
0.304516790472
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
2.95000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Q60
12697425.00000000
PA
USD
12669188.85000000
1.708960335759
Long
DBT
UST
US
N
2
2021-04-15
Fixed
0.13000000
N
N
N
N
N
N
ZF NA CAPITAL
529900JYGMS9CW9IQX78
ZF North America Capital Inc
98877DAA3
900000.00000000
PA
USD
903375.39000000
0.121857265535
Long
DBT
CORP
US
N
2
2020-04-29
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HQW3
1200000.00000000
PA
USD
1282066.88000000
0.172939362705
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
3.30000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
1000000.00000000
PA
1176044.97000000
0.158637954694
Long
DBT
CORP
GB
N
2
2020-12-15
Variable
8.00000000
N
N
N
N
N
N
SPIRIT AIR 2015-1 PTT A
N/A
Spirit Airlines Pass Through Trust 2015-1A
84858DAA6
459093.26000000
PA
USD
494767.19000000
0.066739671588
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
4.10000000
N
N
N
N
N
N
Vistra Operations Co LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAB8
90000.00000000
PA
USD
93600.00000000
0.012625803381
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
5.63000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: SWPC0HXN4 CDS USD R F 1.00000 FIX CORPORATE / Short: SWPC0HXN4 CDS USD P V 03MEVENT FLO CORPORATE
000000000
1600000.00000000
OU
Notional Amount
USD
-48709.76000000
-0.00657051124
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Republic of South Africa Government International Bond
Republic of South Africa Government International Bond
Y
sell protection
2024-06-20
0
USD
-55883.34
USD
1600000
USD
7173.58
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
US 5YR FUTR OPTN Mar20P 111
000000000
281.00000000
NC
USD
281.00000000
0.000037904388
N/A
DIR
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
5 Year US Treasury Note Future
N/A
281000.00000000
NC
N/A
281.00000000
0.00000000
DIR
US
Long
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
281000.00000000
USD
1000.00000000
111
USD
2020-02-21
XXXX
-2135.6
N
N
N
Tronox Inc
549300EPZ4YXC7E5P181
Tronox Inc
897051AA6
55000.00000000
PA
USD
54725.00000000
0.007381913355
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
6.50000000
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust Series 2005-D
64352VPP0
815581.28000000
PA
USD
817008.71000000
0.110207172368
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
1.99000000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110LAE6
25000.00000000
PA
USD
25656.25000000
0.003460798803
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
5.38000000
N
N
N
N
N
N
Wells Fargo Bank NA
KB1H1DSPRFMYMCUFXT09
Wells Fargo Bank NA
94988J5R4
735000.00000000
PA
USD
777561.21000000
0.104886057209
Long
DBT
CORP
US
N
2
2023-08-14
Fixed
3.55000000
N
N
N
N
N
N
NORTONLIFELOCK INC
YF6ZV0M6AU4FY94MK914
NortonLifeLock Inc
871503AU2
70000.00000000
PA
USD
71487.72000000
0.009643054454
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.00000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDS8
770000.00000000
PA
USD
975496.28000000
0.131585728963
Long
DBT
CORP
US
N
2
2047-03-01
Fixed
5.45000000
N
N
N
N
N
N
Tronox Finance PLC
N/A
Tronox Finance PLC
89705PAA3
30000.00000000
PA
USD
29625.00000000
0.003996147704
Long
DBT
CORP
GB
N
2
2025-10-01
Fixed
5.75000000
N
N
N
N
N
N
Republic of Senegal
549300NP14ZLQGWIUZ97
Senegal Government International Bond
81720TAC9
180000.00000000
PA
USD
191946.60000000
0.025891880677
Long
DBT
NUSS
SN
N
2
2033-05-23
Fixed
6.25000000
N
N
N
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780097BB6
1400000.00000000
PA
USD
1512000.00000000
0.203955285398
Long
DBT
CORP
GB
N
2
2021-08-15
Variable
8.63000000
N
N
N
N
N
N
Station Casinos LLC
5493004E7Q60TX54WL62
Station Casinos LLC
857691AF6
140000.00000000
PA
USD
143283.00000000
0.019327596003
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
5.00000000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAE5
1700000.00000000
PA
USD
1720971.20000000
0.232143632446
Long
DBT
CORP
GB
N
2
2021-08-05
Fixed
2.88000000
N
N
N
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
Syngenta Finance NV
87164KAD6
1480000.00000000
PA
USD
1483069.83000000
0.200052864049
Long
DBT
CORP
NL
N
2
2020-04-24
Fixed
3.70000000
N
N
N
N
N
N
Lazard Group LLC
FI94J2CJ1D7BIGVMS874
Lazard Group LLC
52107QAK1
400000.00000000
PA
USD
447906.31000000
0.060418557730
Long
DBT
CORP
US
N
2
2029-03-11
Fixed
4.38000000
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2007-3
81744MAA0
123434.63000000
PA
USD
120708.91000000
0.016282553035
Long
ABS-MBS
CORP
US
N
2
2036-07-20
Floating
1.86000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2005-4
41161PMX8
183668.45000000
PA
USD
173524.55000000
0.023406910792
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Variable
4.32000000
N
N
N
N
N
N
Ally Auto Receivables Trust
N/A
Ally Auto Receivables Trust 2018-3
02007JAB3
9370.68000000
PA
USD
9373.10000000
0.001264347411
Long
ABS-O
CORP
US
N
2
2021-05-17
Fixed
2.72000000
N
N
N
N
N
N
United Overseas Bank Ltd
IO66REGK3RCBAMA8HR66
United Overseas Bank Ltd
91127KAA0
1600000.00000000
PA
USD
1627273.02000000
0.219504585459
Long
DBT
CORP
SG
N
2
2021-04-23
Fixed
3.20000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
AUDUSD CRNCY FUT MAR20 XCME 20200316
000000000
2.00000000
NC
USD
-2518.10000000
-0.00033966918
N/A
DFE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
Australian Dollar Currency Future
ADH0 Curncy
2020-03-16
136578.1
USD
-2518.1
N
N
N
Vistra Operations Co LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAA0
60000.00000000
PA
USD
62400.00000000
0.008417202254
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
5.50000000
N
N
N
N
N
N
Sempra Energy
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851BF5
2178000.00000000
PA
USD
2243089.33000000
0.302572701371
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
2.90000000
N
N
N
N
N
Uropa Securities PLC
213800IVU1GPPZBQ4446
Uropa Securities PLC
000000000
2756290.60000000
PA
3465118.53000000
0.467413517675
Long
ABS-MBS
CORP
GB
N
2
2040-10-10
Floating
0.98000000
N
N
N
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBE6
80000.00000000
PA
USD
83400.00000000
0.011249914551
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBL5
10000.00000000
PA
USD
10900.00000000
0.001470312573
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202KG90
1113.52000000
PA
USD
1129.89000000
0.000152412061
Long
ABS-MBS
USGA
US
N
2
2023-11-20
Floating
4.13000000
N
N
N
N
N
N
CHEC Loan Trust
N/A
CHEC Loan Trust 2004-2
162765AT8
402771.44000000
PA
USD
404191.65000000
0.054521840827
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
2.30000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
000000000
1200000.00000000
PA
1324601.71000000
0.178676931086
Long
DBT
CORP
US
N
2
2022-03-26
Floating
0.15000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND MAR20 XEUR 20200306
000000000
5.00000000
NC
40763.34000000
0.005498610213
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Euro-Buxl (FGBX)
UBH0 Comdty
2020-03-06
1017744.8
EUR
40763.34
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU00WG42 IRS JPY R F .06300 SWU00WG42 CCPVANILLA / Short: SWU00WG42 IRS JPY P V 06MLIBOR CCPVANILLA NEG RATE -0.063
000000000
215000000.00000000
OU
Notional Amount
-3871.37000000
-0.00052221320
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2026-09-19
0
JPY
0
JPY
215000000
JPY
-3871.37
N
N
N
Jamestown CLO Ltd
549300J8XCULR2IX5L98
Jamestown CLO V Ltd
470473AF6
541063.00000000
PA
USD
541669.53000000
0.073066378030
Long
ABS-CBDO
CORP
KY
N
2
2027-01-17
Floating
3.06000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU00MXC7 IRS JPY R V 06MLIBOR SWUV0MXC9 CCPVANILLA / Short: BWU00MXC7 IRS JPY P F .75000 SWU00MXC7 CCPVANILLA
000000000
756000000.00000000
OU
Notional Amount
-713908.33000000
-0.09629985264
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2038-03-20
2650605
JPY
0
JPY
756000000
JPY
-737705.62
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RR1
2583585.20000000
PA
USD
3056732.73000000
0.412325923501
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.00000000
N
N
N
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
78442FET1
70000.00000000
PA
USD
74572.40000000
0.010059150214
Long
DBT
CORP
US
N
2
2024-03-25
Fixed
6.13000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DCC7
35000.00000000
PA
USD
36268.75000000
0.004892330196
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
5.00000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAG0
650000.00000000
PA
USD
712586.45000000
0.096121542844
Long
DBT
CORP
IE
N
2
2025-10-01
Fixed
4.45000000
N
N
N
N
N
N
J2 CLOUD LLC/CLOUD INC
N/A
j2 Cloud Services LLC / j2 Cloud Co-Obligor Inc
466253AA9
130000.00000000
PA
USD
137150.00000000
0.018500309121
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
6.00000000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
038461AM1
120000.00000000
PA
USD
137158.56000000
0.018501463789
Long
DBT
NUSS
EG
N
2
2047-01-31
Fixed
8.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
US 10YR FUT OPTN Mar20P 130.25
000000000
-43.00000000
NC
USD
-6046.88000000
-0.00081567006
N/A
DIR
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
10 Year US Treasury Note Future
N/A
43000.00000000
NC
N/A
-6046.88000000
0.00000000
DIR
US
Short
10 Year US Treasury Note
TYH0 Comdty
2020-03-20
43000.00000000
USD
1000.00000000
130.25
USD
2020-02-21
XXXX
9360.88
N
N
N
DAIMLER FINANCE NA LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851DV3
640000.00000000
PA
USD
646957.44000000
0.087268776002
Long
DBT
CORP
US
N
2
2022-02-15
Floating
2.81000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAF9
210000.00000000
PA
USD
215523.00000000
0.029072126306
Long
DBT
CORP
US
N
2
2027-07-31
Fixed
5.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-5568.21000000
-0.00075110175
N/A
DFE
CA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1325648.57000000
USD
1747000.00000000
CAD
2020-02-04
-5568.21
N
N
N
COSTA RICA GOVERNMENT
N/A
Costa Rica Government International Bond
221602AC9
185000.00000000
PA
USD
196007.50000000
0.026439659790
Long
DBT
NUSS
CR
N
2
2044-04-04
Fixed
7.00000000
N
N
N
N
N
N
Amkor Technology Inc
529900VHLRTKPWZJBM84
Amkor Technology Inc
031652BK5
100000.00000000
PA
USD
108625.00000000
0.014652541584
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
6.63000000
N
N
N
N
N
N
C&W Senior Financing DAC
5493009O8OIWZPZRY516
C&W Senior Financing DAC
12674TAA4
80000.00000000
PA
USD
85900.00000000
0.011587142206
Long
DBT
CORP
IE
N
2
2027-09-15
Fixed
6.88000000
N
N
N
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-213268.57000000
-0.02876802384
N/A
DFE
US
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
10992000.00000000
GBP
14312487.54000000
USD
2020-03-03
-213268.57
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDD8
75000.00000000
PA
USD
77802.75000000
0.010494895556
Long
DBT
CORP
US
N
2
2024-12-15
Variable
4.65000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380UAY9
712398.82000000
PA
USD
713945.01000000
0.096304800445
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Floating
2.13000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AJ9
440000.00000000
PA
USD
527300.42000000
0.071128113526
Long
DBT
CORP
US
N
2
2038-08-15
Fixed
4.80000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375UXM7
982474.10000000
PA
USD
989226.06000000
0.133437753565
Long
ABS-MBS
USGA
US
N
2
2066-05-20
Floating
2.49000000
N
N
N
N
N
N
MONGOLIA INTL BOND
N/A
Mongolia Government International Bond
60937LAA3
70000.00000000
PA
USD
79100.00000000
0.010669882986
Long
DBT
NUSS
MN
N
2
2024-03-09
Fixed
8.75000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XWX8
997012.77000000
PA
USD
1015048.93000000
0.136921027917
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Floating
4.16000000
N
N
N
N
N
N
CDK Global Inc
5493000L10CYRTHIJ385
CDK Global Inc
12508EAF8
115000.00000000
PA
USD
121037.50000000
0.016326876889
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
4.88000000
N
N
N
N
N
N
Freeport-McMoRan Inc
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBJ3
75000.00000000
PA
USD
77062.50000000
0.010395042447
Long
DBT
CORP
US
N
2
2034-11-14
Fixed
5.40000000
N
N
N
N
N
N
Republic of Peru
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638BX9
5100000.00000000
PA
1728380.36000000
0.233143061905
Long
DBT
NUSS
PE
N
2
2029-02-12
Fixed
5.94000000
N
N
N
N
N
N
Cigna Corp
549300VIWYMSIGT1U456
Cigna Corp
125523AC4
800000.00000000
PA
USD
809770.31000000
0.109230776906
Long
DBT
CORP
US
N
2
2023-07-15
Floating
2.72000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAZ1
1500000.00000000
PA
USD
1650653.70000000
0.222658430209
Long
DBT
CORP
NL
N
2
2024-03-01
Fixed
4.88000000
N
N
N
N
N
N
Trillium Credit Card Trust II
549300P7QN1SDIOQVL28
Trillium Credit Card Trust II
89621AAD1
1800000.00000000
PA
USD
1800154.44000000
0.242824743764
Long
ABS-O
CORP
CA
N
2
2023-02-27
Floating
1.91000000
N
N
N
N
N
N
Allergan Funding SCS
222100FLFVOSKCBCAR54
Allergan Funding SCS
00507UAR2
1400000.00000000
PA
USD
1441262.16000000
0.194413383053
Long
DBT
CORP
LU
N
2
2022-03-15
Fixed
3.45000000
N
N
N
N
N
N
Westlake Automobile Receivables Trust
5493000EWZKZ6H2PNY04
Westlake Automobile Receivables Trust 2018-3
96042GAC6
706449.77000000
PA
USD
708406.49000000
0.095557703601
Long
ABS-O
CORP
US
N
2
2022-01-18
Fixed
2.98000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
SHORT EURO-BTP FU MAR20 XEUR 20200306
000000000
89.00000000
NC
58640.50000000
0.007910079307
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Short-Term Euro-BTP Futures (FBTS)
BTSH0 Comdty
2020-03-06
10001455.44
EUR
58640.5
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
67054KAA7
800000.00000000
PA
USD
851040.00000000
0.114797689209
Long
DBT
CORP
FR
N
2
2026-05-01
Fixed
7.38000000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BL7
35000.00000000
PA
USD
37572.50000000
0.005068194418
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.25000000
N
N
N
N
N
N
HUNTSMAN INTERNATIONAL L
3YTEJFW18LGIUQ2N5J61
Huntsman International LLC
44701QBD3
1300000.00000000
PA
USD
1389454.95000000
0.187425053489
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
5.13000000
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWU00FP15 IRS JPY R V 06MLIBOR SWUV0FP17 CCPVANILLA / Short: BWU00FP15 IRS JPY P F .30000 SWU00FP15 CCPVANILLA
000000000
3240000000.00000000
OU
Notional Amount
-627672.21000000
-0.08466737085
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor Japan 6 Months
JPY0006M Index
Y
2026-03-18
0
JPY
-13596608
JPY
3240000000
JPY
-511540.83
N
N
N
GOODYEAR TIRE & RUBBER
5493002BI0S2ZQUY3437
Goodyear Tire & Rubber Co/The
382550BE0
40000.00000000
PA
USD
40500.80000000
0.005463195914
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
5.13000000
N
N
N
N
N
N
SELECT MEDICAL CORP
N/A
Select Medical Corp
816196AT6
115000.00000000
PA
USD
124065.45000000
0.016735320279
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
6.25000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFM6
1500000.00000000
PA
USD
1623017.90000000
0.218930607805
Long
DBT
CORP
US
N
2
2025-01-22
Fixed
4.00000000
N
N
N
N
N
N
MSCI INC
549300HTIN2PD78UB763
MSCI Inc
55354GAH3
75000.00000000
PA
USD
76593.75000000
0.010331812262
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
4.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48128BAF8
95000.00000000
PA
USD
99370.00000000
0.013404124808
Long
DBT
CORP
US
N
2
2024-08-01
Variable
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128283W8
195000.00000000
PA
USD
214119.14000000
0.028882758140
Long
DBT
UST
US
N
2
2028-02-15
Fixed
2.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RJ9
7200000.00000000
PA
USD
8589375.00000000
1.158629913703
Long
DBT
UST
US
N
2
2044-11-15
Fixed
3.00000000
N
N
N
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284VAF8
100000.00000000
PA
USD
102010.00000000
0.013760237211
Long
DBT
US
N
2
2029-09-15
Fixed
4.88000000
N
N
N
N
N
N
MORGAN STANLEY MSC DOM CASH DOMESTIC MASTER FORWARD BROKER
N/A
MORGAN STANLEY MSC DOM CASH DOMESTIC MASTER FORWARD BROKER
000000000
-4330000.00000000
NS
USD
-4330000.00000000
-0.58407829747
Short
STIV
CORP
US
N
2
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526BL2
1900000.00000000
PA
USD
1937593.55000000
0.261364051241
Long
DBT
CORP
DE
N
2
2022-11-16
Fixed
3.30000000
N
N
N
N
N
N
KROGER CO
6CPEOKI6OYJ13Q6O7870
Kroger Co/The
501044DM0
115000.00000000
PA
USD
143464.78000000
0.019352116501
Long
DBT
CORP
US
N
2
2049-01-15
Fixed
5.40000000
N
N
N
N
N
N
Silgan Holdings Inc
KAF673KJXD92C8KSLU49
Silgan Holdings Inc
827048AU3
140000.00000000
PA
USD
142800.00000000
0.019262443620
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31394CF98
558787.10000000
PA
USD
621741.62000000
0.083867387269
Long
ABS-MBS
USGSE
US
N
2
2035-04-25
Fixed
5.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0I305 CDS USD R F 1.00000 1 CCPCORPORATE / Short: SWPC0I305 CDS USD P V 03MEVENT 2 CCPCORPORATE
000000000
1000000.00000000
OU
Notional Amount
USD
13515.00000000
0.001823052699
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
General Electric Co
General Electric Co
Y
sell protection
2024-06-20
0
USD
-10215.11
USD
1000000
USD
23730.11
N
N
N
TAYLOR MORR COMM/HLDGS
N/A
Taylor Morrison Communities Inc / Taylor Morrison Holdings II Inc
877249AD4
140000.00000000
PA
USD
151200.00000000
0.020395528539
Long
DBT
CORP
XX
N
2
2024-03-01
Fixed
5.63000000
N
N
N
N
N
N
LIVE NATION ENTERTAINMEN
5493007B9BM9ZXJINO78
Live Nation Entertainment Inc
538034AK5
200000.00000000
PA
USD
206720.00000000
0.027884680289
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
4.88000000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAC7
700000.00000000
PA
USD
703235.97000000
0.094860246669
Long
DBT
CORP
US
N
2
2021-06-25
Floating
2.58000000
N
N
N
N
N
N
Match Group Inc
549300BIJKT86CPCKK96
Match Group Inc
57665RAJ5
135000.00000000
PA
USD
145631.25000000
0.019644353939
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
5.63000000
N
N
N
N
N
N
RELIANCE STAND LIFE II
N/A
Reliance Standard Life Global Funding II
75951AAJ7
1400000.00000000
PA
USD
1494662.62000000
0.201616627801
Long
DBT
CORP
US
N
2
2023-09-19
Fixed
3.85000000
N
N
N
N
N
N
Concho Resources Inc
SYHS7HRDXLL4I0IQ8776
Concho Resources Inc
20605PAJ0
440000.00000000
PA
USD
510245.07000000
0.068827499255
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
4.88000000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AQ0
200000.00000000
PA
USD
212250.00000000
0.028630627860
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31396RDY0
1211773.80000000
PA
USD
1405344.25000000
0.189568378036
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
Fixed
6.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWV2
470000.00000000
PA
USD
515797.71000000
0.069576500761
Long
DBT
CORP
US
N
2
2029-04-23
Variable
3.81000000
N
N
N
N
N
N
CROWNROCK LP/CROWNROCK F
N/A
CrownRock LP / CrownRock Finance Inc
228701AF5
130000.00000000
PA
USD
131153.10000000
0.017691380913
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
5.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408B5A2
22270.37000000
PA
USD
23195.49000000
0.003128864274
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Floating
3.43000000
N
N
N
N
N
N
STARWOOD PROPERTY TRUST
BUGSFQZERKRBFWIG5267
Starwood Property Trust Inc
85571BAG0
75000.00000000
PA
USD
76875.00000000
0.010369750373
Long
DBT
US
N
2
2021-12-15
Fixed
5.00000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc/DE
49456BAH4
535000.00000000
PA
USD
642319.42000000
0.086643148560
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
5.55000000
N
N
N
N
N
N
MidAmerican Energy Co
NINLOILYRTLIMK26MZ18
MidAmerican Energy Co
595620AT2
1400000.00000000
PA
USD
1566878.38000000
0.211357888344
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.65000000
N
N
N
N
N
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
200.90000000
0.000027099614
N/A
DFE
MX
N
2
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
71382.12000000
USD
1354000.00000000
MXN
2020-02-12
200.9
N
N
N
Sprint Corp
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAH8
305000.00000000
PA
USD
315019.25000000
0.042493281110
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
7.13000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
RXJ0P171.5 APR20 171.5 CALL FSO
000000000
-41.00000000
NC
19236.18000000
0.002594788744
N/A
DIR
DE
N
1
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Short
Euro-Bund (FGBL)
RXJ0 Comdty
2020-03-27
-50144.74
EUR
19236.18
N
N
N
SENSATA TECH UK FIN CO
635400EUADS212PJER83
Sensata Technologies UK Financing Co PLC
81727TAA6
65000.00000000
PA
USD
68259.75000000
0.009207630153
Long
DBT
CORP
GB
N
2
2026-02-15
Fixed
6.25000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
N/A
LONG GILT FUTURE MAR20 IFLL 20200327
000000000
-87.00000000
NC
-291316.09000000
-0.03929593669
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Short
United Kingdom Gilt
G H0 Comdty
2020-03-27
-11519169.53
GBP
-291316.09
N
N
N
Verizon Owner Trust
N/A
Verizon Owner Trust 2017-1
92348NAA5
173273.04000000
PA
USD
173315.06000000
0.023378652464
Long
ABS-O
CORP
US
N
2
2021-09-20
Fixed
2.06000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030629
2970000.00000000
PA
USD
3037057.02000000
0.409671846088
Long
ABS-MBS
USGSE
US
N
2
2050-02-15
Fixed
3.00000000
N
N
N
N
N
N
TRI POINTE GROUP / HOMES
N/A
TRI Pointe Group Inc / TRI Pointe Homes Inc
962178AN9
30000.00000000
PA
USD
32550.00000000
0.004390704060
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
5.88000000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017AP9
595000.00000000
PA
USD
635703.57000000
0.085750729529
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
4.33000000
N
N
N
N
N
N
HERTZ CORP
549300PD0C69OJ0NLB27
Hertz Corp/The
428040CS6
175000.00000000
PA
USD
177551.50000000
0.023950110354
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
5.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0I0F5 CDS EUR R F 1.00000 1 CCPCORPORATE / Short: SWPC0I0F5 CDS EUR P V 03MEVENT 2 CCPCORPORATE
000000000
1400000.00000000
OU
Notional Amount
10202.59000000
0.001376238197
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Rolls Royce
Rolls Royce
Y
sell protection
2024-06-20
2736.01
EUR
0
EUR
1400000
EUR
7164.47
N
N
N
NVR Inc
529900RWXR4JI3JYTV70
NVR Inc
62944TAE5
1800000.00000000
PA
USD
1882976.58000000
0.253996710166
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
3.95000000
N
N
N
N
N
HUNTINGTON BANCSHARES
549300XTVCVV9I7B5T19
Huntington Bancshares Inc/OH
446150AL8
124000.00000000
PA
USD
130078.48000000
0.017546424280
Long
DBT
CORP
US
N
2
2023-04-15
Variable
5.70000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BB9
1700000.00000000
PA
USD
1796531.39000000
0.242336026702
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
4.46000000
N
N
N
N
N
N
Marathon Oil Corp
1FRVQX2CRLGC1XLP5727
Marathon Oil Corp
565849AK2
1900000.00000000
PA
USD
1938358.09000000
0.261467180853
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
2.80000000
N
N
N
N
N
N
Hudbay Minerals Inc
549300WI524AL577IX21
Hudbay Minerals Inc
443628AG7
50000.00000000
PA
USD
50875.00000000
0.006862582767
Long
DBT
CORP
CA
N
2
2025-01-15
Fixed
7.63000000
N
N
N
N
N
N
CARLYLE FINANCE SUB LLC
N/A
Carlyle Finance Subsidiary LLC
14314DAA1
1500000.00000000
PA
USD
1581735.24000000
0.213361945964
Long
DBT
CORP
US
N
2
2029-09-19
Fixed
3.50000000
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LH2
355000.00000000
PA
USD
360489.14000000
0.048626762851
Long
DBT
CORP
US
N
2
2022-04-25
Floating
2.75000000
N
N
N
N
N
N
Saka Energi Indonesia PT
25490049636XFM5KBR83
Saka Energi Indonesia PT
69371EAA3
185000.00000000
PA
USD
187842.11000000
0.025338221663
Long
DBT
CORP
ID
N
2
2024-05-05
Fixed
4.45000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBS7
580000.00000000
PA
USD
626907.19000000
0.084564176491
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
5226.15000000
0.000704960922
N/A
DFE
CN
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
446664.60000000
USD
3167790.04000000
CNY
2020-03-18
5226.15
N
N
N
KUWAIT INTL BOND
549300FSC1YD0D9XX589
Kuwait International Government Bond
000000000
1700000.00000000
PA
USD
1729750.00000000
0.233327814099
Long
DBT
NUSS
KW
N
2
2022-03-20
Fixed
2.75000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BK5
40000.00000000
PA
USD
52837.50000000
0.007127306476
Long
DBT
NUSS
BR
N
2
2037-01-20
Fixed
7.13000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGY9
325000.00000000
PA
USD
327711.59000000
0.044205364329
Long
DBT
CORP
US
N
2
2022-01-23
Variable
2.74000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
CAD CURRENCY FUT MAR20 XCME 20200317
000000000
2.00000000
NC
USD
-678.10000000
-0.00009146962
N/A
DFE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
Canadian Dollar FX Currency Future
CDH0 Curncy
2020-03-17
151828.1
USD
-678.1
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0GJD4 CDS USD R F 1.00000 1 CCPCORPORATE / Short: SWPC0GJD4 CDS USD P V 03MEVENT 2 CCPCORPORATE
000000000
1600000.00000000
OU
Notional Amount
USD
34931.20000000
0.004711906656
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Verizon Communications Inc
Verizon Communications Inc
Y
sell protection
2022-12-20
18131.92
USD
0
USD
1600000
USD
16799.28
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-EXP2 Trust
67113KAJ7
389823.14000000
PA
USD
390440.62000000
0.052666949790
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Floating
2.56000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
02156LAC5
200000.00000000
PA
USD
203625.00000000
0.027467192453
Long
DBT
CORP
FR
N
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
Republic of Namibia
549300T6Y4CWK77SML15
Namibia International Bonds
62987BAB8
180000.00000000
PA
USD
188895.96000000
0.025480376608
Long
DBT
NUSS
NA
N
2
2025-10-29
Fixed
5.25000000
N
N
N
N
N
N
Stevens Holding Co Inc
N/A
Stevens Holding Co Inc
86024TAA5
170000.00000000
PA
USD
186150.00000000
0.025109971148
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
6.13000000
N
N
N
N
N
N
SERVICEMASTER COMPANY LL
HZPA4EQ289DXC7NQGK91
ServiceMaster Co LLC/The
817610AA6
195000.00000000
PA
USD
201526.65000000
0.027184143793
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.13000000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
Netflix Inc
64110LAX4
165000.00000000
PA
USD
192225.00000000
0.025929434349
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
6.38000000
N
N
N
N
N
N
Avery Point CLO Ltd
549300RWY6OWBAXCT467
Avery Point IV CLO Ltd
05363UAS2
424341.90000000
PA
USD
424341.90000000
0.057239929445
Long
ABS-CBDO
CORP
KY
N
2
2026-04-25
Floating
2.89000000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Trust 2006-NC1
46626LJL5
167470.89000000
PA
USD
167401.95000000
0.022581026778
Long
ABS-O
CORP
US
N
2
2036-04-25
Floating
1.83000000
N
N
N
N
N
N
LAMAR MEDIA CORP
N/A
Lamar Media Corp
513075BQ3
70000.00000000
PA
USD
70467.60000000
0.009505449384
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.75000000
N
N
N
N
N
N
China Minmetals Corp
3003002ULBI4T3DT7Z09
China Minmetals Corp
000000000
200000.00000000
PA
USD
202000.00000000
0.027247994477
Long
DBT
CORP
CN
N
2
2022-11-13
Variable
3.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796TW9
750000.00000000
PA
USD
746314.50000000
0.100671155320
Long
STIV
UST
US
N
2
2020-05-28
None
0.00000000
N
N
N
N
N
N
Post Holdings Inc
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AM6
20000.00000000
PA
USD
21100.00000000
0.002846201403
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
5.75000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05367AAD5
4820000.00000000
PA
USD
5076745.49000000
0.684807589489
Long
DBT
CORP
US
N
2
2021-04-06
Fixed
6.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
BP CURRENCY FUT MAR20 XCME 20200316
000000000
4.00000000
NC
USD
-166.20000000
-0.00002241889
N/A
DFE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
British Pound Currency Future
BPH0 Curncy
2020-03-16
330591.2
USD
-166.2
N
N
N
Mansard Mortgages PLC
213800JK7REF83LDFT15
Mansard Mortgages 2007-1 PLC
000000000
999027.68000000
PA
1263890.62000000
0.170487547694
Long
ABS-MBS
CORP
GB
N
2
2047-04-15
Floating
0.91000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
US 5YR FUTR OPTN Mar20P 113.5
000000000
91.00000000
NC
USD
91.00000000
0.000012275086
N/A
DIR
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
5 Year US Treasury Note Future
N/A
91000.00000000
NC
N/A
91.00000000
0.00000000
DIR
US
Long
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
91000.00000000
USD
1000.00000000
113.5
USD
2020-02-21
XXXX
-691.6
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-OAT FUTURE MAR20 XEUR 20200306
000000000
-103.00000000
NC
-275996.82000000
-0.03722950409
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-OAT
OATH0 Comdty
2020-03-06
-16974801.12
EUR
-275996.82
N
N
N
DEUTSCHE CASH COLL BROKER
N/A
DEUTSCHE CASH COLL BROKER
000000000
-90000.00000000
NS
USD
-90000.00000000
-0.01214019555
Short
STIV
CORP
US
N
2
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAB7
160000.00000000
PA
USD
164800.00000000
0.022230046979
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
5.25000000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAE9
70000.00000000
PA
USD
72148.30000000
0.009732160792
Long
DBT
CORP
CA
N
2
2025-10-15
Fixed
5.00000000
N
N
N
N
N
N
State of Israel
213800T8ZHTFZIBYPE21
Israel Government International Bond
46513YJJ8
1600000.00000000
PA
USD
1916000.00000000
0.258451274354
Long
DBT
NUSS
IL
N
2
2048-01-17
Fixed
4.13000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38144GAB7
39000.00000000
PA
USD
40755.00000000
0.005497485222
Long
DBT
CORP
US
N
2
2025-02-10
Variable
4.95000000
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
904678AG4
3300000.00000000
PA
USD
3890799.00000000
0.524834008249
Long
DBT
CORP
IT
N
2
2023-12-04
Fixed
7.83000000
N
N
N
N
N
N
LIVE NATION ENTERTAINMEN
5493007B9BM9ZXJINO78
Live Nation Entertainment Inc
538034AR0
125000.00000000
PA
USD
128600.00000000
0.017346990543
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
4.75000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KAT7
1700000.00000000
PA
USD
1841938.70000000
0.248461066960
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.55000000
N
N
N
N
N
N
MORGAN STANLEY MCS FUTURES CASH COLL COC
N/A
MORGAN STANLEY MCS FUTURES CASH COLL COC
000000000
662000.00000000
NS
USD
662000.00000000
0.089297882892
Long
STIV
CORP
US
N
2
N
N
N
NIELSEN CO LUX SARL/THE
549300MFMRJBOPHHM352
Nielsen Co Luxembourg SARL/The
65410CAC4
85000.00000000
PA
USD
86497.70000000
0.011667766593
Long
DBT
CORP
LU
N
2
2025-02-01
Fixed
5.00000000
N
N
N
N
N
N
Sealed Air Corp
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211KAU4
75000.00000000
PA
USD
79687.50000000
0.010749131484
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
5.25000000
N
N
N
N
N
N
AVIS BUDGET CAR/FINANCE
N/A
Avis Budget Car Rental LLC / Avis Budget Finance Inc
053773BC0
265000.00000000
PA
USD
275600.00000000
0.037175976624
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.75000000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAC0
405000.00000000
PA
USD
427275.00000000
0.057635578418
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128282Y5
10900000.00000000
PA
USD
11292570.26000000
1.523266792500
Long
DBT
UST
US
N
2
2024-09-30
Fixed
2.13000000
N
N
N
N
N
N
Loomis Sayles Ltd
549300SUQAYPCZFFGP18
Loomis Sayles CLO II Ltd
54347LAN2
1900000.00000000
PA
USD
1897497.70000000
0.255955479461
Long
ABS-CBDO
CORP
KY
N
2
2028-04-15
Floating
2.73000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2H5
920000.00000000
PA
USD
935377.17000000
0.126174019618
Long
DBT
CORP
US
N
2
2025-10-30
Variable
2.41000000
N
N
N
N
N
N
CommScope Inc
549300Z6K4JXMFE8QY54
CommScope Inc
203372AM9
15000.00000000
PA
USD
14925.00000000
0.002013249096
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RE0
1400000.00000000
PA
USD
1836078.13000000
0.247670528451
Long
DBT
UST
US
N
2
2044-02-15
Fixed
3.63000000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAA4
57000.00000000
PA
USD
59707.50000000
0.008054008070
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
9.25000000
N
N
N
N
N
N
Jeld-Wen Inc
549300XWE6NM0N1HFW16
Jeld-Wen Inc
475795AD2
135000.00000000
PA
USD
139725.00000000
0.018847653606
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.88000000
N
N
N
N
N
N
SAUDI ARABIAN OIL CO
5586006WD91QHB7J4X50
Saudi Arabian Oil Co
000000000
200000.00000000
PA
USD
221626.95000000
0.029895494602
Long
DBT
CORP
SA
N
2
2039-04-16
Fixed
4.25000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BTP FUTURE MAR20 XEUR 20200306
000000000
249.00000000
NC
1025250.88000000
0.138297179785
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Long-Term Euro-BTP (FBTP)
IKH0 Comdty
2020-03-06
35935028.96
EUR
1025250.88
N
N
N
AMERICAN TRANSMISSION SY
N/A
American Transmission Systems Inc
030288AA2
900000.00000000
PA
USD
955732.29000000
0.128919743367
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31358NW40
673.79000000
PA
USD
698.91000000
0.000094276711
Long
ABS-MBS
USGSE
US
N
2
2022-07-25
Fixed
6.00000000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAK5
1100000.00000000
PA
USD
1102893.28000000
0.148770445559
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
2.20000000
N
N
N
N
N
N
BRITISH TELECOMMUNICATIO
549300OWFMSO9NYV4H90
British Telecommunications PLC
111021AM3
1500000.00000000
PA
USD
1635074.81000000
0.220556977196
Long
DBT
CORP
GB
N
2
2023-12-04
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31394TUG8
467814.58000000
PA
USD
498237.26000000
0.067207753015
Long
ABS-MBS
USGSE
US
N
2
2034-03-15
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAU0
1600000.00000000
PA
USD
1699884.83000000
0.229299269607
Long
DBT
CORP
US
N
2
2024-07-23
Variable
3.80000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RG5
600000.00000000
PA
USD
758695.31000000
0.102341215926
Long
DBT
UST
US
N
2
2044-05-15
Fixed
3.38000000
N
N
N
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
214490.58000000
0.028932862076
N/A
DFE
GB
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
14300443.61000000
USD
10992000.00000000
GBP
2020-02-04
214490.58
N
N
N
FannieMae Whole Loan
N/A
Fannie Mae REMIC Trust 1999-W4
31359VA94
138977.20000000
PA
USD
151346.73000000
0.020415321105
Long
ABS-MBS
USGSE
US
N
2
2029-02-25
Fixed
6.25000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359U3G8
7078.59000000
PA
USD
7031.43000000
0.000948477058
Long
ABS-MBS
USGSE
US
N
2
2028-12-25
Floating
1.96000000
N
N
N
N
N
N
ASGN INCORPORATED
LZBNYYCBUKY537072438
ASGN Inc
00191UAA0
125000.00000000
PA
USD
128375.00000000
0.017316640054
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.63000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDJ8
535000.00000000
PA
USD
603755.89000000
0.081441273052
Long
DBT
CORP
US
N
2
2048-03-09
Fixed
4.50000000
N
N
N
N
N
N
Structured Asset Securities Corporation
N/A
SASCO Mortgage Loan Trust 2005-GEL1
86359BX22
715612.35000000
PA
USD
719992.97000000
0.097120616191
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
3.01000000
N
N
N
N
N
N
CDK Global Inc
5493000L10CYRTHIJ385
CDK Global Inc
12508EAD3
75000.00000000
PA
USD
81796.50000000
0.011033616734
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
5.00000000
N
N
N
N
N
N
Liberty Interactive LLC
549300SZUIU7Z32Q0664
Liberty Interactive LLC
530715AD3
50000.00000000
PA
USD
50500.00000000
0.006811998619
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
8.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409BB48
31172.38000000
PA
USD
32360.85000000
0.004365189416
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Floating
4.96000000
N
N
N
N
N
N
JAPAN INT'L COOP AGENCY
254900XEIG78M2AJB031
Japan International Cooperation Agency
47109LAB0
1300000.00000000
PA
USD
1369319.33000000
0.184708938327
Long
DBT
NUSS
JP
N
2
2027-04-27
Fixed
2.75000000
N
N
N
N
N
N
Energizer Holdings Inc
5493000D6NN0V57UME20
Energizer Holdings Inc
29272WAA7
135000.00000000
PA
USD
143781.75000000
0.019394872920
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
6.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H040632
59300000.00000000
PA
USD
61528383.11000000
8.299628926788
Long
ABS-MBS
USGA
US
N
2
2050-03-23
Fixed
4.00000000
N
N
N
N
N
N
SINCLAIR TELEVISION GROU
549300CQGEN0CH65UD62
Sinclair Television Group Inc
829259AW0
40000.00000000
PA
USD
40950.00000000
0.005523788979
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
5.13000000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAA9
40000.00000000
PA
USD
40550.00000000
0.005469832554
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
4.50000000
N
N
N
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust 2004-1
805564PN5
293224.84000000
PA
USD
285548.01000000
0.038517874255
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
2.53000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0UD9
870000.00000000
PA
USD
885195.16000000
0.119404915007
Long
ABS-MBS
USGSE
US
N
2
2030-09-25
Floating
3.96000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
DUH0C113.7 MAR20 113.7 CALL FSO
000000000
15.00000000
NC
-14.31000000
-0.00000193029
N/A
DIR
DE
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long
Euro-Schatz Futures (FGBS)
DUH0 Comdty
2020-02-21
87.9
EUR
-14.31
N
N
N
Sealed Air Corp
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211KAX8
70000.00000000
PA
USD
76737.50000000
0.010351202852
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
5.50000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29279FAA7
370000.00000000
PA
USD
438775.95000000
0.059186953775
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AN0
325000.00000000
PA
USD
392616.42000000
0.052960445762
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.60000000
N
N
N
N
N
N
EQUITABLE HOLDINGS INC
549300FIBAKMNHPZ4009
Equitable Holdings Inc
054561AM7
485000.00000000
PA
USD
558083.49000000
0.075280474523
Long
DBT
CORP
US
N
2
2048-04-20
Fixed
5.00000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2003-3
07386HCE9
3932.69000000
PA
USD
3980.49000000
0.000536932522
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Variable
4.54000000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311RAA4
30000.00000000
PA
USD
32325.00000000
0.004360353571
Long
DBT
CORP
US
N
2
2037-09-15
Fixed
6.75000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAT0
760000.00000000
PA
USD
777100.00000000
0.104823844102
Long
DBT
CORP
US
N
2
2030-05-15
Variable
7.13000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2K9
445000.00000000
PA
USD
456959.00000000
0.061639684696
Long
DBT
CORP
FR
N
2
2031-01-13
Variable
3.05000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2003-1
07384MTN2
10076.49000000
PA
USD
10470.02000000
0.001412312114
Long
ABS-MBS
CORP
US
N
2
2033-04-25
Variable
4.63000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RBK7
160000.00000000
PA
USD
177231.30000000
0.023906918236
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
4.35000000
N
N
N
N
N
N
Federal Housing Authority
N/A
FHA GMAC OTHER ASSET BACKED
000000000
104.52000000
PA
USD
104.86000000
0.000014144676
Long
ABS-MBS
USGA
US
N
2
2021-06-01
Fixed
7.43000000
N
N
N
N
N
N
Republic of Angola
549300QHR2R3J8JSGK83
Angolan Government International Bond
035198AC4
140000.00000000
PA
USD
151643.52000000
0.020455355423
Long
DBT
NUSS
AO
N
2
2048-05-08
Fixed
9.38000000
N
N
N
N
N
N
ESC LEHMAN BRTH HLDG
N/A
ESC LEHMAN BRTH HLDG 01/13 1
525ESCIB7
4500000.00000000
PA
USD
57150.00000000
0.007709024180
Long
DBT
CORP
US
N
2
2013-01-24
Fixed
5.63000000
Y
N
N
N
N
N
JP Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Trust 2007-CH1
46630LAY0
1680000.00000000
PA
USD
1677593.90000000
0.226292422392
Long
ABS-O
CORP
US
N
2
2036-11-25
Floating
1.94000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0IJA6 CDS USD R F 1.00000 1 CCPCDX / Short: SWPC0IJA6 CDS USD P V 03MEVENT 2 CCPCDX
000000000
40600000.00000000
OU
Notional Amount
USD
947198.00000000
0.127768543927
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S33.V1
2I65BYDV4
Y
sell protection
2024-12-20
878364.61
USD
0
USD
40600000
USD
68833.39
N
N
N
HEALTHCARE TRUST OF AMER
549300IYGAS4GE6VDL07
Healthcare Trust of America Holdings LP
42225UAG9
290000.00000000
PA
USD
299108.27000000
0.040347032124
Long
DBT
US
N
2
2030-02-15
Fixed
3.10000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE MAR20 XEUR 20200306
000000000
-9.00000000
NC
-41943.43000000
-0.00565779380
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Bund (FGBL)
RXH0 Comdty
2020-03-06
-1537540.74
EUR
-41943.43
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CX1
185000.00000000
PA
USD
192437.14000000
0.025958050138
Long
DBT
CORP
US
N
2
2039-08-15
Fixed
4.30000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU00WA22 IRS JPY R F .09500 SWU00WA22 CCPVANILLA / Short: SWU00WA22 IRS JPY P V 06MLIBOR CCPVANILLA NEG RATE -0.095
000000000
430000000.00000000
OU
Notional Amount
-16179.55000000
-0.00218247667
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2026-09-13
0
JPY
0
JPY
430000000
JPY
-16179.55
N
N
N
Sound Point CLO LTD
5493004LEP80CTDZQ594
Sound Point CLO X Ltd
83609WAN0
1600000.00000000
PA
USD
1600275.20000000
0.215862820854
Long
ABS-CBDO
CORP
KY
N
2
2028-01-20
Floating
2.71000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU00W8Y5 IRS GBP R V 06MLIBOR SWUV0W8Y7 CCPVANILLA / Short: BWU00W8Y5 IRS GBP P F .75000 SWU00W8Y5 CCPVANILLA
000000000
1800000.00000000
OU
Notional Amount
-4156.78000000
-0.00056071246
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 6 Months
BP0006M Index
Y
2030-03-18
14452.04
GBP
0
GBP
1800000
GBP
-22108.78
N
N
N
Bausch Health Cos Inc
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AD9
55000.00000000
PA
USD
59572.70000000
0.008035824755
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
7.00000000
N
N
N
N
N
N
SBA COMMUNICATIONS CORP
5299001HX8ZN8Y8QIT49
SBA Communications Corp
78410GAC8
125000.00000000
PA
USD
126718.75000000
0.017093226733
Long
DBT
US
N
2
2027-02-15
Fixed
3.88000000
N
N
N
N
N
N
Springleaf Finance Corp
5493008I795YYBFWFU90
Springleaf Finance Corp
85172FAL3
40000.00000000
PA
USD
42800.00000000
0.005773337443
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
5.63000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SG4
1124376.00000000
PA
USD
1356803.48000000
0.183020662032
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1.00000000
N
N
N
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205AY0
375000.00000000
PA
USD
408243.75000000
0.055068432899
Long
DBT
NUSS
ZA
N
2
2030-06-22
Fixed
5.88000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BR9
95000.00000000
PA
USD
106172.00000000
0.014321653810
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.38000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XLT9
1300000.00000000
PA
USD
1348601.67000000
0.181914311173
Long
ABS-MBS
USGSE
US
N
2
2029-11-25
Floating
4.51000000
N
N
N
N
N
N
HILTON WORLDWIDE FIN LLC
N/A
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp
432891AK5
40000.00000000
PA
USD
42100.00000000
0.005678913700
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
4.88000000
N
N
N
N
N
N
NEXTERA ENERGY OPERATING
549300KJEC5IUVJWR786
NextEra Energy Operating Partners LP
65342QAK8
40000.00000000
PA
USD
41708.80000000
0.005626144317
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4.25000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAF3
565000.00000000
PA
USD
731629.96000000
0.098690342128
Long
DBT
CORP
US
N
2
2045-05-22
Fixed
5.15000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2014-C22
92890KBD6
6488439.38000000
PA
USD
195643.32000000
0.026390535163
Long
ABS-MBS
CORP
US
N
2
2057-09-15
Variable
0.96000000
N
N
N
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust 2005-AR4
23332UEM2
200767.43000000
PA
USD
198001.68000000
0.026708656847
Long
ABS-MBS
CORP
US
N
2
2045-08-19
Floating
1.91000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAU0
625000.00000000
PA
USD
662202.14000000
0.089325149771
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.75000000
N
N
N
N
N
N
Gray Television Inc
529900TM5726KDN7UU35
Gray Television Inc
389284AA8
85000.00000000
PA
USD
92548.00000000
0.012483897984
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2003-J3
12669FFD0
23472.47000000
PA
USD
24233.95000000
0.003268943246
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Fixed
6.25000000
N
N
N
N
N
N
VIRGIN MEDIA SECURED FIN
213800X3RLP4NOTPY579
Virgin Media Secured Finance PLC
000000000
2200000.00000000
PA
3061248.74000000
0.412935092885
Long
DBT
CORP
GB
N
2
2027-04-15
Fixed
5.00000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CV0
1500000.00000000
PA
USD
1573428.09000000
0.212241385681
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
3.70000000
N
N
N
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BF6
375000.00000000
PA
USD
416324.68000000
0.056158478126
Long
DBT
CORP
US
N
2
2026-11-30
Fixed
3.75000000
N
N
N
N
N
N
SIX FLAGS ENTERTAINMENT
549300JYTDUAA4JQ3717
Six Flags Entertainment Corp
83001AAC6
30000.00000000
PA
USD
31164.00000000
0.004203745049
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.50000000
N
N
N
N
N
N
Sirius XM Radio Inc
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NAU2
185000.00000000
PA
USD
190799.75000000
0.025737180863
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.38000000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
085790AY9
55000.00000000
PA
USD
55963.60000000
0.007548989424
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
5.13000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LM1
1400000.00000000
PA
USD
1429381.60000000
0.192810801700
Long
DBT
CORP
US
N
2
2023-07-24
Variable
2.88000000
N
N
N
N
N
N
GLOBAL AIR LEASE CO LTD
N/A
Global Aircraft Leasing Co Ltd
37960JAA6
70000.00000000
PA
USD
71613.50000000
0.009660021052
Long
DBT
CORP
KY
N
2
2024-09-15
Fixed
6.50000000
N
N
Y
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAC9
85000.00000000
PA
USD
86487.50000000
0.011666390704
Long
DBT
US
N
2
2025-02-15
Fixed
3.50000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
4000000.00000000
PA
4596566.60000000
0.620035749177
Long
DBT
NUSS
ES
N
2
2029-10-31
Fixed
0.60000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU00VSB5 IRS JPY R F .12250 SWU00VSB5 CCPVANILLA / Short: SWU00VSB5 IRS JPY P V 06MLIBOR SWUV0VSB7 CCPVANILLA
000000000
600000000.00000000
OU
Notional Amount
-92665.02000000
-0.01249968293
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2039-08-22
2349097
JPY
0
JPY
600000000
JPY
-114751.32
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-40780.77000000
-0.00550096136
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
101739000.00000000
MXN
5282810.19000000
USD
2020-04-22
-40780.77
N
N
N
Bausch Health Cos Inc
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AC1
15000.00000000
PA
USD
16048.50000000
0.002164799204
Long
DBT
CORP
CA
N
2
2027-08-15
Fixed
5.75000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0IIT6 CDS USD R F 1.00000 1 CCPCORPORATE / Short: SWPC0IIT6 CDS USD P V 03MEVENT 2 CCPCORPORATE
000000000
1200000.00000000
OU
Notional Amount
USD
12451.20000000
0.001679555588
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
General Electric Co
General Electric Co
Y
sell protection
2024-12-20
0
USD
-16862.29
USD
1200000
USD
29313.49
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
US 5YR FUTR OPTN Mar20C 120
000000000
-39.00000000
NC
USD
-21328.13000000
-0.00287697410
N/A
DIR
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
5 Year US Treasury Note Future
N/A
39000.00000000
NC
N/A
-21328.13000000
0.00000000
DIR
US
Short
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
39000.00000000
USD
1000.00000000
120
USD
2020-02-21
XXXX
-12236.06
N
N
N
LPL HOLDINGS INC
549300Z5YF8CCRMYUL26
LPL Holdings Inc
50212YAC8
60000.00000000
PA
USD
61050.00000000
0.008235099321
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
4.63000000
N
N
N
N
N
N
TAYLOR MORRISON COMM
549300O1Z08HI2MRK572
Taylor Morrison Communities Inc
87724RAB8
80000.00000000
PA
USD
87600.00000000
0.011816457011
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.75000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CQ6
395000.00000000
PA
USD
397208.73000000
0.053579907334
Long
DBT
CORP
US
N
2
2022-08-15
Floating
3.36000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505FP4
86000.00000000
PA
USD
91066.26000000
0.012284024502
Long
DBT
CORP
US
N
2
2024-06-20
Variable
5.13000000
N
N
N
N
N
N
LPL Holdings Inc
549300Z5YF8CCRMYUL26
LPL Holdings Inc
50212YAB0
293000.00000000
PA
USD
305452.50000000
0.041202812045
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
5.75000000
N
N
N
N
N
N
NUANCE COMMUNICATIONS
AEMSOT3SS15TNMJCE605
Nuance Communications Inc
67020YAQ3
145000.00000000
PA
USD
154243.75000000
0.020806103209
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
5.63000000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAE6
120000.00000000
PA
USD
118875.00000000
0.016035174968
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.25000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBM6
355000.00000000
PA
USD
359094.93000000
0.048438696384
Long
DBT
CORP
US
N
2
2022-03-09
Floating
2.84000000
N
N
N
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CC4
140000.00000000
PA
USD
150500.00000000
0.020301104796
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.63000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AW2
1500000.00000000
PA
USD
1512694.91000000
0.204049022546
Long
DBT
CORP
US
N
2
2021-09-24
Floating
2.79000000
N
N
N
N
N
N
Vesteda Finance BV
72450072M9HBDGD2GH67
Vesteda Finance BV
000000000
1000000.00000000
PA
1174150.72000000
0.158382437300
Long
DBT
CORP
NL
N
2
2022-10-27
Fixed
2.50000000
N
N
N
N
N
N
RITCHIE BROS AUCTIONEERS
5493002H8U24DJXQ4886
Ritchie Bros Auctioneers Inc
767744AA3
220000.00000000
PA
USD
228525.00000000
0.030825979891
Long
DBT
CORP
CA
N
2
2025-01-15
Fixed
5.38000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31394VKD1
1432760.21000000
PA
USD
1597753.15000000
0.215522618852
Long
ABS-MBS
USGSE
US
N
2
2036-01-25
Fixed
5.50000000
N
N
N
N
N
N
PPL Capital Funding Inc
549300MROK5WY0D2NU17
PPL Capital Funding Inc
69352PAE3
1700000.00000000
PA
USD
1763331.41000000
0.237857646149
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
3.50000000
N
N
N
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
28438.60000000
0.003836112949
N/A
DFE
US
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
1855000.00000000
AUD
1270376.35000000
USD
2020-02-14
28438.6
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397VR1
970000.00000000
PA
USD
1002765.40000000
0.135264089513
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
5.75000000
N
N
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-10780.06000000
-0.00145413373
N/A
DFE
JP
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
21475654.43000000
USD
2324600000.00000000
JPY
2020-02-14
-10780.06
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-A8
466247YH0
594654.76000000
PA
USD
556222.82000000
0.075029486771
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
3.97000000
N
N
N
N
N
N
Sirius XM Radio Inc
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBA5
95000.00000000
PA
USD
99750.00000000
0.013455383411
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
5.00000000
N
N
N
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780099CJ4
1100000.00000000
PA
USD
1125300.00000000
0.151792911811
Long
DBT
CORP
GB
N
2
2020-08-10
Variable
7.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
29872.22000000
0.004029495473
N/A
DFE
GB
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2724690.44000000
USD
2086000.00000000
GBP
2020-02-04
29872.22
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
US 5YR FUTR OPTN Mar20P 110.25
000000000
51.00000000
NC
USD
51.00000000
0.000006879444
N/A
DIR
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
5 Year US Treasury Note Future
N/A
51000.00000000
NC
N/A
51.00000000
0.00000000
DIR
US
Long
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
51000.00000000
USD
1000.00000000
110.25
USD
2020-02-21
XXXX
-387.6
N
N
N
Sprint Corp
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAK1
80000.00000000
PA
USD
83492.00000000
0.011262324529
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
7.63000000
N
N
N
N
N
N
CONTL AIRLINES 2012-2 A
N/A
Continental Airlines 2012-2 Class A Pass Through Trust
210795QB9
1119054.58000000
PA
USD
1197747.84000000
0.161565477872
Long
DBT
CORP
US
N
2
2024-10-29
Fixed
4.00000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526BR9
1300000.00000000
PA
USD
1349562.16000000
0.182043872688
Long
DBT
CORP
DE
N
2
2023-02-27
Fixed
3.95000000
N
N
N
N
N
Quicken Loans Inc
549300FGXN1K3HLB1R50
Quicken Loans Inc
74840LAB8
1600000.00000000
PA
USD
1656000.00000000
0.223379598293
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.25000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468K8
590000.00000000
PA
USD
590790.50000000
0.079692357829
Long
DBT
CORP
US
N
2
2023-01-20
Floating
2.28000000
N
N
N
N
N
N
TD Securities Inc.
5493006RJSLS5DA4PD75
REPO TORONTO DOMINION GRAND CAYMAN
000000000
7500000.00000000
PA
USD
7500000.00000000
1.011682963285
Long
RA
CORP
KY
N
2
Repurchase
N
1.64000000
2020-02-03
7595000.00000000
USD
7661752.91100000
USD
UST
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBP6
75000.00000000
PA
USD
77351.25000000
0.010433992241
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828L65
5190000.00000000
PA
USD
5183309.78000000
0.699182159714
Long
DBT
UST
US
N
2
2020-09-30
Fixed
1.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3133T4NZ5
13205.26000000
PA
USD
14158.82000000
0.001909898263
Long
ABS-MBS
USGSE
US
N
2
2024-03-15
Fixed
6.50000000
N
N
N
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust 2006-1
80556UAF0
1943246.35000000
PA
USD
1883443.72000000
0.254059723177
Long
ABS-O
CORP
US
N
2
2036-03-25
Floating
2.13000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571900BB4
1500000.00000000
PA
USD
1597170.44000000
0.215444016481
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.60000000
N
N
N
N
N
Morgan Stanley Dean Witter Capital I Trust
N/A
Morgan Stanley Dean Witter Capital I Inc Trust 2003-NC1
61746WYU8
512361.92000000
PA
USD
514253.00000000
0.069368133189
Long
ABS-MBS
CORP
US
N
2
2032-11-25
Floating
3.24000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BJ5
100000.00000000
PA
USD
100615.00000000
0.013572064180
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
5.50000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BW9
185000.00000000
PA
USD
200146.88000000
0.026998025153
Long
DBT
NUSS
BR
N
2
2045-01-27
Fixed
5.00000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Loan Trust 2018-B
63940QAA1
230740.82000000
PA
USD
230740.82000000
0.031124874203
Long
ABS-O
CORP
US
N
2
2059-12-15
Floating
2.03000000
N
N
N
N
N
N
SYDNEY AIRPORT FINANCE
549300MJAANHLHOVTO40
Sydney Airport Finance Co Pty Ltd
87124VAE9
1800000.00000000
PA
USD
1886859.63000000
0.254520498904
Long
DBT
CORP
AU
N
2
2025-04-30
Fixed
3.38000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SWU00QL56 IRS USD R F 2.80000 SWU00QL56 CCPVANILLA / Short: SWU00QL56 IRS USD P V 03MLIBOR SWUV0QL58 CCPVANILLA
000000000
7900000.00000000
OU
Notional Amount
USD
403752.25000000
0.054462569695
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2023-08-22
0
USD
0
USD
7900000
USD
403752.25
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
74977RDE1
1500000.00000000
PA
USD
1604388.84000000
0.216417714121
Long
DBT
CORP
NL
N
2
2023-09-26
Fixed
3.88000000
N
N
N
N
N
N
GARDA WORLD SECURITY
N/A
Garda World Security Corp
36485MAK5
165000.00000000
PA
USD
163350.00000000
0.022034454940
Long
DBT
CORP
CA
N
2
2027-02-15
Fixed
4.63000000
N
N
N
N
N
N
GLOBAL PART/GLP FINANCE
N/A
Global Partners LP / GLP Finance Corp
37954FAF1
50000.00000000
PA
USD
53625.00000000
0.007233533187
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
7.00000000
N
N
N
N
N
N
Darling Ingredients Inc
L1N0SPPKS7EXZYUMZ898
Darling Ingredients Inc
237266AH4
70000.00000000
PA
USD
73850.00000000
0.009961704911
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.25000000
N
N
N
N
N
N
ADVANCED DRAINAGE SYSTEM
6QQTOZ5MF5DHM7K92I60
Advanced Drainage Systems Inc
00790RAA2
35000.00000000
PA
USD
36137.50000000
0.004874625744
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
5.00000000
N
N
N
N
N
N
VMware Inc
549300BUDHS3LRWBE814
VMware Inc
928563AB1
1500000.00000000
PA
USD
1536946.31000000
0.207320319641
Long
DBT
CORP
US
N
2
2022-08-21
Fixed
2.95000000
N
N
N
N
N
N
CEDAR FAIR/CAN/MAGNUM/MI
N/A
Cedar Fair LP / Canada's Wonderland Co / Magnum Management Corp / Millennium Op
150190AB2
70000.00000000
PA
USD
74137.35000000
0.010000465858
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032647
3800000.00000000
PA
USD
3915900.00000000
0.528219908790
Long
ABS-MBS
USGA
US
N
2
2050-04-21
Fixed
3.50000000
N
N
N
N
N
N
Boyd Gaming Corp
254900787YGRYS2A1Z35
Boyd Gaming Corp
103304BM2
95000.00000000
PA
USD
101008.75000000
0.013625177535
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
6.38000000
N
N
N
N
N
N
CLEAN HARBORS INC
5493000SJVZVZJKHJF48
Clean Harbors Inc
184496AP2
15000.00000000
PA
USD
15975.00000000
0.002154884711
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
5.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409A5L9
9772.68000000
PA
USD
9869.15000000
0.001331260122
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Floating
4.55000000
N
N
N
N
N
N
CIT Group Inc
N8O96ZZJQRFYQUJY7K79
CIT Group Inc
125581GQ5
500000.00000000
PA
USD
531250.00000000
0.071660876566
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.00000000
N
N
N
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
78442FEJ3
12000.00000000
PA
USD
12084.00000000
0.001630023590
Long
DBT
CORP
US
N
2
2020-03-25
Fixed
8.00000000
N
N
N
N
N
N
Republic of Angola
549300QHR2R3J8JSGK83
Angolan Government International Bond
000000000
200000.00000000
PA
USD
232934.80000000
0.031420822495
Long
DBT
NUSS
AO
N
2
2025-11-12
Fixed
9.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MG3
89000.00000000
PA
USD
93215.04000000
0.012573875718
Long
DBT
CORP
US
N
2
2024-09-12
Variable
5.00000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAY2
95000.00000000
PA
USD
104383.50000000
0.014080401146
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
4.88000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AH8
130000.00000000
PA
USD
146256.50000000
0.019728694575
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
5.38000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
132499.66000000
0.017873019821
N/A
DFE
XX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
21639251.30000000
USD
19631000.00000000
EUR
2020-02-04
132499.66
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBW8
175000.00000000
PA
USD
182797.58000000
0.024657759655
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
3100000.00000000
PA
4049700.11000000
0.546268347693
Long
DBT
NUSS
ES
N
2
2035-07-30
Fixed
1.85000000
N
N
N
N
N
N
RHP HOTEL PPTY/RHP FINAN
N/A
RHP Hotel Properties LP / RHP Finance Corp
749571AD7
65000.00000000
PA
USD
66137.50000000
0.008921357597
Long
DBT
US
N
2
2023-04-15
Fixed
5.00000000
N
N
N
N
N
N
T-Mobile USA Inc
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAP0
95000.00000000
PA
USD
101312.75000000
0.013666184418
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
6.50000000
N
N
N
N
N
N
Boyd Gaming Corp
254900787YGRYS2A1Z35
Boyd Gaming Corp
103304BQ3
65000.00000000
PA
USD
69062.50000000
0.009315913953
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XYX6
725000.00000000
PA
USD
738841.70000000
0.099663141394
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Floating
3.91000000
N
N
N
N
N
N
MELCO RESORTS FINANCE
N/A
Melco Resorts Finance Ltd
58547DAC3
50000.00000000
PA
USD
50657.01000000
0.006833177865
Long
DBT
CORP
KY
N
2
2027-07-17
Fixed
5.63000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
06740L8C2
1600000.00000000
PA
USD
1804432.00000000
0.243401748374
Long
DBT
CORP
GB
N
2
2022-11-21
Fixed
7.63000000
N
N
N
N
N
T-Mobile USA Inc
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAQ8
40000.00000000
PA
USD
41175.00000000
0.005554139468
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
6.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828P46
845000.00000000
PA
USD
856420.70000000
0.115523497546
Long
DBT
UST
US
N
2
2026-02-15
Fixed
1.63000000
N
N
N
N
N
N
Invesco Senior Loan ETF
549300SIHU6DQELRNG59
Invesco Senior Loan ETF
46138G508
291302.00000000
NS
USD
6586338.22000000
0.888438155681
Long
EC
RF
US
N
1
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPAY9
100000.00000000
PA
USD
101019.00000000
0.013626560169
Long
DBT
CORP
US
N
2
2022-09-30
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396KBC5
456343.72000000
PA
USD
490442.31000000
0.066156283933
Long
ABS-MBS
USGSE
US
N
2
2026-07-25
Fixed
6.00000000
N
N
N
N
N
N
Puget Energy Inc
SYBSJ96YIDMIUY7WDR33
Puget Energy Inc
745310AB8
6000000.00000000
PA
USD
6237091.86000000
0.841327943361
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
6.50000000
N
N
N
N
N
N
Duke Energy Corp
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CAN5
1700000.00000000
PA
USD
1818483.86000000
0.245297218689
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.75000000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAG8
1900000.00000000
PA
USD
1917382.78000000
0.258637799016
Long
DBT
CORP
US
N
2
2023-12-15
Floating
2.90000000
N
N
N
N
N
N
FRESENIUS MED CARE US
B8RI7LM5Z25R6H3S2R89
Fresenius Medical Care US Finance Inc
35803QAA5
600000.00000000
PA
USD
621631.49000000
0.083852531716
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
5.75000000
N
N
N
N
N
N
ESH Hospitality Inc
54930042FMK7X7SQ2896
ESH Hospitality Inc
26907YAA2
200000.00000000
PA
USD
205000.00000000
0.027652667663
Long
DBT
US
N
2
2025-05-01
Fixed
5.25000000
N
N
N
N
N
N
Banc of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust 2012-PARK
05524UAA7
1000000.00000000
PA
USD
1031183.60000000
0.139097450685
Long
ABS-MBS
CORP
US
N
2
2030-12-10
Fixed
2.96000000
N
N
N
N
N
N
CRED SUIS GP FUN LTD
549300PXR5FKNXF0OH19
Credit Suisse Group Funding Guernsey Ltd
225433AH4
1900000.00000000
PA
USD
1989171.67000000
0.268321478611
Long
DBT
CORP
GG
N
2
2022-09-15
Fixed
3.80000000
N
N
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBE3
1600000.00000000
PA
USD
1648775.31000000
0.222405052188
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
3.50000000
N
N
N
N
N
N
FHLMC Structured Pass Through Securities
N/A
Freddie Mac Structured Pass-Through Certificates
31394JY35
281037.39000000
PA
USD
319225.17000000
0.043060622125
Long
ABS-MBS
USGSE
US
N
2
2043-09-25
Fixed
6.50000000
N
N
N
N
N
N
TRUIST FIN CORP
549300DRQQI75D2JP341
Truist Financial Corp
89832QAB5
83000.00000000
PA
USD
85490.00000000
0.011531836870
Long
DBT
CORP
US
N
2
2024-12-15
Variable
5.05000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
312910FG2
1987.01000000
PA
USD
2033.92000000
0.000274357628
Long
ABS-MBS
USGSE
US
N
2
2022-05-15
Fixed
7.00000000
N
N
N
N
N
N
CSN Resources SA
222100ZEX458NMOXZP08
CSN Resources SA
12644VAC2
140000.00000000
PA
USD
147044.80000000
0.019835029199
Long
DBT
CORP
LU
N
2
2026-04-17
Fixed
7.63000000
N
N
N
N
N
N
Talen Energy Supply LLC
K5K33XN0PQAU1XF7NN66
Talen Energy Supply LLC
87422VAF5
115000.00000000
PA
USD
117875.00000000
0.015900283906
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
7.25000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05367AAA1
1100000.00000000
PA
USD
1138630.11000000
0.153591024502
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
7.13000000
N
N
N
N
N
N
Centene Corp
549300Z7JJ4TQSQGT333
Centene Corp
15135BAD3
70000.00000000
PA
USD
71227.63000000
0.009607970638
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
4.75000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251525AT8
700000.00000000
PA
USD
701349.27000000
0.094605747702
Long
DBT
CORP
DE
N
2
2020-07-13
Fixed
2.70000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828B90
16900000.00000000
PA
USD
16989121.14000000
2.291680589138
Long
DBT
UST
US
N
2
2021-02-28
Fixed
2.00000000
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
874060AT3
1800000.00000000
PA
USD
1955294.51000000
0.263751752529
Long
DBT
CORP
JP
N
2
2023-11-26
Fixed
4.40000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0HCN7 CDS USD R F 1.00000 / Short: SWPC0HCN7 CDS USD P V 03MEVENT
000000000
8000000.00000000
OU
Notional Amount
USD
187192.00000000
0.025250527635
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S31.V1
2I65BYBD6
Y
sell protection
2023-12-20
68397.09
USD
0
USD
8000000
USD
118794.91
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RF7
1545096.00000000
PA
USD
1944613.62000000
0.262310995937
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.38000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CAG4
295000.00000000
PA
USD
298237.26000000
0.040229540661
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
3.60000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OEH0C138 MAR20 138 CALL FSO
000000000
18.00000000
NC
-17.17000000
-0.00000231607
N/A
DIR
DE
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long
Euro-Bobl (FGBM)
OEH0 Comdty
2020-02-21
105.48
EUR
-17.17
N
N
N
ADT SEC CORP
5493009JEEDYLVRA0J13
ADT Security Corp/The
74166NAA2
25000.00000000
PA
USD
23245.00000000
0.003135542730
Long
DBT
CORP
US
N
2
2032-07-15
Fixed
4.88000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2F9
1500000.00000000
PA
USD
1578917.28000000
0.212981828348
Long
DBT
CORP
US
N
2
2027-06-17
Variable
3.20000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128282R0
5000000.00000000
PA
USD
5289843.75000000
0.713552640042
Long
DBT
UST
US
N
2
2027-08-15
Fixed
2.25000000
N
N
N
N
N
N
State Street Global Advisors
549300BZ5TGIFZUZDZ37
State Street Institutional US Government Money Market Fund
857492706
2851777.19000000
NS
USD
2851777.19000000
0.384679253094
Long
STIV
RF
US
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU00WG59 IRS JPY R F .06400 SWU00WG59 CCPVANILLA / Short: SWU00WG59 IRS JPY P V 06MLIBOR CCPVANILLA NEG RATE -0.064
000000000
215000000.00000000
OU
Notional Amount
-4003.93000000
-0.00054009436
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2026-09-19
0
JPY
0
JPY
215000000
JPY
-4003.93
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU00WA30 IRS JPY R F .09200 SWU00WA30 CCPVANILLA / Short: SWU00WA30 IRS JPY P V 06MLIBOR CCPVANILLA NEG RATE -0.092
000000000
210000000.00000000
OU
Notional Amount
-7514.76000000
-0.00101367395
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2026-09-13
0
JPY
0
JPY
210000000
JPY
-7514.76
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CQ1
1500000.00000000
PA
USD
1604084.78000000
0.216376699145
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
4.75000000
N
N
N
N
N
N
CADILLAC FAIRVIEW PRP TR
N/A
Ontario Teachers' Cadillac Fairview Properties Trust
68327LAA4
300000.00000000
PA
USD
307506.48000000
0.041479875588
Long
DBT
CORP
CA
N
2
2022-03-20
Fixed
3.13000000
N
N
N
N
N
N
STARWOOD PROPERTY TRUST
BUGSFQZERKRBFWIG5267
Starwood Property Trust Inc
85571BAL9
40000.00000000
PA
USD
41804.00000000
0.005638985946
Long
DBT
US
N
2
2025-03-15
Fixed
4.75000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-45309.76000000
-0.00611188163
N/A
DFE
CN
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2384940.89000000
USD
16401000.00000000
CNY
2020-03-18
-45309.76
N
N
N
CLEAR CHANNEL WORLDWIDE
N/A
Clear Channel Worldwide Holdings Inc
18453HAA4
169000.00000000
PA
USD
174070.00000000
0.023480487122
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.13000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31395TUG7
905371.75000000
PA
USD
1028782.61000000
0.138773578594
Long
ABS-MBS
USGSE
US
N
2
2035-05-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
FNMA COFI SAM 037029 STRIP
000000000
10946.52000000
PA
USD
10075.53000000
0.001359098939
Long
ABS-MBS
USGSE
US
N
3
2026-11-01
Variable
5.12000000
N
N
N
N
N
N
MGM RESORTS INTL
54930066VBP7DZEGGJ87
MGM Resorts International
552953CF6
55000.00000000
PA
USD
60500.00000000
0.008160909237
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0QQ5
320000.00000000
PA
USD
331504.58000000
0.044717004778
Long
ABS-MBS
USGSE
US
N
2
2030-03-25
Floating
4.16000000
N
N
N
N
N
N
DTE ENERGY CO
549300IX8SD6XXD71I78
DTE Energy Co
233331BE6
360000.00000000
PA
USD
362769.28000000
0.048934333357
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
2.25000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-83069.85000000
-0.01120538026
N/A
DFE
AU
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2737669.94000000
USD
3965000.00000000
AUD
2020-02-14
-83069.85
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
15021.10000000
0.002026212127
N/A
DFE
CN
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1392465.37000000
USD
9866591.90000000
CNY
2020-03-18
15021.1
N
N
N
Bausch Health Cos Inc
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91831AAC5
290000.00000000
PA
USD
298299.80000000
0.040237976748
Long
DBT
CORP
CA
N
2
2025-04-15
Fixed
6.13000000
N
N
N
N
N
N
D.R. HORTON INC
529900ZIUEYVSB8QDD25
DR Horton Inc
23331ABE8
1400000.00000000
PA
USD
1475356.11000000
0.199012352168
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
4.38000000
N
N
N
N
N
N
CROWN AMER/CAP CORP V
N/A
Crown Americas LLC / Crown Americas Capital Corp V
22819KAB6
25000.00000000
PA
USD
26062.50000000
0.003515598297
Long
DBT
CORP
US
N
2
2026-09-30
Fixed
4.25000000
N
N
N
N
N
N
ESC LEHMAN BRTH HLDH PROD
N/A
ESC LEHMAN BRTH HLDH PROD 12/16 0
525ESC1D1
1900000.00000000
PA
USD
23750.00000000
0.003203662717
Long
DBT
CORP
US
N
2
2016-12-30
None
0.00000000
Y
Y
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967GF2
73000.00000000
PA
USD
77947.21000000
0.010514381919
Long
DBT
CORP
US
N
2
2023-02-15
Variable
5.90000000
N
N
N
N
N
N
SIGNATURE AVIATION US
213800CSNQ87U1MC8N11
Signature Aviation US Holdings Inc
05545MAA0
135000.00000000
PA
USD
139604.18000000
0.018831356067
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
5.38000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BZ2
610000.00000000
PA
USD
629311.76000000
0.084888531491
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
2.45000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
22546DAB2
700000.00000000
PA
USD
793552.20000000
0.107043098829
Long
DBT
CORP
CH
N
2
2023-12-11
Variable
7.50000000
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AJ4
115000.00000000
PA
USD
132974.50000000
0.017937071493
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
5.63000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17307GXQ6
24872.06000000
PA
USD
25068.80000000
0.003381557049
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
4.55000000
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC 2014-RR5 Trust
05544GAC0
273306.23000000
PA
USD
271783.26000000
0.036661132513
Long
ABS-MBS
CORP
US
N
2
2036-01-26
Floating
2.24000000
N
N
N
N
N
N
CSAB Mortgage Backed Trust
N/A
CSAB Mortgage-Backed Trust 2006-1
22943HAG1
304627.82000000
PA
USD
133259.59000000
0.017975527586
Long
ABS-O
CORP
US
N
2
2036-06-25
Variable
6.17000000
N
N
N
N
N
N
CVS PASS-THROUGH TR 2013
N/A
CVS Pass-Through Trust Series 2013
12665UAA2
2945973.76000000
PA
USD
3228138.63000000
0.435447047346
Long
DBT
CORP
US
N
2
2036-01-10
Fixed
4.70000000
N
N
N
N
N
N
EQUITABLE HOLDINGS INC
549300FIBAKMNHPZ4009
Equitable Holdings Inc
054561AJ4
1700000.00000000
PA
USD
1881641.67000000
0.253816642739
Long
DBT
CORP
US
N
2
2028-04-20
Fixed
4.35000000
N
N
N
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAA0
1200000.00000000
PA
USD
1295359.94000000
0.174732477682
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
4.25000000
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BS4
585000.00000000
PA
USD
626684.63000000
0.084534155136
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
4.15000000
N
N
N
N
N
N
NABORS INDUSTRIES LTD
N/A
Nabors Industries Ltd
629571AB6
20000.00000000
PA
USD
19800.00000000
0.002670843023
Long
DBT
CORP
BM
N
2
2028-01-15
Fixed
7.50000000
N
N
N
N
N
N
BGC Partners Inc
TF1LXM1YNB81WKUH5G19
BGC Partners Inc
05541TAK7
1400000.00000000
PA
USD
1511023.86000000
0.203823612837
Long
DBT
CORP
US
N
2
2023-07-24
Fixed
5.38000000
N
N
N
N
N
MEDNAX Inc
N/A
MEDNAX Inc
58502BAC0
90000.00000000
PA
USD
91687.50000000
0.012367824226
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.25000000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311RAH9
30000.00000000
PA
USD
28125.00000000
0.003793811112
Long
DBT
CORP
US
N
2
2043-05-21
Variable
5.85000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0DQR2 CDS USD R F 1.00000 1 CCPCORPORATE / Short: SWPC0DQR2 CDS USD P V 03MEVENT 2 CCPCORPORATE
000000000
1900000.00000000
OU
Notional Amount
USD
30666.00000000
0.004136569300
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
MetLife Inc
MetLife Inc
Y
sell protection
2021-12-20
0
USD
-8578.88
USD
1900000
USD
39244.88
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RFZ0
670000.00000000
PA
USD
674696.61000000
0.091010542096
Long
DBT
CORP
US
N
2
2021-06-01
Floating
2.66000000
N
N
N
N
N
N
BRITISH TELECOMMUNICATIO
549300OWFMSO9NYV4H90
British Telecommunications PLC
11102AAE1
630000.00000000
PA
USD
643470.29000000
0.086798390636
Long
DBT
CORP
GB
N
2
2029-11-08
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31384VYL0
26302.44000000
PA
USD
27182.84000000
0.003666722149
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Floating
4.64000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31394TYD1
1372730.38000000
PA
USD
1542141.37000000
0.208021086800
Long
ABS-MBS
USGSE
US
N
2
2034-03-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31358U7D2
2461.91000000
PA
USD
2597.15000000
0.000350332321
Long
ABS-MBS
USGSE
US
N
2
2023-05-25
Fixed
6.90000000
N
N
N
N
N
N
FHLMC Structured Pass Through Securities
N/A
Freddie Mac Structured Pass-Through Certificates
31393LFK4
422033.88000000
PA
USD
501475.55000000
0.067644569391
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
6.50000000
N
N
N
N
N
N
Precision Drilling Corp
549300WF2OE8T5BP4B84
Precision Drilling Corp
740212AK1
45000.00000000
PA
USD
44287.65000000
0.005974008131
Long
DBT
CORP
CA
N
2
2023-12-15
Fixed
7.75000000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CM6
225000.00000000
PA
USD
223875.00000000
0.030198736454
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.50000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE MAR20 XEUR 20200306
000000000
-80.00000000
NC
-83929.32000000
-0.01132131508
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Bobl (FGBM)
OEH0 Comdty
2020-03-06
-10721123.2
EUR
-83929.32
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AR2
65000.00000000
PA
USD
64155.17000000
0.008653958999
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.13000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31395EZ34
306059.66000000
PA
USD
341460.02000000
0.046059904650
Long
ABS-MBS
USGSE
US
N
2
2034-08-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31374GEW3
7642.44000000
PA
USD
7932.10000000
0.001069969391
Long
ABS-MBS
USGSE
US
N
2
2027-04-01
Floating
4.75000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
02156LAA9
215000.00000000
PA
USD
240262.50000000
0.032409263728
Long
DBT
CORP
FR
N
2
2027-02-01
Fixed
8.13000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
1860.11000000
0.000250912212
N/A
DFE
XX
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
388525.32000000
USD
352000.00000000
EUR
2020-02-04
1860.11
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBE4
1100000.00000000
PA
USD
1152600.33000000
0.155475482311
Long
DBT
CORP
GB
N
2
2023-02-15
Variable
4.61000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359D3U5
1325.12000000
PA
USD
1399.52000000
0.000188782738
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408GAR8
24920.40000000
PA
USD
25997.78000000
0.003506868147
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Floating
5.04000000
N
N
N
N
N
N
Evans Grove CLO LTD
549300O71GCRFBJILJ09
Evans Grove CLO LTD
29915RAA1
1600000.00000000
PA
USD
1598716.80000000
0.215652606623
Long
ABS-CBDO
CORP
KY
N
2
2028-05-28
Floating
2.83000000
N
N
N
N
N
N
Commonwealth Edison Co
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co
202795JF8
745000.00000000
PA
USD
832234.72000000
0.112261025023
Long
DBT
CORP
US
N
2
2045-03-01
Fixed
3.70000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBR9
215000.00000000
PA
USD
234520.77000000
0.031634755672
Long
DBT
CORP
US
N
2
2039-11-21
Fixed
4.05000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD MYR
000000000
1.00000000
NC
-12841.82000000
-0.00173224673
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
2596159.00000000
MYR
619859.85000000
USD
2020-03-18
-12841.82
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AZ5
670000.00000000
PA
USD
681322.48000000
0.091904312735
Long
DBT
CORP
US
N
2
2022-09-26
Fixed
2.70000000
N
N
N
N
N
N
GRAPHIC PACKAGING INTERN
SO75N4VY5NXGQSK8YQ65
Graphic Packaging International LLC
38869PAL8
40000.00000000
PA
USD
42000.00000000
0.005665424594
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
4.88000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-39955.41000000
-0.00538962767
N/A
DFE
CN
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2413109.70000000
USD
16636000.00000000
CNY
2020-03-18
-39955.41
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BL2
870000.00000000
PA
USD
933075.00000000
0.125863477462
Long
DBT
CORP
GB
N
2
2027-05-22
Variable
6.00000000
N
N
N
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
Syngenta Finance NV
87164KAH7
1600000.00000000
PA
USD
1690433.97000000
0.228024433067
Long
DBT
CORP
NL
N
2
2023-04-24
Fixed
4.44000000
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
312915HW4
60252.07000000
PA
USD
63432.17000000
0.008556432761
Long
ABS-MBS
USGSE
US
N
2
2023-04-15
Fixed
7.00000000
N
N
N
N
N
N
SERVICE CORP INTL
549300RKVM2ME20JHZ15
Service Corp International/US
817565CB8
90000.00000000
PA
USD
92221.88000000
0.012439907311
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
5.38000000
N
N
N
N
N
N
Aetna Inc
549300QKBENKLBXQ8968
Aetna Inc
008117AP8
1600000.00000000
PA
USD
1632786.40000000
0.220248291141
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
2.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RZP4
2855.37000000
PA
USD
2854.90000000
0.000385100492
Long
ABS-MBS
USGA
US
N
2
2061-06-20
Floating
2.06000000
N
N
N
N
N
N
EVERGY INC
549300PGTHDQY6PSUI61
Evergy Inc
30034WAB2
585000.00000000
PA
USD
600376.91000000
0.080985478852
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.90000000
N
N
N
N
N
N
Colfax Corp
635400OP2DYYYMOIYL17
Colfax Corp
15723RAC8
70000.00000000
PA
USD
75162.50000000
0.010138749430
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
6.38000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
190000.00000000
PA
USD
304485.95000000
0.041072433089
Long
DBT
NUSS
ID
N
2
2035-10-12
Fixed
8.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
312915U58
17238.05000000
PA
USD
18266.11000000
0.002463934972
Long
ABS-MBS
USGSE
US
N
2
2023-05-15
Fixed
7.00000000
N
N
N
N
N
N
FannieMae Grantor Trust
N/A
Fannie Mae Grantor Trust 2004-T1
31393XFS1
347221.63000000
PA
USD
395524.08000000
0.053352663107
Long
ABS-MBS
USGSE
US
N
2
2044-01-25
Fixed
6.00000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCK6
100000.00000000
PA
USD
101440.00000000
0.013683349306
Long
DBT
CORP
MX
N
2
2028-02-12
Fixed
5.35000000
N
N
N
N
N
N
Republic of Uzbekistan
213800L6VDKUM3TCM927
Republic of Uzbekistan Bond
000000000
200000.00000000
PA
USD
212251.20000000
0.028630789730
Long
DBT
NUSS
UZ
N
2
2024-02-20
Fixed
4.75000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAT5
700000.00000000
PA
USD
741121.23000000
0.099970629616
Long
DBT
CORP
NL
N
2
2022-06-15
Fixed
4.63000000
N
N
N
N
N
N
Structured Asset Mortgage Investments Inc
N/A
Structured Asset Mortgage Investments II Trust 2006-AR3
86360KAA6
1238403.03000000
PA
USD
1258210.91000000
0.169721405582
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
1.87000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) MAR20 XCBT 20200331
000000000
130.00000000
NC
USD
92406.34000000
0.012464789317
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
2 Year US Treasury Note
TUH0 Comdty
2020-03-31
28034312.54
USD
92406.34
N
N
N
IHS Markit Ltd
549300HLPTRASHS0E726
IHS Markit Ltd
44962LAA5
901000.00000000
PA
USD
965349.98000000
0.130217083783
Long
DBT
CORP
BM
N
2
2022-11-01
Fixed
5.00000000
N
N
N
N
N
N
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-276627.41000000
-0.03731456504
N/A
DFE
US
N
2
Natwest Markets PLC
RR3QWICWWIPCS8A4S074
69161845.05000000
CNY
9589429.87000000
USD
2020-03-18
-276627.41
N
N
N
TELENET FINANCE LUX NOTE
2138007RI9GLJPCC3E25
Telenet Finance Luxembourg Notes Sarl
000000000
200000.00000000
PA
USD
212000.00000000
0.028596905095
Long
DBT
CORP
LU
N
2
2028-03-01
Fixed
5.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-9276.46000000
-0.00125131153
N/A
DFE
CA
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2271623.67000000
USD
2994000.00000000
CAD
2020-02-04
-9276.46
N
N
N
COMMSCOPE TECH LLC
M4TWC4QDOKW45N7T6Y12
CommScope Technologies LLC
20338HAB9
55000.00000000
PA
USD
49912.50000000
0.006732750120
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAE4
65000.00000000
PA
USD
66381.25000000
0.008954237294
Long
DBT
US
N
2
2024-05-01
Fixed
5.50000000
N
N
N
N
N
N
Spectrum Brands Inc
549300VU3EH2E73C1Q04
Spectrum Brands Inc
84762LAU9
120000.00000000
PA
USD
124650.00000000
0.016814170849
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.75000000
N
N
N
N
N
N
ODEBRECHT OIL & FINANCE
N/A
Odebrecht Oil & Gas Finance Ltd
67576JAB7
174037.00000000
PA
USD
1468.44000000
0.000198079430
Long
DBT
CORP
KY
N
2
2019-09-02
None
0.00000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599AN4
1300000.00000000
PA
USD
1387370.06000000
0.187143820463
Long
DBT
CORP
US
N
2
2023-01-17
Fixed
4.25000000
N
N
N
N
N
N
Duke Energy Corp
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CAF2
1300000.00000000
PA
USD
1333169.01000000
0.179832583279
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
3.55000000
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31339NC79
29603.64000000
PA
USD
29743.27000000
0.004012101270
Long
ABS-MBS
USGSE
US
N
2
2032-01-15
Floating
2.18000000
N
N
N
N
N
N
TEGNA INC
549300YC5EDBGX85AO10
TEGNA Inc
87901JAC9
60000.00000000
PA
USD
60750.00000000
0.008194632002
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
5.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGL7
530000.00000000
PA
USD
577170.01000000
0.077855075471
Long
DBT
CORP
US
N
2
2028-04-24
Variable
3.71000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-41CB
02149CAJ0
441744.85000000
PA
USD
375477.11000000
0.050648506038
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0MD8
515000.00000000
PA
USD
546743.57000000
0.073750820674
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Floating
4.91000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-30678.00000000
-0.00413818799
N/A
DFE
CN
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
2670080.05000000
USD
18502418.00000000
CNY
2020-03-18
-30678
N
N
N
Thornburg Mortgage Securities Trust
N/A
Thornburg Mortgage Securities Trust 2007-4
88522YAB5
669739.86000000
PA
USD
673308.70000000
0.090823325442
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
3.93000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: Z91ZBY777 CDS USD R V 03MEVENT 2I65BRSB7 CDX.NA.HY.33 / Short: Z91ZBY777 CDS USD P F 5.00000 2I65BRSB7 CDX.NA.HY.33
000000000
4554000.00000000
OU
Notional Amount
USD
-382199.00000000
-0.05155522891
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Markit CDX.NA.HY.S33.V1
2I65BRSB7
Y
buy protection
2024-12-20
0
USD
-353828.38
USD
4554000
USD
-28370.62
N
N
N
Lloyds Bank PLC
H7FNTJ4851HG0EXQ1Z70
Lloyds Bank PLC
000000000
2200000.00000000
PA
USD
1875990.16000000
0.253054304555
Long
DBT
CORP
GB
N
2
2032-04-02
Variable
7.50000000
N
N
N
N
N
N
The Federal Republic of Nigeria
549300GSBZD84TNEQ285
Nigeria Government International Bond
000000000
200000.00000000
PA
USD
205812.50000000
0.027762266650
Long
DBT
NUSS
NG
N
2
2030-02-23
Fixed
7.14000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE MAR20 XEUR 20200306
000000000
234.00000000
NC
484875.07000000
0.065405313018
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Euro-Bund (FGBL)
RXH0 Comdty
2020-03-06
40522161.24
EUR
484875.07
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-12
12669FN82
9211.02000000
PA
USD
9264.47000000
0.001249694195
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
4.13000000
N
N
N
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust 2005-2
437084JU1
822310.45000000
PA
USD
829167.12000000
0.111847233202
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
2.76000000
N
N
N
N
N
N
Republic of Ecuador
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
200000.00000000
PA
USD
162625.00000000
0.021936658920
Long
DBT
NUSS
EC
N
2
2028-01-23
Fixed
7.88000000
N
N
N
N
N
N
SUNTORY HOLDINGS LTD
54930074QUY8RD0UZM08
Suntory Holdings Ltd
86803UAD3
1500000.00000000
PA
USD
1513937.18000000
0.204216593665
Long
DBT
CORP
JP
N
2
2024-10-16
Fixed
2.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
RXH0P162.5 MAR20 162.5 PUT FSO
000000000
14.00000000
NC
-13.35000000
-0.00000180079
N/A
DIR
DE
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long
Euro-Bund (FGBL)
RXH0 Comdty
2020-02-21
152.04
EUR
-13.35
N
N
N
WRKCo Inc
549300JEB576INN13W07
WRKCo Inc
92940PAB0
1200000.00000000
PA
USD
1352621.17000000
0.182456505795
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
4.65000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31393DLT6
1278146.16000000
PA
USD
1463820.66000000
0.197456323070
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Fixed
6.00000000
N
N
N
N
N
N
CIT Group Inc
N8O96ZZJQRFYQUJY7K79
CIT Group Inc
125581GX0
35000.00000000
PA
USD
41669.43000000
0.005620833656
Long
DBT
CORP
US
N
2
2028-03-09
Fixed
6.13000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410FSB2
2849175.13000000
PA
USD
2844972.91000000
0.383761416540
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.15000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
000000000
1700000.00000000
PA
1237755.86000000
0.166962202169
Long
DBT
CORP
GB
N
2
2025-03-07
Fixed
4.00000000
N
N
N
N
N
N
REALOGY GROUP/CO-ISSUER
N/A
Realogy Group LLC / Realogy Co-Issuer Corp
75606DAE1
220000.00000000
PA
USD
218350.00000000
0.029453463337
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
4.88000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-14790.42000000
-0.00199509545
N/A
DFE
CA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1186767.88000000
USD
1551000.00000000
CAD
2020-02-04
-14790.42
N
N
N
Rio Oil Finance Trust
549300V5D1W52HY8NO65
Rio Oil Finance Trust Series 2014-1
76716XAA0
1059133.20000000
PA
USD
1179609.60000000
0.159118791419
Long
DBT
CORP
US
N
2
2024-07-06
Fixed
9.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OEH0C138.5 MAR20 138.5 CALL FSO
000000000
3.00000000
NC
-2.86000000
-0.00000038578
N/A
DIR
DE
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long
Euro-Bobl (FGBM)
OEH0 Comdty
2020-02-21
17.58
EUR
-2.86
N
N
N
CENTURYLINK INC
8M3THTGWLTYZVE6BBY25
CenturyLink Inc
156700BC9
70000.00000000
PA
USD
70319.90000000
0.009485525974
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.00000000
N
N
N
N
N
N
Transocean Pontus Ltd
N/A
Transocean Pontus Ltd
89382PAA3
71200.00000000
PA
USD
73336.00000000
0.009892370906
Long
DBT
CORP
KY
N
2
2025-08-01
Fixed
6.13000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-12
12669FN58
77893.26000000
PA
USD
74979.45000000
0.010114057621
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
3.74000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-182442.75000000
-0.02460989626
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
16065000.00000000
GBP
21031387.11000000
USD
2020-02-04
-182442.75
N
N
N
LEASEPLAN CORPORATION NV
724500C60L930FVHS484
LeasePlan Corp NV
52206AAD2
1500000.00000000
PA
USD
1535388.98000000
0.207110249744
Long
DBT
CORP
NL
N
2
2024-10-24
Fixed
2.88000000
N
N
N
N
N
N
WRKCo Inc
549300JEB576INN13W07
WRKCo Inc
92940PAD6
500000.00000000
PA
USD
584019.56000000
0.078779018543
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.90000000
N
N
N
N
N
N
CIT Group Inc
N8O96ZZJQRFYQUJY7K79
CIT Group Inc
125581GY8
55000.00000000
PA
USD
58575.00000000
0.007901243943
Long
DBT
CORP
US
N
2
2024-02-16
Fixed
4.75000000
N
N
N
N
N
N
TALEN ENERGY SUPPLY LLC
K5K33XN0PQAU1XF7NN66
Talen Energy Supply LLC
87422VAG3
150000.00000000
PA
USD
150000.00000000
0.020233659265
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.63000000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAA1
1600000.00000000
PA
USD
1634492.62000000
0.220478444969
Long
DBT
CORP
US
N
2
2021-06-25
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAR7
650000.00000000
PA
USD
727360.13000000
0.098114380225
Long
DBT
CORP
US
N
2
2029-04-23
Variable
4.01000000
N
N
N
N
N
N
WILLIAM CARTER
TGI2A0HXEYNQPU7TYV27
William Carter Co/The
96926JAC1
135000.00000000
PA
USD
143755.43000000
0.019391322588
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.63000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust
92922F4M7
488670.00000000
PA
USD
482525.17000000
0.065088332512
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Floating
1.95000000
N
N
N
N
N
N
Gallatin Funding Ltd
N/A
Gallatin CLO IX 2018-1 Ltd
36361WAC0
1600000.00000000
PA
USD
1600851.20000000
0.215940518106
Long
ABS-CBDO
CORP
KY
N
2
2028-01-21
Floating
2.87000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPBF9
180000.00000000
PA
USD
182849.40000000
0.024664749710
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
5.13000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48128BAD3
100000.00000000
PA
USD
101902.00000000
0.013745668976
Long
DBT
CORP
US
N
2
2022-11-01
Variable
4.63000000
N
N
N
N
N
N
GOVT OF BERMUDA
549300FP5PUZXX9FVJ40
Bermuda Government International Bond
000000000
200000.00000000
PA
USD
213300.00000000
0.028772263475
Long
DBT
NUSS
BM
N
2
2027-01-25
Fixed
3.72000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAY2
1300000.00000000
PA
USD
1305343.00000000
0.176079103245
Long
DBT
CORP
US
N
2
2020-07-13
Fixed
3.20000000
N
N
N
N
N
N
Delta Funding Home Equity Loan Trust
N/A
Delta Funding Home Equity Loan Trust 1999-3
24763LFX3
43863.05000000
PA
USD
43660.79000000
0.005889450320
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Floating
2.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHH
46650FAA0
1550537.08000000
PA
USD
1550924.09000000
0.209205797227
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
2.59000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
000000000
1100000.00000000
PA
1349574.62000000
0.182045553431
Long
DBT
CORP
FR
N
2
2027-02-01
Fixed
5.88000000
N
N
N
N
N
N
BG Energy Capital PLC
S2M8QDKEE05NZN8JD460
BG Energy Capital PLC
05541VAE6
1400000.00000000
PA
USD
1450460.07000000
0.195654098899
Long
DBT
CORP
GB
N
2
2021-10-15
Fixed
4.00000000
N
N
N
N
N
N
Russian Federation
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
200000.00000000
PA
USD
221000.00000000
0.029810924651
Long
DBT
NUSS
RU
N
2
2027-06-23
Fixed
4.25000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBE8
1900000.00000000
PA
USD
1953914.29000000
0.263565573188
Long
DBT
CORP
US
N
2
2021-11-14
Fixed
3.38000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU00M8G6 IRS JPY R F 1.00000 SWU00M8G6 CCPVANILLA / Short: SWU00M8G6 IRS JPY P V 06MLIBOR SWUV0M8G8 CCPVANILLA
000000000
60000000.00000000
OU
Notional Amount
109346.56000000
0.014749873579
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2048-03-21
14733252
JPY
0
JPY
60000000
JPY
-28908.25
N
N
N
M&T BANK CORPORATION
549300WYXDDBYRASEG81
M&T Bank Corp
55261FAL8
81000.00000000
PA
USD
85931.28000000
0.011591361598
Long
DBT
CORP
US
N
2
2024-08-01
Variable
5.00000000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Navient Student Loan Trust 2019-7
64034WAA3
415000.00000000
PA
USD
415012.62000000
0.055981492960
Long
ABS-O
CORP
US
N
2
2068-01-25
Floating
2.17000000
N
N
N
N
N
N
VOLKSWAGEN BANK GMBH
529900GJD3OQLRZCKW37
Volkswagen Bank GmbH
000000000
1200000.00000000
PA
1481241.20000000
0.199806198207
Long
DBT
CORP
DE
N
2
2026-07-31
Fixed
2.50000000
N
N
N
N
N
N
Prudential Financial Inc
5PRBRS5FEH7NREC8OR45
Prudential Financial Inc
744320AV4
77000.00000000
PA
USD
83699.00000000
0.011290246979
Long
DBT
CORP
US
N
2
2045-05-15
Variable
5.38000000
N
N
N
N
N
N
Emerald Bay SA
2221008SU8XG8LZVS860
Emerald Bay SA
000000000
1553000.00000000
PA
1692208.55000000
0.228263808048
Long
DBT
CORP
LU
N
2
2020-10-08
None
0.00000000
N
N
N
N
N
N
Towd Point Mortgage Funding
N/A
Towd Point Mortgage Funding
000000000
5031052.00000000
PA
6647987.70000000
0.896754119496
Long
ABS-MBS
CORP
GB
N
2
2045-07-20
Variable
1.61000000
N
N
N
N
N
N
Nomura Resecuritization Trust
N/A
Nomura Resecuritization Trust 2014-7R
65540RAE0
676464.40000000
PA
USD
673508.99000000
0.090850342773
Long
ABS-MBS
CORP
US
N
2
2035-12-26
Floating
1.99000000
N
N
N
N
N
N
PIONEER NATURAL RESOURCE
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co
723787AK3
1900000.00000000
PA
USD
1986111.50000000
0.267908689031
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
3.95000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359DXP3
5882.90000000
PA
USD
6143.44000000
0.000828695144
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Fixed
6.50000000
N
N
N
N
N
N
Hologic Inc
549300DYP6F5ZJL0LB74
Hologic Inc
436440AK7
90000.00000000
PA
USD
91649.70000000
0.012362725344
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
4.38000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-49882.78000000
-0.00672874115
N/A
DFE
CN
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
3481143.05000000
USD
24053407.00000000
CNY
2020-03-18
-49882.78
N
N
N
BARCLAYS CASH COLL BROKER
N/A
BARCLAYS CASH COLL BROKER
000000000
-290000.00000000
NS
USD
-290000.00000000
-0.03911840791
Short
STIV
CORP
US
N
2
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
78442FDJ4
500000.00000000
PA
USD
491383.42000000
0.066283231260
Long
DBT
CORP
US
N
2
2025-01-25
Fixed
5.63000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
US 10YR FUT OPTN Mar20P 117.5
000000000
541.00000000
NC
USD
541.00000000
0.000072976064
N/A
DIR
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
10 Year US Treasury Note Future
N/A
541000.00000000
NC
N/A
541.00000000
0.00000000
DIR
US
Long
10 Year US Treasury Note
TYH0 Comdty
2020-03-20
541000.00000000
USD
1000.00000000
117.5
USD
2020-02-21
XXXX
-4111.6
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBE7
105000.00000000
PA
USD
108871.88000000
0.014685843490
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4.63000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Y38
15780072.00000000
PA
USD
17035147.60000000
2.297889147197
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.75000000
N
N
N
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
100000.00000000
PA
USD
112531.25000000
0.015179459794
Long
DBT
NUSS
DO
N
2
2045-01-27
Fixed
6.85000000
N
N
N
N
N
N
Post Holdings Inc
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AN4
35000.00000000
PA
USD
37012.50000000
0.004992655423
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.63000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2006-A4
46628LAG3
275024.29000000
PA
USD
248479.28000000
0.033517633907
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
3.99000000
N
N
N
N
N
N
VICI PROP 1 / VICI FC
N/A
VICI Properties 1 LLC / VICI FC Inc
925651AA9
70000.00000000
PA
USD
75586.00000000
0.010195875795
Long
DBT
US
N
2
2023-10-15
Fixed
8.00000000
N
N
N
N
N
N
INTL LEASE FINANCE CORP
N/A
International Lease Finance Corp
459745GN9
1600000.00000000
PA
USD
1753028.06000000
0.236467816328
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.88000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BAP7
120000.00000000
PA
USD
120999.60000000
0.016321764517
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
4.25000000
N
N
N
N
N
N
HILTON WORLDWIDE FIN LLC
N/A
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp
432891AH2
50000.00000000
PA
USD
51125.00000000
0.006896305533
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.63000000
N
N
N
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BE6
300000.00000000
PA
USD
323550.00000000
0.043644003036
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.25000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
716.48000000
0.000096646747
N/A
DFE
TR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
128513.31000000
USD
774885.00000000
TRY
2020-02-11
716.48
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BA4
235000.00000000
PA
USD
252629.70000000
0.034077488468
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.75000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bond
682051AJ6
190000.00000000
PA
USD
189346.40000000
0.025541136938
Long
DBT
NUSS
OM
N
2
2048-01-17
Fixed
6.75000000
N
N
N
N
N
N
iHeartCommunications Inc
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBC0
175000.00000000
PA
USD
189000.00000000
0.025494410674
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
6.38000000
N
N
N
N
N
N
Churchill Downs Inc
529900FODTBQC8MIS994
Churchill Downs Inc
171484AG3
205000.00000000
PA
USD
216275.00000000
0.029173564384
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
5.50000000
N
N
N
N
N
N
H.B. FULLER CO
JSMX3Z5FOYM8V0Q52357
HB Fuller Co
359694AB2
75000.00000000
PA
USD
75000.00000000
0.010116829632
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.00000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BA9
1500000.00000000
PA
USD
1546743.15000000
0.208641825791
Long
DBT
CORP
US
N
2
2024-09-26
Fixed
2.85000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91086QAZ1
76000.00000000
PA
USD
94358.75000000
0.012728151974
Long
DBT
NUSS
MX
N
2
2110-10-12
Fixed
5.75000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746SJ1
1400000.00000000
PA
USD
1428658.00000000
0.192713194528
Long
DBT
CORP
US
N
2
2023-10-31
Floating
3.01000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
EURO FX CURR FUT MAR20 XCME 20200316
000000000
-2.00000000
NC
USD
1072.15000000
0.000144623451
N/A
DFE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Euro FX Currency Future
ECH0 Curncy
2020-03-16
-279034.65
USD
1072.15
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBJ0
70000.00000000
PA
USD
73850.00000000
0.009961704911
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.88000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCX0
540000.00000000
PA
USD
671791.82000000
0.090618711889
Long
DBT
CORP
US
N
2
2048-09-15
Fixed
4.52000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31386C3G5
20952.61000000
PA
USD
20845.86000000
0.002811920188
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Floating
3.64000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU00LCF5 IRS JPY R V 06MLIBOR SWUV0LCF5 CCPVANILLA / Short: BWU00LCF5 IRS JPY P F .30000 SWU00LCF5 CCPVANILLA
000000000
580000000.00000000
OU
Notional Amount
-131234.43000000
-0.01770235160
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2027-09-20
0
JPY
-2417695
JPY
580000000
JPY
-109029.06
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BX7
455000.00000000
PA
USD
592915.32000000
0.079978977055
Long
DBT
CORP
US
N
2
2046-02-23
Fixed
4.65000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022634
5900000.00000000
PA
USD
5941247.96000000
0.801421245571
Long
ABS-MBS
USGSE
US
N
2
2050-03-15
Fixed
2.50000000
N
N
N
N
N
N
AM Capital Funding, LLC
549300VEZWL2JF9NXH87
AM Capital Funding LLC
00166AAA5
440000.00000000
PA
USD
460345.60000000
0.062096506765
Long
ABS-O
CORP
US
N
2
2023-12-15
Fixed
4.98000000
N
N
N
N
N
N
OLIN CORP
549300GKK294V7W57P06
Olin Corp
680665AL0
120000.00000000
PA
USD
126600.00000000
0.017077208420
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
5.63000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040636
8200000.00000000
PA
USD
8568173.28000000
1.155769991181
Long
ABS-MBS
USGSE
US
N
2
2050-03-15
Fixed
4.00000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2005-FFH3
32027NVD0
299618.04000000
PA
USD
300484.60000000
0.040532686739
Long
ABS-O
CORP
US
N
2
2035-09-25
Floating
2.46000000
N
N
N
N
N
N
Acadia Healthcare Co Inc
5493005CW985Y9D0NC11
Acadia Healthcare Co Inc
00404AAJ8
75000.00000000
PA
USD
75999.75000000
0.010251686971
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
5.63000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0NX3
1190000.00000000
PA
USD
1281361.18000000
0.172844170082
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Floating
5.11000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCC8
1500000.00000000
PA
USD
1501593.54000000
0.202551546959
Long
DBT
CORP
US
N
2
2020-11-06
Floating
2.45000000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAG5
1600000.00000000
PA
USD
1707508.99000000
0.230327700645
Long
DBT
CORP
US
N
2
2023-05-25
Fixed
4.06000000
N
N
N
N
N
N
PARSLEY ENERGY LLC/FINAN
N/A
Parsley Energy LLC / Parsley Finance Corp
701885AF2
70000.00000000
PA
USD
71750.00000000
0.009678433682
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
5.25000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
6435.44000000
0.000868083334
N/A
DFE
XX
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
973964.33000000
USD
884000.00000000
EUR
2020-02-04
6435.44
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BB2
180000.00000000
PA
USD
189675.00000000
0.025585462141
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.38000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
US 5YR FUTR OPTN Mar20P 113.75
000000000
16.00000000
NC
USD
16.00000000
0.000002158256
N/A
DIR
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
5 Year US Treasury Note Future
N/A
16000.00000000
NC
N/A
16.00000000
0.00000000
DIR
US
Long
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
16000.00000000
USD
1000.00000000
113.75
USD
2020-02-21
XXXX
-121.6
N
N
N
US Foods Inc
5493000JOOFAOUY1JZ87
US Foods Inc
90290MAB7
80000.00000000
PA
USD
81810.40000000
0.011035491719
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
5.88000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBC1
155000.00000000
PA
USD
166803.25000000
0.022500267499
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
5.50000000
N
N
N
N
N
N
Mountain View CLO Ltd
549300XBX1AOMDRAHZ12
Mountain View CLO 2014-1 Ltd
62431XAU0
790562.67000000
PA
USD
790787.19000000
0.106670123694
Long
ABS-CBDO
CORP
KY
N
2
2026-10-15
Floating
2.63000000
N
N
N
N
N
N
WMG Acquisition Corp
549300NAS11NXI33CP80
WMG Acquisition Corp
92933BAK0
70000.00000000
PA
USD
71400.00000000
0.009631221810
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
5.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148BAE8
43000.00000000
PA
USD
46272.73000000
0.006241777680
Long
DBT
CORP
US
N
2
2024-08-10
Variable
5.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAD8
690000.00000000
PA
USD
697622.73000000
0.094103070765
Long
DBT
CORP
US
N
2
2023-04-25
Floating
2.69000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
000000000
1600000.00000000
PA
USD
2119500.00000000
0.285901605424
Long
DBT
NUSS
QA
N
2
2048-04-23
Fixed
5.10000000
N
N
N
N
N
N
TESCO PROPERTY FIN 5 PLC
213800BN1HYPUZMXAF92
Tesco Property Finance 5 PLC
000000000
686447.27000000
PA
1216342.32000000
0.164073707022
Long
DBT
CORP
GB
N
2
2041-10-13
Fixed
5.66000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61761JQK8
395000.00000000
PA
USD
396975.00000000
0.053548379246
Long
DBT
CORP
US
N
2
2019-10-15
Variable
5.44000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU00R9Y5 IRS JPY R V 06MLIBOR SWUV0R9Y7 CCPVANILLA / Short: BWU00R9Y5 IRS JPY P F .80000 SWU00R9Y5 CCPVANILLA
000000000
60000000.00000000
OU
Notional Amount
-62789.74000000
-0.00846977469
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2038-10-22
0
JPY
0
JPY
60000000
JPY
-62754.56
N
N
N
ADT SEC CORP
5493009JEEDYLVRA0J13
ADT Security Corp/The
00101JAF3
85000.00000000
PA
USD
86194.04000000
0.011626805573
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31358G5J2
163.98000000
PA
USD
166.59000000
0.000022471501
Long
ABS-MBS
USGSE
US
N
2
2021-06-25
Fixed
6.50000000
N
N
N
N
N
N
MONGOLIA INTL BOND
N/A
Mongolia Government International Bond
000000000
200000.00000000
PA
USD
204312.50000000
0.027559930058
Long
DBT
NUSS
MN
N
2
2023-05-01
Fixed
5.63000000
N
N
N
N
N
N
NuStar Logistics LP
N62BF2PKP51FIIOIUN20
NuStar Logistics LP
67059TAB1
25000.00000000
PA
USD
25187.50000000
0.003397568618
Long
DBT
CORP
US
N
2
2020-09-01
Fixed
4.80000000
N
N
N
N
N
N
Springleaf Finance Corp
5493008I795YYBFWFU90
Springleaf Finance Corp
85172FAK5
45000.00000000
PA
USD
47925.00000000
0.006464654135
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
6.13000000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
Enel Finance International NV
29278GAH1
1600000.00000000
PA
USD
1716350.82000000
0.231520384482
Long
DBT
CORP
NL
N
2
2023-09-14
Fixed
4.25000000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200KC4
555000.00000000
PA
USD
668191.39000000
0.090133046063
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
4.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RH3
4000000.00000000
PA
USD
4866406.24000000
0.656434704724
Long
DBT
UST
US
N
2
2044-08-15
Fixed
3.13000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU00Y987 IRS GBP R V 06MLIBOR SWUV0Y989 CCPVANILLA / Short: BWU00Y987 IRS GBP P F 1.00000 SWU00Y987 CCPVANILLA
000000000
4900000.00000000
OU
Notional Amount
-304950.07000000
-0.04113503872
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 6 Months
BP0006M Index
Y
2050-06-17
68449.73
GBP
0
GBP
4900000
GBP
-394527.48
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAN6
340000.00000000
PA
USD
398347.12000000
0.053733465970
Long
DBT
CORP
US
N
2
2049-01-23
Variable
3.90000000
N
N
N
N
N
N
ROYAL BANK CASH COLL BROKER
N/A
ROYAL BANK CASH COLL BROKER
000000000
-70000.00000000
NS
USD
-70000.00000000
-0.00944237432
Short
STIV
CORP
US
N
2
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU00WCI5 IRS JPY R F .06225 SWU00WCI5 CCPVANILLA / Short: SWU00WCI5 IRS JPY P V 06MLIBOR CCP VANILLA NEG RATE -0.06225
000000000
560000000.00000000
OU
Notional Amount
-9868.72000000
-0.00133120211
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2026-09-18
0
JPY
-25649
JPY
560000000
JPY
-9631.23
N
N
N
PRESTIGE BRANDS INC
549300JBVP4J6D42I235
Prestige Brands Inc
74112BAL9
35000.00000000
PA
USD
36575.00000000
0.004933640584
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.13000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DCD5
35000.00000000
PA
USD
37100.00000000
0.005004458391
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XNX8
505349.41000000
PA
USD
514844.32000000
0.069447896971
Long
ABS-MBS
USGSE
US
N
2
2030-01-25
Floating
3.86000000
N
N
N
N
N
N
MOODY'S CORPORATION
549300GCEDD8YCF5WU84
Moody's Corp
615369AK1
1700000.00000000
PA
USD
1742739.73000000
0.235080012570
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.63000000
N
N
N
N
N
N
Residential Asset Securities Corporation
N/A
RASC Series 2005-KS11 Trust
76110W7E0
1100000.00000000
PA
USD
1102986.28000000
0.148782990428
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
2.08000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
US 10YR FUT OPTN Mar20P 117
000000000
4.00000000
NC
USD
4.00000000
0.000000539564
N/A
DIR
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
10 Year US Treasury Note Future
N/A
4000.00000000
NC
N/A
4.00000000
0.00000000
DIR
US
Long
10 Year US Treasury Note
TYH0 Comdty
2020-03-20
4000.00000000
USD
1000.00000000
117
USD
2020-02-21
XXXX
-30.4
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBW7
395000.00000000
PA
USD
569322.64000000
0.076796535400
Long
DBT
CORP
US
N
2
2059-01-23
Fixed
5.80000000
N
N
N
N
N
N
Level 3 Financing Inc
N/A
Level 3 Financing Inc
527298BF9
210000.00000000
PA
USD
210987.00000000
0.028460260449
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
5.13000000
N
N
N
N
N
N
Open Text Corp
549300HP7ONDQODZJV16
Open Text Corp
683715AB2
190000.00000000
PA
USD
200687.50000000
0.027070949959
Long
DBT
CORP
CA
N
2
2026-06-01
Fixed
5.88000000
N
N
N
N
N
N
ESC LEHMAN BRTH HLDH PROD
N/A
ESC LEHMAN BRTH HLDH PROD
525ESC1Y5
900000.00000000
PA
USD
11250.00000000
0.001517524444
Long
DBT
CORP
US
N
2
2016-12-30
Variable
1.71000000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAD7
1700000.00000000
PA
USD
1718066.63000000
0.231751831914
Long
DBT
CORP
GB
N
2
2021-01-08
Fixed
3.13000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AH1
1600000.00000000
PA
USD
1627769.98000000
0.219571620921
Long
DBT
CORP
CH
N
2
2024-06-12
Floating
3.13000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAT2
2000000.00000000
PA
USD
2033253.34000000
0.274267701882
Long
DBT
CORP
GB
N
2
2023-01-10
Floating
3.46000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408DXN9
22433.26000000
PA
USD
23421.61000000
0.003159365841
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
3.59000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBE1
10000.00000000
PA
USD
10375.00000000
0.001399494765
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
5.38000000
N
N
N
N
N
N
Figueroa CLO LTD
549300EUEEB937ZBYB92
Figueroa CLO 2014-1 Ltd
31683YAJ3
711417.27000000
PA
USD
711825.62000000
0.096018913677
Long
ABS-CBDO
CORP
KY
N
2
2027-01-15
Variable
2.73000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEN0
866000.00000000
PA
USD
926118.92000000
0.124925164445
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.38000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
81349.27000000
0.010973289404
N/A
DFE
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
6057000.00000000
CAD
4658181.96000000
USD
2020-02-04
81349.27
N
N
N
Credit Suisse AG
ANGGYXNX0JLX3X63JN86
Credit Suisse AG
22546DAA4
500000.00000000
PA
USD
559375.00000000
0.075454687678
Long
DBT
CORP
CH
N
2
2023-08-08
Fixed
6.50000000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAF6
1800000.00000000
PA
USD
1881937.12000000
0.253856496303
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
3.63000000
N
N
N
N
N
N
GREENKO SOLAR MAURITIUS
2138007S1PL541B3KP92
Greenko Solar Mauritius Ltd
39530VAB4
1300000.00000000
PA
USD
1331869.03000000
0.179657227597
Long
DBT
CORP
MU
N
2
2026-07-29
Fixed
5.95000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
RXH0P157 MAR20 157 PUT FSO
000000000
31.00000000
NC
-17.53000000
-0.00000236464
N/A
DIR
DE
N
1
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long
Euro-Bund (FGBL)
RXH0 Comdty
2020-02-21
325.81
EUR
-17.53
N
N
N
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Long: SWPC0BZN5 CDS USD R F .50000 1 CMBX / Short: SWPC0BZN5 CDS USD P V 01MEVENT 2 CMBX
000000000
3200000.00000000
OU
Notional Amount
USD
35344.00000000
0.004767589687
N/A
DCR
GB
N
2
Merrill Lynch International
GGDZP1UYGU9STUHRDP48
Markit CMBX.NA.AAA.9
137BENAI7
Y
sell protection
2058-09-17
0
USD
-226733.13
USD
3200000
USD
262077.13
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48128BAG6
41000.00000000
PA
USD
41856.90000000
0.005646121683
Long
DBT
CORP
US
N
2
2025-02-01
Variable
4.60000000
N
N
N
N
N
N
Gartner Inc
PP55B5R38BFB8O8HH686
Gartner Inc
366651AB3
135000.00000000
PA
USD
140343.30000000
0.018931056749
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.13000000
N
N
N
N
N
N
NOVA Chemicals Corp
5493007M1XGU5E55ZJ25
NOVA Chemicals Corp
66977WAN9
55000.00000000
PA
USD
55687.50000000
0.007511746002
Long
DBT
CORP
CA
N
2
2023-08-01
Fixed
5.25000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AD3
50000.00000000
PA
USD
50884.00000000
0.006863796787
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
3.50000000
N
N
N
N
N
N
Vizient Inc
5493007V6T3HZ7777P70
Vizient Inc
92856JAB6
55000.00000000
PA
USD
59284.78000000
0.007996986921
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
6.25000000
N
N
N
N
N
N
Structured Asset Securities Corporation
N/A
Structured Asset Securities Corp Mortgage Pass Through Certificates Ser 2001-SB1
86358RDU8
209626.80000000
PA
USD
206067.25000000
0.027796630148
Long
ABS-MBS
CORP
US
N
2
2031-08-25
Fixed
3.38000000
N
N
N
N
N
N
HERTZ CORP
549300PD0C69OJ0NLB27
Hertz Corp/The
428040CZ0
140000.00000000
PA
USD
141225.00000000
0.019049990198
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2005-HE1
61744CKP0
201449.23000000
PA
USD
192620.23000000
0.025982747343
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
2.37000000
N
N
N
N
N
N
ZIMMER BIOMET HOLDINGS
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings Inc
98956PAF9
385000.00000000
PA
USD
410991.27000000
0.055439048789
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.55000000
N
N
N
N
N
N
ABU DHABI CRUDE OIL
549300DONDFW2383FV66
Abu Dhabi Crude Oil Pipeline LLC
000000000
200000.00000000
PA
USD
235750.00000000
0.031800567812
Long
DBT
CORP
AE
N
2
2047-11-02
Fixed
4.60000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2004-6
07384MW65
386612.20000000
PA
USD
393030.54000000
0.053016306849
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
3.94000000
N
N
N
N
N
N
MASONITE INTERNATIONAL C
549300H0H07ZFT4JYM32
Masonite International Corp
575385AB5
125000.00000000
PA
USD
132500.00000000
0.017873065684
Long
DBT
CORP
CA
N
2
2026-09-15
Fixed
5.75000000
N
N
N
N
N
N
ODBRCHT OFFSHRE DRLL FIN
549300L7LF2PIRAWID66
Odebrecht Offshore Drilling Finance Ltd
000000000
278791.27000000
PA
USD
276003.36000000
0.037230386282
Long
DBT
CORP
KY
N
2
2022-12-01
Fixed
6.72000000
N
N
N
N
N
N
BOC Aviation Ltd
254900H06V5RMEB3KE72
BOC Aviation Ltd
09681LAJ9
1500000.00000000
PA
USD
1573035.00000000
0.212188361353
Long
DBT
CORP
SG
N
2
2024-10-10
Fixed
3.50000000
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286B1
6700000.00000000
PA
USD
7340949.20000000
0.990228431998
Long
DBT
UST
US
N
2
2029-02-15
Fixed
2.63000000
N
N
N
N
N
N
The Federal Republic of Nigeria
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAA1
70000.00000000
PA
USD
73185.00000000
0.009872002355
Long
DBT
NUSS
NG
N
2
2032-02-16
Fixed
7.88000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
US 10YR FUT OPTN Mar20P 128.5
000000000
-53.00000000
NC
USD
-1656.25000000
-0.00022341332
N/A
DIR
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
10 Year US Treasury Note Future
N/A
53000.00000000
NC
N/A
-1656.25000000
0.00000000
DIR
US
Short
10 Year US Treasury Note
TYH0 Comdty
2020-03-20
53000.00000000
USD
1000.00000000
128.5
USD
2020-02-21
XXXX
10699.64
N
N
N
PRESIDIO HOLDING INC
N/A
Presidio Holdings Inc
74101XAE0
40000.00000000
PA
USD
39994.00000000
0.005394833124
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
4.88000000
N
N
N
N
N
N
GREENKO MAURITIUS LTD
2138005EDWGI4914B264
Greenko Mauritius Ltd
39531LAA7
80000.00000000
PA
USD
82516.89000000
0.011130790906
Long
DBT
CORP
MU
N
2
2023-02-21
Fixed
6.25000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00772BAM3
1326000.00000000
PA
USD
1391503.92000000
0.187701441227
Long
DBT
CORP
IE
N
2
2021-10-01
Fixed
5.00000000
N
N
N
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CA8
105000.00000000
PA
USD
113664.60000000
0.015332338579
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
7.25000000
N
N
N
N
N
N
Western Digital Corp
549300QQXOOYEF89IC56
Western Digital Corp
958102AM7
180000.00000000
PA
USD
192150.00000000
0.025919317519
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
4.75000000
N
N
N
N
N
N
Novelis Corp
549300G5F3W3B52WYL23
Novelis Corp
670001AC0
80000.00000000
PA
USD
84800.00000000
0.011438762038
Long
DBT
CORP
US
N
2
2026-09-30
Fixed
5.88000000
N
N
N
N
N
N
COMMONWEALTH BANK AUST
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
202712BL8
400000.00000000
PA
USD
419449.19000000
0.056579946598
Long
DBT
CORP
AU
N
2
2039-09-12
Fixed
3.74000000
N
N
N
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123CL2
185000.00000000
PA
USD
195579.69000000
0.026381952045
Long
DBT
NUSS
TR
N
2
2027-03-25
Fixed
6.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RK6
53400000.00000000
PA
USD
58462570.45000000
7.886078201889
Long
DBT
UST
US
N
2
2045-02-15
Fixed
2.50000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCN9
505000.00000000
PA
USD
686664.71000000
0.092624931812
Long
DBT
CORP
US
N
2
2058-10-15
Fixed
4.95000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OEH0C138.75 MAR20 138.75 CALL FSO
000000000
16.00000000
NC
-15.26000000
-0.00000205843
N/A
DIR
DE
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long
Euro-Bobl (FGBM)
OEH0 Comdty
2020-02-21
93.76
EUR
-15.26
N
N
N
ENVIVA PARTNERS LP/FIN C
N/A
Enviva Partners LP / Enviva Partners Finance Corp
29413XAD9
50000.00000000
PA
USD
53338.50000000
0.007194886898
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
6.50000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAG8
845000.00000000
PA
USD
925811.28000000
0.124883666559
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
5.45000000
N
N
N
N
N
N
MASONITE INTERNATIONAL C
549300H0H07ZFT4JYM32
Masonite International Corp
575385AD1
75000.00000000
PA
USD
78941.25000000
0.010648469030
Long
DBT
CORP
CA
N
2
2028-02-01
Fixed
5.38000000
N
N
N
N
N
N
EDGEWELL PERSONAL CARE
549300CY8QZDL4Z3RU59
Edgewell Personal Care Co
29266RAB4
45000.00000000
PA
USD
46125.00000000
0.006221850224
Long
DBT
CORP
US
N
2
2021-05-19
Fixed
4.70000000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110LAJ5
40000.00000000
PA
USD
42254.00000000
0.005699686924
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
5.50000000
N
N
N
N
N
N
SOUTHERN GAS CORRIDOR
213800DG58KG59XY6318
Southern Gas Corridor CJSC
000000000
200000.00000000
PA
USD
239625.00000000
0.032323270676
Long
DBT
CORP
AZ
N
2
2026-03-24
Fixed
6.88000000
N
N
N
N
N
N
TRUIST FIN CORP
549300DRQQI75D2JP341
Truist Financial Corp
89832QAD1
140000.00000000
PA
USD
144363.80000000
0.019473386263
Long
DBT
CORP
US
N
2
2024-09-01
Variable
4.80000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHC6
3131000.00000000
PA
USD
3227055.64000000
0.435300961675
Long
DBT
CORP
US
N
2
2023-12-20
Variable
3.00000000
N
N
N
N
N
N
Avery Point III CLO Ltd
549300OKYVEGO11YZO59
Avery Point III CLO Ltd
053633AG8
62442.78000000
PA
USD
62511.47000000
0.008432238561
Long
ABS-CBDO
CORP
KY
N
2
2025-01-18
Floating
2.94000000
N
N
N
N
N
N
Ludgate Funding PLC
213800LADM2GPWI3P269
Ludgate Funding PLC
000000000
668025.72000000
PA
866222.21000000
0.116845633636
Long
ABS-MBS
CORP
GB
N
2
2061-01-01
Floating
1.40000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBG4
670000.00000000
PA
USD
672460.75000000
0.090708944567
Long
DBT
CORP
US
N
2
2021-09-09
Floating
2.79000000
N
N
N
N
N
N
CIT Group Inc
N8O96ZZJQRFYQUJY7K79
CIT Group Inc
125581GW2
45000.00000000
PA
USD
49387.50000000
0.006661932313
Long
DBT
CORP
US
N
2
2025-03-07
Fixed
5.25000000
N
N
N
N
N
N
Structured Asset Securities Corporation
N/A
Structured Asset Securities Corp 2005-WF1
86359BV73
170676.23000000
PA
USD
170778.41000000
0.023036481052
Long
ABS-O
CORP
US
N
2
2035-02-25
Floating
2.32000000
N
N
N
N
N
N
TOLL BROS FINANCE CORP
N/A
Toll Brothers Finance Corp
88947EAT7
75000.00000000
PA
USD
78937.50000000
0.010647963188
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.35000000
N
N
N
N
N
N
RBS GLOBAL & REXNORD LLC
N/A
RBS Global Inc / Rexnord LLC
75524DAP5
130000.00000000
PA
USD
132905.50000000
0.017927764010
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
4.88000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
DUH0C113.8 MAR20 113.8 CALL FSO
000000000
60.00000000
NC
-57.23000000
-0.00000771981
N/A
DIR
DE
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long
Euro-Schatz Futures (FGBS)
DUH0 Comdty
2020-02-21
351.6
EUR
-57.23
N
N
N
Aramark Services Inc
42YMHYH0XMHJEXDUB065
Aramark Services Inc
038522AQ1
90000.00000000
PA
USD
94275.00000000
0.012716854848
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.00000000
N
N
N
N
N
N
IRON MOUNTAIN US HLDNGS
549300RUAW0D4WBMPU54
Iron Mountain US Holdings Inc
46289RAA3
145000.00000000
PA
USD
150800.00000000
0.020341572115
Long
DBT
US
N
2
2026-06-01
Fixed
5.38000000
N
N
N
N
N
N
SENSATA TECH INC
N/A
Sensata Technologies Inc
81728UAA2
20000.00000000
PA
USD
20271.00000000
0.002734376713
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.38000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU00NYH3 IRS JPY R F .38000 SWU00NYH3 CCPVANILLA / Short: SWU00NYH3 IRS JPY P V 06MLIBOR SWUV0NYH5 CCPVANILLA
000000000
1810000000.00000000
OU
Notional Amount
541147.99000000
0.072996026946
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2028-06-18
7052897
JPY
0
JPY
1810000000
JPY
478850.75
N
N
N
WPX Energy Inc
ZXZE9GCS2BB547GJW219
WPX Energy Inc
98212BAD5
20000.00000000
PA
USD
20750.00000000
0.002798989531
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
6.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR20 XCBT 20200320
000000000
459.00000000
NC
USD
939229.44000000
0.126693656408
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
10 Year US Treasury Note
TYH0 Comdty
2020-03-20
59490989.31
USD
939229.44
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAG9
40000.00000000
PA
USD
41950.00000000
0.005658680041
Long
DBT
US
N
2
2026-08-01
Fixed
5.25000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
Reperforming Loan REMIC Trust 2003-R4
12669FFS7
574486.61000000
PA
USD
576839.13000000
0.077810442717
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Variable
4.93000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAD5
2100000.00000000
PA
USD
2164155.40000000
0.291925219744
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
4.42000000
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LD1
755000.00000000
PA
USD
826623.85000000
0.111504168812
Long
DBT
CORP
US
N
2
2028-01-10
Variable
3.89000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RWY8
1807785.32000000
PA
USD
1819725.20000000
0.245464664360
Long
ABS-MBS
USGA
US
N
2
2066-07-20
Floating
2.49000000
N
N
N
N
N
N
Tenet Healthcare Corp
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GCX6
85000.00000000
PA
USD
89896.00000000
0.012126166889
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
6.25000000
N
N
N
N
N
N
Rumo Luxembourg Sarl
222100HOIQFT7YOSPB46
Rumo Luxembourg Sarl
781467AA3
45000.00000000
PA
USD
48290.85000000
0.006514004030
Long
DBT
CORP
LU
N
2
2024-02-09
Fixed
7.38000000
N
N
N
N
N
N
Equinix Inc
549300EVUN2BTLJ3GT74
Equinix Inc
29444UAQ9
35000.00000000
PA
USD
37100.00000000
0.005004458391
Long
DBT
US
N
2
2026-01-15
Fixed
5.88000000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110LAS5
115000.00000000
PA
USD
123050.00000000
0.016598345150
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
4.88000000
N
N
N
N
N
N
Alba PLC
2138008XOOHJFP498784
Alba 2007-1 PLC
000000000
430024.00000000
PA
546284.92000000
0.073688952888
Long
ABS-MBS
CORP
GB
N
2
2039-03-17
Floating
0.96000000
N
N
N
N
N
N
General Motors
N/A
GMF Floorplan Owner Revolving Trust
361886BL7
1900000.00000000
PA
USD
1903453.44000000
0.256758855554
Long
ABS-O
CORP
US
N
2
2023-03-15
Floating
2.06000000
N
N
N
N
N
N
Lamar Media Corp
N/A
Lamar Media Corp
513075BE0
40000.00000000
PA
USD
40750.00000000
0.005496810767
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
5.00000000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Long: SWPC08DY2 CDS USD R F 1.00000 FIX CORPORATE / Short: SWPC08DY2 CDS USD P V 03MEVENT FLO CORPORATE
000000000
1500000.00000000
OU
Notional Amount
USD
1555.05000000
0.000209762345
N/A
DCR
GB
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Petrobras Global Finance BV
Petrobras Global Finance BV
Y
sell protection
2020-03-20
0
USD
-6054.83
USD
1500000
USD
7609.88
N
N
N
Freeport-McMoRan Inc
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBL8
45000.00000000
PA
USD
47475.00000000
0.006403953157
Long
DBT
CORP
US
N
2
2024-11-14
Fixed
4.55000000
N
N
N
N
N
N
HARSCO CORP
KAO98FK89NPNNPQGUZ43
Harsco Corp
415864AM9
125000.00000000
PA
USD
127812.50000000
0.017240763832
Long
DBT
CORP
US
N
2
2027-07-31
Fixed
5.75000000
N
N
N
N
N
N
TEVA PHARM FNC NL II
549300HSQCIKJAOYIT23
Teva Pharmaceutical Finance Netherlands II BV
000000000
486775.71000000
PA
537159.07000000
0.072457957292
Long
DBT
CORP
NL
N
2
2020-07-25
Fixed
0.38000000
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust Series 2005-B
64352VNK3
1900000.00000000
PA
USD
1856538.45000000
0.250430442740
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
2.14000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
312916VS5
19343.75000000
PA
USD
19896.87000000
0.002683909920
Long
ABS-MBS
USGSE
US
N
2
2023-06-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31359AUG2
12467.70000000
PA
USD
13193.24000000
0.001779650151
Long
ABS-MBS
USGSE
US
N
2
2023-06-25
Fixed
7.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030637
23100000.00000000
PA
USD
23607279.23000000
3.184410960869
Long
ABS-MBS
USGSE
US
N
2
2050-03-15
Fixed
3.00000000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
23311VAG2
50000.00000000
PA
USD
54568.50000000
0.007360802904
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.38000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU00VWI5 IRS JPY R F .10300 SWU00VWI5 CCPVANILLA / Short: SWU00VWI5 IRS JPY P V 06MLIBOR SWUV0VWI7 CCPVANILLA
000000000
60000000.00000000
OU
Notional Amount
-11398.83000000
-0.00153760028
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2039-08-28
0
JPY
0
JPY
60000000
JPY
-11398.83
N
N
N
DISH DBS Corp
N/A
DISH DBS Corp
25470XAW5
40000.00000000
PA
USD
40477.20000000
0.005460012485
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.88000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDC1
110000.00000000
PA
USD
113300.00000000
0.015283157298
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
4.63000000
N
N
N
N
N
N
FLORIDA GAS TRANSMISSION
549300Q0UQF87NXNOC32
Florida Gas Transmission Co LLC
340711AT7
800000.00000000
PA
USD
811889.33000000
0.109516613764
Long
DBT
CORP
US
N
2
2020-07-15
Fixed
5.45000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
Reperforming Loan REMIC Trust 2006-R1
12669UCN8
730120.45000000
PA
USD
715031.12000000
0.096451306976
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
2.00000000
N
N
N
N
N
N
TAYLOR MORRISON COMM
549300O1Z08HI2MRK572
Taylor Morrison Communities Inc
87724RAA0
75000.00000000
PA
USD
83437.50000000
0.011254972966
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.88000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAG8
1500000.00000000
PA
USD
1706732.18000000
0.230222915919
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
Mylan Inc
30ZMPDNA1RHIBH89C294
Mylan Inc
628530BK2
420000.00000000
PA
USD
464006.10000000
0.062590275497
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
4.55000000
N
N
N
N
N
N
Danone SA
969500KMUQ2B6CBAF162
Danone SA
23636TAC4
1500000.00000000
PA
USD
1508176.34000000
0.203439507841
Long
DBT
CORP
FR
N
2
2021-11-02
Fixed
2.08000000
N
N
N
N
N
N
PENSKE AUTOMOTIVE GROUP
549300W7UTQ0M4C7LB15
Penske Automotive Group Inc
70959WAG8
65000.00000000
PA
USD
67278.25000000
0.009075234576
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
5.50000000
N
N
N
N
N
N
SHEA HOMES LP/FNDG CP
N/A
Shea Homes LP / Shea Homes Funding Corp
82088KAD0
70000.00000000
PA
USD
72100.00000000
0.009725645553
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
6.13000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPBX0
210000.00000000
PA
USD
219951.90000000
0.029669545329
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.00000000
N
N
N
N
N
N
ODBRCHT OFFSHRE DRLL FIN
549300L7LF2PIRAWID66
Odebrecht Offshore Drilling Finance Ltd
000000000
1237484.00000000
PA
USD
303195.95000000
0.040898423620
Long
DBT
CORP
KY
N
2
2026-12-01
Fixed
7.72000000
N
N
Y
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AG3
1600000.00000000
PA
USD
1708386.24000000
0.230446033829
Long
DBT
CORP
CH
N
2
2024-06-12
Variable
4.21000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCJ3
1600000.00000000
PA
USD
1629973.55000000
0.219868862818
Long
DBT
CORP
US
N
2
2021-04-09
Fixed
3.55000000
N
N
N
N
N
N
OHIO POWER COMPANY
06ZODLC132CY1O2Y7D77
Ohio Power Co
677415CP4
480000.00000000
PA
USD
508941.94000000
0.068651718666
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
5.38000000
N
N
N
N
N
AMWINS GROUP INC
549300SJE7MUB8NMRG61
AmWINS Group Inc
031921AA7
35000.00000000
PA
USD
38207.93000000
0.005153908245
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
7.75000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-1993.03000000
-0.00026884193
N/A
DFE
CA
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
1322017.81000000
USD
1747000.00000000
CAD
2020-03-03
-1993.03
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409BFF9
22280.04000000
PA
USD
23604.92000000
0.003184092721
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Floating
4.86000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31381SVH2
1015736.37000000
PA
USD
1039899.78000000
0.140273185460
Long
ABS-MBS
USGSE
US
N
2
2021-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XQX5
320000.00000000
PA
USD
329100.35000000
0.044392695640
Long
ABS-MBS
USGSE
US
N
2
2030-02-25
Floating
4.31000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-197987.99000000
-0.02670681018
N/A
DFE
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
51430809.85000000
CNY
7138706.34000000
USD
2020-03-18
-197987.99
N
N
N
Sales Tax Securitization Corp
N/A
SALES TAX SECURITIZATION CORP IL
79467BDH5
1400000.00000000
PA
USD
1400000.00000000
0.188847486480
Long
DBT
MUN
US
N
2
2034-01-01
Fixed
3.06000000
N
N
N
N
N
N
Broadcom Inc
549300WV6GIDOZJTV909
Broadcom Inc
11135FAC5
1800000.00000000
PA
USD
1845850.82000000
0.248988776981
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
3.13000000
N
N
N
N
N
N
Springleaf Finance Corp
5493008I795YYBFWFU90
Springleaf Finance Corp
85172FAM1
1345000.00000000
PA
USD
1516487.50000000
0.204560609038
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
6.88000000
N
N
N
N
N
N
Aircastle Ltd
549300PNK8AKY3OIKP58
Aircastle Ltd
00928QAN1
1500000.00000000
PA
USD
1597206.90000000
0.215448934609
Long
DBT
CORP
BM
N
2
2022-02-15
Fixed
5.50000000
N
N
N
N
N
N
KFC HLD/PIZZA HUT/TACO
N/A
KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC
48250NAB1
155000.00000000
PA
USD
162362.50000000
0.021901250016
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
5.25000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CS2
535000.00000000
PA
USD
552396.20000000
0.074513309936
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.50000000
N
N
N
N
N
N
HD Supply Inc
549300G8FYZDYZMZED76
HD Supply Inc
40415RAS4
130000.00000000
PA
USD
137800.00000000
0.018587988312
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
5.38000000
N
N
N
N
N
N
DAIMLER FINANCE NA LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851DU5
1800000.00000000
PA
USD
1824342.62000000
0.246087513046
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.55000000
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAK4
1330000.00000000
PA
USD
1439428.22000000
0.194166000939
Long
DBT
CORP
US
N
2
2028-07-22
Variable
3.59000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
549300QGM7D5K3CV2643
WFRBS Commercial Mortgage Trust 2014-LC14
96221TAH0
3364619.70000000
PA
USD
128735.73000000
0.017365299307
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Variable
1.39000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XGP3
1508000.00000000
PA
USD
1593352.65000000
0.214929030734
Long
ABS-MBS
USGSE
US
N
2
2029-09-25
Floating
5.31000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31405BEJ6
23287.72000000
PA
USD
24623.00000000
0.003321422613
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Floating
4.27000000
N
N
N
N
N
N
DIAMOND SPORTS GR/DIAMON
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co
25277LAA4
100000.00000000
PA
USD
99610.20000000
0.013436525641
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
5.38000000
N
N
N
N
N
N
Iron Mountain Inc
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284VAC5
60000.00000000
PA
USD
61800.00000000
0.008336267617
Long
DBT
US
N
2
2027-09-15
Fixed
4.88000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-UBS3 Mortgage Trust
12591YBE4
2846669.06000000
PA
USD
114023.04000000
0.015380688932
Long
ABS-MBS
CORP
US
N
2
2047-06-10
Variable
1.24000000
N
N
N
N
N
N
Zoetis Inc
549300HD9Q1LOC9KLJ48
Zoetis Inc
98978VAQ6
1600000.00000000
PA
USD
1633727.73000000
0.220375268145
Long
DBT
CORP
US
N
2
2021-08-20
Fixed
3.25000000
N
N
N
N
N
N
Federal Housing Authority
N/A
FHA 221 D4 P3/99 PROJ ML16
000000000
126.41000000
PA
USD
126.83000000
0.000017108233
Long
ABS-MBS
USGA
US
N
2
2020-10-01
Fixed
7.43000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2004-9
07386HKZ3
210579.82000000
PA
USD
211579.86000000
0.028540231964
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
4.06000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CR4
1730000.00000000
PA
USD
1785368.22000000
0.240830214848
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.20000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0F0Z7 CDS EUR R F 1.00000 1 CCPCORPORATE / Short: SWPC0F0Z7 CDS EUR P V 03MEVENT 2 CCPCORPORATE
000000000
3000000.00000000
OU
Notional Amount
58275.01000000
0.007860777973
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Tesco PLC
Tesco PLC
Y
sell protection
2022-06-20
0
EUR
-64311.72
EUR
3000000
EUR
121737.2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31409JPM6
7864.28000000
PA
USD
7908.03000000
0.001066722563
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Floating
4.77000000
N
N
N
N
N
N
DAIMLER FINANCE NA LLC
549300423Z16BB673J12
Daimler Finance North America LLC
233851DQ4
1800000.00000000
PA
USD
1817140.57000000
0.245116020875
Long
DBT
CORP
US
N
2
2022-02-22
Floating
2.78000000
N
N
N
N
N
NTT Finance Corp
3538007PR116187GD960
NTT Finance Corp
000000000
2000000.00000000
PA
USD
1997751.60000000
0.269478834479
Long
DBT
CORP
JP
N
2
2021-07-21
Fixed
1.90000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XSX3
372174.34000000
PA
USD
382249.17000000
0.051561996402
Long
ABS-MBS
USGSE
US
N
2
2030-02-25
Floating
4.46000000
N
N
N
N
N
N
Republic of Sri Lanka
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
200000.00000000
PA
USD
193250.00000000
0.026067697687
Long
DBT
NUSS
LK
N
2
2028-04-18
Fixed
6.75000000
N
N
N
N
N
N
Acadia Healthcare Co Inc
5493005CW985Y9D0NC11
Acadia Healthcare Co Inc
00404AAM1
35000.00000000
PA
USD
36039.06000000
0.004861347068
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
6.50000000
N
N
N
N
N
N
GO DADDY OPCO/FINCO
N/A
Go Daddy Operating Co LLC / GD Finance Co Inc
38016LAA3
210000.00000000
PA
USD
220237.50000000
0.029708070216
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
5.25000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
228409.95000000
0.030810460674
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
20867000.00000000
EUR
23370946.10000000
USD
2020-02-04
228409.95
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412PKJ9
122429.83000000
PA
USD
130912.29000000
0.017658897797
Long
ABS-MBS
USGSE
US
N
2
2029-04-01
Fixed
4.50000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAW5
535000.00000000
PA
USD
596087.49000000
0.080406874434
Long
DBT
CORP
GB
N
2
2028-05-09
Fixed
4.84000000
N
N
N
N
N
N
Iron Mountain Inc
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284VAE1
385000.00000000
PA
USD
402325.00000000
0.054270046427
Long
DBT
US
N
2
2028-03-15
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QPF56
13062.36000000
PA
USD
13295.34000000
0.001793422529
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Floating
4.82000000
N
N
N
N
N
N
BBCCRE Trust
N/A
BBCCRE Trust 2015-GTP
05490TAA0
3600000.00000000
PA
USD
3910724.28000000
0.527521750424
Long
ABS-MBS
CORP
US
N
2
2033-08-10
Fixed
3.97000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAF8
1400000.00000000
PA
USD
1474130.00000000
0.198846960889
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
3.95000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAB9
750000.00000000
PA
USD
708750.00000000
0.095604040030
Long
DBT
CORP
US
N
2
2028-02-15
Variable
6.63000000
N
N
N
N
N
N
Mississippi Power Co
LNZ0J6YZ5SC6ILIRU850
Mississippi Power Co
605417CA0
1742000.00000000
PA
USD
1742953.40000000
0.235108834744
Long
DBT
CORP
US
N
2
2020-03-27
Floating
2.60000000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust 2006-HE4
362439AA9
1514025.56000000
PA
USD
1491460.07000000
0.201184632432
Long
ABS-O
CORP
US
N
2
2036-06-25
Floating
1.80000000
N
N
N
N
N
N
WR Grace & Co-Conn
549300GJVOEHHLSO6K25
WR Grace & Co-Conn
383909AE8
45000.00000000
PA
USD
46730.25000000
0.006303493039
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
5.13000000
N
N
N
N
N
N
AIG Global Funding
54930057MDZ7KOVOTV71
AIG Global Funding
00138CAG3
1600000.00000000
PA
USD
1638434.56000000
0.221010177441
Long
DBT
CORP
US
N
2
2021-06-25
Fixed
3.35000000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
48667QAQ8
200000.00000000
PA
USD
237512.00000000
0.032038245863
Long
DBT
CORP
KZ
N
2
2030-04-24
Fixed
5.38000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31358UDP8
2959.06000000
PA
USD
3096.86000000
0.000417738733
Long
ABS-MBS
USGSE
US
N
2
2023-03-25
Fixed
7.00000000
N
N
N
N
N
N
CITIZENS FINANCIAL GROUP
2138004JDDA4ZQUPFW65
Citizens Financial Group Inc
174610AP0
60000.00000000
PA
USD
63300.00000000
0.008538604210
Long
DBT
CORP
US
N
2
2023-07-06
Variable
6.00000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBM3
940000.00000000
PA
USD
937016.68000000
0.126395174862
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
3.55000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR20 XCBT 20200331
000000000
1024.00000000
NC
USD
1271809.31000000
0.171555708196
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
121936191.2
USD
1271809.31
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0HY52 CDS USD R F 1.00000 1 CCPCDX / Short: SWPC0HY52 CDS USD P V 03MEVENT 2 CCPCDX
000000000
5600000.00000000
OU
Notional Amount
USD
131768.00000000
0.017774325427
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S32.V1
2I65BYBE4
Y
sell protection
2024-06-20
107797.5
USD
0
USD
5600000
USD
23970.5
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RN0
8500000.00000000
PA
USD
9961933.62000000
1.343775803298
Long
DBT
UST
US
N
2
2045-08-15
Fixed
2.88000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286M7
835000.00000000
PA
USD
851634.77000000
0.114877918366
Long
DBT
UST
US
N
2
2022-04-15
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31358SSV4
2472.54000000
PA
USD
2476.80000000
0.000334098181
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Floating
2.11000000
N
N
N
N
N
N
L Brands Inc
GR3KVMWVCR54YWQNXU90
L Brands Inc
501797AN4
85000.00000000
PA
USD
84362.50000000
0.011379747198
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU00WCH7 IRS JPY R F .06820 SWU00WCH7 CCPVANILLA / Short: SWU00WCH7 IRS JPY P V 06MLIBOR CCP VANILLA NEG RATE -0.06820
000000000
350000000.00000000
OU
Notional Amount
-7448.86000000
-0.00100478463
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2026-09-18
0
JPY
0
JPY
350000000
JPY
-7448.86
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SA7
500000.00000000
PA
USD
606699.22000000
0.081838301961
Long
DBT
UST
US
N
2
2048-02-15
Fixed
3.00000000
N
N
N
N
N
N
Kraft Heinz Foods Co
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
42307TAH1
1200000.00000000
PA
USD
1598949.36000000
0.215683976889
Long
DBT
CORP
US
N
2
2039-08-01
Fixed
7.13000000
N
N
N
N
N
N
Synchrony Bank
549300UATVPGSLE43Z27
Synchrony Bank
87166FAC7
1600000.00000000
PA
USD
1634625.12000000
0.220496318035
Long
DBT
CORP
US
N
2
2021-05-24
Fixed
3.65000000
N
N
N
N
N
N
FMG RESOURCES AUG 2006
549300EFD6S2NFE9D745
FMG Resources August 2006 Pty Ltd
30251GAU1
20000.00000000
PA
USD
20562.60000000
0.002773710946
Long
DBT
CORP
AU
N
2
2022-05-15
Fixed
4.75000000
N
N
N
N
N
N
JPN BANK FOR INT'L COOP
549300TJ3QFYVCTSCJ29
Japan Bank for International Cooperation
471048BM9
2200000.00000000
PA
USD
2371593.95000000
0.319906826006
Long
DBT
NUSS
JP
N
2
2027-07-21
Fixed
2.88000000
N
N
N
N
N
N
NABORS INDUSTRIES LTD
N/A
Nabors Industries Ltd
629571AA8
35000.00000000
PA
USD
35043.75000000
0.004727088645
Long
DBT
CORP
BM
N
2
2026-01-15
Fixed
7.25000000
N
N
N
N
N
N
Lamar Media Corp
N/A
Lamar Media Corp
513075BL4
80000.00000000
PA
USD
84304.00000000
0.011371856071
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
5.75000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCR5
1725000.00000000
PA
USD
1892831.34000000
0.255326029206
Long
DBT
CORP
US
N
2
2024-01-17
Fixed
5.10000000
N
N
N
N
N
N
ICE Futures Europe
549300UF4R84F48NCH34
3MO EURO EURIBOR DEC20 IFLL 20201214
000000000
-116.00000000
NC
70627.42000000
0.009527007673
N/A
DIR
GB
N
1
ICE Futures Europe
549300UF4R84F48NCH34
Short
Euribor 3 Month
ERZ0 Comdty
2020-12-14
-29195632.84
EUR
70627.42
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWU4
740000.00000000
PA
USD
747668.62000000
0.100853814004
Long
DBT
CORP
US
N
2
2023-02-23
Floating
2.66000000
N
N
N
N
N
N
TELECOM ITALIA CAPITAL
549300777DJZOR5C4L39
Telecom Italia Capital SA
87927VAM0
40000.00000000
PA
USD
44958.20000000
0.006064459333
Long
DBT
CORP
LU
N
2
2034-09-30
Fixed
6.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU00RE45 IRS JPY R V 06MLIBOR SWUV0RE47 CCPVANILLA / Short: BWU00RE45 IRS JPY P F .70500 SWU00RE45 CCPVANILLA
000000000
200000000.00000000
OU
Notional Amount
-176408.53000000
-0.02379593391
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2038-10-31
1347980
JPY
0
JPY
200000000
JPY
-188367.58
N
N
N
NEXSTAR BROADCASTING INC
5493006PK6I4I2OOT688
Nexstar Broadcasting Inc
65343HAA9
170000.00000000
PA
USD
179146.00000000
0.024165194152
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.63000000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110LAU0
115000.00000000
PA
USD
125170.60000000
0.016884395136
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
5.38000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31392FLX3
543581.67000000
PA
USD
611879.06000000
0.082537016079
Long
ABS-MBS
USGSE
US
N
2
2042-11-25
Fixed
6.50000000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
064058AF7
82000.00000000
PA
USD
86760.10000000
0.011703162008
Long
DBT
CORP
US
N
2
2026-09-20
Variable
4.63000000
N
N
N
N
N
N
JACKSON NATL LIFE GLOBAL
635400PQXLYXWJI5QD78
Jackson National Life Global Funding
46849LTM3
1500000.00000000
PA
USD
1522233.77000000
0.205335729499
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
2.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LMTZ6
586115.03000000
PA
USD
614791.85000000
0.082929925414
Long
ABS-MBS
USGSE
US
N
2
2023-07-01
Fixed
3.31000000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAW4
75000.00000000
PA
USD
84843.75000000
0.011444663522
Long
DBT
CORP
US
N
2
2027-01-31
Fixed
8.50000000
N
N
N
N
N
N
BIG RIVER STEEL/BRS FIN
N/A
Big River Steel LLC / BRS Finance Corp
08949LAA8
106000.00000000
PA
USD
111322.26000000
0.015016377850
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
7.25000000
N
N
N
N
N
N
LP Credit Card ABS
N/A
LP Credit Card ABS Master Trust
50214FAA1
1388170.08000000
PA
USD
1374605.30000000
0.185421968433
Long
ABS-O
CORP
US
N
2
2024-08-20
Floating
3.82000000
N
N
N
N
N
N
Staples Inc
XQM2JINI1UL7642TU573
Staples Inc
855030AN2
270000.00000000
PA
USD
276588.00000000
0.037309248993
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
7.50000000
N
N
N
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust 2005-5
007036LJ3
81355.59000000
PA
USD
79653.88000000
0.010744596447
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
4.44000000
N
N
N
N
N
N
BEACON ROOFING SUPPLY IN
549300HDXQWWCBOYXP31
Beacon Roofing Supply Inc
073685AD1
155000.00000000
PA
USD
154178.50000000
0.020797301567
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
4.88000000
N
N
N
N
N
N
Spirit AeroSystems Inc
ZD2NBKV6GCC3UMGBM518
Spirit AeroSystems Inc
85205TAJ9
1500000.00000000
PA
USD
1518499.28000000
0.204831980178
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.95000000
N
N
N
N
N
N
Matador Resources Co
549300CI3Q2UUK5R4G79
Matador Resources Co
576485AE6
125000.00000000
PA
USD
122350.00000000
0.016503921407
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
5.88000000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AY3
200000.00000000
PA
USD
227540.00000000
0.030693112195
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
7.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2014-CPT
61763QAG6
1800000.00000000
PA
USD
1835676.18000000
0.247616308988
Long
ABS-MBS
CORP
US
N
2
2029-07-13
Variable
3.56000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
312916ZY8
20640.35000000
PA
USD
21960.60000000
0.002962288651
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Fixed
7.00000000
N
N
N
N
N
N
Sprint Capital Corp
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AT9
25000.00000000
PA
USD
27687.50000000
0.003734796272
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408DC85
4041.32000000
PA
USD
4161.98000000
0.000561413901
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Floating
3.91000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2006-1
07386HB83
541783.27000000
PA
USD
466748.89000000
0.062960253352
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
3.70000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
1976.87000000
0.000266662093
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
1747000.00000000
CAD
1322057.23000000
USD
2020-02-04
1976.87
N
N
N
WR Grace & Co-Conn
549300GJVOEHHLSO6K25
WR Grace & Co-Conn
383909AF5
15000.00000000
PA
USD
16535.25000000
0.002230457429
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.63000000
N
N
N
N
N
N
Freeport-McMoRan Inc
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DAU9
60000.00000000
PA
USD
60675.00000000
0.008184515172
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
3.55000000
N
N
N
N
N
N
CDW LLC/CDW FINANCE
N/A
CDW LLC / CDW Finance Corp
12513GBD0
160000.00000000
PA
USD
165788.80000000
0.022363427261
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
4.25000000
N
N
N
N
N
N
Micron Technology Inc
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc
595112BM4
1400000.00000000
PA
USD
1579378.47000000
0.213044038757
Long
DBT
CORP
US
N
2
2026-02-06
Fixed
4.98000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0FA52 CDS USD R F 1.00000 1 CCPCDX / Short: SWPC0FA52 CDS USD P V 03MEVENT 2 CCPCDX
000000000
11700000.00000000
OU
Notional Amount
USD
198057.60000000
0.026716199955
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S28.V1
2I65BYDN2
Y
sell protection
2022-06-20
111006.3
USD
0
USD
11700000
USD
87051.3
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPBM4
190000.00000000
PA
USD
199374.60000000
0.026893851484
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.75000000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475AQ8
87000.00000000
PA
USD
93905.19000000
0.012666970784
Long
DBT
CORP
US
N
2
2026-11-01
Variable
5.00000000
N
N
N
N
N
N
CDK Global Inc
5493000L10CYRTHIJ385
CDK Global Inc
12508EAG6
55000.00000000
PA
USD
58437.50000000
0.007882696422
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
5.88000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148YAA6
455000.00000000
PA
USD
515370.46000000
0.069518868555
Long
DBT
CORP
US
N
2
2038-10-31
Variable
4.02000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
31750FVK6 USD CALL BRL PUT MAR20 4.2 CALL
000000000
-4150000.00000000
OU
Notional Amount
USD
-115378.30000000
-0.01556350139
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
FX Contract
N/A
1.00000000
NC
USD
-115378.30000000
-0.02000000
DFE
US
4150000.00000000
USD
17430000.00000000
BRL
2020-03-16
1.00000000
4.2
USD
2020-03-16
XXXX
-67570.3
N
N
N
CLEAN HARBORS INC
5493000SJVZVZJKHJF48
Clean Harbors Inc
184496AN7
30000.00000000
PA
USD
31572.00000000
0.004258780602
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.88000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
RXH0P173 MAR20 173 PUT FSO
000000000
-36.00000000
NC
4357.50000000
0.000587787801
N/A
DIR
DE
N
1
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Short
Euro-Bund (FGBL)
RXH0 Comdty
2020-02-21
-8969.04
EUR
4357.5
N
N
N
KORN/FERRY INTERNATIONAL
549300FOD20OM0GT5G40
Korn Ferry
50067PAA7
90000.00000000
PA
USD
90346.50000000
0.012186935312
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.63000000
N
N
N
N
N
N
SPX FLOW Inc
5493003YXEKRBINIEM78
SPX FLOW Inc
78469XAE7
100000.00000000
PA
USD
105750.00000000
0.014264729782
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
5.88000000
N
N
N
N
N
N
Entercom Media Corp
549300S5JUSXRHNCHD80
Entercom Media Corp
124847AC8
1500000.00000000
PA
USD
1576875.00000000
0.212706343030
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
7.25000000
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAL9
1800000.00000000
PA
USD
1964541.38000000
0.264999072642
Long
DBT
CORP
IE
N
2
2026-04-03
Fixed
4.45000000
N
N
N
N
N
N
TURK SISE VE CAM FABRIKA
789000KWOK751Q6R8875
Turkiye Sise ve Cam Fabrikalari AS
90016AAB6
160000.00000000
PA
USD
175545.92000000
0.023679575538
Long
DBT
CORP
TR
N
2
2026-03-14
Fixed
6.95000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2005-11
17307GW53
128185.42000000
PA
USD
130452.21000000
0.017596837117
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
4.81000000
N
N
N
N
N
N
AIR CANADA 2013-1B PTT
N/A
Air Canada 2013-1 Class B Pass Through Trust
009089AB9
1239809.56000000
PA
USD
1276166.36000000
0.172143435297
Long
DBT
CORP
CA
N
2
2021-05-15
Fixed
5.38000000
N
N
N
N
N
N
QUALCOMM Inc
H1J8DDZKZP6H7RWC0H53
QUALCOMM Inc
747525AK9
2000000.00000000
PA
USD
2530251.50000000
0.341308311383
Long
DBT
CORP
US
N
2
2045-05-20
Fixed
4.80000000
N
N
N
N
N
N
Chase Mortgage Finance Corporation
N/A
Chase Mortgage Finance Trust Series 2005-S3
16162WNL9
1543582.83000000
PA
USD
1496281.74000000
0.201835032617
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
US 5YR FUTR OPTN Mar20P 114.25
000000000
3.00000000
NC
USD
3.00000000
0.000000404673
N/A
DIR
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
5 Year US Treasury Note Future
N/A
3000.00000000
NC
N/A
3.00000000
0.00000000
DIR
US
Long
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
3000.00000000
USD
1000.00000000
114.25
USD
2020-02-21
XXXX
-22.8
N
N
N
Studio City Finance Ltd
254900D6R731QAUIG324
Studio City Finance Ltd
86389QAB8
45000.00000000
PA
USD
46612.35000000
0.006287589383
Long
DBT
CORP
VG
N
2
2024-02-11
Fixed
7.25000000
N
N
N
N
N
N
frontdoor Inc
5493008RB0JZJI3QGZ06
frontdoor Inc
35905AAA7
185000.00000000
PA
USD
202233.68000000
0.027279515821
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
6.75000000
N
N
N
N
N
N
HUGHES SATELLITE SYSTEMS
N/A
Hughes Satellite Systems Corp
444454AA0
40000.00000000
PA
USD
42772.00000000
0.005769560494
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
7.63000000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Corp 2006-FRE1
46626LFN5
2400000.00000000
PA
USD
2399877.36000000
0.323722005211
Long
ABS-O
CORP
US
N
2
2035-05-25
Floating
2.05000000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
Netflix Inc
64110LAV8
90000.00000000
PA
USD
93881.25000000
0.012663741492
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
4.88000000
N
N
N
N
N
N
LG&E AND KU ENERGY LLC
N/A
LG&E & KU Energy LLC
50188FAE5
1440000.00000000
PA
USD
1487327.98000000
0.200627250424
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
4.38000000
N
N
N
N
N
N
Springleaf Finance Corp
5493008I795YYBFWFU90
Springleaf Finance Corp
85172FAN9
35000.00000000
PA
USD
40157.25000000
0.005416854090
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
7.13000000
N
N
N
N
N
N
GOVERNOR & CO OF THE BAN
Q2GQA2KF6XJ24W42G291
Bank of Ireland
000000000
949000.00000000
PA
1076168.97000000
0.145165575008
Long
DBT
CORP
IE
N
2
2020-06-18
Variable
7.38000000
N
N
N
N
N
N
SYNCHRONY FINANCIAL
549300RS7EWPM9MA6C78
Synchrony Financial
87165BAQ6
1150000.00000000
PA
USD
1172431.44000000
0.158150521795
Long
DBT
CORP
US
N
2
2022-07-25
Fixed
2.85000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBL0
1500000.00000000
PA
USD
1588075.88000000
0.214217241626
Long
DBT
CORP
IT
N
2
2029-09-23
Fixed
4.00000000
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDB5
725000.00000000
PA
USD
755024.42000000
0.101846045677
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.80000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU00NYG5 IRS JPY R V 06MLIBOR SWUV0NYG7 CCPVANILLA / Short: BWU00NYG5 IRS JPY P F .39900 SWU00NYG5 CCPVANILLA
000000000
220000000.00000000
OU
Notional Amount
-69028.20000000
-0.00931128719
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2028-06-18
0
JPY
-16878
JPY
220000000
JPY
-68876.91
N
N
N
Jeld-Wen Inc
549300XWE6NM0N1HFW16
Jeld-Wen Inc
475795AC4
55000.00000000
PA
USD
56100.00000000
0.007567388565
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
4.63000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746RG8
84000.00000000
PA
USD
91300.44000000
0.012315613291
Long
DBT
CORP
US
N
2
2024-06-15
Variable
5.90000000
N
N
N
N
N
N
SMBC AVIATION CAPITAL FI
549300OD7VKRVNWB2J98
SMBC Aviation Capital Finance DAC
78448TAD4
1600000.00000000
PA
USD
1703428.64000000
0.229777297901
Long
DBT
CORP
IE
N
2
2023-07-15
Fixed
4.13000000
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AQ4
135000.00000000
PA
USD
133956.20000000
0.018069494048
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.95000000
N
N
N
N
N
N
OUTFRONT MEDIA CAP LLC/C
N/A
Outfront Media Capital LLC / Outfront Media Capital Corp
69007TAC8
25000.00000000
PA
USD
25750.00000000
0.003473444840
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
4.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374KM75
7965955.30000000
PA
USD
8865349.89000000
1.195856459637
Long
ABS-MBS
USGA
US
N
2
2035-01-20
Fixed
5.50000000
N
Y
N
N
N
N
Olin Corp
549300GKK294V7W57P06
Olin Corp
680665AK2
65000.00000000
PA
USD
66163.50000000
0.008924864765
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
5.00000000
N
N
N
N
N
N
First Horizon Mortgage Pass-Through Trust
N/A
First Horizon Mortgage Pass-Through Trust 2005-AR3
32051GQL2
17134.73000000
PA
USD
14356.00000000
0.001936496082
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
4.66000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-62
12668ATT2
158245.51000000
PA
USD
144245.89000000
0.019457481258
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
3.15000000
N
N
N
N
N
N
NuStar Logistics LP
N62BF2PKP51FIIOIUN20
NuStar Logistics LP
67059TAF2
35000.00000000
PA
USD
36827.00000000
0.004967633131
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
6.00000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABC0
1500000.00000000
PA
USD
1527384.23000000
0.206030480517
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
2.85000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F042632
1000000.00000000
PA
USD
1057545.10000000
0.142653381410
Long
ABS-MBS
USGSE
US
N
2
2050-03-15
Fixed
4.50000000
N
N
N
N
N
N
REALOGY GROUP/CO-ISSUER
N/A
Realogy Group LLC / Realogy Co-Issuer Corp
75606DAG6
75000.00000000
PA
USD
77801.25000000
0.010494693219
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
9.38000000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAC3
135000.00000000
PA
USD
137868.75000000
0.018597262072
Long
DBT
CORP
CA
N
2
2024-05-15
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202KTG0
1846.22000000
PA
USD
1899.78000000
0.000256263341
Long
ABS-MBS
USGA
US
N
2
2025-07-20
Floating
3.25000000
N
N
N
N
N
N
CEDAR FAIR LP/CANADA'S W
N/A
Cedar Fair LP / Canada's Wonderland Co / Magnum Management Corp
150191AJ3
135000.00000000
PA
USD
138332.81000000
0.018659859618
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
5.38000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU00MO45 IRS JPY R V 06MLIBOR SWUV0MO47 CCPVANILLA / Short: BWU00MO45 IRS JPY P F .30000 SWU00MO45 CCPVANILLA
000000000
310000000.00000000
OU
Notional Amount
-72552.01000000
-0.00978661766
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2028-03-20
1968544
JPY
0
JPY
310000000
JPY
-90419.8
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CR9
300000.00000000
PA
USD
312340.90000000
0.042131995635
Long
DBT
CORP
US
N
2
2026-12-08
Fixed
4.35000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MK4
52000.00000000
PA
USD
52959.40000000
0.007143749696
Long
DBT
CORP
US
N
2
2025-01-30
Variable
4.70000000
N
N
N
N
N
N
MV24 CAPITAL BV
N/A
MV24 Capital BV
55388RAA4
172560.50000000
PA
USD
186071.99000000
0.025099448297
Long
DBT
CORP
NL
N
2
2034-06-01
Fixed
6.75000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: SWPC0IFO0 CDS USD R F 1.00000 FIX SOVEREIGN / Short: SWPC0IFO0 CDS USD P V 03MEVENT FLO SOVEREIGN
000000000
6700000.00000000
OU
Notional Amount
USD
95313.53000000
0.012856943262
N/A
DCR
GB
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Republic of Italy Government International Bond
Republic of Italy Government International Bond
Y
sell protection
2024-06-20
0
USD
-161832.22
USD
6700000
USD
257145.75
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822AT1
1900000.00000000
PA
USD
1989517.87000000
0.268368177897
Long
DBT
CORP
JP
N
2
2023-03-02
Fixed
3.46000000
N
N
N
N
N
N
Medco Oak Tree Pte Ltd
254900AU06KP3JTGZL51
Medco Oak Tree Pte Ltd
58405FAA3
70000.00000000
PA
USD
72376.13000000
0.009762893022
Long
DBT
CORP
SG
N
2
2026-05-14
Fixed
7.38000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325BM6
100000.00000000
PA
USD
135093.75000000
0.018222939376
Long
DBT
NUSS
CO
N
2
2041-01-18
Fixed
6.13000000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110LAL0
25000.00000000
PA
USD
28031.25000000
0.003781165075
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
5.88000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505EH3
102000.00000000
PA
USD
113602.50000000
0.015323961844
Long
DBT
CORP
US
N
2
2024-09-05
Variable
6.25000000
N
N
N
N
N
N
OUTFRONT MEDIA CAP LLC/C
N/A
Outfront Media Capital LLC / Outfront Media Capital Corp
69007TAB0
46000.00000000
PA
USD
48180.40000000
0.006499105312
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.00000000
N
N
N
N
N
N
Grupo Bimbo SAB de CV
5493000RIXURZEBFEV60
Grupo Bimbo SAB de CV
40052VAE4
705000.00000000
PA
USD
788718.75000000
0.106391109626
Long
DBT
CORP
MX
N
2
2047-11-10
Fixed
4.70000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AP5
555000.00000000
PA
USD
686245.01000000
0.092568318034
Long
DBT
CORP
US
N
2
2058-04-15
Fixed
4.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828WG1
6500000.00000000
PA
USD
6562714.86000000
0.885251575568
Long
DBT
UST
US
N
2
2021-04-30
Fixed
2.25000000
N
N
N
N
N
N
Republic of Turkey
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123CQ1
200000.00000000
PA
USD
212375.00000000
0.028647489243
Long
DBT
NUSS
TR
N
2
2028-10-24
Fixed
6.13000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AQ5
1500000.00000000
PA
USD
1514879.97000000
0.204343767609
Long
DBT
CORP
US
N
2
2021-11-12
Floating
2.84000000
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QV3
1479803.00000000
PA
USD
1638970.05000000
0.221082410256
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.75000000
N
N
N
N
N
N
CAESARS RESORT / FINCO
N/A
Caesars Resort Collection LLC / CRC Finco Inc
12652AAA1
30000.00000000
PA
USD
30447.00000000
0.004107028157
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
5.25000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
86359BWG2
279615.27000000
PA
USD
284284.26000000
0.038347405676
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Variable
3.95000000
N
N
N
N
N
N
GENESIS ENERGY LP/FIN
N/A
Genesis Energy LP / Genesis Energy Finance Corp
37185LAJ1
40000.00000000
PA
USD
39200.00000000
0.005287729621
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.50000000
N
N
N
N
N
N
NIAGARA MOHAWK POWER
3T97Y9RR5EN5Y18QHB56
Niagara Mohawk Power Corp
65364UAL0
2100000.00000000
PA
USD
2411531.89000000
0.325294097137
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
4.28000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BH9
130000.00000000
PA
USD
142350.00000000
0.019201742643
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
7.50000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JT9
980000.00000000
PA
USD
1080779.55000000
0.145787501040
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
4.40000000
N
N
N
N
N
N
Sirius XM Radio Inc
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NAW8
145000.00000000
PA
USD
152943.10000000
0.020630657149
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
5.38000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-655.39000000
-0.00008840625
N/A
DFE
CA
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
916475.30000000
USD
1212000.00000000
CAD
2020-02-04
-655.39
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBZ3
290000.00000000
PA
USD
334744.65000000
0.045154061260
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.00000000
N
N
N
N
N
N
Eldorado Resorts Inc
5299000BKFWWVND5L441
Eldorado Resorts Inc
28470RAF9
25000.00000000
PA
USD
26160.75000000
0.003528851344
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
6.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBU2
100000.00000000
PA
USD
103296.86000000
0.013933823123
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
2.95000000
N
N
N
N
N
N
Telos CLO Ltd
549300S94NIRW4K03T89
Telos CLO 2014-6 Ltd
87970UAS5
1351862.77000000
PA
USD
1354912.57000000
0.182765595174
Long
ABS-CBDO
CORP
KY
N
2
2027-01-17
Floating
3.11000000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAD1
1600000.00000000
PA
USD
1628544.00000000
0.219676029301
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
3.00000000
N
N
N
N
N
N
SUMMIT MID HLDS LLC / FI
N/A
Summit Midstream Holdings LLC / Summit Midstream Finance Corp
86614WAD8
80000.00000000
PA
USD
61533.60000000
0.008300332638
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XC36
549559.71000000
PA
USD
556816.92000000
0.075109625551
Long
ABS-MBS
USGSE
US
N
2
2030-08-25
Floating
3.86000000
N
N
N
N
N
N
Element Solutions Inc
549300FLGN6P5CU20J91
Element Solutions Inc
72766QAD7
120000.00000000
PA
USD
124034.40000000
0.016731131912
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
5.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042620
2000000.00000000
PA
USD
2101562.50000000
0.283481997004
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
4.50000000
N
N
N
N
N
N
SMBC AVIATION CAPITAL FI
549300OD7VKRVNWB2J98
SMBC Aviation Capital Finance DAC
78448TAA0
400000.00000000
PA
USD
404028.40000000
0.054499819861
Long
DBT
CORP
IE
N
2
2021-07-15
Fixed
2.65000000
N
N
N
N
N
SPRINT COMMUNICATIONS
549300JKU50UT08ZWD77
Sprint Communications Inc
852061AS9
1200000.00000000
PA
USD
1239000.00000000
0.167130025534
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
6.00000000
N
N
N
N
N
Resideo Funding Inc
5493000IFJ6XJKH66598
Resideo Funding Inc
76119LAA9
190000.00000000
PA
USD
186665.50000000
0.025179507491
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
6.13000000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AD3
115000.00000000
PA
USD
120428.00000000
0.016244660787
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
5.13000000
N
N
N
N
N
N
Lennar Corp
529900G61XVRLX5TJX09
Lennar Corp
526057CP7
125000.00000000
PA
USD
133750.00000000
0.018041679511
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
5.38000000
N
N
N
N
N
N
SERVICE CORP INTL
549300RKVM2ME20JHZ15
Service Corp International/US
817565CE2
50000.00000000
PA
USD
53245.00000000
0.007182274584
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.13000000
N
N
N
N
N
N
CROWN AMER/CAP CORP VI
N/A
Crown Americas LLC / Crown Americas Capital Corp VI
228187AB6
45000.00000000
PA
USD
46743.75000000
0.006305314068
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
4.75000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAN0
605000.00000000
PA
USD
619331.77000000
0.083542320044
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.70000000
N
N
N
N
N
N
IHO Verwaltungs GmbH
529900JL0HDVGZMUJF32
IHO Verwaltungs GmbH
80627DAC0
200000.00000000
PA
USD
206500.00000000
0.027855004255
Long
DBT
CORP
DE
N
2
2026-09-15
Fixed
4.75000000
N
N
Y
N
N
N
Colfax Corp
635400OP2DYYYMOIYL17
Colfax Corp
15723RAA2
35000.00000000
PA
USD
36848.70000000
0.004970560267
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
6.00000000
N
N
N
N
N
N
TRI Pointe Group Inc
N/A
TRI Pointe Group Inc
87265HAF6
50000.00000000
PA
USD
53125.00000000
0.007166087656
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.25000000
N
N
N
N
N
N
ASCENT RESOURCES/ARU FIN
N/A
Ascent Resources Utica Holdings LLC / ARU Finance Corp
04364VAG8
85000.00000000
PA
USD
60350.00000000
0.008140675577
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
7.00000000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YAS8
1100000.00000000
PA
USD
1168367.95000000
0.157602393315
Long
DBT
CORP
JP
N
2
2024-09-11
Variable
3.92000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RB6
3500000.00000000
PA
USD
4077773.42000000
0.550055186287
Long
DBT
UST
US
N
2
2043-05-15
Fixed
2.88000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-12
12669FN66
49839.61000000
PA
USD
48838.13000000
0.006587827210
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Variable
3.74000000
N
N
N
N
N
N
Hilton Worldwide Finance, LLC
549300406TN7EY0NPH20
Hilton Worldwide Finance, LLC 2019 Term Loan B2
43289DAH6
3524013.78000000
PA
USD
3536347.83000000
0.477021713581
Long
LON
CORP
US
N
2
2026-06-22
Floating
3.41000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAS8
450000.00000000
PA
USD
516440.29000000
0.069663179059
Long
DBT
CORP
US
N
2
2045-05-14
Fixed
4.70000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032435
1000000.00000000
PA
USD
1042375.44000000
0.140607129866
Long
ABS-MBS
USGSE
US
N
2
2035-03-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RFJ0
1337698.31000000
PA
USD
1336927.13000000
0.180339520076
Long
ABS-MBS
USGA
US
N
2
2065-08-20
Floating
2.29000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU00IY84 IRS JPY R V 06MLIBOR SWUV0IY86 CCPVANILLA / Short: BWU00IY84 IRS JPY P F .30000 SWU00IY84 CCPVANILLA
000000000
1800000000.00000000
OU
Notional Amount
-345843.87000000
-0.04665124683
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2026-03-18
0
JPY
-8829451
JPY
1800000000
JPY
-267417.89
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-68881.46000000
-0.00929149327
N/A
DFE
US
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
17163865.56000000
CNY
2379573.76000000
USD
2020-03-18
-68881.46
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-139059.14000000
-0.01875783504
N/A
DFE
AU
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
4768708.47000000
USD
6915000.00000000
AUD
2020-02-14
-139059.14
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828VM9
3536800.00000000
PA
USD
3613285.81000000
0.487399959394
Long
DBT
UST
US
N
2
2023-07-15
Fixed
0.38000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
US 5YR FUTR OPTN Mar20P 110.75
000000000
123.00000000
NC
USD
123.00000000
0.000016591600
N/A
DIR
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
5 Year US Treasury Note Future
N/A
123000.00000000
NC
N/A
123.00000000
0.00000000
DIR
US
Long
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
123000.00000000
USD
1000.00000000
110.75
USD
2020-02-21
XXXX
-934.8
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202KXR1
3343.56000000
PA
USD
3415.52000000
0.000460723119
Long
ABS-MBS
USGA
US
N
2
2026-01-20
Floating
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3133TEJX3
51526.36000000
PA
USD
57565.74000000
0.007765103790
Long
ABS-MBS
USGSE
US
N
2
2028-06-15
Fixed
6.50000000
N
N
N
N
N
N
ENERSYS
7ZS3DE5PN30BYUJFWP05
EnerSys
29275YAC6
45000.00000000
PA
USD
44887.50000000
0.006054922535
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.38000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-316.80000000
-0.00004273348
N/A
DFE
XX
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
102018.23000000
USD
91265.00000000
EUR
2020-04-22
-316.8
N
N
N
IAA Inc
549300PZCOPC5178W747
IAA Inc
449253AB9
110000.00000000
PA
USD
116726.50000000
0.015745361521
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.50000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NBD0
140000.00000000
PA
USD
170849.00000000
0.023046003012
Long
DBT
CORP
NL
N
2
2049-03-19
Fixed
6.90000000
N
N
N
N
N
N
TOLL BROS FINANCE CORP
N/A
Toll Brothers Finance Corp
88947EAQ3
105000.00000000
PA
USD
115500.00000000
0.015579917634
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
5.63000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032625
3310000.00000000
PA
USD
3417057.81000000
0.460930556125
Long
ABS-MBS
USGSE
US
N
2
2050-02-15
Fixed
3.50000000
N
N
N
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281ABC2
50000.00000000
PA
USD
44109.50000000
0.005949977289
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
9.25000000
N
N
N
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-29240.62000000
-0.00394429827
N/A
DFE
CN
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
2066750.68000000
USD
14283107.30000000
CNY
2020-03-18
-29240.62
N
N
N
AZURE POWER SOLAR ENERGY
549300N77HEXIINE3X94
Azure Power Solar Energy Pvt Ltd
05502TAA6
1500000.00000000
PA
USD
1548450.00000000
0.208872064600
Long
DBT
CORP
MU
N
2
2024-12-24
Fixed
5.65000000
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475AY1
1800000.00000000
PA
USD
1834101.59000000
0.247403910871
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
2.20000000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110LAG1
60000.00000000
PA
USD
66450.00000000
0.008963511054
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
5.75000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
31750FVM2 USD CALL BRL PUT MAR20 4.25 CALL
000000000
-4150000.00000000
OU
Notional Amount
USD
-81891.95000000
-0.01104649208
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
FX Contract
N/A
1.00000000
NC
USD
-81891.95000000
-0.01000000
DFE
US
4150000.00000000
USD
17637500.00000000
BRL
2020-03-12
1.00000000
4.25
USD
2020-03-12
XXXX
-50766.95
N
N
N
Fox Corp
549300DDU6FDRBIELS05
Fox Corp
35137LAE5
560000.00000000
PA
USD
737605.29000000
0.099496360736
Long
DBT
CORP
US
N
2
2049-01-25
Fixed
5.58000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128285W6
7436145.00000000
PA
USD
8112524.70000000
1.094307070430
Long
DBT
UST
US
N
2
2029-01-15
Fixed
0.88000000
N
N
N
N
N
N
Meritage Homes Corp
52990044W9UMFJO2FB97
Meritage Homes Corp
59001AAQ5
50000.00000000
PA
USD
54500.00000000
0.007351562866
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
7.00000000
N
N
N
N
N
N
SIX FLAGS ENTERTAINMENT
549300JYTDUAA4JQ3717
Six Flags Entertainment Corp
83001AAB8
230000.00000000
PA
USD
235462.50000000
0.031761786632
Long
DBT
CORP
US
N
2
2024-07-31
Fixed
4.88000000
N
N
N
N
N
N
AMER AIRLINE 16-2 AA PTT
N/A
American Airlines 2016-2 Class AA Pass Through Trust
023765AA8
1110850.00000000
PA
USD
1183661.00000000
0.159665289067
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.20000000
N
N
N
N
N
N
ELEMENTIA SA
549300BH08XQJ1ITLQ77
Elementia SAB de CV
286189AA3
80000.00000000
PA
USD
81100.80000000
0.010939773022
Long
DBT
CORP
MX
N
2
2025-01-15
Fixed
5.50000000
N
N
N
N
N
N
Energizer Holdings Inc
5493000D6NN0V57UME20
Energizer Holdings Inc
29273AAA4
20000.00000000
PA
USD
20650.00000000
0.002785500425
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
5.50000000
N
N
N
N
N
N
WYNN LAS VEGAS LLC/CORP
N/A
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp
983130AV7
2260000.00000000
PA
USD
2356050.00000000
0.317810086086
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.50000000
N
N
N
N
N
N
Cork Street CLO Designated Activity Company
635400DRI6E7YE2KGW57
Cork Street CLO Designated Activity Co
000000000
2400000.00000000
PA
2662240.52000000
0.359112450433
Long
ABS-CBDO
CORP
IE
N
2
2028-11-27
Floating
0.76000000
N
N
N
N
N
N
Structured Asset Mortgage Investments Inc
N/A
Structured Asset Mortgage Investments Trust 2002-AR3
86358HNX3
64265.89000000
PA
USD
63878.80000000
0.008616679156
Long
ABS-MBS
CORP
US
N
2
2032-09-19
Floating
2.32000000
N
N
N
N
N
N
California Street CLO XII, Ltd
549300V3WPNYI44G1B47
California Street CLO XII Ltd
13080BAA9
1022298.64000000
PA
USD
1023117.50000000
0.138009405891
Long
ABS-CBDO
CORP
KY
N
2
2025-10-15
Floating
2.86000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2005-D Trust
06051GDM8
360710.46000000
PA
USD
369491.09000000
0.049841045445
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
4.53000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BG2
1600000.00000000
PA
USD
1661780.08000000
0.224159279421
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
3.25000000
N
N
N
N
N
N
CANADIAN NATL RESOURCES
549300T15RIMIKZC5Q38
Canadian Natural Resources Ltd
136385AY7
255000.00000000
PA
USD
309515.98000000
0.041750939177
Long
DBT
CORP
CA
N
2
2047-06-01
Fixed
4.95000000
N
N
N
N
N
N
CommScope Inc
549300Z6K4JXMFE8QY54
CommScope Inc
20338QAD5
35000.00000000
PA
USD
36706.32000000
0.004951354478
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
6.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT MAR20 XCBT 20200320
000000000
-57.00000000
NC
USD
-331046.42000000
-0.04465520308
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Ultra Long Bond
WNH0 Comdty
2020-03-20
-10709141.08
USD
-331046.42
N
N
N
WPX Energy Inc
ZXZE9GCS2BB547GJW219
WPX Energy Inc
98212BAE3
125000.00000000
PA
USD
130937.50000000
0.017662298400
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
5.25000000
N
N
N
N
N
N
FAIR ISAAC CORP
RI6HET5SJUEY30V1PS26
Fair Isaac Corp
303250AF1
105000.00000000
PA
USD
106837.50000000
0.014411423812
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.00000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CMQ3
102079.14000000
PA
USD
105154.61000000
0.014184416993
Long
ABS-O
USGA
US
N
2
2022-11-01
Fixed
5.08000000
N
N
N
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2004-S9 Trust
76111XRB1
407482.89000000
PA
USD
419233.64000000
0.056550870829
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Fixed
5.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFB0
3700000.00000000
PA
USD
4017834.55000000
0.541969968471
Long
DBT
CORP
US
N
2
2024-01-22
Fixed
4.13000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-HYB9
126670LE6
163399.51000000
PA
USD
161798.86000000
0.021825220018
Long
ABS-MBS
CORP
US
N
2
2036-02-20
Floating
3.79000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCD3
140000.00000000
PA
USD
143937.50000000
0.019415882203
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.75000000
N
N
N
N
N
N
FRESENIUS MED CARE II
5493008GJ5TVVTY4UM62
Fresenius Medical Care US Finance II Inc
35802XAH6
900000.00000000
PA
USD
908115.10000000
0.122496610049
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
4.13000000
N
N
N
N
N
N
CROWN AMER/CAP CORP IV
N/A
Crown Americas LLC / Crown Americas Capital Corp IV
228189AB2
65000.00000000
PA
USD
68343.11000000
0.009218874672
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae Connecticut Avenue Securities
N/A
Fannie Mae Connecticut Avenue Securities
30711XJX3
680000.00000000
PA
USD
713548.89000000
0.096251367397
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Floating
4.66000000
N
N
N
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CH3
220000.00000000
PA
USD
237083.00000000
0.031980377597
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
5.25000000
N
N
N
N
N
N
AMSTED INDUSTRIES
N2VLGYMEEBIU3PFSUY86
Amsted Industries Inc
032177AJ6
45000.00000000
PA
USD
45562.50000000
0.006145974001
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.63000000
N
N
N
N
N
N
Gray Television Inc
529900TM5726KDN7UU35
Gray Television Inc
389375AJ5
40000.00000000
PA
USD
41850.00000000
0.005645190935
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
5.88000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2015-GC27
17323CAG2
3354776.93000000
PA
USD
182553.21000000
0.024624796326
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Variable
1.51000000
N
N
N
N
N
N
Ludgate Funding PLC
213800LADM2GPWI3P269
Ludgate Funding PLC
000000000
1544671.08000000
PA
1932362.03000000
0.260658365953
Long
ABS-MBS
CORP
GB
N
2
2061-01-01
Floating
0.96000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBB7
10000.00000000
PA
USD
10300.00000000
0.001389377936
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.13000000
N
N
N
N
N
N
Eldorado Resorts Inc
5299000BKFWWVND5L441
Eldorado Resorts Inc
28470RAG7
35000.00000000
PA
USD
38368.75000000
0.005175601426
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
6.00000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BX6
400000.00000000
PA
USD
433230.41000000
0.058438909996
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.13000000
N
N
N
N
N
N
Berry Global Inc
549300AP2Q7ERHX6RI89
Berry Global Inc
085770AB1
35000.00000000
PA
USD
37143.75000000
0.005010359875
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.63000000
N
N
N
N
N
N
PDC Energy Inc
5493008W8H2T511J5Y59
PDC Energy Inc
69327RAJ0
180000.00000000
PA
USD
173745.00000000
0.023436647527
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
5.75000000
N
N
N
N
N
N
State Board of Regents of the State of Utah
549300SAYC054T80UK17
Utah State Board of Regents
91754RZF7
667758.14000000
PA
USD
662082.20000000
0.089308970937
Long
ABS-O
CORP
US
N
2
2057-01-25
Floating
2.41000000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAE1
45000.00000000
PA
USD
45787.50000000
0.006176324490
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
03969AAL4
35000.00000000
PA
USD
36575.00000000
0.004933640584
Long
DBT
CORP
XX
N
2
2025-02-15
Fixed
6.00000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
453140AB1
3755000.00000000
PA
USD
3882508.08000000
0.523715637247
Long
DBT
CORP
GB
N
2
2023-02-11
Fixed
3.50000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDA5
105000.00000000
PA
USD
110512.50000000
0.014907148464
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
5.13000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
55428.67000000
0.007476832148
N/A
DFE
GB
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
3888904.34000000
USD
2987000.00000000
GBP
2020-02-04
55428.67
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBJ3
150000.00000000
PA
USD
174490.51000000
0.023537210162
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
4.00000000
N
N
N
N
N
N
Accredited Mortgage Loan Trust
N/A
Accredited Mortgage Loan Trust 2004-2
004375AW1
814945.81000000
PA
USD
807849.10000000
0.108971622850
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Floating
2.24000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36962G3P7
430000.00000000
PA
USD
553230.42000000
0.074625838758
Long
DBT
CORP
US
N
2
2038-01-14
Fixed
5.88000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822AS3
1600000.00000000
PA
USD
1609344.75000000
0.217086222083
Long
DBT
CORP
JP
N
2
2023-03-02
Floating
2.65000000
N
N
N
N
N
N
Post Holdings Inc
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AK0
30000.00000000
PA
USD
30975.00000000
0.004178250638
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
312916XQ7
12907.72000000
PA
USD
13590.17000000
0.001833192460
Long
ABS-MBS
USGSE
US
N
2
2023-07-15
Fixed
7.00000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BH0
930000.00000000
PA
USD
972220.24000000
0.131143820449
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
3.55000000
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAL5
35000.00000000
PA
USD
36268.75000000
0.004892330196
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.25000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
182550.00000000
PA
USD
182207.72000000
0.024578192813
Long
DBT
NUSS
CI
N
2
2032-12-31
Variable
5.75000000
N
N
N
N
N
N
ARCHROCK PARTNERS LP/FIN
N/A
Archrock Partners LP / Archrock Partners Finance Corp
03959KAC4
60000.00000000
PA
USD
61725.00000000
0.008326150787
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
6.25000000
N
N
N
N
N
N
YUM! BRANDS INC
549300JE8XHZZ7OHN517
Yum! Brands Inc
988498AL5
130000.00000000
PA
USD
138644.74000000
0.018701936187
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.75000000
N
N
N
N
N
N
REYNOLDS GRP ISS/REYNOLD
N/A
Reynolds Group Issuer Inc / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu
761735AR0
25000.00000000
PA
USD
25000.25000000
0.003372310267
Long
DBT
CORP
US
N
2
2021-07-15
Floating
5.33000000
N
N
N
N
N
N
TRINIDAD & TOBAGO
N/A
Trinidad & Tobago Government International Bond
896292AJ8
175000.00000000
PA
USD
188345.50000000
0.025406124474
Long
DBT
NUSS
TT
N
2
2026-08-04
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QX9
6750000.00000000
PA
USD
7712138.66000000
1.040298572376
Long
DBT
UST
US
N
2
2042-08-15
Fixed
2.75000000
N
N
N
N
N
N
IMPERIAL BRANDS FIN PLC
2138008L3B3MCG1DFS50
Imperial Brands Finance PLC
453140AE5
1600000.00000000
PA
USD
1657319.15000000
0.223557539837
Long
DBT
CORP
GB
N
2
2022-07-21
Fixed
3.75000000
N
N
N
N
N
N
TICP CLO Ltd
N/A
TICP CLO III-2 Ltd
87249FAC8
1300000.00000000
PA
USD
1299275.90000000
0.175260705685
Long
ABS-CBDO
CORP
KY
N
2
2028-04-20
Floating
2.66000000
N
N
N
N
N
N
Chesapeake Funding II LLC
5493000HT7H4OFOD6Z12
Chesapeake Funding II LLC
165183BN3
1326816.32000000
PA
USD
1350939.17000000
0.182229619029
Long
ABS-O
CORP
US
N
2
2030-08-15
Fixed
3.23000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
US 5YR FUTR OPTN Apr20P 112.75
000000000
19.00000000
NC
USD
19.00000000
0.000002562930
N/A
DIR
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
5 Year US Treasury Note Future
N/A
19000.00000000
NC
N/A
19.00000000
0.00000000
DIR
US
Long
5 Year US Treasury Note
FVM0 Comdty
2020-06-30
19000.00000000
USD
1000.00000000
112.75
USD
2020-03-27
XXXX
-144.4
N
N
N
MIDCONTINENT COMM & FIN
N/A
Midcontinent Communications / Midcontinent Finance Corp
59565XAC4
35000.00000000
PA
USD
37012.50000000
0.004992655423
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.38000000
N
N
N
N
N
N
Freddie Mac Structured Agency Credit Risk Debt Notes
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0PU7
1320000.00000000
PA
USD
1363300.09000000
0.183896996653
Long
ABS-MBS
USGSE
US
N
2
2029-12-25
Floating
4.31000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
32646.43000000
0.004403711605
N/A
DFE
CN
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
2657368.01000000
USD
18857214.87000000
CNY
2020-03-18
32646.43
N
N
N
Monongahela Power Co
N/A
Monongahela Power Co
610202BR3
1800000.00000000
PA
USD
1926032.81000000
0.259804610747
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.55000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU00VSA7 IRS JPY R F .12200 SWU00VSA7 CCPVANILLA / Short: SWU00VSA7 IRS JPY P V 06MLIBOR SWUV0VSA9 CCPVANILLA
000000000
430000000.00000000
OU
Notional Amount
-66798.52000000
-0.00901052328
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2039-08-22
2752401
JPY
0
JPY
430000000
JPY
-92636.26
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDV1
155000.00000000
PA
USD
172218.37000000
0.023230718785
Long
DBT
CORP
US
N
2
2059-08-15
Fixed
3.88000000
N
N
N
N
N
N
LoanCore 2018-CRE1 Issuer, Ltd.
N/A
LoanCore 2018-CRE1 Issuer Ltd
53946MAA5
1600000.00000000
PA
USD
1600999.68000000
0.215960546730
Long
ABS-CBDO
CORP
KY
N
2
2028-05-15
Floating
2.81000000
N
N
N
N
N
N
FannieMae Whole Loan
N/A
Fannie Mae Trust 2004-W8
31394ALL8
404032.79000000
PA
USD
464376.70000000
0.062640266124
Long
ABS-MBS
USGSE
US
N
2
2044-06-25
Fixed
6.50000000
N
N
N
N
N
N
Terex Corp
YAWJZJYEQ7M1SYMOS462
Terex Corp
880779AZ6
215000.00000000
PA
USD
221450.00000000
0.029871625629
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.63000000
N
N
N
N
N
N
Kraft Heinz Foods Co
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAM8
40000.00000000
PA
USD
45400.36000000
0.006124102765
Long
DBT
CORP
US
N
2
2045-07-15
Fixed
5.20000000
N
N
N
N
N
N
ESH HOSPITALITY INC
54930042FMK7X7SQ2896
ESH Hospitality Inc
26907YAB0
95000.00000000
PA
USD
95475.00000000
0.012878724122
Long
DBT
US
N
2
2027-10-01
Fixed
4.63000000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200KB6
255000.00000000
PA
USD
300593.58000000
0.040547387167
Long
DBT
CORP
US
N
2
2039-05-15
Fixed
4.15000000
N
N
N
N
N
N
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
154643.47000000
0.020860021864
N/A
DFE
MX
N
2
HSBC Bank USA, National Association
1IE8VN30JCEQV1H4R804
5193750.00000000
USD
102213000.00000000
MXN
2020-04-22
154643.47
N
N
N
FannieMae Whole Loan
N/A
Fannie Mae Trust 2003-W8
31393CW82
24119.13000000
PA
USD
28266.87000000
0.003812948107
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Fixed
7.00000000
N
N
N
N
N
N
UNIVAR SOLUTIONS USA INC
5493008FTB9VZW6CVA82
Univar Solutions USA Inc/Washington
91337CAA4
80000.00000000
PA
USD
83000.00000000
0.011195958127
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
5.13000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBD6
1100000.00000000
PA
USD
1276555.71000000
0.172195955132
Long
DBT
CORP
GB
N
2
2029-05-16
Variable
4.97000000
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828F21
27500000.00000000
PA
USD
27833007.95000000
3.754423994668
Long
DBT
UST
US
N
2
2021-09-30
Fixed
2.13000000
N
N
N
N
N
N
STATE OF MINAS GERAIS
N/A
Brazil Minas SPE via State of Minas Gerais
000000000
180000.00000000
PA
USD
194287.50000000
0.026207647163
Long
DBT
CORP
KY
N
2
2028-02-15
Fixed
5.33000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BW8
140000.00000000
PA
USD
165214.00000000
0.022285891879
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.88000000
N
N
N
N
N
N
DORIC NIMROD AIR 2012-1A
N/A
Doric Nimrod Air Finance Alpha Ltd 2012-1 Class A Pass Through Trust
258258AA0
246588.80000000
PA
USD
256069.42000000
0.034541475951
Long
DBT
CORP
GG
N
2
2022-11-30
Fixed
5.13000000
N
N
N
N
N
N
Discover Bank
X05BVSK68TQ7YTOSNR22
Discover Bank
25466AAD3
1600000.00000000
PA
USD
1714186.80000000
0.231228477526
Long
DBT
CORP
US
N
2
2023-08-08
Fixed
4.20000000
N
N
N
N
N
N
Sensata Technologies BV
PUCKW5P5O3XMOZVH7T53
Sensata Technologies BV
81725WAG8
145000.00000000
PA
USD
154425.00000000
0.020830552214
Long
DBT
CORP
NL
N
2
2023-10-15
Fixed
4.88000000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110LAT3
55000.00000000
PA
USD
61938.25000000
0.008354916306
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
5.88000000
N
N
N
N
N
N
Energizer Holdings Inc
5493000D6NN0V57UME20
Energizer Holdings Inc
29272WAB5
165000.00000000
PA
USD
181920.75000000
0.024539483125
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
7.75000000
N
N
N
N
N
N
World Omni Auto Receivables Trust
N/A
World Omni Auto Receivables Trust 2019-A
98162YAD5
535000.00000000
PA
USD
546438.57000000
0.073709678900
Long
ABS-O
CORP
US
N
2
2024-05-15
Fixed
3.04000000
N
N
N
N
N
N
DEUTSCHE TELEKOM INT FIN
529900ERDFHS6C1M4U58
Deutsche Telekom International Finance BV
25156PAY9
1600000.00000000
PA
USD
1631429.95000000
0.220065318161
Long
DBT
CORP
NL
N
2
2022-01-19
Fixed
2.82000000
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2018-C
63940VAA0
437625.76000000
PA
USD
439321.17000000
0.059260499079
Long
ABS-O
CORP
US
N
2
2042-06-16
Fixed
3.01000000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017AN4
1300000.00000000
PA
USD
1331629.31000000
0.179624891511
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
3.92000000
N
N
N
N
N
N
HARLEY-DAVIDSON FINL SER
RLUFFFFW4GRYU77BTS24
Harley-Davidson Financial Services Inc
41283LAQ8
1100000.00000000
PA
USD
1110941.79000000
0.149856117619
Long
DBT
CORP
US
N
2
2022-06-09
Fixed
2.55000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-AR6
362341RX9
206184.76000000
PA
USD
212286.49000000
0.028635550035
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
4.10000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828L24
9600000.00000000
PA
USD
9736125.02000000
1.313316241487
Long
DBT
UST
US
N
2
2022-08-31
Fixed
1.88000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPBG7
75000.00000000
PA
USD
77312.25000000
0.010428731490
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.38000000
N
N
N
N
N
N
WPX Energy Inc
ZXZE9GCS2BB547GJW219
WPX Energy Inc
98212BAH6
75000.00000000
PA
USD
78562.50000000
0.010597379040
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
5.75000000
N
N
N
N
N
N
Chase Mortgage Finance Corporation
N/A
Chase Mortgage Finance Trust Series 2007-S6
161636AE5
620929.80000000
PA
USD
413791.59000000
0.055816786927
Long
ABS-MBS
CORP
US
N
2
2022-12-25
Fixed
5.50000000
N
N
N
N
N
N
SPECTRUM BRANDS INC
549300VU3EH2E73C1Q04
Spectrum Brands Inc
84762LAV7
15000.00000000
PA
USD
15587.33000000
0.002102591493
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.00000000
N
N
N
N
N
N
KAR Auction Services Inc
5493004HKD20LBSG7D03
KAR Auction Services Inc
48238TAA7
220000.00000000
PA
USD
225682.60000000
0.030442565537
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.13000000
N
N
N
N
N
N
CDW LLC/CDW FINANCE
N/A
CDW LLC / CDW Finance Corp
12513GBC2
70000.00000000
PA
USD
72712.50000000
0.009808266329
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
5.00000000
N
N
N
N
N
N
USA COM PART/USA COM FIN
N/A
USA Compression Partners LP / USA Compression Finance Corp
91740PAF5
45000.00000000
PA
USD
46908.00000000
0.006327469925
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
6.88000000
N
N
N
N
N
N
Banc of America Mortgage Securities
N/A
Bank of America Mortgage 2002-G Trust
06050HKR8
572.74000000
PA
USD
594.38000000
0.000080176549
Long
ABS-MBS
CORP
US
N
2
2032-07-20
Variable
4.97000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BZ1
540000.00000000
PA
USD
626677.67000000
0.084533216294
Long
DBT
CORP
US
N
2
2049-06-15
Fixed
5.25000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-35982.81000000
-0.00485375944
N/A
DFE
CN
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2361634.07000000
USD
16303000.00000000
CNY
2020-03-18
-35982.81
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
63938CAB4
25000.00000000
PA
USD
26373.00000000
0.003557481972
Long
DBT
CORP
US
N
2
2024-10-25
Fixed
5.88000000
N
N
N
N
N
N
Precision Drilling Corp
549300WF2OE8T5BP4B84
Precision Drilling Corp
740212AL9
30000.00000000
PA
USD
28500.00000000
0.003844395260
Long
DBT
CORP
CA
N
2
2026-01-15
Fixed
7.13000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBN1
10000.00000000
PA
USD
11018.75000000
0.001486330886
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.88000000
N
N
N
N
N
N
AECOM
0EEB8GF0W0NPCIHZX097
AECOM
00766TAD2
35000.00000000
PA
USD
38797.50000000
0.005233435969
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
5.88000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17307GWE4
317650.86000000
PA
USD
327236.01000000
0.044141212838
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
4.60000000
N
N
N
N
N
N
EDGEWELL PERSONAL CARE
549300CY8QZDL4Z3RU59
Edgewell Personal Care Co
29266RAC2
35000.00000000
PA
USD
36050.49000000
0.004862888873
Long
DBT
CORP
US
N
2
2022-05-24
Fixed
4.70000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
312912AP3
158.95000000
PA
USD
166.42000000
0.000022448570
Long
ABS-MBS
USGSE
US
N
2
2022-09-15
Fixed
6.50000000
N
N
N
N
N
N
CommScope Inc
549300Z6K4JXMFE8QY54
CommScope Inc
20338QAA1
60000.00000000
PA
USD
61650.00000000
0.008316033958
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
8.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128286Z8
5400000.00000000
PA
USD
5498718.75000000
0.741728010570
Long
DBT
UST
US
N
2
2024-06-30
Fixed
1.75000000
N
N
N
N
N
N
PERFORMANCE FOOD GROUP I
549300OMUOGBYK0FFO76
Performance Food Group Inc
69346VAA7
50000.00000000
PA
USD
52625.00000000
0.007098642125
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.50000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR2 Trust
92925CDS8
577495.90000000
PA
USD
545681.42000000
0.073607546132
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Variable
3.72000000
N
N
N
N
N
N
Mylan NV
549300A0CD4KNFGIIS89
Mylan NV
62854AAM6
1200000.00000000
PA
USD
1219090.52000000
0.164444414638
Long
DBT
CORP
NL
N
2
2021-06-15
Fixed
3.15000000
N
N
N
N
N
N
Freeport-McMoRan Inc
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBC8
55000.00000000
PA
USD
56100.00000000
0.007567388565
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.45000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QY7
3200000.00000000
PA
USD
3655375.01000000
0.493077416271
Long
DBT
UST
US
N
2
2042-11-15
Fixed
2.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128283C2
1000000.00000000
PA
USD
1018476.56000000
0.137383384567
Long
DBT
UST
US
N
2
2022-10-31
Fixed
2.00000000
N
N
N
N
N
N
Whitehorse Ltd
549300UT33WDDDZEYN84
WhiteHorse X Ltd
96525WAN3
975179.07000000
PA
USD
975774.90000000
0.131623312310
Long
ABS-CBDO
CORP
KY
N
2
2027-04-17
Floating
2.77000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CB3
1500000.00000000
PA
USD
1568218.97000000
0.211538721953
Long
DBT
CORP
DE
N
2
2025-11-26
Variable
3.96000000
N
N
N
N
N
N
CEDAR FAIR LP
549300TUVLNQQ6BVKH61
Cedar Fair LP
150190AC0
175000.00000000
PA
USD
184625.00000000
0.024904262279
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
5.25000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526BX6
1100000.00000000
PA
USD
1132950.07000000
0.152824837876
Long
DBT
CORP
DE
N
2
2021-10-14
Fixed
4.25000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17307GXR4
3474.85000000
PA
USD
3463.37000000
0.000467177656
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
4.20000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374ETJ6
3719115.46000000
PA
USD
4227392.84000000
0.570237508712
Long
ABS-MBS
USGA
US
N
2
2033-11-20
Fixed
6.00000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2004-11
41161PKD4
34355.47000000
PA
USD
31776.56000000
0.004286373917
Long
ABS-MBS
CORP
US
N
2
2035-01-19
Floating
2.35000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-LC15 Mortgage Trust
12591TAF3
9517628.19000000
PA
USD
363495.35000000
0.049032273710
Long
ABS-MBS
CORP
US
N
2
2047-04-10
Variable
1.26000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
000000000
1700000.00000000
PA
USD
1967750.00000000
0.265431886800
Long
DBT
NUSS
QA
N
2
2028-04-23
Fixed
4.50000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAC7
1300000.00000000
PA
USD
1325999.66000000
0.178865502045
Long
DBT
CORP
GB
N
2
2022-01-11
Fixed
3.00000000
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBB5
1500000.00000000
PA
USD
1541704.58000000
0.207962167734
Long
DBT
CORP
US
N
2
2022-02-25
Fixed
3.20000000
N
N
N
N
N
N
HILCORP ENERGY I/HILCORP
549300ITPIHLG0LHEC09
Hilcorp Energy I LP / Hilcorp Finance Co
431318AQ7
45000.00000000
PA
USD
40687.65000000
0.005488400309
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
5.75000000
N
N
N
N
N
N
DEPOSITORY TRUST & CLEAR
MLDY5N6PZ58ZE60QU102
Depository Trust & Clearing Corp/The
249670AA8
2000000.00000000
PA
USD
2012500.00000000
0.271468261815
Long
DBT
CORP
US
N
2
2020-06-15
Variable
4.88000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128HJAH9
684442.80000000
PA
USD
778085.07000000
0.104956721240
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
7.65000000
N
N
N
N
N
N
Chesapeake Funding II LLC
5493000HT7H4OFOD6Z12
Chesapeake Funding II LLC
165183BP8
1326816.32000000
PA
USD
1339910.54000000
0.180741955419
Long
ABS-O
CORP
US
N
2
2030-08-15
Floating
2.05000000
N
N
N
N
N
N
GE CAPITAL UK FUNDING UN
BR7Z6BPTFF652NNO9651
GE Capital UK Funding Unlimited Co
000000000
1000000.00000000
PA
1471496.35000000
0.198491705044
Long
DBT
CORP
IE
N
2
2023-05-24
Fixed
5.13000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0EO27 CDS USD R F 1.00000 1 CCPCORPORATE / Short: SWPC0EO27 CDS USD P V 03MEVENT 2 CCPCORPORATE US30161MAE30
000000000
2000000.00000000
OU
Notional Amount
USD
25736.00000000
0.003471556365
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Exelon Generation Co LLC
Exelon Generation Co LLC
Y
sell protection
2021-12-20
0
USD
-33793.14
USD
2000000
USD
59529.14
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828N71
2814474.00000000
PA
USD
2950839.12000000
0.398041822013
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.63000000
N
N
N
N
N
N
AP MOLLER-MAERSK A/S
549300D2K6PKKKXVNN73
AP Moller - Maersk A/S
00203QAE7
1500000.00000000
PA
USD
1648013.52000000
0.222302293526
Long
DBT
CORP
DK
N
2
2029-06-20
Fixed
4.50000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHG7
405000.00000000
PA
USD
451259.50000000
0.060870873089
Long
DBT
CORP
US
N
2
2029-03-05
Variable
3.97000000
N
N
N
N
N
N
NEXTERA ENERGY OPERATING
549300KJEC5IUVJWR786
NextEra Energy Operating Partners LP
65342QAC6
53000.00000000
PA
USD
55186.25000000
0.007444131857
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
4.25000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) MAR20 XCBT 20200320
000000000
18.00000000
NC
USD
79882.31000000
0.010775409612
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Long Bond
USH0 Comdty
2020-03-20
2863680.19
USD
79882.31
N
N
N
COMMSCOPE TECH LLC
M4TWC4QDOKW45N7T6Y12
CommScope Technologies LLC
20337YAA5
65000.00000000
PA
USD
62034.70000000
0.008367926549
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
6.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128284R8
1795000.00000000
PA
USD
1935234.38000000
0.261045820294
Long
DBT
UST
US
N
2
2025-05-31
Fixed
2.88000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942BA9
197500.00000000
PA
USD
248664.84000000
0.033542664292
Long
DBT
NUSS
UY
N
2
2050-06-18
Fixed
5.10000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR9 Trust
93363DAA5
558386.26000000
PA
USD
525587.88000000
0.070897107187
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Floating
3.15000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AX2
1600000.00000000
PA
USD
1609446.13000000
0.217099897339
Long
DBT
CORP
US
N
2
2020-07-23
Fixed
3.58000000
N
N
N
N
N
N
ZAYO GROUP LLC/ZAYO CAP
N/A
Zayo Group LLC / Zayo Capital Inc
989194AP0
69000.00000000
PA
USD
70459.35000000
0.009504336533
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
5.75000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
N/A
Level 3 Financing Inc
527298BN2
155000.00000000
PA
USD
159265.60000000
0.021483505887
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
4.63000000
N
N
N
N
N
N
MORGAN STANLEY MSC2 CA H COLL BROKER
N/A
MORGAN STANLEY MSC2 CA H COLL BROKER
000000000
-286000.00000000
NS
USD
-286000.00000000
-0.03857884366
Short
STIV
CORP
US
N
2
N
N
N
KFC HLD/PIZZA HUT/TACO
N/A
KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC
48250NAA3
40000.00000000
PA
USD
41150.00000000
0.005550767191
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
5.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148BAC2
104000.00000000
PA
USD
113100.00000000
0.015256179086
Long
DBT
CORP
US
N
2
2026-11-10
Variable
5.30000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU00WGW0 IRS JPY R F .08650 SWU00WGW0 CCPVANILLA / Short: SWU00WGW0 IRS JPY P V 06MLIBOR SWUV0WGW2 CCPVANILLA
000000000
108000000.00000000
OU
Notional Amount
-3515.88000000
-0.00047426078
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2026-09-20
0
JPY
0
JPY
108000000
JPY
-3515.88
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAA8
1500000.00000000
PA
USD
1604580.00000000
0.216443499897
Long
DBT
CORP
KY
N
2
2022-08-15
Fixed
5.25000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2018-LAQ
46649VAA9
1680715.04000000
PA
USD
1680196.54000000
0.226643495265
Long
ABS-MBS
CORP
US
N
2
2032-06-15
Floating
2.68000000
N
N
N
N
N
N
ICE Futures Europe
549300UF4R84F48NCH34
3MO EURO EURIBOR SEP20 IFLL 20200914
000000000
-141.00000000
NC
79984.75000000
0.010789227853
N/A
DIR
GB
N
1
ICE Futures Europe
549300UF4R84F48NCH34
Short
Euribor 3 Month
ERU0 Comdty
2020-09-14
-35480745.09
EUR
79984.75
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAF9
475000.00000000
PA
USD
475446.28000000
0.064133453524
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
2.30000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RM2
565000.00000000
PA
USD
675483.99000000
0.091116752620
Long
DBT
UST
US
N
2
2045-05-15
Fixed
3.00000000
N
N
N
N
N
N
Centene Corp
549300Z7JJ4TQSQGT333
Centene Corp
15135BAH4
50000.00000000
PA
USD
51625.00000000
0.006963751063
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
6.13000000
N
N
N
N
N
N
SUMMIT MID HLDS LLC / FI
N/A
Summit Midstream Holdings LLC / Summit Midstream Finance Corp
86614WAC0
15000.00000000
PA
USD
13190.64000000
0.001779299435
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.50000000
N
N
N
N
N
N
SOUTHERN GAS CORRIDOR
213800DG58KG59XY6318
Southern Gas Corridor CJSC
84302LAA0
160000.00000000
PA
USD
191503.36000000
0.025832091563
Long
DBT
CORP
AZ
N
2
2026-03-24
Fixed
6.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202K2H7
6342.48000000
PA
USD
6526.14000000
0.000880317953
Long
ABS-MBS
USGA
US
N
2
2026-05-20
Floating
3.88000000
N
N
N
N
N
N
Ashford Hospitality Trust
N/A
Ashford Hospitality Trust 2018-KEYS
04410CAA7
1500000.00000000
PA
USD
1498115.85000000
0.202082437663
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
2.68000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAE3
1800000.00000000
PA
USD
1850413.10000000
0.249604187774
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
2.85000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380V2S9
1935634.53000000
PA
USD
1927681.78000000
0.260027042061
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Floating
2.08000000
N
N
N
N
N
N
Mylan NV
549300A0CD4KNFGIIS89
Mylan NV
62854AAN4
185000.00000000
PA
USD
197503.12000000
0.026641405559
Long
DBT
CORP
NL
N
2
2026-06-15
Fixed
3.95000000
N
N
N
N
N
N
M360 2018-CRE1, LLC
N/A
M360 2018-CRE1 LLC
55379LAA8
1143026.58000000
PA
USD
1144593.78000000
0.154395470281
Long
ABS-O
CORP
KY
N
2
2028-07-24
Fixed
4.40000000
N
N
N
N
N
N
SEALED AIR CORP
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211KAY6
75000.00000000
PA
USD
75375.00000000
0.010167413781
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RW0
1811418.00000000
PA
USD
2097341.87000000
0.282912671742
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.88000000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MBM1
1400000.00000000
PA
USD
1438931.58000000
0.194099008642
Long
DBT
CORP
JP
N
2
2024-07-16
Fixed
2.70000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU00WIE8 IRS JPY R F .00000 CCP LCH / Short: SWU00WIE8 IRS JPY P V 06MLIBOR JY0006M CCP LCH
000000000
262000000.00000000
OU
Notional Amount
-10224.49000000
-0.00137919231
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2026-09-24
36281
JPY
0
JPY
262000000
JPY
-10558.89
N
N
N
Nomura Asset Acceptance Corporation
N/A
NAAC Reperforming Loan REMIC Trust Certificates Series 2004-R3
62951MAY6
635188.97000000
PA
USD
649556.18000000
0.087619322800
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Fixed
6.50000000
N
N
N
N
N
N
CF Industries Inc
5FVKT86LAD2F40NPC183
CF Industries Inc
12527GAE3
110000.00000000
PA
USD
123728.00000000
0.016689801290
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
5.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407NBS1
6374.03000000
PA
USD
6663.60000000
0.000898860079
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
4.19000000
N
N
N
N
N
N
IPALCO Enterprises Inc
5493000YFVK2DZX0JV43
IPALCO Enterprises Inc
462613AK6
2800000.00000000
PA
USD
2811360.36000000
0.379227383982
Long
DBT
CORP
US
N
2
2020-07-15
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31378PKF9
4838.22000000
PA
USD
4912.19000000
0.000662610524
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Floating
5.00000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBG6
10000.00000000
PA
USD
10175.00000000
0.001372516553
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.00000000
N
N
N
N
N
N
CITIZENS FINANCIAL GROUP
2138004JDDA4ZQUPFW65
Citizens Financial Group Inc
174610AQ8
80000.00000000
PA
USD
85600.00000000
0.011546674887
Long
DBT
CORP
US
N
2
2024-04-06
Variable
6.38000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
470000.00000000
PA
USD
567858.26000000
0.076599003627
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BB9
1200000.00000000
PA
USD
1282789.02000000
0.173036772936
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
3.90000000
N
N
N
N
N
N
BBVA USA
C90VT034M03BN29IRA40
BBVA USA
20453KAC9
1600000.00000000
PA
USD
1633496.38000000
0.220344061098
Long
DBT
CORP
US
N
2
2021-06-11
Fixed
3.50000000
N
N
N
N
N
N
Freeport-McMoRan Inc
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DAZ8
70000.00000000
PA
USD
71400.00000000
0.009631221810
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
3.88000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2004-3
07384MR87
65172.08000000
PA
USD
64519.75000000
0.008703137582
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Variable
4.26000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU00QCR8 IRS JPY R V 06MLIBOR SWUV0QCR0 CCPVANILLA / Short: BWU00QCR8 IRS JPY P F .75000 SWU00QCR8 CCPVANILLA
000000000
736400000.00000000
OU
Notional Amount
-708871.39000000
-0.09562041445
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2038-12-20
4670510
JPY
0
JPY
736400000
JPY
-750238.66
N
N
N
Cleveland-Cliffs Inc
549300TM2WLI2BJMDD86
Cleveland-Cliffs Inc
185899AC5
75000.00000000
PA
USD
69187.50000000
0.009332775336
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.88000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31358PCB1
1492.22000000
PA
USD
1543.10000000
0.000208150397
Long
ABS-MBS
USGSE
US
N
2
2022-07-25
Fixed
7.00000000
N
N
N
N
N
N
Pernod Ricard SA
52990097YFPX9J0H5D87
Pernod Ricard SA
714264AH1
1500000.00000000
PA
USD
1585444.62000000
0.213862308171
Long
DBT
CORP
FR
N
2
2022-07-15
Fixed
4.25000000
N
N
N
N
N
N
AMERICAN AIRLINES 2013-2
N/A
American Airlines 2013-2 Class A Pass Through Trust
02377UAB0
1226720.67000000
PA
USD
1287021.72000000
0.173607726333
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
4.95000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
9328.60000000
0.001258344758
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2994000.00000000
CAD
2271580.58000000
USD
2020-03-03
9328.6
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust
929227QB5
14073.08000000
PA
USD
14071.52000000
0.001898122273
Long
ABS-MBS
CORP
US
N
2
2042-06-25
Floating
3.55000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU00KXL1 IRS JPY R V 06MLIBOR SWUV0KXL3 CCPVANILLA / Short: BWU00KXL1 IRS JPY P F .45000 SWU00KXL1 CCPVANILLA
000000000
230000000.00000000
OU
Notional Amount
-85693.84000000
-0.01155933306
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2029-03-20
0
JPY
-1580492
JPY
230000000
JPY
-71284.17
N
N
N
CenturyLink Inc
8M3THTGWLTYZVE6BBY25
CenturyLink Inc
156700AW6
70000.00000000
PA
USD
70262.50000000
0.009477783227
Long
DBT
CORP
US
N
2
2020-04-01
Fixed
5.63000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
US 5YR FUTR OPTN Mar20P 110.5
000000000
366.00000000
NC
USD
366.00000000
0.000049370128
N/A
DIR
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
5 Year US Treasury Note Future
N/A
366000.00000000
NC
N/A
366.00000000
0.00000000
DIR
US
Long
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
366000.00000000
USD
1000.00000000
110.5
USD
2020-02-21
XXXX
-2781.6
N
N
N
Calpine Corp
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CF1
175000.00000000
PA
USD
179903.50000000
0.024267374131
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
5.75000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CPS6
156642.22000000
PA
USD
165315.45000000
0.022299576577
Long
ABS-O
USGA
US
N
2
2025-08-01
Fixed
5.11000000
N
N
N
N
N
N
TPG Real Estate Finance
N/A
TRTX 2019-FL3 Issuer Ltd
87276VAA3
1500000.00000000
PA
USD
1501876.80000000
0.202589756201
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
2.82000000
N
N
N
N
N
N
Springleaf Finance Corp
5493008I795YYBFWFU90
Springleaf Finance Corp
85172FAJ8
50000.00000000
PA
USD
52212.50000000
0.007042999562
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
8.25000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746RN3
69000.00000000
PA
USD
77943.09000000
0.010513826167
Long
DBT
CORP
US
N
2
2025-06-15
Variable
5.88000000
N
N
N
N
N
N
ZAYO GROUP LLC/ZAYO CAP
N/A
Zayo Group LLC / Zayo Capital Inc
989194AM7
35000.00000000
PA
USD
35743.75000000
0.004821512389
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
6.00000000
N
N
N
N
N
N
Bausch Health Cos Inc
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91911KAJ1
115000.00000000
PA
USD
117134.40000000
0.015800383585
Long
DBT
CORP
CA
N
2
2022-03-15
Fixed
6.50000000
N
N
N
N
N
N
NEXTERA ENERGY OPERATING
549300KJEC5IUVJWR786
NextEra Energy Operating Partners LP
65342QAL6
65000.00000000
PA
USD
65650.00000000
0.008855598205
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
3.88000000
N
N
N
N
N
N
ENTERGY LOUISIANA LLC
8F4SD5Y4YNDDSMHFUP83
Entergy Gulf States Louisiana LLC
29365PAP7
2207000.00000000
PA
USD
2577358.77000000
0.347662661051
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.59000000
N
N
N
N
N
N
NuStar Logistics LP
N62BF2PKP51FIIOIUN20
NuStar Logistics LP
67059TAE5
30000.00000000
PA
USD
30900.00000000
0.004168133808
Long
DBT
CORP
US
N
2
2027-04-28
Fixed
5.63000000
N
N
N
N
N
N
State Street Global Advisors
5493008BJIBKQ5KTIF74
State Street Navigator Securities Lending Government Money Market Portfolio
857492706
14997982.50000000
NS
USD
14997982.50000000
2.023093783854
Long
STIV
RF
US
N
2
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-2584.70000000
-0.00034865292
N/A
DFE
CA
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1145092.71000000
USD
1512000.00000000
CAD
2020-02-04
-2584.7
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2004-7
07384MX98
141672.66000000
PA
USD
138162.83000000
0.018636930836
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
4.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050631
17900000.00000000
PA
USD
18994976.65000000
2.562252568642
Long
ABS-MBS
USGA
US
N
2
2050-03-23
Fixed
5.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-132612.14000000
-0.01788819236
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
19631000.00000000
EUR
21676471.68000000
USD
2020-03-03
-132612.14
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RAL6
1500000.00000000
PA
USD
1602284.87000000
0.216133907374
Long
DBT
CORP
FR
N
2
2023-09-14
Fixed
4.25000000
N
N
N
N
N
N
AMER AIRLINE 17-2 A PTT
N/A
American Airlines 2017-2 Class A Pass Through Trust
02377CAA2
918816.17000000
PA
USD
967576.92000000
0.130517478084
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
3.60000000
N
N
N
N
N
N
MORGAN STANLEY CCP MORGAN STANLEY CCP CCMSCZUS2
N/A
MORGAN STANLEY CCP MORGAN STANLEY CCP CCMSCZUS2
000000000
875000.00000000
NS
USD
875000.00000000
0.118029679050
Long
STIV
CORP
US
N
2
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
250000.00000000
PA
USD
270156.25000000
0.036441663406
Long
DBT
NUSS
EG
N
2
2048-02-21
Fixed
7.90000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746SL6
645000.00000000
PA
USD
654906.83000000
0.088341077660
Long
DBT
CORP
US
N
2
2023-01-24
Floating
2.91000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SB5
3718473.25000000
PA
USD
4452292.31000000
0.600574437012
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1.00000000
N
N
N
N
N
N
REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
85227SBB1
45000.00000000
PA
USD
44586.54000000
0.006014325721
Long
DBT
NUSS
LK
N
2
2030-03-28
Fixed
7.55000000
N
N
N
N
N
N
GENESIS ENERGY LP/GENESI
N/A
Genesis Energy LP / Genesis Energy Finance Corp
37185LAG7
75000.00000000
PA
USD
75352.50000000
0.010164378732
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
6.00000000
N
N
N
N
N
N
COSTA RICA GOVERNMENT
N/A
Costa Rica Government International Bond
000000000
230000.00000000
PA
USD
246890.63000000
0.033303339222
Long
DBT
NUSS
CR
N
2
2045-03-12
Fixed
7.16000000
N
N
N
N
N
N
CUMULUS MEDIA NEW HLDGS
5493001D9VBAVY1OKJ46
Cumulus Media New Holdings Inc
23110AAA4
45000.00000000
PA
USD
47306.25000000
0.006381190290
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
6.75000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) MAR20 XCBT 20200320
000000000
-171.00000000
NC
USD
-787106.67000000
-0.10617365444
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Long Bond
USH0 Comdty
2020-03-20
-27176737.08
USD
-787106.67
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CN4
95000.00000000
PA
USD
94525.00000000
0.012750577613
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
5.13000000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
159450.00000000
PA
USD
159151.03000000
0.021468051418
Long
DBT
NUSS
CI
N
2
2032-12-31
Variable
5.75000000
N
N
N
N
N
N
Standard Chartered PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BN9
1500000.00000000
PA
USD
1578301.10000000
0.212898711174
Long
DBT
CORP
GB
N
2
2025-05-21
Variable
3.79000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCC4
83000.00000000
PA
USD
83734.45000000
0.011295028867
Long
DBT
CORP
MX
N
2
2047-09-21
Fixed
6.75000000
N
N
N
N
N
N
INTERPUBLIC GROUP COS
5493008IUOJ5VWTRC333
Interpublic Group of Cos Inc/The
460690BN9
1200000.00000000
PA
USD
1236889.55000000
0.166845344693
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
3.75000000
N
N
N
N
N
N
NIELSEN FINANCE LLC/CO
N/A
Nielsen Finance LLC / Nielsen Finance Co
65409QBB7
200000.00000000
PA
USD
201000.00000000
0.027113103416
Long
DBT
CORP
US
N
2
2022-04-15
Fixed
5.00000000
N
N
N
N
N
N
OneMain Direct Auto Receivables Trust
N/A
OneMain Direct Auto Receivables Trust 2018-1
68268XAA9
1600000.00000000
PA
USD
1623596.00000000
0.219008588327
Long
ABS-O
CORP
US
N
2
2024-12-16
Fixed
3.43000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAU2
1800000.00000000
PA
USD
1849112.93000000
0.249428806463
Long
DBT
CORP
NL
N
2
2021-06-01
Fixed
4.13000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
United States Small Business Administration
83162CQY2
631155.79000000
PA
USD
672073.81000000
0.090656749819
Long
ABS-O
USGA
US
N
2
2027-04-01
Fixed
5.32000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LS8
280000.00000000
PA
USD
301388.08000000
0.040654558116
Long
DBT
CORP
US
N
2
2028-10-27
Variable
3.52000000
N
N
N
N
N
N
HERTZ CORP
549300PD0C69OJ0NLB27
Hertz Corp/The
428040CY3
145000.00000000
PA
USD
153881.25000000
0.020757205199
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
7.13000000
N
N
N
N
N
N
TEVA PHARM FNC NL II
549300HSQCIKJAOYIT23
Teva Pharmaceutical Finance Netherlands II BV
000000000
1200000.00000000
PA
1337979.51000000
0.180481476732
Long
DBT
CORP
NL
N
2
2022-04-15
Fixed
3.25000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2005-7
07386HVS7
416651.84000000
PA
USD
343482.28000000
0.046332689448
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
4.01000000
N
N
N
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
Novelis Corp
670001AE6
90000.00000000
PA
USD
90168.75000000
0.012162958426
Long
DBT
CORP
US
N
2
2030-01-30
Fixed
4.75000000
N
N
N
N
N
N
PTC Inc
54930050SSMU8SKDJ030
PTC Inc
69370CAC4
125000.00000000
PA
USD
126250.00000000
0.017029996548
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.00000000
N
N
N
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020AJ6
1500000.00000000
PA
USD
1536829.31000000
0.207304537387
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
2.95000000
N
N
N
N
N
Vodafone Group PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBH2
455000.00000000
PA
USD
485299.22000000
0.065462527062
Long
DBT
CORP
GB
N
2
2024-01-16
Fixed
3.75000000
N
N
N
N
N
N
DTE ENERGY CO
549300IX8SD6XXD71I78
DTE Energy Co
233331BC0
655000.00000000
PA
USD
694367.55000000
0.093663976079
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
3.40000000
N
N
N
N
N
N
SS&C Technologies Inc
549300KY09TR3J12JU49
SS&C Technologies Inc
78466CAC0
245000.00000000
PA
USD
259161.00000000
0.034958502459
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
5.50000000
N
N
N
N
N
N
Fifth Third Bancorp
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773CM0
90000.00000000
PA
USD
93150.00000000
0.012565102404
Long
DBT
CORP
US
N
2
2023-06-30
Variable
5.10000000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AU1
200000.00000000
PA
USD
209541.00000000
0.028265207974
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
US BOND FUTR OPTN Mar20C 195
000000000
88.00000000
NC
USD
88.00000000
0.000011870413
N/A
DIR
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Purchased
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
US Treasury Long Bond Future
N/A
88000.00000000
NC
N/A
88.00000000
0.00000000
DIR
US
Long
US Treasury Long Bond
USH0 Comdty
2020-03-20
88000.00000000
USD
1000.00000000
195
USD
2020-02-21
XXXX
-668.8
N
N
N
GRAPHIC PACKAGING INTERN
SO75N4VY5NXGQSK8YQ65
Graphic Packaging International LLC
38869PAK0
65000.00000000
PA
USD
66383.85000000
0.008954588010
Long
DBT
CORP
US
N
2
2021-04-15
Fixed
4.75000000
N
N
N
N
N
N
DISH DBS Corp
N/A
DISH DBS Corp
25470XAY1
30000.00000000
PA
USD
31500.00000000
0.004249068445
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
7.75000000
N
N
N
N
N
N
T-Mobile USA Inc
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAT2
45000.00000000
PA
USD
48037.50000000
0.006479829379
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.38000000
N
N
N
N
N
N
TOLL BROS FINANCE CORP
N/A
Toll Brothers Finance Corp
88947EAR1
40000.00000000
PA
USD
43750.00000000
0.005901483952
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.88000000
N
N
N
N
N
N
RYMAN HOSPITALITY PROP
529900GCCWW9SRMPJR11
Ryman Hospitality Properties Inc
749571AE5
100000.00000000
PA
USD
104000.00000000
0.014028670424
Long
DBT
US
N
2
2027-10-15
Fixed
4.75000000
N
N
N
N
N
N
ZAYO GROUP LLC/ZAYO CAP
N/A
Zayo Group LLC / Zayo Capital Inc
989194AL9
125000.00000000
PA
USD
127750.00000000
0.017232333141
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
6.38000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust 2003-5
07384MWN8
74713.35000000
PA
USD
74663.53000000
0.010071442837
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Variable
4.31000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
Long: SWPC08BW8 CDS USD R F 1.00000 FIX CORPORATE / Short: SWPC08BW8 CDS USD P V 03MEVENT FLO CORPORATE
000000000
1300000.00000000
OU
Notional Amount
USD
1347.71000000
0.000181794032
N/A
DCR
FR
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
Petrobras Global Finance BV
Petrobras Global Finance BV
Y
sell protection
2020-03-20
0
USD
-5046.43
USD
1300000
USD
6394.14
N
N
N
FHLMC-GNMA
N/A
FHLMC-GNMA
3133T2UF5
17433.44000000
PA
USD
18408.48000000
0.002483139412
Long
ABS-MBS
USGSE
US
N
2
2023-11-25
Fixed
6.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
US BOND FUTR OPTN Mar20C 197
000000000
57.00000000
NC
USD
57.00000000
0.000007688790
N/A
DIR
US
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Purchased
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
US Treasury Long Bond Future
N/A
57000.00000000
NC
N/A
57.00000000
0.00000000
DIR
US
Long
US Treasury Long Bond
USH0 Comdty
2020-03-20
57000.00000000
USD
1000.00000000
197
USD
2020-02-21
XXXX
-433.2
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OEH0C137.5 MAR20 137.5 CALL FSO
000000000
37.00000000
NC
-35.29000000
-0.00000476030
N/A
DIR
DE
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Long
Euro-Bobl (FGBM)
OEH0 Comdty
2020-02-21
216.82
EUR
-35.29
N
N
N
Mauser Packaging Solut
549300DNGHXL0OMHW304
Mauser Packaging Solutions Holding Co
12429TAD6
215000.00000000
PA
USD
221551.05000000
0.029885256371
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
5.50000000
N
N
N
N
N
N
TIME WARNER ENT
N/A
Time Warner Entertainment Co LP
88731EAF7
1200000.00000000
PA
USD
1420739.34000000
0.191645038073
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
8.38000000
N
N
N
N
N
N
WPX ENERGY INC
ZXZE9GCS2BB547GJW219
WPX Energy Inc
98212BAJ2
45000.00000000
PA
USD
47025.00000000
0.006343252179
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.25000000
N
N
N
N
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust 2006-OPT3
83611MPJ1
2675000.00000000
PA
USD
2594785.31000000
0.350013345534
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
1.91000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397XF5
2800000.00000000
PA
USD
2801282.88000000
0.377868022005
Long
DBT
CORP
US
N
2
2020-03-27
Fixed
2.46000000
N
N
N
N
N
N
Hudbay Minerals Inc
549300WI524AL577IX21
Hudbay Minerals Inc
443628AF9
35000.00000000
PA
USD
35612.50000000
0.004803807937
Long
DBT
CORP
CA
N
2
2023-01-15
Fixed
7.25000000
N
N
N
N
N
N
2020-02-27
PACE SELECT ADVISORS TRUST
Joanne Kilkeary
Joanne Kilkeary
Vice President and Treasurer