0001752724-23-214733.txt : 20230926
0001752724-23-214733.hdr.sgml : 20230926
20230926090753
ACCESSION NUMBER: 0001752724-23-214733
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230731
FILED AS OF DATE: 20230926
DATE AS OF CHANGE: 20230926
PERIOD START: 20230731
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: 231277444
BUSINESS ADDRESS:
STREET 1: C/O UBS ASSET MANAGEMENT (AMERICAS) INC.
STREET 2: 787 SEVENTH AVENUE
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: 787 SEVENTH AVENUE
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
C000007359
C000007360
PACE SELECT ADVISORS TRUST
811-08764
0000930007
549300TPB2UX3QR3SC50
C/O UBS ASSET MANAGEMENT (AMERICAS) INC.
787 SEVENTH AVENUE
NEW YORK
10019
212-821-3000
PACE Strategic Fixed Income Investments
S000002698
5493008PS83BJ3Y3F160
2023-07-31
2023-07-31
N
549649797.03
84716816.49
464932980.54
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
26909283.91000000
0.00000000
0.00000000
1307487.35000000
CAD
USD
UST
Bloomberg Barclays U.S. Government/Credit (Returns Universe)
LEHM.MC.LEHM000003UUSD
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31418D4Y5
517264.24000000
PA
USD
436444.78000000
0.093872622134
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
FHLMC Structured Pass Through Securities
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates
31393LFK4
324045.01000000
PA
USD
334637.49000000
0.071975425277
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
6.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust
17323CAG2
2688859.87000000
PA
USD
35779.31000000
0.007695584417
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Variable
1.30400000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC/CCO Holdings Capital Corp.
1248EPCL5
15000.00000000
PA
USD
11869.50000000
0.002552948596
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust
362341RX9
87910.97000000
PA
USD
83356.21000000
0.017928650684
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
4.13300000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK
2IGI19DL77OX0HC3ZE78
Canadian Imperial Bank of Commerce
13607HR61
1760000.00000000
PA
USD
1652558.85000000
0.355440228843
Long
DBT
CORP
CA
N
2
2027-04-07
Fixed
3.45000000
N
N
N
N
N
INEOS QUATTRO FINANCE 2
213800V48W4Y5MT5Q131
INEOS Quattro Finance 2 PLC
45674GAA2
60000.00000000
PA
USD
54566.55000000
0.011736433482
Long
DBT
CORP
GB
N
2
2026-01-15
Fixed
3.37500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TL2
365000.00000000
PA
USD
364657.81000000
0.078432338694
Long
DBT
UST
US
N
2
2052-11-15
Fixed
4.00000000
N
N
N
N
N
N
Residential Asset Securities Corporation
N/A
Residential Asset Securities Corporation Trust
76110W7E0
176575.38000000
PA
USD
174923.66000000
0.037623413980
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
6.04200000
N
N
N
N
N
N
INTELLIGENT PACKAGING
N/A
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co.-Issuer LLC
45827MAA5
55000.00000000
PA
USD
48671.15000000
0.010468422769
Long
DBT
CORP
CA
N
2
2028-09-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140QSPN5
99674.05000000
PA
USD
97627.46000000
0.020998179111
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEF8
440000.00000000
PA
USD
337304.73000000
0.072549107961
Long
DBT
CORP
US
N
2
2036-09-16
Fixed
2.48400000
N
N
N
N
N
N
MACY'S RETAIL HLDGS LLC
N/A
Macy's Retail Holdings LLC
55617LAP7
20000.00000000
PA
USD
18579.00000000
0.003996059814
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
5.87500000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133KRB29
197135.77000000
PA
USD
192638.23000000
0.041433548073
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
5.00000000
N
N
N
N
N
N
OAKST Commercial Mortgage Trust 2023-NLP
N/A
OAKST Commercial Mortgage Trust
67630KAA0
2640000.00000000
PA
USD
2620920.98000000
0.563720168217
Long
ABS-MBS
CORP
US
N
2
2040-03-15
Variable
6.09500000
N
N
N
N
N
N
TARGET CORP
8WDDFXB5T1Z6J0XC1L66
Target Corp.
87612EBP0
2025000.00000000
PA
USD
1972522.29000000
0.424259489552
Long
DBT
CORP
US
N
2
2032-09-15
Fixed
4.50000000
N
N
N
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group, Inc.
30212PAS4
196000.00000000
PA
USD
197315.10000000
0.042439471549
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.25000000
N
N
N
N
N
N
HILCORP ENERGY I/HILCORP
N/A
Hilcorp Energy I LP/Hilcorp Finance Co.
431318AS3
25000.00000000
PA
USD
23931.64000000
0.005147331121
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
6.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAH4
7800000.00000000
PA
USD
6699773.42000000
1.441019179198
Long
DBT
UST
US
N
2
2027-08-31
Fixed
0.50000000
N
N
N
N
N
N
CLARIOS GLOBAL LP
549300474L1ZLXZY2P98
Clarios Global LP
18060TAA3
20000.00000000
PA
USD
20045.96000000
0.004311580558
Long
DBT
CORP
CA
N
2
2025-05-15
Fixed
6.75000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Countrywide Alternative Loan Trust
12669FFD0
8471.71000000
PA
USD
8357.55000000
0.001797581662
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Fixed
6.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. REMICS
31395LRL7
536311.59000000
PA
USD
526731.73000000
0.113291969390
Long
ABS-MBS
USGSE
US
N
2
2035-01-15
Fixed
5.00000000
N
N
N
N
N
N
Lightstone Holdco LLC
549300VXK6UGDG7H3G98
Lightstone Holdco LLC
53226GAL5
5044.68000000
PA
USD
4541.27000000
0.000976757982
Long
LON
CORP
US
N
2
2027-01-29
Variable
11.06900000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust
07386HCE9
1623.43000000
PA
USD
1541.79000000
0.000331615536
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Variable
5.04400000
N
N
N
N
N
N
RITCHIE BROS HLDGS INC
5493002H8U24DJXQ4886
Ritchie Bros Holdings, Inc.
76774LAC1
25000.00000000
PA
USD
26055.10000000
0.005604055012
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
7.75000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association REMICS
31359D3U5
8.11000000
PA
USD
8.07000000
0.000001735734
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DWE58
216307.96000000
PA
USD
202015.61000000
0.043450479629
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.00000000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
03969AAN0
30000.00000000
PA
USD
28102.91000000
0.006044507741
Long
DBT
CORP
XX
N
2
2026-08-15
Fixed
4.12500000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Future
000000000
-230.00000000
NC
USD
531309.20000000
0.114276513441
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CBOT 5 Year U.S. Treasury Notes
FVU3 Comdty
2023-09-29
-25099981.19000000
USD
531309.20000000
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
Chesapeake Energy Corp.
92735LAA0
55000.00000000
PA
USD
54754.97000000
0.011776959753
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
6.75000000
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RN0
500000.00000000
PA
USD
402871.10000000
0.086651435123
Long
DBT
UST
US
N
2
2045-08-15
Fixed
2.87500000
N
N
N
N
N
N
MIP V Waste Holdings, LLC
254900RELOGHR3ZGIQ56
MIP V Waste Holdings LLC
000000000
1456313.13000000
PA
USD
1427186.87000000
0.306966149904
Long
LON
CORP
US
N
2
2028-12-08
Variable
8.68300000
N
N
N
N
N
N
CRESTWOOD MID PARTNER LP
N/A
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.
67421QAA0
15000.00000000
PA
USD
15250.51000000
0.003280152331
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
8.00000000
N
N
N
N
N
N
AL NGPL HOLDINGS, LLC
254900WKSN3ZUJ0TO315
AL NGPL Holdings LLC
01021AAC4
1530000.00000000
PA
USD
1528087.50000000
0.328668338009
Long
LON
CORP
US
N
2
2028-04-13
Variable
9.29300000
N
N
N
N
N
N
Social Professional Loan Program LLC
N/A
SoFi Professional Loan Program LLC
83401CAC8
158000.00000000
PA
USD
128301.58000000
0.027595714946
Long
ABS-O
CORP
US
N
2
2048-11-16
Fixed
3.05000000
N
N
N
N
N
N
MSWF Commercial Mortgage Trust
N/A
MSWF Commercial Mortgage Trust
55376CBB8
73000.00000000
PA
USD
66962.63000000
0.014402641413
Long
ABS-MBS
CORP
US
N
2
2056-05-15
Variable
6.68300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140QR5B5
192727.93000000
PA
USD
184970.79000000
0.039784398556
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
4.50000000
N
N
N
N
N
N
HILCORP ENERGY I/HILCORP
N/A
Hilcorp Energy I LP/Hilcorp Finance Co.
431318AV6
11000.00000000
PA
USD
9961.50000000
0.002142566868
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
6.00000000
N
N
N
N
N
N
RITCHIE BROS HLDGS INC
5493002H8U24DJXQ4886
Ritchie Bros Holdings, Inc.
76774LAB3
15000.00000000
PA
USD
15187.50000000
0.003266599840
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
6.75000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397XU2
10000.00000000
PA
USD
9503.02000000
0.002043954805
Long
DBT
CORP
US
N
2
2026-01-08
Fixed
4.38900000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp.
131347CP9
58000.00000000
PA
USD
49940.03000000
0.010741339524
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.62500000
N
N
N
N
N
N
ACADIA HEALTHCARE CO INC
5493005CW985Y9D0NC11
Acadia Healthcare Co., Inc.
00404AAP4
55000.00000000
PA
USD
50875.37000000
0.010942516906
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.00000000
N
N
N
N
N
N
Micron Technology Inc
B3DXGBC8GAIYWI2Z0172
Micron Technology, Inc.
595112BM4
200000.00000000
PA
USD
197313.88000000
0.042439209145
Long
DBT
CORP
US
N
2
2026-02-06
Fixed
4.97500000
N
N
N
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
Constellation Brands, Inc.
21036PBH0
270000.00000000
PA
USD
218554.87000000
0.047007822449
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
2.25000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp.
458140CJ7
1475000.00000000
PA
USD
1503845.44000000
0.323454240276
Long
DBT
CORP
US
N
2
2053-02-10
Fixed
5.70000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries, Inc.
853496AG2
30000.00000000
PA
USD
26042.55000000
0.005601355698
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
4.37500000
N
N
N
N
N
N
US FOODS INC
5493000JOOFAOUY1JZ87
U.S. Foods, Inc.
90290MAE1
25000.00000000
PA
USD
22486.23000000
0.004836445453
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
4.62500000
N
N
N
N
N
N
ENLINK MIDSTREAM LLC
54930000GY1H533OBE23
EnLink Midstream LLC
29336TAD2
1445000.00000000
PA
USD
1454437.30000000
0.312827302186
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
6.50000000
N
N
N
N
N
N
MACY'S RETAIL HLDGS LLC
N/A
Macy's Retail Holdings LLC
55617LAQ5
40000.00000000
PA
USD
36124.00000000
0.007769721984
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
5.87500000
N
N
N
N
N
Bankers Healthcare Group Securitization Trust
N/A
BHG Securitization Trust
08860DAB9
2340000.00000000
PA
USD
2283785.24000000
0.491207407430
Long
ABS-O
CORP
US
N
2
2035-10-17
Fixed
5.93000000
N
N
N
N
N
N
CIENA CORP
W0CZ7N0GH8UIGXDM1H41
Ciena Corp.
171779AL5
30000.00000000
PA
USD
26253.00000000
0.005646620286
Long
DBT
CORP
US
N
2
2030-01-31
Fixed
4.00000000
N
N
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial, Inc.
02005NBF6
15000.00000000
PA
USD
14545.69000000
0.003128556288
Long
DBT
CORP
US
N
2
2025-11-20
Fixed
5.75000000
N
N
N
N
N
N
IHO Verwaltungs GmbH
529900JL0HDVGZMUJF32
IHO Verwaltungs GmbH
44963BAD0
20000.00000000
PA
USD
18590.48000000
0.003998528987
Long
DBT
CORP
DE
N
2
2029-05-15
Fixed
6.37500000
N
N
Y
N
N
N
Starwood Mortgage Residential Trust
N/A
Starwood Mortgage Residential Trust
85573QAA8
1019461.01000000
PA
USD
814656.80000000
0.175220264876
Long
ABS-MBS
CORP
US
N
2
2066-09-25
Variable
1.92000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co.
025816CH0
305000.00000000
PA
USD
255905.39000000
0.055041350196
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
3.55000000
N
N
N
N
N
N
TRIVIUM PACKAGING FIN
724500GMZWW3PVYET548
Trivium Packaging Finance BV
89686QAA4
45000.00000000
PA
USD
42754.01000000
0.009195736114
Long
DBT
CORP
NL
N
2
2026-08-15
Fixed
5.50000000
N
N
N
N
N
N
VOLCAN CIA MINERA SAA-CM
549300XKJ91C4SZLG750
Volcan Cia Minera SAA
92863UAB2
22000.00000000
PA
USD
15736.82000000
0.003384750202
Long
DBT
CORP
PE
N
2
2026-02-11
Fixed
4.37500000
N
N
N
N
N
N
ADAMS OUTDOOR ADVERTISING
549300BTFXNHDCUHER30
Adams Outdoor Advertising LP
006346AW0
980000.00000000
PA
USD
979398.52000000
0.210653698703
Long
ABS-O
CORP
US
N
2
2053-07-15
Fixed
6.97000000
N
N
N
N
N
N
PFIZER INVESTMENT ENTER
5493000FQO8XF9C0RT95
Pfizer Investment Enterprises Pte. Ltd.
716973AD4
1120000.00000000
PA
USD
1108636.56000000
0.238450831926
Long
DBT
CORP
SG
N
2
2030-05-19
Fixed
4.65000000
N
N
N
N
N
N
Prairie ECI Acquiror LP
549300EXIECHUG4F3335
Prairie ECI Acquiror LP
73955HAB0
70000.00000000
PA
USD
69538.70000000
0.014956714819
Long
LON
CORP
US
N
2
2026-03-11
Floating
10.16900000
N
N
N
N
N
N
REINSURANCE GRP OF AMER
LORM1GNEU1DKEW527V90
Reinsurance Group of America, Inc.
759351AR0
1445000.00000000
PA
USD
1462023.26000000
0.314458926596
Long
DBT
CORP
US
N
2
2033-09-15
Fixed
6.00000000
N
N
N
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
CommScope, Inc.
203372AX5
105000.00000000
PA
USD
80890.65000000
0.017398346296
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
4.75000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119CQ0
195000.00000000
PA
USD
194132.92000000
0.041755033117
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
5.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc.
38141GZU1
265000.00000000
PA
USD
256451.21000000
0.055158747762
Long
DBT
CORP
US
N
2
2028-08-23
Fixed
4.48200000
N
N
N
N
N
N
MET LIFE GLOB FUNDING I
635400MMSOCXNNNZDZ82
Metropolitan Life Global Funding I
59217GFD6
2240000.00000000
PA
USD
2130468.88000000
0.458231394452
Long
DBT
CORP
US
N
2
2029-08-25
Fixed
4.30000000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA, Inc.
80282KBC9
1200000.00000000
PA
USD
1042824.16000000
0.224295587460
Long
DBT
CORP
US
N
2
2028-01-06
Fixed
2.49000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Inflation-Indexed Notes
91282CCM1
680772.00000000
PA
USD
603427.26000000
0.129788009295
Long
DBT
UST
US
N
2
2031-07-15
Fixed
0.12500000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QDV7
540000.00000000
PA
USD
502078.50000000
0.107989435255
Long
DBT
CORP
GB
N
2
2030-03-22
Fixed
4.87500000
N
N
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co., Inc.
025537AW1
195000.00000000
PA
USD
203418.63000000
0.043752247853
Long
DBT
CORP
US
N
2
2032-11-01
Fixed
5.95000000
N
N
N
N
N
N
GRUPO AVAL LTD
549300J4FW1ELLQ80113
Grupo Aval Ltd.
40053FAC2
70000.00000000
PA
USD
56499.10000000
0.012152095541
Long
DBT
CORP
KY
N
2
2030-02-04
Fixed
4.37500000
N
N
N
N
N
N
BROWN-FORMAN CORP
549300873K3LXF7ARU34
Brown-Forman Corp.
115637AU4
1155000.00000000
PA
USD
1156872.15000000
0.248825572377
Long
DBT
CORP
US
N
2
2033-04-15
Fixed
4.75000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397A86
5000.00000000
PA
USD
4575.30000000
0.000984077316
Long
DBT
CORP
US
N
2
2027-08-17
Fixed
4.12500000
N
N
N
N
N
N
BLUE OWL CAPITAL CORP
2549000BD79OOCPF2L94
Blue Owl Capital Corp.
69121KAG9
1100000.00000000
PA
USD
909243.59000000
0.195564442200
Long
DBT
CORP
US
N
2
2028-06-11
Fixed
2.87500000
N
N
N
N
N
N
TALLGRASS NRG PRTNR/FIN
N/A
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.
87470LAJ0
35000.00000000
PA
USD
31067.90000000
0.006682231913
Long
DBT
CORP
US
N
2
2030-12-31
Fixed
6.00000000
N
N
N
N
N
N
KINETIK HOLDINGS LP
549300RD6AJIMYC0HY12
Kinetik Holdings LP
49461MAA8
45000.00000000
PA
USD
43256.25000000
0.009303760286
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
5.87500000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC
013092AB7
20000.00000000
PA
USD
19475.00000000
0.004188775762
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
5.87500000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust
63942KAA2
201955.42000000
PA
USD
173577.13000000
0.037333795894
Long
ABS-O
CORP
US
N
2
2070-04-15
Fixed
1.58000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ADA0
100000.00000000
PA
USD
98050.41000000
0.021089149211
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
4.80000000
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
Purchased PEN / Sold USD
000000000
1.00000000
NC
-1412.01000000
-0.00030370183
N/A
DFE
PE
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
126692.07000000
USD
452246.86000000
PEN
2023-08-25
-1412.01000000
N
N
N
TALLGRASS NRG PRTNR/FIN
N/A
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.
87470LAH4
25000.00000000
PA
USD
25043.75000000
0.005386529037
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
7.50000000
N
N
N
N
N
N
AMS-OSRAM AG
5299001JPPT2QFTV5D76
ams-OSRAM AG
03217CAA4
1685000.00000000
PA
USD
1478587.50000000
0.318021642233
Long
DBT
CORP
AT
N
2
2025-07-31
Fixed
7.00000000
N
N
N
N
N
ZIFF DAVIS INC
5493008OJYGLHD7MXA18
Ziff Davis, Inc.
48123VAF9
68000.00000000
PA
USD
59585.62000000
0.012815958964
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.62500000
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp.
131347CQ7
64000.00000000
PA
USD
53870.99000000
0.011586829124
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
5.00000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBL0
200000.00000000
PA
USD
175163.20000000
0.037674935384
Long
DBT
CORP
IT
N
2
2029-09-23
Fixed
4.00000000
N
N
N
N
N
N
NORTHWESTERN MUTUAL GLBL
635400LZXFVELZDVP257
Northwestern Mutual Global Funding
66815L2K4
985000.00000000
PA
USD
959399.32000000
0.206352175508
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
4.35000000
N
N
N
N
N
N
SBA TOWER TRUST
N/A
SBA Tower Trust
78403DAZ3
3100000.00000000
PA
USD
3144496.16000000
0.676333211799
Long
DBT
US
N
2
2028-01-15
Fixed
6.59900000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISA3AUOXQEF68
Federal Home Loan Mortgage Corp. STACR REMIC Trust
35564KRN1
326000.00000000
PA
USD
334466.22000000
0.071938587710
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Floating
8.81900000
N
N
N
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp.
058498AX4
15000.00000000
PA
USD
12313.98000000
0.002648549471
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
3.12500000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd.
780153BG6
45000.00000000
PA
USD
42412.38000000
0.009122256706
Long
DBT
CORP
LR
N
2
2028-04-01
Fixed
5.50000000
N
N
N
N
N
MEDTRONIC GLOBAL HLDINGS
549300JXMTTP8GKYIX14
Medtronic Global Holdings SCA
58507LBC2
1220000.00000000
PA
USD
1190366.47000000
0.256029690261
Long
DBT
CORP
LU
N
2
2033-03-30
Fixed
4.50000000
N
N
N
N
N
N
EDGEWELL PERSONAL CARE
549300CY8QZDL4Z3RU59
Edgewell Personal Care Co.
28035QAA0
25000.00000000
PA
USD
23687.50000000
0.005094820327
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.50000000
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GHZ5
290000.00000000
PA
USD
242962.71000000
0.052257576934
Long
DBT
CORP
US
N
2
2031-02-13
Fixed
2.49600000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CD0
210000.00000000
PA
USD
163989.00000000
0.035271535224
Long
DBT
CORP
GB
N
2
2028-08-19
Fixed
4.30000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bonds
03846JAB6
30000.00000000
PA
USD
18557.40000000
0.003991413983
Long
DBT
NUSS
EG
N
2
2031-02-16
Fixed
5.87500000
N
N
N
N
N
N
NMEF Funding LLC
N/A
NMEF Funding LLC
62890MAB0
3085758.48000000
PA
USD
3063256.20000000
0.658859734244
Long
ABS-O
CORP
US
N
2
2029-06-15
Fixed
6.07000000
N
N
N
N
N
N
TALLGRASS NRG PRTNR/FIN
N/A
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.
87470LAG6
30000.00000000
PA
USD
28429.00000000
0.006114644731
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
6.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GFB0
300000.00000000
PA
USD
298520.72000000
0.064207258356
Long
DBT
CORP
US
N
2
2024-01-22
Fixed
4.12500000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC/CCO Holdings Capital Corp.
1248EPCP6
30000.00000000
PA
USD
23058.62000000
0.004959557821
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
4.25000000
N
N
N
N
N
N
GOODYEAR TIRE & RUBBER
5493002BI0S2ZQUY3437
Goodyear Tire & Rubber Co.
382550BF7
15000.00000000
PA
USD
14572.68000000
0.003134361426
Long
DBT
CORP
US
N
2
2026-05-31
Fixed
5.00000000
N
N
N
N
N
FMG RESOURCES AUG 2006
549300EFD6S2NFE9D745
FMG Resources August 2006 Pty. Ltd.
30251GBD8
25000.00000000
PA
USD
23976.64000000
0.005157009935
Long
DBT
CORP
AU
N
2
2030-04-15
Fixed
5.87500000
N
N
N
N
N
N
MASONITE INTERNATIONAL C
549300H0H07ZFT4JYM32
Masonite International Corp.
575385AD1
20000.00000000
PA
USD
19050.00000000
0.004097364738
Long
DBT
CORP
CA
N
2
2028-02-01
Fixed
5.37500000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XCA1
215000.00000000
PA
USD
161424.00000000
0.034719842806
Long
DBT
CORP
US
N
2
2051-03-25
Fixed
3.95000000
N
N
N
N
N
N
GLOBAL ATLANTIC FIN CO
N/A
Global Atlantic Fin Co.
37959GAD9
1360000.00000000
PA
USD
1362651.03000000
0.293085474043
Long
DBT
CORP
US
N
2
2033-06-15
Fixed
7.95000000
N
N
N
N
N
Monroe Capital ABS Funding LTD
N/A
Monroe Capital ABS Funding II Ltd.
61035MAA0
2170000.00000000
PA
USD
2169819.89000000
0.466695197118
Long
ABS-O
CORP
US
N
3
2033-04-22
Fixed
6.65000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Purchased USD / Sold PEN
000000000
1.00000000
NC
1865.79000000
0.000401303000
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
3140592.00000000
PEN
873284.21000000
USD
2023-08-01
1865.79000000
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV/NXP Funding LLC/NXP USA, Inc.
62954HBB3
415000.00000000
PA
USD
397931.05000000
0.085588905639
Long
DBT
CORP
XX
N
2
2033-01-15
Fixed
5.00000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GDS6
70000.00000000
PA
USD
68716.24000000
0.014779816204
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
6.25000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust
92538MAC3
242592.92000000
PA
USD
197548.00000000
0.042489564790
Long
ABS-MBS
CORP
US
N
2
2066-10-25
Variable
1.88700000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DAV2
200000.00000000
PA
USD
155015.16000000
0.033341398973
Long
DBT
CORP
NL
N
2
2037-03-13
Fixed
3.32400000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967MP3
1745000.00000000
PA
USD
1640117.07000000
0.352764191538
Long
DBT
CORP
US
N
2
2031-03-31
Fixed
4.41200000
N
N
N
N
N
N
METINVEST BV
635400TMCKVEU87EJ582
Metinvest BV
591555AG2
25000.00000000
PA
USD
15344.50000000
0.003300368148
Long
DBT
CORP
NL
N
2
2027-10-01
Fixed
7.65000000
N
N
N
N
N
N
CARNIVAL HLDGS BM LTD
N/A
Carnival Holdings Bermuda Ltd.
14366RAA7
30000.00000000
PA
USD
32734.47000000
0.007040685726
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
10.37500000
N
N
N
N
N
N
VISTAJET MALTA/VM HOLDS
N/A
VistaJet Malta Finance PLC/Vista Management Holding, Inc.
92841HAA0
70000.00000000
PA
USD
66852.80000000
0.014379018653
Long
DBT
CORP
XX
N
2
2028-06-01
Fixed
9.50000000
N
N
N
N
N
SKANDINAVISKA ENSKILDA
F3JS33DEI6XQ4ZBPTN86
Skandinaviska Enskilda Banken AB
000000000
200000.00000000
PA
USD
188490.00000000
0.040541327006
Long
DBT
CORP
SE
N
2
2025-05-13
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Federal National Mortgage Association Connecticut Avenue Securities
20755DAF3
336000.00000000
PA
USD
359520.00000000
0.077327274047
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Floating
10.66900000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
060505EN0
195000.00000000
PA
USD
193432.61000000
0.041604407107
Long
DBT
CORP
US
N
2
2025-03-17
Fixed
6.10000000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp.
143658BL5
25000.00000000
PA
USD
24662.86000000
0.005304605401
Long
DBT
CORP
PA
N
2
2026-03-01
Fixed
7.62500000
N
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAJ6
595000.00000000
PA
USD
598314.08000000
0.128688242186
Long
DBT
US
N
2
2028-04-01
Fixed
5.70000000
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CHC8
1065000.00000000
PA
USD
1015910.16000000
0.218506796145
Long
DBT
UST
US
N
2
2033-05-15
Fixed
3.37500000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust
17331LAE7
100000.00000000
PA
USD
96738.81000000
0.020807044036
Long
ABS-MBS
CORP
US
N
2
2028-07-10
Variable
6.36000000
N
N
N
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp.
75281ABJ7
30000.00000000
PA
USD
31213.80000000
0.006713612780
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
8.25000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967MK4
52000.00000000
PA
USD
46170.80000000
0.009930635582
Long
DBT
CORP
US
N
2
2025-01-30
Fixed
4.70000000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group, Inc.
86562MCG3
200000.00000000
PA
USD
168118.32000000
0.036159689038
Long
DBT
CORP
JP
N
2
2028-09-17
Fixed
1.90200000
N
N
N
N
N
N
DAIMLER TRUCK FINAN NA
5493003HSDTSCZRXBA58
Daimler Truck Finance North America LLC
233853AF7
200000.00000000
PA
USD
179950.31000000
0.038704569805
Long
DBT
CORP
US
N
2
2026-12-14
Fixed
2.00000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC/CCO Holdings Capital Corp.
1248EPBX0
20000.00000000
PA
USD
18482.62000000
0.003975329945
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.00000000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AS6
1810000.00000000
PA
USD
1606336.99000000
0.345498611032
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.37500000
N
N
N
N
N
N
MOLINA HEALTHCARE INC
549300NQQCEQ46YHZ591
Molina Healthcare, Inc.
60855RAL4
60000.00000000
PA
USD
50053.60000000
0.010765766700
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
3.87500000
N
N
N
N
N
N
Medline Borrower, LP
254900QT3R363TVK6F09
Medline Borrower LP
58503UAC7
1617713.56000000
PA
USD
1600064.31000000
0.344149453140
Long
LON
CORP
US
N
2
2028-10-23
Variable
8.68300000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Swap
000000000
300000.00000000
OU
Notional Amount
USD
44116.22000000
0.009488726729
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2032-06-15
41069.04000000
USD
0.00000000
USD
300000.00000000
USD
3047.18000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJB6
200000.00000000
PA
USD
168097.52000000
0.036155215275
Long
DBT
CORP
US
N
2
2031-04-29
Fixed
2.59200000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc.
38141GYU2
120000.00000000
PA
USD
102014.08000000
0.021941674234
Long
DBT
CORP
US
N
2
2026-11-10
Fixed
4.12500000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BD8
1700000.00000000
PA
USD
1543883.02000000
0.332065713687
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
4.90000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967MG3
89000.00000000
PA
USD
84291.67000000
0.018129853877
Long
DBT
CORP
US
N
2
2024-09-12
Fixed
5.00000000
N
N
N
N
N
N
VENTURE GLOBAL LNG INC
54930011XLBUWMQUC829
Venture Global LNG, Inc.
92332YAA9
20000.00000000
PA
USD
20327.62000000
0.004372161333
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
8.12500000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan, Inc.
49456BAH4
320000.00000000
PA
USD
298781.87000000
0.064263427742
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
5.55000000
N
N
N
N
N
N
DAIMLER TRUCK FINAN NA
5493003HSDTSCZRXBA58
Daimler Truck Finance North America LLC
233853AE0
200000.00000000
PA
USD
199692.13000000
0.042950734483
Long
DBT
CORP
US
N
2
2024-12-13
Floating
5.96800000
N
N
N
N
N
N
EQUITABLE HOLDINGS INC
549300FIBAKMNHPZ4009
Equitable Holdings, Inc.
054561AJ4
300000.00000000
PA
USD
284672.01000000
0.061228611846
Long
DBT
CORP
US
N
2
2028-04-20
Fixed
4.35000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468L6
210000.00000000
PA
USD
179185.12000000
0.038539989095
Long
DBT
CORP
US
N
2
2031-01-22
Fixed
2.69900000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy, Inc.
25746UDR7
270000.00000000
PA
USD
270391.44000000
0.058157078830
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
5.37500000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAW5
535000.00000000
PA
USD
498618.03000000
0.107245140884
Long
DBT
CORP
GB
N
2
2028-05-09
Fixed
4.83600000
N
N
N
N
N
N
AIR CANADA
4B4HI3CGXMBDC0G6BM51
Air Canada
008911BK4
40000.00000000
PA
USD
37118.41000000
0.007983604423
Long
DBT
CORP
CA
N
2
2026-08-15
Fixed
3.87500000
N
N
N
N
N
N
MOLSON COORS BEVERAGE
54930073LBBH6ZCBE225
Molson Coors Beverage Co.
60871RAH3
300000.00000000
PA
USD
246328.08000000
0.052981416743
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
4.20000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CQ0
200000.00000000
PA
USD
158869.81000000
0.034170475455
Long
DBT
CORP
GB
N
2
2031-03-09
Fixed
4.70000000
N
N
N
N
N
Accredited Mortgage Loan Trust
N/A
Accredited Mortgage Loan Trust
004375AW1
330516.75000000
PA
USD
316374.86000000
0.068047411829
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Floating
5.99200000
N
N
N
N
N
N
RENAISSANCERE HOLDINGS L
EK6GB9U3U58PDI411C94
RenaissanceRe Holdings Ltd.
75968NAD3
1810000.00000000
PA
USD
1629225.06000000
0.350421486147
Long
DBT
CORP
BM
N
2
2029-04-15
Fixed
3.60000000
N
N
N
N
N
N
MPH Acquisition Holdings LLC
5493002WXOPRPTXWTU06
MPH Acquisition Holdings LLC
55328HAK7
1687121.21000000
PA
USD
1584257.43000000
0.340749634099
Long
LON
CORP
US
N
2
2028-09-01
Floating
9.72600000
N
N
N
N
N
N
ENTERGY LOUISIANA LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29365PAP7
307000.00000000
PA
USD
306582.73000000
0.065941273867
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.59000000
N
N
N
N
N
N
HARVEST MIDSTREAM I LP
549300DW5M17KJOXCY66
Harvest Midstream I LP
417558AA1
1635000.00000000
PA
USD
1606855.76000000
0.345610190555
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
7.50000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FBP5
512000.00000000
PA
USD
392793.88000000
0.084483978646
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
3.13700000
N
N
N
N
N
N
KORN/FERRY INTERNATIONAL
549300FOD20OM0GT5G40
Korn Ferry
50067PAA7
65000.00000000
PA
USD
61118.14000000
0.013145580666
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.62500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Swap
000000000
600000.00000000
OU
Notional Amount
USD
5150.09000000
0.001107705887
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-12-20
3224.52000000
USD
0.00000000
USD
600000.00000000
USD
1925.57000000
N
N
N
F&G ANNUITIES & LIFE INC
N/A
F&G Annuities & Life, Inc.
30190AAA2
2715000.00000000
PA
USD
2725607.91000000
0.586236731761
Long
DBT
CORP
US
N
2
2028-01-13
Fixed
7.40000000
N
N
N
N
N
N
LEASEPLAN CORPORATION NV
724500C60L930FVHS484
LeasePlan Corp. NV
52206AAD2
200000.00000000
PA
USD
191537.44000000
0.041196784916
Long
DBT
CORP
NL
N
2
2024-10-24
Fixed
2.87500000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XDC7
200000.00000000
PA
USD
200198.50000000
0.043059646955
Long
DBT
CORP
US
N
2
2023-11-17
Floating
6.34000000
N
N
N
N
N
N
MOTOROLA SOLUTIONS INC
6S552MUG6KGJVEBSEC55
Motorola Solutions, Inc.
620076BT5
200000.00000000
PA
USD
160870.01000000
0.034600687998
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
2.30000000
N
N
N
N
N
N
ESC LEHMAN BRTH HLDH PROD
N/A
Lehman Brothers Holdings, Inc.
525ESC1Y5
900000.00000000
PA
USD
1350.00000000
0.000290364430
Long
DBT
CORP
US
N
2
2049-12-30
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association REMICS
38380UAY9
235492.72000000
PA
USD
219058.39000000
0.047116121929
Long
ABS-MBS
USGA
US
N
2
2047-05-20
Floating
5.55500000
N
N
N
N
N
N
Sales Tax Securitization Corp
N/A
Sales Tax Securitization Corp.
79467BDH5
1400000.00000000
PA
USD
1168736.52000000
0.251377417588
Long
DBT
MUN
US
N
2
2034-01-01
Fixed
3.05700000
N
N
N
N
N
N
NOVA Chemicals Corp
549300ZOD6N7RI2FJP09
NOVA Chemicals Corp.
66977WAR0
24000.00000000
PA
USD
21614.92000000
0.004649039948
Long
DBT
CORP
CA
N
2
2027-06-01
Fixed
5.25000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp.
89788MAM4
200000.00000000
PA
USD
191139.36000000
0.041111163974
Long
DBT
CORP
US
N
2
2034-01-26
Fixed
5.12200000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F042699
900000.00000000
PA
USD
862564.50000000
0.185524481183
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
4.50000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Countrywide Alternative Loan Trust
12668ATT2
80897.27000000
PA
USD
68126.13000000
0.014652892535
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
5.21400000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967LD1
755000.00000000
PA
USD
715241.54000000
0.153837557225
Long
DBT
CORP
US
N
2
2028-01-10
Fixed
3.88700000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co.
694308HG5
200000.00000000
PA
USD
196901.93000000
0.042350604977
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
3.75000000
N
N
N
N
N
N
SOUTHWEST GAS CORP
OQQR1IQTGBKH0UR88X59
Southwest Gas Corp.
845011AE5
200000.00000000
PA
USD
181228.08000000
0.038979398662
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.05000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America, Inc.
10373QBL3
225000.00000000
PA
USD
209282.42000000
0.045013459737
Long
DBT
CORP
US
N
2
2030-04-06
Fixed
3.63300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31418EGK0
234224.89000000
PA
USD
224301.95000000
0.048243931789
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association REMICS
38382HKR0
253272.37000000
PA
USD
196880.37000000
0.042345967750
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
1.00000000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp.
808513BJ3
256000.00000000
PA
USD
200509.07000000
0.043126445830
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
4.00000000
N
N
N
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group, Inc.
30212PAP0
200000.00000000
PA
USD
188001.46000000
0.040436249495
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.80000000
N
N
N
N
N
N
Bank
N/A
Bank
06540EBC6
51000.00000000
PA
USD
32769.95000000
0.007048316934
Long
ABS-MBS
CORP
US
N
2
2064-12-15
Variable
3.21700000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bonds
80413TBD0
200000.00000000
PA
USD
199932.00000000
0.043002326866
Long
DBT
NUSS
SA
N
2
2033-07-18
Fixed
4.87500000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I, Inc. Trust
61744CKP0
135183.00000000
PA
USD
120916.94000000
0.026007391400
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Floating
6.11700000
N
N
N
N
N
N
HUNTINGTON INGALLS INDUS
5TZLZ6WJTBVJ0QWBG121
Huntington Ingalls Industries, Inc.
446413AZ9
200000.00000000
PA
USD
169385.86000000
0.036432317579
Long
DBT
CORP
US
N
2
2028-08-16
Fixed
2.04300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DWHT3
372835.87000000
PA
USD
370338.71000000
0.079654213725
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
5.50000000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial, Inc.
21871XAP4
1690000.00000000
PA
USD
1649205.26000000
0.354718922732
Long
DBT
CORP
US
N
2
2052-12-15
Fixed
6.87500000
N
N
N
N
N
N
CQP HOLDCO LP/BIP-V CHIN
N/A
CQP Holdco LP/BIP-V Chinook Holdco LLC
12657NAA8
105000.00000000
PA
USD
95499.53000000
0.020540493790
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
5.50000000
N
N
N
N
N
N
BX Trust 2019-OC11
N/A
BX Trust
05606FAL7
231000.00000000
PA
USD
192785.55000000
0.041465234360
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Variable
3.94400000
N
N
N
N
N
N
CIGNA GROUP/THE
549300VIWYMSIGT1U456
Cigna Group
125523AH3
1400000.00000000
PA
USD
1353925.14000000
0.291208668059
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
ADIENT GLOBAL HOLDINGS
213800VA38VCKE6M8790
Adient Global Holdings Ltd.
00687YAC9
20000.00000000
PA
USD
20559.98000000
0.004422138428
Long
DBT
CORP
JE
N
2
2031-04-15
Fixed
8.25000000
N
N
N
N
N
N
CDK Global, Inc.
N/A
CDK Global, Inc.
15477BAB3
1492500.00000000
PA
USD
1492440.30000000
0.321001168440
Long
LON
CORP
US
N
2
2029-07-06
Variable
9.49200000
N
N
N
N
N
N
Countrywide Home Loans
N/A
Reperforming Loan REMIC Trust
12669UCN8
313590.50000000
PA
USD
286239.58000000
0.061565772268
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
5.75200000
N
N
N
N
N
N
ASB BANK LIMITED
549300IBZWZL1KTPF918
ASB Bank Ltd.
04342JAA5
1700000.00000000
PA
USD
1641665.04000000
0.353097136299
Long
DBT
CORP
NZ
N
2
2032-06-17
Fixed
5.28400000
N
N
N
N
N
N
PFIZER INVESTMENT ENTER
5493000FQO8XF9C0RT95
Pfizer Investment Enterprises Pte. Ltd.
716973AE2
200000.00000000
PA
USD
198677.64000000
0.042732533142
Long
DBT
CORP
SG
N
2
2033-05-19
Fixed
4.75000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
060505EH3
102000.00000000
PA
USD
101051.40000000
0.021734616434
Long
DBT
CORP
US
N
2
2024-09-05
Fixed
6.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DQXV3
125000.00000000
PA
USD
124162.78000000
0.026705522128
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
5.50000000
N
N
N
N
N
N
REPUBLIC OF PARAGUAY
529900UXKJTJPCU0HK83
Paraguay Government International Bonds
699149AJ9
70000.00000000
PA
USD
67219.60000000
0.014457911745
Long
DBT
NUSS
PY
N
2
2031-04-28
Fixed
4.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31407NBS1
37.00000000
PA
USD
37.14000000
0.000007988248
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
4.19200000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBV8
200000.00000000
PA
USD
212802.48000000
0.045770571008
Long
DBT
CORP
IT
N
2
2033-11-21
Fixed
8.24800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31418EPC8
242061.71000000
PA
USD
236507.36000000
0.050869129508
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133KN2Y8
604483.39000000
PA
USD
509492.83000000
0.109584144667
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings, Inc.
55903VBB8
300000.00000000
PA
USD
275304.38000000
0.059213777366
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.05400000
N
N
N
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
Purchased IDR / Sold USD
000000000
1.00000000
NC
2051.19000000
0.000441179715
N/A
DFE
ID
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
256443.98000000
USD
3900000000.00000000
IDR
2023-10-19
2051.19000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
05565AB28
200000.00000000
PA
USD
168265.83000000
0.036191416191
Long
DBT
CORP
FR
N
2
2027-01-12
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140QRHN6
248463.87000000
PA
USD
243026.35000000
0.052271264928
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
5.00000000
N
N
N
N
N
N
Aligned Data Centers Issuers LLC
N/A
Aligned Data Centers Issuer LLC
01627AAC2
3000000.00000000
PA
USD
2963531.70000000
0.637410513781
Long
ABS-O
CORP
US
N
2
2047-10-15
Fixed
6.35000000
N
N
N
N
N
N
JAPAN INT'L COOP AGENCY
254900XEIG78M2AJB031
Japan International Cooperation Agency
47109LAB0
300000.00000000
PA
USD
277195.00000000
0.059620420921
Long
DBT
NUSS
JP
N
2
2027-04-27
Fixed
2.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Future
000000000
24.00000000
NC
USD
-64859.28000000
-0.01395024287
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
Ultra 10-Year U.S. Treasury Notes Futures
UXYU3 Comdty
2023-09-20
2872484.28000000
USD
-64859.28000000
N
N
N
CARLYLE FINANCE SUB LLC
N/A
Carlyle Finance Subsidiary LLC
14314DAA1
200000.00000000
PA
USD
179266.33000000
0.038557456128
Long
DBT
CORP
US
N
2
2029-09-19
Fixed
3.50000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FBV2
268000.00000000
PA
USD
243513.51000000
0.052376045622
Long
DBT
CORP
US
N
2
2037-05-15
Fixed
4.92600000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Purchased USD / Sold CNH
000000000
1.00000000
NC
30.71000000
0.000006605253
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
7969.00000000
CNY
1147.09000000
USD
2023-08-16
30.71000000
N
N
N
Taubman Centers Commercial Mortgage Trust
N/A
Taubman Centers Commercial Mortgage Trust
87666YAC1
179000.00000000
PA
USD
173630.75000000
0.037345328739
Long
ABS-MBS
CORP
US
N
2
2037-05-15
Floating
8.15400000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Swaption
000000000
200000.00000000
NC
USD
3303.78000000
0.000710592738
N/A
DIR
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Bank of America N.A.
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
200000.00000000
OU
Notional Amount
N/A
3303.78000000
0.00000000
DIR
US
N/A
N/A
2034-03-04
0.00000000
N/A
0.00000000
N/A
200000.00000000
USD
1.00000000
3.85000000
USD
2024-03-04
XXXX
-1487.89000000
N
N
N
MANITOWOC COMPANY INC
2RTSLGQ89VMY18RHX631
Manitowoc Co., Inc.
563571AL2
25000.00000000
PA
USD
24875.00000000
0.005350233483
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
9.00000000
N
N
N
N
N
N
NABORS INDUSTRIES INC
549300VFQWRKICUFNU92
Nabors Industries, Inc.
62957HAJ4
35000.00000000
PA
USD
34229.30000000
0.007362200883
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
7.37500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Swap
000000000
3100000.00000000
OU
Notional Amount
USD
4546.40000000
0.000977861367
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-09-13
39.99000000
USD
0.00000000
USD
3100000.00000000
USD
4506.41000000
N
N
N
DISCOVER FINANCIAL SVS
Z1YLO2USPORE63VVUL20
Discover Financial Services
254709AN8
235000.00000000
PA
USD
181033.15000000
0.038937472190
Long
DBT
CORP
US
N
2
2027-10-30
Fixed
5.50000000
N
N
N
N
N
N
One Bryant Park Trust
N/A
One Bryant Park Trust
68236JAA9
3100000.00000000
PA
USD
2525932.70000000
0.543289636511
Long
ABS-MBS
CORP
US
N
2
2054-09-15
Fixed
2.51600000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BA9
200000.00000000
PA
USD
193280.85000000
0.041571765843
Long
DBT
CORP
US
N
2
2024-09-26
Fixed
2.85000000
N
N
N
N
N
N
Ecopetrol SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AJ8
65000.00000000
PA
USD
46475.00000000
0.009996064367
Long
DBT
CORP
CO
N
2
2045-05-28
Fixed
5.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DQK54
521162.17000000
PA
USD
456755.53000000
0.098241154987
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.00000000
N
N
N
N
N
N
WEC ENERGY GROUP INC
549300IGLYTZUK3PVP70
WEC Energy Group, Inc.
92939UAE6
200000.00000000
PA
USD
158671.30000000
0.034127778979
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
1.80000000
N
N
N
N
N
N
MACY'S RETAIL HLDGS LLC
N/A
Macy's Retail Holdings LLC
55616XAG2
5000.00000000
PA
USD
3450.00000000
0.000742042432
Long
DBT
CORP
US
N
2
2042-01-15
Fixed
5.12500000
N
N
N
N
N
N
Enstar Group Ltd
213800AMAL5QFXVUCN04
Enstar Group Ltd.
29359UAB5
1850000.00000000
PA
USD
1726975.00000000
0.371446008840
Long
DBT
CORP
BM
N
2
2029-06-01
Fixed
4.95000000
N
N
N
N
N
N
CATALENT PHARMA SOLUTION
549300HALRZ339MSTH85
Catalent Pharma Solutions, Inc.
14879EAH1
10000.00000000
PA
USD
8344.41000000
0.001794755448
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.12500000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. REMICS
31395TUG7
543074.43000000
PA
USD
545137.84000000
0.117250843200
Long
ABS-MBS
USGSE
US
N
2
2035-05-15
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133KPUH9
256184.44000000
PA
USD
245399.72000000
0.052781740653
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
4.50000000
N
N
N
N
N
N
ESC LEHMAN BRTH HLDG
N/A
Lehman Brothers Holdings, Inc.
525ESCIB7
4500000.00000000
PA
USD
6750.00000000
0.001451822151
Long
DBT
CORP
US
N
2
2013-01-24
None
0.00000000
Y
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TQ1
300000.00000000
PA
USD
286593.75000000
0.061641948838
Long
DBT
UST
US
N
2
2043-02-15
Fixed
3.87500000
N
N
N
N
N
N
AMER AIRLN 15-2 AA PTT
N/A
American Airlines Pass-Through Trust
02377BAB2
200520.29000000
PA
USD
186436.93000000
0.040099742931
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
3.60000000
N
N
N
N
N
N
NIAGARA MOHAWK POWER
3T97Y9RR5EN5Y18QHB56
Niagara Mohawk Power Corp.
65364UAL0
300000.00000000
PA
USD
281741.27000000
0.060598254327
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
4.27800000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Swaption
000000000
-5900000.00000000
NC
USD
-33914.38000000
-0.00729446638
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
5900000.00000000
OU
Notional Amount
N/A
-33914.38000000
-0.01000000
DIR
US
N/A
N/A
2024-09-13
0.00000000
N/A
0.00000000
N/A
5900000.00000000
USD
1.00000000
4.71500000
USD
2023-09-11
XXXX
-17394.38000000
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAA9
950000.00000000
PA
USD
856187.40000000
0.184152864140
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
3.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAG8
200000.00000000
PA
USD
198182.77000000
0.042626094145
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Swaption
000000000
3100000.00000000
NC
USD
46144.12000000
0.009924897120
N/A
DIR
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Put
Purchased
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Bank of America N.A.
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
3100000.00000000
OU
Notional Amount
N/A
46144.12000000
0.01000000
DIR
US
N/A
N/A
2024-09-14
0.00000000
N/A
0.00000000
N/A
3100000.00000000
USD
1.00000000
3.75000000
USD
2023-09-12
XXXX
21344.12000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DR7
1205000.00000000
PA
USD
1272715.96000000
0.273741810813
Long
DBT
CORP
GB
N
2
2028-11-03
Fixed
7.39000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31410FSB2
1219414.38000000
PA
USD
1214546.90000000
0.261230532320
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Variable
5.18800000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Purchased AUD / Sold USD
000000000
1.00000000
NC
-5127.50000000
-0.00110284712
N/A
DFE
AU
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
877413.47000000
USD
1298000.00000000
AUD
2023-08-16
-5127.50000000
N
N
N
Structured Asset Mortgage Investments Inc
N/A
Structured Asset Mortgage Investments Trust
86358HNX3
20953.42000000
PA
USD
20083.06000000
0.004319560203
Long
ABS-MBS
CORP
US
N
2
2032-09-19
Floating
6.02100000
N
N
N
N
N
N
ALLIANT HOLD / CO-ISSUER
N/A
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer
01883LAE3
70000.00000000
PA
USD
69645.16000000
0.014979612743
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
6.75000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Swaption
000000000
-100000.00000000
NC
-213.06000000
-0.00004582595
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
100000.00000000
OU
Notional Amount
N/A
-213.06000000
0.00000000
DIR
US
N/A
N/A
2033-08-17
0.00000000
N/A
0.00000000
N/A
100000.00000000
EUR
1.00000000
2.87000000
EUR
2023-08-17
XXXX
194.48000000
N
N
N
STATE STREET CORP
549300ZFEEJ2IP5VME73
State Street Corp.
857477BY8
740000.00000000
PA
USD
755407.74000000
0.162476694839
Long
DBT
CORP
US
N
2
2028-11-04
Fixed
5.82000000
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC/CCO Holdings Capital Corp.
1248EPCN1
15000.00000000
PA
USD
12230.45000000
0.002630583441
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
4.50000000
N
N
N
N
N
N
SIX FLAGS THEME PARKS
5493003MX0ZXTM8EVY68
Six Flags Theme Parks, Inc.
83001WAC8
33000.00000000
PA
USD
33080.60000000
0.007115133015
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
7.00000000
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio, Inc.
82967NBM9
25000.00000000
PA
USD
19573.92000000
0.004210051947
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31384VYL0
16256.85000000
PA
USD
15780.94000000
0.003394239742
Long
ABS-MBS
USGSE
US
N
2
2030-05-01
Floating
3.68200000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co.
097023CA1
200000.00000000
PA
USD
182911.40000000
0.039341455146
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
3.45000000
N
N
N
N
N
N
API GROUP DE INC
549300XP4G7B4QYA0G83
APi Group DE, Inc.
00185PAA9
30000.00000000
PA
USD
26716.20000000
0.005746247549
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.75000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc.
38148BAC2
104000.00000000
PA
USD
101343.69000000
0.021797483560
Long
DBT
CORP
US
N
2
2026-11-10
Fixed
5.30000000
N
N
N
N
N
N
BENTELER INTERNATIONAL A
529900ZAFSOBVFCKF263
Benteler International AG
08263DAA4
25000.00000000
PA
USD
25377.10000000
0.005458227542
Long
DBT
CORP
AT
N
2
2028-05-15
Fixed
10.50000000
N
N
N
N
N
ADIENT GLOBAL HOLDINGS
213800VA38VCKE6M8790
Adient Global Holdings Ltd.
00687YAA3
35000.00000000
PA
USD
33603.45000000
0.007227590084
Long
DBT
CORP
JE
N
2
2026-08-15
Fixed
4.87500000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
Barclays Commercial Mortgage Trust
05492JAZ5
59000.00000000
PA
USD
45260.00000000
0.009734736380
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
3.71000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Swap
000000000
200000.00000000
OU
Notional Amount
-9383.85000000
-0.00201832315
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-03-09
0.00000000
EUR
0.00000000
EUR
200000.00000000
EUR
-9383.85000000
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust
63942EAA6
91403.38000000
PA
USD
77376.25000000
0.016642452404
Long
ABS-O
CORP
US
N
2
2069-12-16
Fixed
0.97000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Swaption
000000000
-3100000.00000000
NC
USD
-16841.68000000
-0.00362238875
N/A
DIR
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Bank of America N.A.
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
3100000.00000000
OU
Notional Amount
N/A
-16841.68000000
0.00000000
DIR
US
N/A
N/A
2024-09-14
0.00000000
N/A
0.00000000
N/A
3100000.00000000
USD
1.00000000
4.75000000
USD
2023-09-12
XXXX
-7541.68000000
N
N
N
GEN DIGITAL INC
YF6ZV0M6AU4FY94MK914
Gen Digital, Inc.
668771AK4
25000.00000000
PA
USD
25087.24000000
0.005395883073
Long
DBT
CORP
US
N
2
2027-09-30
Fixed
6.75000000
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CT5
100000.00000000
PA
USD
100899.53000000
0.021701951511
Long
DBT
CORP
GB
N
2
2027-07-06
Fixed
6.18700000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp.
131347CN4
30000.00000000
PA
USD
27205.13000000
0.005851408942
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
5.12500000
N
N
N
N
N
N
State Street Global Advisors
5493008BJIBKQ5KTIF74
State Street Navigator Securities Lending Government Money Market Portfolio
857492706
16541243.00000000
NS
USD
16541243.00000000
3.557769332859
Long
STIV
RF
US
N
2
N
N
BX Trust 2019-OC11
N/A
BX Trust
05606FAJ2
121000.00000000
PA
USD
103369.60000000
0.022233225932
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Fixed
3.85600000
N
N
N
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain, Inc.
46284VAJ0
30000.00000000
PA
USD
27120.03000000
0.005833105229
Long
DBT
US
N
2
2030-07-15
Fixed
5.25000000
N
N
N
N
N
N
TALLGRASS NRG PRTNR/FIN
N/A
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.
87470LAK7
30000.00000000
PA
USD
26098.82000000
0.005613458518
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
6.00000000
N
N
N
N
N
N
Structured Asset Mortgage Investments Inc
N/A
Structured Asset Mortgage Investments II Trust
86360KAA6
403824.50000000
PA
USD
355893.84000000
0.076547342282
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
5.83200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31409BFF9
15519.04000000
PA
USD
15355.50000000
0.003302734080
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Floating
4.32300000
N
N
N
N
N
N
Fifth Third Bancorp
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773CM0
115000.00000000
PA
USD
108527.81000000
0.023342678309
Long
DBT
CORP
US
N
2
2023-08-31
Variable
8.57100000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. REMICS
31394TUG8
224141.47000000
PA
USD
214655.67000000
0.046169163940
Long
ABS-MBS
USGSE
US
N
2
2034-03-15
Fixed
4.50000000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAH3
50000.00000000
PA
USD
49762.14000000
0.010703078095
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
6.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Swap
000000000
4200000.00000000
OU
Notional Amount
USD
67716.60000000
0.014564808872
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX.NA.IG.S40
2I65BYEC5
Y
sell protection
2028-06-20
35485.99000000
USD
0.00000000
USD
4200000.00000000
USD
32230.61000000
N
N
N
MCGRAW-HILL EDUCATION
254900U6YJ9QZ4IQOR26
McGraw-Hill Education, Inc.
57767XAA8
30000.00000000
PA
USD
26340.00000000
0.005665332661
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
5.75000000
N
N
N
N
N
N
CRESTWOOD MID PARTNER LP
N/A
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.
226373AT5
1560000.00000000
PA
USD
1556041.02000000
0.334680714238
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
7.37500000
N
N
N
N
N
N
METINVEST BV
635400TMCKVEU87EJ582
Metinvest BV
591555AF4
110000.00000000
PA
USD
63676.80000000
0.013695909446
Long
DBT
CORP
NL
N
2
2029-10-17
Fixed
7.75000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Purchased TWD / Sold USD
000000000
1.00000000
NC
-7403.08000000
-0.00159228970
N/A
DFE
TW
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
285920.59000000
USD
8701707.00000000
TWD
2023-09-20
-7403.08000000
N
N
N
MORGAN STANLEY + CO INC CASH COLL (CCP)
N/A
Morgan Stanley & Co., Inc.
000000000
72000.00000000
NS
USD
72000.00000000
0.015486102946
Long
STIV
CORP
US
N
1
N
N
N
MTN Commercial Mortgage Trust 2022-LPFL
N/A
MTN Commercial Mortgage Trust
62475WAA3
2650000.00000000
PA
USD
2606449.37000000
0.560607545408
Long
ABS-MBS
CORP
US
N
2
2039-03-15
Floating
6.61900000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co. LP/PTL Finance Corp.
709599BS2
980000.00000000
PA
USD
970170.51000000
0.208668894358
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.70000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QX9
1860000.00000000
PA
USD
1502167.97000000
0.323093442038
Long
DBT
UST
US
N
2
2042-08-15
Fixed
2.75000000
N
N
N
N
N
N
JPN BANK FOR INT'L COOP
549300TJ3QFYVCTSCJ29
Japan Bank for International Cooperation
471048BM9
300000.00000000
PA
USD
279802.09000000
0.060181166256
Long
DBT
NUSS
JP
N
2
2027-07-21
Fixed
2.87500000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm, Inc.
893647BH9
35000.00000000
PA
USD
34986.01000000
0.007524957674
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
7.50000000
N
N
N
N
N
N
SCOTT Trust 2023-SFS
N/A
SCOTT Trust
810064AA3
1125000.00000000
PA
USD
1109161.58000000
0.238563755729
Long
ABS-MBS
CORP
US
N
2
2040-03-15
Fixed
5.91000000
N
N
N
N
N
N
HILCORP ENERGY I/HILCORP
N/A
Hilcorp Energy I LP/Hilcorp Finance Co.
431318AU8
29000.00000000
PA
USD
26825.00000000
0.005769648771
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.75000000
N
N
N
N
N
N
DT MIDSTREAM INC
N/A
DT Midstream, Inc.
23345MAA5
110000.00000000
PA
USD
97528.55000000
0.020976905077
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.12500000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bonds
91087BAS9
175000.00000000
PA
USD
137721.50000000
0.029621796208
Long
DBT
NUSS
MX
N
2
2052-02-12
Fixed
4.40000000
N
N
N
N
N
N
UNITI GROUP/CSL CAPITAL
N/A
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC
91327BAB6
70000.00000000
PA
USD
58394.92000000
0.012559857537
Long
DBT
US
N
2
2028-04-15
Fixed
4.75000000
N
N
N
N
N
BX Trust
N/A
BX Trust
05608UAL2
1280000.00000000
PA
USD
1276793.86000000
0.274618904969
Long
ABS-MBS
CORP
US
N
2
2039-10-15
Floating
8.43500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DQSF4
49882.56000000
PA
USD
48770.77000000
0.010489849514
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
5.00000000
N
N
N
N
N
N
CenturyLink, Inc.
8M3THTGWLTYZVE6BBY25
CenturyLink, Inc.
15669GAF1
1345213.30000000
PA
USD
1189397.24000000
0.255821223656
Long
LON
CORP
US
N
2
2025-01-31
Variable
7.43300000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAC4
25000.00000000
PA
USD
24054.33000000
0.005173719870
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DWGY3
244675.75000000
PA
USD
239047.96000000
0.051415573858
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
5.00000000
N
N
N
N
N
N
SUTTER HEALTH
549300MJCC12LU768G81
Sutter Health
86944BAK9
1140000.00000000
PA
USD
1132295.37000000
0.243539481472
Long
DBT
CORP
US
N
2
2033-08-15
Fixed
5.16400000
N
N
N
N
N
N
DUKE ENERGY FLORIDA LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAN1
1175000.00000000
PA
USD
1267285.12000000
0.272573719878
Long
DBT
CORP
US
N
2
2052-11-15
Fixed
5.95000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings, Inc.
65339KAT7
1700000.00000000
PA
USD
1606416.12000000
0.345515630690
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.55000000
N
N
N
N
N
Fannie Mae - CAS
N/A
Federal National Mortgage Association Connecticut Avenue Securities
20753XAB0
475000.00000000
PA
USD
491145.82000000
0.105637982366
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Floating
8.56900000
N
N
N
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp.
30161NAY7
160000.00000000
PA
USD
141100.74000000
0.030348619243
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.70000000
N
N
N
N
N
N
KB HOME
549300LGUCWQURMWLG09
KB Home
48666KAZ2
20000.00000000
PA
USD
17414.00000000
0.003745486065
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
4.00000000
N
N
N
N
N
N
ATI INC
ZW1LRE7C3H17O2ZN9B45
ATI, Inc.
01741RAM4
20000.00000000
PA
USD
17949.05000000
0.003860567168
Long
DBT
CORP
US
N
2
2031-10-01
Fixed
5.12500000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp.
06406RAB3
1760000.00000000
PA
USD
1658865.33000000
0.356796656600
Long
DBT
CORP
US
N
2
2028-02-07
Fixed
3.44200000
N
N
N
N
N
N
MEDLINE BORROWER LP
254900QT3R363TVK6F09
Medline Borrower LP
62482BAA0
65000.00000000
PA
USD
56918.69000000
0.012242342957
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.87500000
N
N
N
N
N
N
GOODYEAR TIRE & RUBBER
5493002BI0S2ZQUY3437
Goodyear Tire & Rubber Co.
382550BJ9
55000.00000000
PA
USD
49867.94000000
0.010725834063
Long
DBT
CORP
US
N
2
2031-04-30
Fixed
5.25000000
N
N
N
N
N
Monongahela Power Co
N/A
Monongahela Power Co.
610202BR3
1800000.00000000
PA
USD
1687599.78000000
0.362976998973
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.55000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
U.S. Bancorp
91159HJL5
200000.00000000
PA
USD
187835.91000000
0.040400642213
Long
DBT
CORP
US
N
2
2034-02-01
Fixed
4.83900000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Purchased USD / Sold PEN
000000000
1.00000000
NC
-11265.05000000
-0.00242294061
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
3140591.61000000
PEN
860153.27000000
USD
2023-08-01
-11265.05000000
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co. Ltd.
654744AD3
200000.00000000
PA
USD
180553.45000000
0.038834296029
Long
DBT
CORP
JP
N
2
2030-09-17
Fixed
4.81000000
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings, Inc.
55903VBE2
325000.00000000
PA
USD
264170.53000000
0.056819055876
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14100000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAN0
20000.00000000
PA
USD
20624.20000000
0.004435951172
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
7.50000000
N
N
N
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAK9
1290000.00000000
PA
USD
1312126.87000000
0.282218497056
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
6.07300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DWHU0
472089.67000000
PA
USD
474858.89000000
0.102134911885
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
6.00000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust
07384MW65
199530.95000000
PA
USD
184026.14000000
0.039581218735
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
3.67500000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America, Inc.
911365BL7
55000.00000000
PA
USD
52386.60000000
0.011267559453
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.25000000
N
N
N
N
N
N
FHLMC Structured Pass Through Securities
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates
31394JY35
156870.60000000
PA
USD
157190.77000000
0.033809339534
Long
ABS-MBS
USGSE
US
N
2
2043-09-25
Fixed
6.50000000
N
N
N
N
N
N
REALOGY GROUP/CO-ISSUER
N/A
Realogy Group LLC/Realogy Co.-Issuer Corp.
75606DAL5
75000.00000000
PA
USD
55496.76000000
0.011936507480
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.75000000
N
N
N
N
N
N
BUILDERS FIRSTSOURCE INC
549300W0SKP6L3H7DP63
Builders FirstSource, Inc.
12008RAR8
35000.00000000
PA
USD
34820.00000000
0.007489251452
Long
DBT
CORP
US
N
2
2032-06-15
Fixed
6.37500000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CU4
40000.00000000
PA
USD
38763.75000000
0.008337491987
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
10.25000000
N
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust
68268VAA3
288000.00000000
PA
USD
281740.52000000
0.060598093013
Long
ABS-O
CORP
US
N
2
2034-10-14
Fixed
4.89000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 Ltd.
55284JAA7
600000.00000000
PA
USD
591249.18000000
0.127168689842
Long
ABS-CBDO
CORP
KY
N
2
2037-02-19
Floating
6.41800000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co. LP/PTL Finance Corp.
709599BT0
735000.00000000
PA
USD
723622.08000000
0.155640083686
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
5.55000000
N
N
N
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp.
00130HCG8
200000.00000000
PA
USD
163046.76000000
0.035068873756
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.45000000
N
N
N
N
N
N
UGI Energy Services, LLC
5493001O7RUKEUP5XR11
UGI Energy Services LLC
90276DAC3
1543227.01000000
PA
USD
1538026.33000000
0.330806028906
Long
LON
CORP
US
N
2
2030-02-22
Variable
8.66900000
N
N
N
N
N
N
HAT HOLDINGS I LLC/HAT
N/A
HAT Holdings I LLC/HAT Holdings II LLC
418751AE3
1900000.00000000
PA
USD
1716123.57000000
0.369112031589
Long
DBT
US
N
2
2026-06-15
Fixed
3.37500000
N
N
N
N
N
N
SENSATA TECHNOLOGIES BV
PUCKW5P5O3XMOZVH7T53
Sensata Technologies BV
81725WAL7
35000.00000000
PA
USD
33728.75000000
0.007254540205
Long
DBT
CORP
NL
N
2
2030-09-01
Fixed
5.87500000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co. JSC
48667QAP0
65000.00000000
PA
USD
54534.35000000
0.011729507753
Long
DBT
CORP
KZ
N
2
2047-04-19
Fixed
5.75000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust
61691JBA1
123000.00000000
PA
USD
97230.04000000
0.020912700124
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Variable
4.28100000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Purchased PEN / Sold USD
000000000
1.00000000
NC
3172.16000000
0.000682283282
N/A
DFE
PE
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
187735.27000000
USD
690452.78000000
PEN
2023-09-20
3172.16000000
N
N
N
AMER AIRLINE 16-2 AA PTT
N/A
American Airlines Pass-Through Trust
023765AA8
209100.00000000
PA
USD
188174.88000000
0.040473549495
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.20000000
N
N
N
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain, Inc.
46284VAL5
30000.00000000
PA
USD
27027.09000000
0.005813115251
Long
DBT
US
N
2
2032-07-15
Fixed
5.62500000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust
05609VAL9
385000.00000000
PA
USD
367642.81000000
0.079074366712
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
6.98600000
N
N
N
N
N
N
Santander Drive Auto Receivables Trust
N/A
Santander Drive Auto Receivables Trust
80287FAE2
3000000.00000000
PA
USD
3050448.30000000
0.656104950106
Long
ABS-O
CORP
US
N
2
2031-03-17
Fixed
6.69000000
N
N
N
N
N
N
CAESARS ENTERTAIN INC
549300FA4CTCW903Y781
Caesars Entertainment, Inc.
12769GAA8
30000.00000000
PA
USD
26409.69000000
0.005680321918
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.62500000
N
N
N
N
N
ADANI ELECTRICITY MUMBAI
335800AIC1B5EBFVUC38
Adani Electricity Mumbai Ltd.
00654GAA1
300000.00000000
PA
USD
224820.00000000
0.048355356451
Long
DBT
CORP
IN
N
2
2030-02-12
Fixed
3.94900000
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Trust
92922F4M7
196870.32000000
PA
USD
186175.34000000
0.040043478908
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Floating
5.99200000
N
N
N
N
N
N
L3HARRIS TECH INC
549300UTE50ZMDBG8A20
L3Harris Technologies, Inc.
502431AR0
90000.00000000
PA
USD
91793.67000000
0.019743419770
Long
DBT
CORP
US
N
2
2053-07-31
Fixed
5.60000000
N
N
N
N
N
N
MONGOLIA INTL BOND
N/A
Mongolia Government International Bonds
60937LAC9
55000.00000000
PA
USD
51864.45000000
0.011155252944
Long
DBT
NUSS
MN
N
2
2026-04-07
Fixed
5.12500000
N
N
N
N
N
N
ELLINGTON FINANCIAL
60GS1D1R1YY5G1W7IT74
Ellington Financial, Inc.
28852N406
121000.00000000
NS
USD
2746700.00000000
0.590773318943
Long
EP
US
N
1
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Inflation-Indexed Bonds
912810TP3
306912.00000000
PA
USD
290919.01000000
0.062572246361
Long
DBT
UST
US
N
2
2053-02-15
Fixed
1.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Swap
000000000
1200000.00000000
OU
Notional Amount
-18090.86000000
-0.00389106833
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-20
0.00000000
CAD
-21204.74000000
CAD
1200000.00000000
CAD
-1991.53000000
N
N
N
KNIFE RIVER CORP
N/A
Knife River Corp.
498894AA2
30000.00000000
PA
USD
30592.40000000
0.006579959108
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
7.75000000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp.
143658BQ4
50000.00000000
PA
USD
44455.40000000
0.009561679179
Long
DBT
CORP
PA
N
2
2028-08-01
Fixed
4.00000000
N
N
N
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co.
842587DE4
200000.00000000
PA
USD
183073.71000000
0.039376365554
Long
DBT
CORP
US
N
2
2030-04-30
Fixed
3.70000000
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust
17291NAE1
100000.00000000
PA
USD
96078.91000000
0.020665109601
Long
ABS-MBS
CORP
US
N
2
2028-06-10
Variable
5.85200000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Purchased USD / Sold EUR
000000000
1.00000000
NC
-2426.47000000
-0.00052189672
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
1073000.00000000
EUR
1177337.45000000
USD
2023-08-02
-2426.47000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust
466247YH0
276245.77000000
PA
USD
225417.98000000
0.048483972838
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
3.91900000
N
N
N
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DaVita, Inc.
23918KAT5
35000.00000000
PA
USD
27987.30000000
0.006019641791
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.75000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust
07386HB83
271131.45000000
PA
USD
188090.26000000
0.040455349022
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
4.10400000
N
N
N
N
N
N
NOVA CHEMICALS CORP
549300ZOD6N7RI2FJP09
NOVA Chemicals Corp.
66977WAS8
25000.00000000
PA
USD
20781.93000000
0.004469876491
Long
DBT
CORP
CA
N
2
2029-05-15
Fixed
4.25000000
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd.
780153BJ0
50000.00000000
PA
USD
47952.08000000
0.010313761769
Long
DBT
CORP
LR
N
2
2026-08-31
Fixed
5.50000000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge, Inc.
29250NBL8
210000.00000000
PA
USD
200322.73000000
0.043086366935
Long
DBT
CORP
CA
N
2
2025-02-14
Fixed
2.50000000
N
N
N
N
N
N
NCL CORPORATION LTD
UNZWILHE4KMRP9K2L524
NCL Corp. Ltd.
62886HBE0
30000.00000000
PA
USD
29214.83000000
0.006283664791
Long
DBT
CORP
BM
N
2
2027-02-15
Fixed
5.87500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Swap
000000000
1000000.00000000
OU
Notional Amount
USD
22065.48000000
0.004745948539
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-09-20
18861.60000000
USD
0.00000000
USD
1000000.00000000
USD
3203.88000000
N
N
N
AVIENT CORP
SM8L9RZYIB34LNTWO040
Avient Corp.
05368VAA4
50000.00000000
PA
USD
50403.00000000
0.010840917317
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
7.12500000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp.
143658BJ0
25000.00000000
PA
USD
26137.28000000
0.005621730678
Long
DBT
CORP
PA
N
2
2027-08-01
Fixed
9.87500000
N
N
N
N
N
N
C&W Senior Financing DAC
5493009O8OIWZPZRY516
C&W Senior Financing DAC
12674TAA4
45000.00000000
PA
USD
40500.00000000
0.008710932907
Long
DBT
CORP
IE
N
2
2027-09-15
Fixed
6.87500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PES7
185000.00000000
PA
USD
203622.72000000
0.043796144503
Long
DBT
CORP
US
N
2
2053-02-15
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140XLPT9
199562.01000000
PA
USD
200936.55000000
0.043218390264
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
6.00000000
N
N
N
N
N
N
ENSTAR FINANCE LLC
N/A
Enstar Finance LLC
29360AAB6
2000000.00000000
PA
USD
1552561.60000000
0.333932344011
Long
DBT
CORP
US
N
2
2042-01-15
Fixed
5.50000000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RES9
122000.00000000
PA
USD
105440.46000000
0.022678636365
Long
ABS-O
CORP
US
N
2
2028-02-20
Fixed
1.90000000
N
N
N
N
N
N
AMERICAN AIRLINES INC
IWUQB36BXD6OWD6X4T14
American Airlines, Inc.
023771S58
45000.00000000
PA
USD
49596.50000000
0.010667451455
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
11.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. REMICS
31394TYD1
167630.49000000
PA
USD
166542.64000000
0.035820784278
Long
ABS-MBS
USGSE
US
N
2
2034-03-15
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SH2
200000.00000000
PA
USD
160757.81000000
0.034576555488
Long
DBT
UST
US
N
2
2049-05-15
Fixed
2.87500000
N
N
N
N
N
N
PILGRIM'S PRIDE CORP
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp.
72147KAH1
30000.00000000
PA
USD
24219.00000000
0.005209137878
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
3.50000000
N
N
N
N
N
KREF 2022-Fl3 Ltd
549300DG0FGL1EU1CT79
KREF Ltd.
48275EAA4
600000.00000000
PA
USD
593303.34000000
0.127610508359
Long
ABS-CBDO
CORP
KY
N
2
2039-02-17
Floating
6.69600000
N
N
N
N
N
N
CVS PASS-THROUGH TR 2013
N/A
CVS Pass-Through Trust
12665UAA2
2476004.45000000
PA
USD
2297236.80000000
0.494100633027
Long
DBT
CORP
US
N
2
2036-01-10
Fixed
4.70400000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAR6
200000.00000000
PA
USD
197340.79000000
0.042444997076
Long
DBT
CORP
ES
N
2
2025-08-18
Fixed
5.14700000
N
N
N
N
N
N
GOODYEAR TIRE & RUBBER
5493002BI0S2ZQUY3437
Goodyear Tire & Rubber Co.
382550BN0
50000.00000000
PA
USD
46105.33000000
0.009916553982
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
5.00000000
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp.
89832QAE9
25000.00000000
PA
USD
23579.87000000
0.005071670754
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
4.95000000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust
61767CBA5
103000.00000000
PA
USD
86844.63000000
0.018678956674
Long
ABS-MBS
CORP
US
N
2
2050-05-15
Variable
4.55800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31374GEW3
3644.06000000
PA
USD
3601.80000000
0.000774692299
Long
ABS-MBS
USGSE
US
N
2
2027-04-01
Floating
4.93000000
N
N
N
N
N
N
ENERGIZER HOLDINGS INC
5493000D6NN0V57UME20
Energizer Holdings, Inc.
29272WAF6
30000.00000000
PA
USD
29153.03000000
0.006270372552
Long
DBT
CORP
US
N
2
2027-12-31
Fixed
6.50000000
N
N
N
N
N
GA GLOBAL FUNDING TRUST
54930029I8ROQ4OROZ88
GA Global Funding Trust
36143L2C8
1400000.00000000
PA
USD
1311760.22000000
0.282139636228
Long
DBT
CORP
US
N
2
2024-09-13
Fixed
0.80000000
N
N
N
N
N
N
ARBOR REALTY SR INC
549300TW7RTL2CI3CN08
Arbor Realty SR, Inc.
03881NAC1
2395000.00000000
PA
USD
2316411.50000000
0.498224818835
Long
DBT
US
N
2
2027-10-15
Fixed
8.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GKW8
225000.00000000
PA
USD
221312.40000000
0.047600925136
Long
DBT
CORP
US
N
2
2028-07-22
Fixed
4.94800000
N
N
N
N
N
N
GS Mortgage Securities Trust
549300WZ62L3Y22NOZ64
GS Mortgage Securities Trust
36252AAG1
169000.00000000
PA
USD
150445.03000000
0.032358433644
Long
ABS-MBS
CORP
US
N
2
2048-11-10
Variable
4.03700000
N
N
N
N
N
N
MAUSER PACKAGING SOLUT
549300DNGHXL0OMHW304
Mauser Packaging Solutions Holding Co.
57763RAB3
65000.00000000
PA
USD
64824.58000000
0.013942779435
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
7.87500000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.
03522AAG5
260000.00000000
PA
USD
251588.38000000
0.054112827123
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
3.65000000
N
N
N
N
N
N
PFIZER INVESTMENT ENTER
5493000FQO8XF9C0RT95
Pfizer Investment Enterprises Pte. Ltd.
716973AH5
110000.00000000
PA
USD
110315.67000000
0.023727219753
Long
DBT
CORP
SG
N
2
2063-05-19
Fixed
5.34000000
N
N
N
N
N
N
BANK OF NEW ZEALAND
N7LGVZM7X4UQ66T7LT74
Bank of New Zealand
06407EAG0
1390000.00000000
PA
USD
1360418.49000000
0.292605288706
Long
DBT
CORP
NZ
N
2
2028-02-07
Fixed
4.84600000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
00774MAX3
290000.00000000
PA
USD
237949.20000000
0.051179247323
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300CFP9NBBMZH1008
Wells Fargo Commercial Mortgage Trust
95000KBG9
143000.00000000
PA
USD
121613.19000000
0.026157144167
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Fixed
3.81100000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Inflation-Indexed Bonds
912810RL4
387423.00000000
PA
USD
313158.10000000
0.067355535766
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL Commercial Mortgage Trust
12596GBF5
127000.00000000
PA
USD
97674.13000000
0.021008217116
Long
ABS-MBS
CORP
US
N
2
2051-11-15
Variable
4.90100000
N
N
N
N
N
N
PILGRIM'S PRIDE CORP
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp.
72147KAJ7
50000.00000000
PA
USD
43249.84000000
0.009302381592
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
4.25000000
N
N
N
N
N
N
Jazz Financing Lux S.a.r.l.
635400WUEO2NSG5OIU34
Jazz Financing Lux Sarl
000000000
1546864.65000000
PA
USD
1544931.07000000
0.332291133273
Long
LON
CORP
LU
N
2
2028-05-05
Variable
8.93300000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC/EMC Corp.
24703TAC0
200000.00000000
PA
USD
200935.97000000
0.043218265515
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.85000000
N
N
N
N
N
N
Sierra Receivables Funding Co LLC
N/A
Sierra Timeshare Receivables Funding LLC
82652RAB5
34319.92000000
PA
USD
31934.85000000
0.006868699648
Long
ABS-O
CORP
US
N
2
2038-09-20
Fixed
1.80000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust
92890KBD6
5236245.91000000
PA
USD
27180.31000000
0.005846070538
Long
ABS-MBS
CORP
US
N
2
2057-09-15
Variable
0.77500000
N
N
N
N
N
N
Verscend Holding Corp.
N/A
Verscend Holding Corp.
92531HAD9
1096607.59000000
PA
USD
1094776.26000000
0.235469692584
Long
LON
CORP
US
N
2
2025-08-27
Variable
9.43300000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial, Inc.
21871XAK5
130000.00000000
PA
USD
105650.99000000
0.022723918160
Long
DBT
CORP
US
N
2
2042-04-05
Fixed
4.35000000
N
N
N
N
N
N
BPCRE Holder LLC
N/A
BPCRE Ltd.
05602FAA5
500000.00000000
PA
USD
499704.95000000
0.107478920815
Long
ABS-CBDO
CORP
BM
N
2
2037-01-16
Floating
7.63000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bonds
91087BAR1
175000.00000000
PA
USD
146574.75000000
0.031525995387
Long
DBT
NUSS
MX
N
2
2034-02-12
Fixed
3.50000000
N
N
N
N
N
N
AMCOR FINANCE USA INC
549300ZMT7FVT8R77U18
Amcor Finance USA, Inc.
02343UAJ4
940000.00000000
PA
USD
938685.35000000
0.201896916176
Long
DBT
CORP
US
N
2
2033-05-26
Fixed
5.62500000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Swaption
000000000
-3100000.00000000
NC
USD
-31295.74000000
-0.00673123682
N/A
DIR
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Bank of America N.A.
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
3100000.00000000
OU
Notional Amount
N/A
-31295.74000000
-0.01000000
DIR
US
N/A
N/A
2024-09-14
0.00000000
N/A
0.00000000
N/A
3100000.00000000
USD
1.00000000
4.25000000
USD
2023-09-12
XXXX
-15795.74000000
N
N
N
L3HARRIS TECH INC
549300UTE50ZMDBG8A20
L3Harris Technologies, Inc.
502431AQ2
110000.00000000
PA
USD
110760.02000000
0.023822792668
Long
DBT
CORP
US
N
2
2033-07-31
Fixed
5.40000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
48128BAG6
41000.00000000
PA
USD
38745.00000000
0.008333459148
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
4.60000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
05565AHN6
200000.00000000
PA
USD
194250.00000000
0.041780215241
Long
DBT
CORP
FR
N
2
2024-03-25
Fixed
6.62500000
N
N
N
N
N
N
QUALCOMM INC
H1J8DDZKZP6H7RWC0H53
QUALCOMM, Inc.
747525BT9
190000.00000000
PA
USD
211285.12000000
0.045444209992
Long
DBT
CORP
US
N
2
2053-05-20
Fixed
6.00000000
N
N
N
N
N
N
PIONEER NATURAL RESOURCE
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co.
723787AV9
100000.00000000
PA
USD
99660.98000000
0.021435558278
Long
DBT
CORP
US
N
2
2026-03-29
Fixed
5.10000000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP/MPT Finance Corp.
55342UAJ3
45000.00000000
PA
USD
35743.99000000
0.007687987623
Long
DBT
US
N
2
2029-08-01
Fixed
4.62500000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35908MAD2
30000.00000000
PA
USD
28943.53000000
0.006225312294
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
8.75000000
N
N
N
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm, Inc.
893647BE6
95000.00000000
PA
USD
94488.52000000
0.020323040944
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.25000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio, Inc.
82967NBG2
80000.00000000
PA
USD
65885.60000000
0.014170988670
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
4.12500000
N
N
N
N
N
N
Polaris Newco LLC
254900LEPDAG7EDOA064
Polaris Newco LLC
73108RAB4
9924.24000000
PA
USD
9355.18000000
0.002012156674
Long
LON
CORP
US
N
2
2028-06-02
Floating
9.53800000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F052698
3100000.00000000
PA
USD
3079583.40000000
0.662371466189
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
5.50000000
N
N
N
N
N
N
WRKCo Inc
549300JEB576INN13W07
WRKCo, Inc.
92940PAD6
100000.00000000
PA
USD
96948.78000000
0.020852205383
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.90000000
N
N
N
N
N
N
INEOS FINANCE PLC
2138002D68XDR4LZCG32
INEOS Finance PLC
44984WAH0
60000.00000000
PA
USD
57237.00000000
0.012310806588
Long
DBT
CORP
GB
N
2
2028-05-15
Fixed
6.75000000
N
N
N
N
N
STEWART INFORMATION SERV
529900TV1XI0PLKENU10
Stewart Information Services Corp.
86038AAA0
2000000.00000000
PA
USD
1524140.96000000
0.327819497388
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
3.60000000
N
N
N
N
N
N
NY STATE ELECTRIC & GAS
549300GEC6J0YHUXA160
New York State Electric & Gas Corp.
649840CT0
1400000.00000000
PA
USD
1084813.31000000
0.233326813843
Long
DBT
CORP
US
N
2
2031-10-01
Fixed
2.15000000
N
N
N
N
N
N
RHP HOTEL PPTY/RHP FINAN
N/A
RHP Hotel Properties LP/RHP Finance Corp.
749571AJ4
30000.00000000
PA
USD
30450.81000000
0.006549505256
Long
DBT
US
N
2
2028-07-15
Fixed
7.25000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XCE3
200000.00000000
PA
USD
170045.63000000
0.036574224053
Long
DBT
CORP
US
N
2
2031-03-25
Fixed
2.87500000
N
N
N
N
N
N
Lloyds Bank PLC
H7FNTJ4851HG0EXQ1Z70
Lloyds Bank PLC
000000000
2200000.00000000
PA
USD
1358559.58000000
0.292205465489
Long
DBT
CORP
GB
N
2
2032-04-02
Variable
0.00000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp.
89788MAK8
770000.00000000
PA
USD
789372.36000000
0.169781967087
Long
DBT
CORP
US
N
2
2033-10-28
Fixed
6.12300000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Purchased IDR / Sold USD
000000000
1.00000000
NC
-326.50000000
-0.00007022517
N/A
DFE
ID
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
25110.27000000
USD
373866810.00000000
IDR
2023-09-20
-326.50000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Swap
000000000
1400000.00000000
OU
Notional Amount
-2601.89000000
-0.00055962689
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-07-14
180.24000000
CAD
0.00000000
CAD
1400000.00000000
CAD
-2739.36000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC/CCO Holdings Capital Corp.
1248EPCD3
65000.00000000
PA
USD
56339.85000000
0.012117843293
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.75000000
N
N
N
N
N
HGI CRE CLO Ltd
N/A
HGI CRE CLO Ltd.
403950AA6
800000.00000000
PA
USD
792688.96000000
0.170495317213
Long
ABS-CBDO
CORP
US
N
2
2037-04-20
Floating
6.76800000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Purchased PEN / Sold USD
000000000
1.00000000
NC
-1865.78000000
-0.00040130084
N/A
DFE
PE
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
873284.10000000
USD
3140591.61000000
PEN
2023-08-01
-1865.78000000
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill, Inc.
141781BZ6
1085000.00000000
PA
USD
1095753.00000000
0.235679774475
Long
DBT
CORP
US
N
2
2032-10-11
Fixed
5.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DQFK7
344497.47000000
PA
USD
342237.34000000
0.073610037214
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
5.50000000
N
N
N
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain, Inc.
46284VAG6
10000.00000000
PA
USD
9260.15000000
0.001991717169
Long
DBT
US
N
2
2028-07-15
Fixed
5.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Swap
000000000
400000.00000000
OU
Notional Amount
USD
-1033.60000000
-0.00022231161
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
AT&T, Inc.
AT&T, Inc.
Y
sell protection
2028-06-20
0.00000000
USD
-1537.94000000
USD
400000.00000000
USD
504.34000000
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp.
131347CR5
45000.00000000
PA
USD
36885.23000000
0.007933450958
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
3.75000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust
05608UAJ7
1340000.00000000
PA
USD
1338321.52000000
0.287852567147
Long
ABS-MBS
CORP
US
N
2
2039-10-15
Floating
7.88600000
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NiSource, Inc.
65473PAJ4
200000.00000000
PA
USD
180686.86000000
0.038862990487
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140XKMD9
98629.22000000
PA
USD
89561.12000000
0.019263232282
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
3.50000000
N
N
N
N
N
N
SPIRIT AIR 2015-1 PTT A
N/A
Spirit Airlines Pass-Through Trust
84858DAA6
58737.65000000
PA
USD
54351.52000000
0.011690183806
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
4.10000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM Mortgage Trust
12591TAF3
7242294.63000000
PA
USD
17238.83000000
0.003707809667
Long
ABS-MBS
CORP
US
N
2
2047-04-10
Variable
1.03900000
N
N
N
N
N
N
ATI INC
ZW1LRE7C3H17O2ZN9B45
ATI, Inc.
01741RAL6
30000.00000000
PA
USD
27300.62000000
0.005871947386
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.87500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
949746TD3
135000.00000000
PA
USD
121392.00000000
0.026109569568
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
3.90000000
N
N
N
N
N
N
BUILDERS FIRSTSOURCE INC
549300W0SKP6L3H7DP63
Builders FirstSource, Inc.
12008RAP2
15000.00000000
PA
USD
13015.87000000
0.002799515316
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.25000000
N
N
N
N
N
N
CONNECT FINCO SARL/CONNE
N/A
Connect Finco Sarl/Connect U.S. Finco LLC
20752TAA2
1665000.00000000
PA
USD
1596266.87000000
0.343332681657
Long
DBT
CORP
XX
N
2
2026-10-01
Fixed
6.75000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust
81744MAA0
48535.40000000
PA
USD
41478.08000000
0.008921303012
Long
ABS-MBS
CORP
US
N
2
2036-07-20
Floating
5.76900000
N
N
N
N
N
N
Avangrid Inc
549300OX0Q38NLSKPB49
Avangrid, Inc.
05351WAB9
1600000.00000000
PA
USD
1465608.93000000
0.315230149579
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
3.80000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
Purchased USD / Sold EUR
000000000
1.00000000
NC
3833.72000000
0.000824574758
N/A
DFE
US
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
421000.00000000
EUR
466723.38000000
USD
2023-08-02
3833.72000000
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YAS8
120000.00000000
PA
USD
108791.17000000
0.023399323032
Long
DBT
CORP
US
N
2
2045-05-14
Fixed
4.70000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Purchased USD / Sold CAD
000000000
1.00000000
NC
26.18000000
0.000005630919
N/A
DFE
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
40000.00000000
CAD
30360.66000000
USD
2023-08-02
26.18000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAJ9
245000.00000000
PA
USD
194162.50000000
0.041761395325
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
6.62500000
N
N
N
N
N
N
CHEC Loan Trust
N/A
CHEC Loan Trust
162765AT8
365284.36000000
PA
USD
354405.57000000
0.076227238082
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
6.37200000
N
N
N
N
N
N
SOLARIS MIDSTREAM HOLDIN
5493007AWQW8ZKCHVV46
Solaris Midstream Holdings LLC
83419MAA0
40000.00000000
PA
USD
39215.00000000
0.008434548986
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
7.62500000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Future
000000000
139.00000000
NC
USD
-357015.72000000
-0.07678864157
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CBOT 2 Year U.S. Treasury Notes Futures
TUU3 Comdty
2023-09-29
28578359.47000000
USD
-357015.72000000
N
N
N
First Horizon Mortgage Pass-Through Trust
N/A
First Horizon Mortgage Pass-Through Trust
32051GQL2
8059.00000000
PA
USD
5735.95000000
0.001233715447
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
5.46700000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Purchased THB / Sold USD
000000000
1.00000000
NC
2098.61000000
0.000451379034
N/A
DFE
TH
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
327438.00000000
USD
11228503.90000000
THB
2023-09-20
2098.61000000
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bonds
760942BA9
50000.00000000
PA
USD
49834.00000000
0.010718534086
Long
DBT
NUSS
UY
N
2
2050-06-18
Fixed
5.10000000
N
N
N
N
N
N
CAMB Commercial Mortgage Trust
N/A
CAMB Commercial Mortgage Trust
12482HAQ7
100000.00000000
PA
USD
96800.93000000
0.020820405101
Long
ABS-MBS
CORP
US
N
2
2037-12-15
Floating
7.88600000
N
N
N
N
N
N
KROGER CO
6CPEOKI6OYJ13Q6O7870
Kroger Co.
501044DM0
115000.00000000
PA
USD
113663.11000000
0.024447203093
Long
DBT
CORP
US
N
2
2049-01-15
Fixed
5.40000000
N
N
N
N
N
N
AMERICAN HONDA FINANCE
B6Q2VFHD1797Q7NZ3E43
American Honda Finance Corp.
02665WEP2
200000.00000000
PA
USD
200092.86000000
0.043036925401
Long
DBT
CORP
US
N
2
2025-01-10
Floating
5.95500000
N
N
N
N
N
N
ORGANON & CO/ORG
N/A
Organon & Co./Organon Foreign Debt Co.-Issuer BV
68622TAB7
35000.00000000
PA
USD
29669.09000000
0.006381369195
Long
DBT
CORP
US
N
2
2031-04-30
Fixed
5.12500000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust
43283BAD5
78323.62000000
PA
USD
74086.88000000
0.015934959037
Long
ABS-O
CORP
US
N
2
2034-06-20
Fixed
6.79000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Inflation-Indexed Bonds
912810SV1
116805.00000000
PA
USD
75544.55000000
0.016248481644
Long
DBT
UST
US
N
2
2051-02-15
Fixed
0.12500000
N
N
N
N
N
N
NuStar Logistics LP
N62BF2PKP51FIIOIUN20
NuStar Logistics LP
67059TAE5
15000.00000000
PA
USD
14554.90000000
0.003130537219
Long
DBT
CORP
US
N
2
2027-04-28
Fixed
5.62500000
N
N
N
N
N
PRESIDIO HOLDING INC
N/A
Presidio Holdings, Inc.
74101XAE0
65000.00000000
PA
USD
61451.27000000
0.013217231853
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
4.87500000
N
N
N
N
N
N
PROTECTIVE LIFE GLOBAL
635400EVYITCJYWL2I50
Protective Life Global Funding
74368CBL7
1755000.00000000
PA
USD
1677850.27000000
0.360880027923
Long
DBT
CORP
US
N
2
2025-03-28
Fixed
3.21800000
N
N
N
N
N
N
RHP HOTEL PPTY/RHP FINAN
N/A
RHP Hotel Properties LP/RHP Finance Corp.
749571AF2
50000.00000000
PA
USD
47015.50000000
0.010112317681
Long
DBT
US
N
2
2027-10-15
Fixed
4.75000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp.
89788MAP7
170000.00000000
PA
USD
171514.37000000
0.036890127648
Long
DBT
CORP
US
N
2
2034-06-08
Fixed
5.86700000
N
N
N
N
N
N
Jeld-Wen Inc
549300XWE6NM0N1HFW16
JELD-WEN, Inc.
475795AD2
40000.00000000
PA
USD
35900.00000000
0.007721542997
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31408DXN9
13025.33000000
PA
USD
12848.79000000
0.002763578953
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Floating
3.97800000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Federal National Mortgage Association Connecticut Avenue Securities
20753YCK6
191000.00000000
PA
USD
194462.83000000
0.041825991731
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Floating
8.16900000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BX6
49000.00000000
PA
USD
45459.77000000
0.009777703863
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.12500000
N
N
N
N
N
N
WYNDHAM HOTELS & RESORTS
549300FE3MQ4RVXXC673
Wyndham Hotels & Resorts, Inc.
98311AAB1
60000.00000000
PA
USD
54911.74000000
0.011810678592
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.37500000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Purchased USD / Sold MXN
000000000
1.00000000
NC
-785.94000000
-0.00016904371
N/A
DFE
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
447053.67000000
MXN
25547.53000000
USD
2023-10-16
-785.94000000
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bonds
698299BR4
100000.00000000
PA
USD
83302.00000000
0.017916990939
Long
DBT
NUSS
PA
N
2
2033-01-19
Fixed
3.29800000
N
N
N
N
N
N
VALARIS LTD
N/A
Valaris Ltd.
91889FAC5
30000.00000000
PA
USD
30696.00000000
0.006602241889
Long
DBT
CORP
BM
N
2
2030-04-30
Fixed
8.37500000
N
N
N
N
N
N
MASSMUTUAL GLOBAL FUNDIN
549300K1IE3K7YU6VG29
MassMutual Global Funding II
57629TBQ9
200000.00000000
PA
USD
201038.32000000
0.043240279441
Long
DBT
CORP
US
N
2
2026-07-10
Floating
6.28000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SX7
735000.00000000
PA
USD
530578.13000000
0.114119271423
Long
DBT
UST
US
N
2
2051-05-15
Fixed
2.37500000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust
07384MX98
89987.40000000
PA
USD
73109.72000000
0.015724786810
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
0.00000000
N
N
N
N
N
N
PACIFIC LIFE GF II
6354003EUPCHXTWUU869
Pacific Life Global Funding II
6944PL2U2
100000.00000000
PA
USD
100187.09000000
0.021548716523
Long
DBT
CORP
US
N
2
2028-07-18
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TN8
11900000.00000000
PA
USD
11098609.38000000
2.387141769790
Long
DBT
UST
US
N
2
2053-02-15
Fixed
3.62500000
N
N
N
N
N
N
FannieMae Whole Loan
N/A
Federal National Mortgage Association Trust
31394ALL8
182543.71000000
PA
USD
183982.57000000
0.039571847492
Long
ABS-MBS
USGSE
US
N
2
2044-06-25
Fixed
6.50000000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp.
961214EX7
240000.00000000
PA
USD
184763.91000000
0.039739901820
Long
DBT
CORP
AU
N
2
2036-11-18
Fixed
3.02000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Countrywide Alternative Loan Trust
02149CAJ0
305531.73000000
PA
USD
170577.72000000
0.036688668504
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Fixed
6.00000000
N
N
N
N
N
N
Delta Funding Home Equity Loan Trust
N/A
Delta Funding Home Equity Loan Trust
24763LFX3
28653.43000000
PA
USD
27422.71000000
0.005898207085
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Floating
6.15600000
N
N
N
N
N
N
Texas Natural Gas Securitization Finance Corp
N/A
Texas Natural Gas Securitization Finance Corp.
88258MAA3
100000.00000000
PA
USD
100270.44000000
0.021566643838
Long
DBT
MUN
US
N
2
2035-04-01
Fixed
5.10200000
N
N
N
N
N
N
MASONITE INTERNATIONAL C
549300H0H07ZFT4JYM32
Masonite International Corp.
575385AE9
50000.00000000
PA
USD
42113.70000000
0.009058015189
Long
DBT
CORP
CA
N
2
2030-02-15
Fixed
3.50000000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial, Inc.
02005NBN9
164000.00000000
PA
USD
114764.10000000
0.024684009266
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.70000000
N
N
N
N
N
N
NUSTAR LOGISTICS LP
N62BF2PKP51FIIOIUN20
NuStar Logistics LP
67059TAG0
20000.00000000
PA
USD
19650.00000000
0.004226415595
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
5.75000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust, Inc.
17307GW53
20804.62000000
PA
USD
20154.53000000
0.004334932311
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
6.98000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp.
15135BAZ4
300000.00000000
PA
USD
239883.00000000
0.051595178238
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
2.62500000
N
N
N
N
N
N
PARK INTERMED HOLDINGS
N/A
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer
70052LAC7
50000.00000000
PA
USD
43687.50000000
0.009396515590
Long
DBT
US
N
2
2029-05-15
Fixed
4.87500000
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial, Inc.
02005NBM1
145000.00000000
PA
USD
110018.75000000
0.023663356785
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
4.70000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC/EMC Corp.
24703DBL4
1515000.00000000
PA
USD
1540501.89000000
0.331338484142
Long
DBT
CORP
US
N
2
2033-02-01
Fixed
5.75000000
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
Realty Income Corp.
756109BR4
645000.00000000
PA
USD
626687.17000000
0.134790861528
Long
DBT
US
N
2
2030-03-15
Fixed
4.85000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CFA4
3000000.00000000
PA
USD
2930976.57000000
0.630408401356
Long
DBT
UST
US
N
2
2024-07-31
Fixed
3.00000000
N
N
N
N
N
N
TAL Advantage VII LLC
N/A
TAL Advantage VII LLC
87407RAA4
70250.00000000
PA
USD
61745.09000000
0.013280428058
Long
ABS-O
CORP
US
N
2
2045-09-20
Fixed
2.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140XJNP4
94971.05000000
PA
USD
89536.18000000
0.019257868068
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co.
694308KM8
200000.00000000
PA
USD
200994.35000000
0.043230822164
Long
DBT
CORP
US
N
2
2033-06-15
Fixed
6.40000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC/Charter Communications Operating Capital
161175CA0
200000.00000000
PA
USD
130911.61000000
0.028157092630
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
3.90000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust
61691JAZ7
44000.00000000
PA
USD
38300.04000000
0.008237755032
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Fixed
4.07500000
N
N
N
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co.
842587DF1
435000.00000000
PA
USD
406832.97000000
0.087503572994
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
4.00000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co. LLC
92840VAH5
25000.00000000
PA
USD
22066.29000000
0.004746122758
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.37500000
N
N
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp.
058498AZ9
30000.00000000
PA
USD
30000.00000000
0.006452542894
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
6.00000000
N
N
N
N
N
N
FMG RESOURCES AUG 2006
549300EFD6S2NFE9D745
FMG Resources August 2006 Pty. Ltd.
30251GBE6
25000.00000000
PA
USD
24002.29000000
0.005162526859
Long
DBT
CORP
AU
N
2
2032-04-15
Fixed
6.12500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VFW9
210000.00000000
PA
USD
129344.61000000
0.027820054806
Long
DBT
CORP
US
N
2
2056-10-30
Fixed
2.98700000
N
N
N
N
N
N
PRUDENTIAL FINANCIAL INC
5PRBRS5FEH7NREC8OR45
Prudential Financial, Inc.
744320BJ0
70000.00000000
PA
USD
63764.55000000
0.013714783134
Long
DBT
CORP
US
N
2
2052-03-01
Fixed
5.12500000
N
N
N
N
N
N
United Airlines Holdings
98450079DA0B78DD6764
United Airlines Holdings, Inc.
910047AH2
25000.00000000
PA
USD
24751.51000000
0.005323672665
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
5.00000000
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bonds
80413TAR0
50000.00000000
PA
USD
37383.00000000
0.008040513700
Long
DBT
NUSS
SA
N
2
2055-01-21
Fixed
3.75000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co.
097023DB8
1900000.00000000
PA
USD
1748482.45000000
0.376071933629
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
3.25000000
N
N
N
N
N
N
HUNTINGTON BANCSHARES
549300XTVCVV9I7B5T19
Huntington Bancshares, Inc.
446150AV6
8000.00000000
PA
USD
6818.24000000
0.001466499535
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
4.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128HJAH9
268993.99000000
PA
USD
269070.86000000
0.057873042193
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
7.64500000
N
N
N
N
N
N
FEDERAL REALTY OP LP
549300LI6XZ51GOCJ427
Federal Realty OP LP
313747BC0
1160000.00000000
PA
USD
1144936.69000000
0.246258436790
Long
DBT
US
N
2
2028-05-01
Fixed
5.37500000
N
N
N
N
N
N
TRUIST FIN CORP
549300DRQQI75D2JP341
Truist Financial Corp.
89832QAB5
73000.00000000
PA
USD
72578.79000000
0.015610591856
Long
DBT
CORP
US
N
2
2024-12-15
Variable
8.65400000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Swap
000000000
600000.00000000
OU
Notional Amount
-530.03000000
-0.00011400137
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-07-13
0.00000000
CAD
0.00000000
CAD
600000.00000000
CAD
-530.03000000
N
N
N
Fannie Mae - CAS
N/A
Federal National Mortgage Association Connecticut Avenue Securities
207932AB0
227000.00000000
PA
USD
237248.44000000
0.051028524525
Long
ABS-MBS
USGSE
US
N
2
2042-12-25
Floating
8.81900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DWE66
237532.01000000
PA
USD
227464.55000000
0.048924158861
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.50000000
N
N
N
N
N
N
CARNIVAL CORP
F1OF2ZSX47CR0BCWA982
Carnival Corp.
143658BN1
30000.00000000
PA
USD
27750.31000000
0.005968668853
Long
DBT
CORP
PA
N
2
2027-03-01
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
000000000
4568.40000000
PA
USD
4510.57000000
0.000970154880
Long
ABS-MBS
USGSE
US
N
3
2026-11-01
Variable
3.25000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark Mortgage Trust
08161NAK3
118000.00000000
PA
USD
86229.08000000
0.018546561248
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Variable
3.65500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC/Charter Communications Operating Capital
161175CD4
200000.00000000
PA
USD
165881.61000000
0.035678606797
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
2.25000000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines, Inc.
90932LAH0
35000.00000000
PA
USD
31663.30000000
0.006810293381
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.62500000
N
N
N
N
N
N
TRAVELERS COS INC
549300Y650407RU8B149
Travelers Cos., Inc.
89417EAS8
60000.00000000
PA
USD
62536.40000000
0.013450626782
Long
DBT
CORP
US
N
2
2053-05-25
Fixed
5.45000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Future
000000000
40.00000000
NC
USD
-28055.20000000
-0.00603424604
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME Three-Month SOFR Futures
SFRH4 Comdty
2024-06-18
9512055.20000000
USD
-28055.20000000
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Purchased JPY / Sold USD
000000000
1.00000000
NC
-41868.45000000
-0.00900526565
N/A
DFE
JP
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
618131.00000000
USD
81805372.00000000
JPY
2023-08-16
-41868.45000000
N
N
N
NextGear Floorplan Master Owner Trust
N/A
NextGear Floorplan Master Owner Trust
65345GAB7
2250000.00000000
PA
USD
2259989.10000000
0.486089220294
Long
ABS-O
CORP
US
N
2
2028-03-15
Fixed
5.74000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
00774MAL9
200000.00000000
PA
USD
191976.78000000
0.041291280256
Long
DBT
CORP
IE
N
2
2026-04-03
Fixed
4.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association REMICS
38382UP70
226541.14000000
PA
USD
184681.53000000
0.039722183138
Long
ABS-MBS
USGA
US
N
2
2051-07-20
Fixed
1.50000000
N
N
N
N
N
N
SEALED AIR/SEALED AIR US
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp./Sealed Air Corp. U.S.
812127AA6
45000.00000000
PA
USD
44797.89000000
0.009635343560
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
6.12500000
N
N
N
N
N
N
Banc of America Mortgage Securities
N/A
Bank of America Mortgage Trust
06050HKR8
73.46000000
PA
USD
69.87000000
0.000015027972
Long
ABS-MBS
CORP
US
N
2
2032-07-20
Variable
5.75000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Purchased USD / Sold PEN
000000000
1.00000000
NC
-31253.78000000
-0.00672221186
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
1471183.10000000
PEN
376618.05000000
USD
2023-08-14
-31253.78000000
N
N
N
NATURA COSMETICOS SA
N/A
Natura Cosmeticos SA
63883KAB1
40000.00000000
PA
USD
35070.00000000
0.007543022643
Long
DBT
CORP
BR
N
2
2028-05-03
Fixed
4.12500000
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBS9
1975000.00000000
PA
USD
1728587.90000000
0.371792919055
Long
DBT
UST
US
N
2
2028-03-31
Fixed
1.25000000
N
N
N
N
N
N
Oztel Holdings SPC Ltd
549300RABIG0RH4JYT64
Oztel Holdings SPC Ltd.
692733AB4
110000.00000000
PA
USD
113982.00000000
0.024515791473
Long
DBT
CORP
AE
N
2
2028-04-24
Fixed
6.62500000
N
N
N
N
N
N
Countrywide Home Loans
N/A
Reperforming Loan REMIC Trust
12669FFS7
378319.38000000
PA
USD
307092.85000000
0.066050992907
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Variable
4.23200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association REMICS
31393DLT6
652345.87000000
PA
USD
659902.97000000
0.141935074004
Long
ABS-MBS
USGSE
US
N
2
2033-07-25
Fixed
6.00000000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group, Inc.
693475AQ8
67000.00000000
PA
USD
59457.71000000
0.012788447472
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
5.00000000
N
N
N
N
N
N
REXFORD INDUSTRIAL REALT
549300028US163ELJN70
Rexford Industrial Realty LP
76169XAC8
1105000.00000000
PA
USD
1079683.06000000
0.232223375237
Long
DBT
US
N
2
2028-06-15
Fixed
5.00000000
N
N
N
N
N
N
FRONTIER COMMUNICATIONS
N/A
Frontier Communications Holdings LLC
35906ABE7
85000.00000000
PA
USD
77853.85000000
0.016745176887
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.87500000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Purchased EUR / Sold USD
000000000
1.00000000
NC
-18885.49000000
-0.00406198114
N/A
DFE
XX
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
1481221.00000000
USD
1330000.00000000
EUR
2023-08-02
-18885.49000000
N
N
N
Coty Inc
549300BO9IWPF3S48F93
Coty, Inc.
222070AB0
10000.00000000
PA
USD
9918.80000000
0.002133382748
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
6.50000000
N
N
N
N
N
ARSENAL AIC PARENT LLC
N/A
Arsenal AIC Parent LLC
04288BAB6
25000.00000000
PA
USD
25500.00000000
0.005484661460
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140LTGT5
434394.91000000
PA
USD
366650.05000000
0.078860839163
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DWGW7
296077.04000000
PA
USD
276433.73000000
0.059456683343
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
4.00000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
639057AG3
1370000.00000000
PA
USD
1412912.24000000
0.303895894491
Long
DBT
CORP
GB
N
2
2026-11-10
Fixed
7.47200000
N
N
N
N
N
N
ENVIRI CORP
KAO98FK89NPNNPQGUZ43
Enviri Corp.
415864AM9
70000.00000000
PA
USD
60462.50000000
0.013004562491
Long
DBT
CORP
US
N
2
2027-07-31
Fixed
5.75000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XEG7
855000.00000000
PA
USD
853792.38000000
0.183637731831
Long
DBT
CORP
US
N
2
2030-04-06
Fixed
5.85000000
N
N
N
N
N
AM Capital Funding, LLC
549300VEZWL2JF9NXH87
AM Capital Funding LLC
00166AAA5
440000.00000000
PA
USD
439656.14000000
0.094563336739
Long
ABS-O
CORP
US
N
2
2023-12-15
Fixed
4.98000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp.
126650DR8
200000.00000000
PA
USD
159929.54000000
0.034398407231
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
2.12500000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GDB3
25000.00000000
PA
USD
23739.82000000
0.005106073561
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
5.12500000
N
N
N
N
N
N
Chase Mortgage Finance Corporation
N/A
Chase Mortgage Finance Trust
161636AE5
478891.61000000
PA
USD
208702.07000000
0.044888635294
Long
ABS-MBS
CORP
US
N
2
2022-12-25
Fixed
5.50000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040HCS2
1700000.00000000
PA
USD
1633665.68000000
0.351376595848
Long
DBT
CORP
US
N
2
2028-05-10
Fixed
4.92700000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC
01309QAA6
45000.00000000
PA
USD
44823.15000000
0.009640776601
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
6.50000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust
30247DAE1
1019320.69000000
PA
USD
679982.72000000
0.146253922277
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
5.89200000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PBM7
470000.00000000
PA
USD
357035.97000000
0.076792997043
Long
DBT
CORP
US
N
2
2041-04-22
Fixed
3.10900000
N
N
N
N
N
N
NORDSTROM INC
549300S3IZB5P35KNV16
Nordstrom, Inc.
655664AT7
1960000.00000000
PA
USD
1653279.60000000
0.355595251186
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
4.37500000
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co.
845467AT6
85000.00000000
PA
USD
75525.64000000
0.016244414391
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association REMICS
38382GUM2
311485.52000000
PA
USD
243111.43000000
0.052289564340
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Fixed
1.00000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust
41161PKD4
16652.36000000
PA
USD
14685.85000000
0.003158702568
Long
ABS-MBS
CORP
US
N
2
2035-01-19
Floating
6.06100000
N
N
N
N
N
N
Dominion Energy Inc
ILUL7B6Z54MRYCF6H308
Dominion Energy, Inc.
2574P1WB4
300000.00000000
PA
USD
298107.17000000
0.064118310052
Long
STIV
CORP
US
N
2
2023-09-11
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133BBGJ2
517398.62000000
PA
USD
469168.37000000
0.100910967738
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Future
000000000
-57.00000000
NC
USD
110597.77000000
0.023787895165
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CME Ultra Long Term U.S. Treasury Bond Futures
WNU3 Comdty
2023-09-20
-7647066.52000000
USD
110597.77000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bonds
836205BB9
45000.00000000
PA
USD
33654.15000000
0.007238494881
Long
DBT
NUSS
ZA
N
2
2049-09-30
Fixed
5.75000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Swaption
000000000
3500000.00000000
NC
USD
3115.70000000
0.000670139596
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Put
Purchased
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
IRS Swap
N/A
3500000.00000000
OU
Notional Amount
N/A
3115.70000000
0.00000000
DIR
US
N/A
N/A
2024-10-18
0.00000000
N/A
0.00000000
N/A
3500000.00000000
USD
1.00000000
5.42500000
USD
2023-10-16
XXXX
665.70000000
N
N
N
MATCH GROUP HLD II LLC
5493003RFFE030RC9167
Match Group Holdings II LLC
57665RAJ5
35000.00000000
PA
USD
33256.42000000
0.007152949218
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
5.62500000
N
N
N
N
N
CATALENT PHARMA SOLUTION
549300HALRZ339MSTH85
Catalent Pharma Solutions, Inc.
14879EAK4
10000.00000000
PA
USD
8375.00000000
0.001801334891
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.50000000
N
N
N
N
N
OneMain Financial Issuance Trust
N/A
OneMain Financial Issuance Trust
68269PAA5
2120000.00000000
PA
USD
2108596.73000000
0.453527028250
Long
ABS-O
CORP
US
N
2
2034-05-15
Fixed
5.94000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association REMICS
38380V2S9
700577.19000000
PA
USD
658858.94000000
0.141710519059
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Floating
5.50500000
N
N
N
N
N
N
Iron Mountain Inc
SQL3F6CKNNBM3SQGHX24
Iron Mountain, Inc.
46284VAE1
45000.00000000
PA
USD
42210.57000000
0.009078850450
Long
DBT
US
N
2
2028-03-15
Fixed
5.25000000
N
N
N
N
N
N
COTY/HFC PRESTIGE/INT US
N/A
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC
22207AAA0
40000.00000000
PA
USD
40350.00000000
0.008678670193
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
6.62500000
N
N
N
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust
805564PN5
73886.98000000
PA
USD
70940.08000000
0.015258130304
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
2.29900000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romania Government International Bonds
77586RAJ9
60000.00000000
PA
USD
43530.00000000
0.009362639739
Long
DBT
NUSS
RO
N
2
2051-02-14
Fixed
4.00000000
N
N
N
N
N
N
OXFORD FIN LLC/CO-ISS II
N/A
Oxford Finance LLC/Oxford Finance Co.-Issuer II, Inc.
69145LAC8
1660000.00000000
PA
USD
1550101.73000000
0.333403263455
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
6.37500000
N
N
N
N
N
N
RYAN SPECIALTY GROUP
549300K52N7QBO3PYY45
Ryan Specialty LLC
78351MAA0
30000.00000000
PA
USD
26542.26000000
0.005708835705
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
4.37500000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bonds
698299BN3
80000.00000000
PA
USD
61405.60000000
0.013207408932
Long
DBT
NUSS
PA
N
2
2032-09-29
Fixed
2.25200000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp.
517834AG2
200000.00000000
PA
USD
194139.60000000
0.041756469884
Long
DBT
CORP
US
N
2
2024-08-08
Fixed
3.20000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC/Charter Communications Operating Capital
161175BZ6
200000.00000000
PA
USD
134962.16000000
0.029028304217
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
3.50000000
N
N
N
N
N
CAESARS ENTERTAIN INC
549300FA4CTCW903Y781
Caesars Entertainment, Inc.
28470RAH5
70000.00000000
PA
USD
69618.86000000
0.014973956013
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
6.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140QNB50
529058.23000000
PA
USD
464434.45000000
0.099892773676
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
YUM! BRANDS INC
549300JE8XHZZ7OHN517
Yum! Brands, Inc.
988498AN1
45000.00000000
PA
USD
38571.91000000
0.008296230126
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
3.62500000
N
N
N
N
N
N
Arab Republic of Egypt
529900GFIVH4086NMH82
Egypt Government International Bonds
038461AM1
155000.00000000
PA
USD
90203.80000000
0.019401462958
Long
DBT
NUSS
EG
N
2
2047-01-31
Fixed
8.50000000
N
N
N
N
N
N
Petroleos Mexicanos
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCL4
85000.00000000
PA
USD
52551.25000000
0.011302973159
Long
DBT
CORP
MX
N
2
2048-02-12
Fixed
6.35000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association REMICS
38382TV84
223166.76000000
PA
USD
186979.09000000
0.040216353286
Long
ABS-MBS
USGA
US
N
2
2051-06-20
Fixed
2.00000000
N
N
N
N
N
N
Sierra Receivables Funding Co LLC
N/A
Sierra Timeshare Receivables Funding LLC
82650TAB3
151010.64000000
PA
USD
146116.08000000
0.031427342459
Long
ABS-O
CORP
US
N
2
2040-06-20
Fixed
5.04000000
N
N
N
N
N
N
ROGERS COMMUNICATIONS IN
54930030NVF3Y2OL0A78
Rogers Communications, Inc.
775109CH2
114000.00000000
PA
USD
99074.57000000
0.021309430422
Long
DBT
CORP
CA
N
2
2032-03-15
Fixed
3.80000000
N
N
N
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust
007036LJ3
30277.57000000
PA
USD
26063.21000000
0.005605799349
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
4.39400000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Trust
929227QB5
5084.03000000
PA
USD
4687.35000000
0.001008177564
Long
ABS-MBS
CORP
US
N
2
2042-06-25
Floating
5.61400000
N
N
N
N
N
N
CSN ISLANDS XI CORP
222100R8R68DM7VM3661
CSN Inova Ventures
12642KAB0
145000.00000000
PA
USD
137183.05000000
0.029505983817
Long
DBT
CORP
KY
N
2
2028-01-28
Fixed
6.75000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U3E1
200000.00000000
PA
USD
201060.02000000
0.043244946780
Long
DBT
CORP
US
N
2
2029-07-25
Fixed
5.57400000
N
N
N
N
N
N
CyrusOne Data Centers Issuer I LLC
N/A
CyrusOne Data Centers Issuer I LLC
23284BAA2
260000.00000000
PA
USD
233914.69000000
0.050311485695
Long
ABS-O
CORP
US
N
2
2048-04-20
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140QSMW8
99913.87000000
PA
USD
98050.02000000
0.021089065328
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association REMICS
31396KBC5
24364.28000000
PA
USD
24200.22000000
0.005205098586
Long
ABS-MBS
USGSE
US
N
2
2026-07-25
Fixed
6.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Inflation-Indexed Bonds
912810RR1
256686.00000000
PA
USD
217784.54000000
0.046842136203
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.00000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BB2
50000.00000000
PA
USD
36151.26000000
0.007775585194
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
4.12500000
N
N
N
N
N
N
20491230AN BRTH HLDH PROD
N/A
20491230an Brth Hldh Prod
525ESC1D1
1900000.00000000
PA
USD
2850.00000000
0.000612991574
Long
DBT
CORP
US
N
2
2016-12-30
None
0.00000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp.
126650CZ1
575000.00000000
PA
USD
524465.38000000
0.112804512037
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co.
345370CS7
70000.00000000
PA
USD
57857.81000000
0.012444333360
Long
DBT
CORP
US
N
2
2046-12-08
Fixed
5.29100000
N
N
N
N
N
N
GENESIS ENERGY LP/FIN
N/A
Genesis Energy LP/Genesis Energy Finance Corp.
37185LAL6
30000.00000000
PA
USD
29176.20000000
0.006275356066
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
7.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DWF32
292571.79000000
PA
USD
273193.85000000
0.058759834521
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
4.00000000
N
N
N
N
N
N
ENERGIZER HOLDINGS INC
5493000D6NN0V57UME20
Energizer Holdings, Inc.
29272WAD1
25000.00000000
PA
USD
21670.50000000
0.004660994359
Long
DBT
CORP
US
N
2
2029-03-31
Fixed
4.37500000
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABK2
200000.00000000
PA
USD
200428.04000000
0.043109017511
Long
DBT
CORP
US
N
2
2025-04-07
Fixed
5.87500000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA, Inc.
80282KBE5
1140000.00000000
PA
USD
1132337.35000000
0.243548510730
Long
DBT
CORP
US
N
2
2026-09-09
Fixed
5.80700000
N
N
N
N
N
N
Sierra Receivables Funding Co LLC
N/A
Sierra Timeshare Receivables Funding LLC
82652RAC3
80995.00000000
PA
USD
73302.84000000
0.015766323979
Long
ABS-O
CORP
US
N
2
2038-09-20
Fixed
1.95000000
N
N
N
N
N
N
KEY BANK NA
HUX2X73FUCYHUVH1BK78
KeyBank NA
49327M3F9
1435000.00000000
PA
USD
1406851.40000000
0.302592300156
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
5.85000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAS2
1785000.00000000
PA
USD
1660441.40000000
0.357135645243
Long
DBT
CORP
GB
N
2
2028-03-18
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31409A5L9
8052.85000000
PA
USD
7878.50000000
0.001694545306
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Floating
3.79500000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust
07384MTN2
3296.70000000
PA
USD
3273.03000000
0.000703978882
Long
ABS-MBS
CORP
US
N
2
2033-04-25
Variable
4.51300000
N
N
N
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm, Inc.
893647BB2
60000.00000000
PA
USD
59386.28000000
0.012773083968
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.37500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGN8
510000.00000000
PA
USD
407246.66000000
0.087592551409
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35500000
N
N
N
N
N
N
CAMELOT RETURN MERGER SU
N/A
Camelot Return Merger Sub, Inc.
13323NAA0
30000.00000000
PA
USD
29258.55000000
0.006293068296
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
8.75000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XCN3
100000.00000000
PA
USD
96789.81000000
0.020818013359
Long
DBT
CORP
US
N
2
2030-05-06
Fixed
4.65000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp.
89832QAF6
15000.00000000
PA
USD
13443.00000000
0.002891384471
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
5.10000000
N
N
N
N
N
N
ANTERO MIDSTREAM PART/FI
N/A
Antero Midstream Partners LP/Antero Midstream Finance Corp.
03690EAA6
25000.00000000
PA
USD
25527.55000000
0.005490587045
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
7.87500000
N
N
N
N
N
N
ANALOG DEVICES INC
GYVOE5EZ4GDAVTU4CQ61
Analog Devices, Inc.
032654AX3
75000.00000000
PA
USD
52181.97000000
0.011223546658
Long
DBT
CORP
US
N
2
2051-10-01
Fixed
2.95000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SJ8
100000.00000000
PA
USD
70601.56000000
0.015185319810
Long
DBT
UST
US
N
2
2049-08-15
Fixed
2.25000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PBR6
250000.00000000
PA
USD
222512.83000000
0.047859119338
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
2.18200000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Trust
93363DAA5
244048.68000000
PA
USD
229109.36000000
0.049277932431
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Floating
5.21400000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050684
805000.00000000
PA
USD
786557.45000000
0.169176522837
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140QPK48
256002.30000000
PA
USD
239245.97000000
0.051458162792
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
4.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ACB9
200000.00000000
PA
USD
166199.08000000
0.035746889757
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.55000000
N
N
N
N
N
N
LendingTree, Inc.
N/A
LendingTree, Inc.
000000000
1606884.42000000
PA
USD
1320328.72000000
0.283982590021
Long
LON
CORP
US
N
2
2028-09-15
Variable
9.18300000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TR9
560000.00000000
PA
USD
523162.50000000
0.112524282401
Long
DBT
UST
US
N
2
2053-05-15
Fixed
3.62500000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust
36257UAS6
122000.00000000
PA
USD
91729.76000000
0.019729673703
Long
ABS-MBS
CORP
US
N
2
2052-09-10
Variable
3.69200000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AW9
810000.00000000
PA
USD
883199.25000000
0.189962701500
Long
DBT
CORP
GB
N
2
2033-11-15
Fixed
7.95300000
N
N
N
N
N
N
180 MEDICAL INC
254900ZB648OPWVFVX59
180 Medical, Inc.
682357AA6
45000.00000000
PA
USD
39398.94000000
0.008474111678
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
3.87500000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group, Inc.
60687YBX6
200000.00000000
PA
USD
176722.18000000
0.038010248228
Long
DBT
CORP
JP
N
2
2030-05-22
Fixed
3.26100000
N
N
N
N
N
N
HUNTINGTON BANCSHARES
549300XTVCVV9I7B5T19
Huntington Bancshares, Inc.
446150AL8
124000.00000000
PA
USD
112212.96000000
0.024135297923
Long
DBT
CORP
US
N
2
2023-10-15
Variable
8.45000000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBS8
275000.00000000
PA
USD
241529.23000000
0.051949257228
Long
DBT
CORP
GB
N
2
2049-06-19
Fixed
4.87500000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing, Inc.
527298BN2
30000.00000000
PA
USD
22789.67000000
0.004901710774
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
4.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DWER0
239202.67000000
PA
USD
223434.67000000
0.048057393076
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Swaption
000000000
-1800000.00000000
NC
USD
-1286.10000000
-0.00027662051
N/A
DIR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Call
Written
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
IRS Swap
N/A
1800000.00000000
OU
Notional Amount
N/A
-1286.10000000
0.00000000
DIR
US
N/A
N/A
2025-01-18
0.00000000
N/A
0.00000000
N/A
1800000.00000000
USD
1.00000000
3.87500000
USD
2024-01-16
XXXX
1233.90000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31408GAR8
14660.06000000
PA
USD
14553.87000000
0.003130315681
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Floating
4.28700000
N
N
N
N
N
N
SRS DISTRIBUTION INC
549300ZQ3XP75BCYM468
SRS Distribution, Inc.
78471RAB2
15000.00000000
PA
USD
13580.32000000
0.002920919910
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
4.62500000
N
N
N
N
N
N
BLACKSTONE PRIVATE CRE
549300ORP3TTCNXSYO43
Blackstone Private Credit Fund
09261HAH0
1820000.00000000
PA
USD
1718549.36000000
0.369633782056
Long
DBT
CORP
US
N
2
2024-11-22
Fixed
2.35000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Purchased USD / Sold EUR
000000000
1.00000000
NC
18941.35000000
0.004073995778
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
1330000.00000000
EUR
1483657.56000000
USD
2023-09-05
18941.35000000
N
N
N
BUCKEYE PARTNERS LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AU5
45000.00000000
PA
USD
40642.20000000
0.008741517960
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.50000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp.
58013MFK5
130000.00000000
PA
USD
100936.09000000
0.021709815010
Long
DBT
CORP
US
N
2
2049-09-01
Fixed
3.62500000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp.
064058AL4
75000.00000000
PA
USD
62055.00000000
0.013347084977
Long
DBT
CORP
US
N
2
2026-12-20
Fixed
3.75000000
N
N
N
N
N
N
Standard Chartered PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BN9
200000.00000000
PA
USD
195900.89000000
0.042135296526
Long
DBT
CORP
GB
N
2
2025-05-21
Fixed
3.78500000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
3137G0UD9
519605.70000000
PA
USD
525023.16000000
0.112924482016
Long
ABS-MBS
USGSE
US
N
2
2030-09-25
Floating
7.48300000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
060505GB4
145000.00000000
PA
USD
127092.14000000
0.027335582830
Long
DBT
CORP
US
N
2
2027-01-27
Fixed
4.37500000
N
N
N
N
N
N
Pertamina Persero PT
254900NDAKGNZ2IBBL45
Pertamina Persero PT
69370PAA9
40000.00000000
PA
USD
41550.00000000
0.008936771908
Long
DBT
CORP
ID
N
2
2044-05-30
Fixed
6.45000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Swap
000000000
500000.00000000
OU
Notional Amount
USD
127.50000000
0.000027423307
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Verizon Communications, Inc.
Verizon Communications, Inc.
Y
sell protection
2028-06-20
0.00000000
USD
-1166.27000000
USD
500000.00000000
USD
1293.77000000
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial, Inc.
02005NBS8
120000.00000000
PA
USD
111710.36000000
0.024027196321
Long
DBT
CORP
US
N
2
2033-02-14
Fixed
6.70000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GKK4
270000.00000000
PA
USD
225550.57000000
0.048512490926
Long
DBT
CORP
US
N
2
2033-02-04
Fixed
2.97200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31408B5A2
2603.06000000
PA
USD
2567.51000000
0.000552232280
Long
ABS-MBS
USGSE
US
N
2
2036-01-01
Floating
4.66300000
N
N
N
N
N
N
RENAISSANCERE HOLDINGS L
EK6GB9U3U58PDI411C94
RenaissanceRe Holdings Ltd.
75968NAE1
2105000.00000000
PA
USD
2076434.86000000
0.446609500059
Long
DBT
CORP
BM
N
2
2033-06-05
Fixed
5.75000000
N
N
N
N
N
N
HUNTINGTON BANCSHARES
549300XTVCVV9I7B5T19
Huntington Bancshares, Inc.
446150AT1
19000.00000000
PA
USD
17405.66000000
0.003743692258
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
5.62500000
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Purchased JPY / Sold USD
000000000
1.00000000
NC
-6499.17000000
-0.00139787244
N/A
DFE
JP
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
101203.54000000
USD
13444091.00000000
JPY
2023-08-16
-6499.17000000
N
N
N
BX Trust
N/A
BX Trust
05609XAC5
2700000.00000000
PA
USD
2556021.42000000
0.549761261726
Long
ABS-MBS
CORP
US
N
2
2027-10-13
Fixed
6.30000000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust
36263XAA1
209655.36000000
PA
USD
208369.06000000
0.044817009917
Long
ABS-O
CORP
US
N
2
2025-08-15
Fixed
1.98000000
N
N
N
N
N
N
REALOGY GROUP/CO-ISSUER
N/A
Realogy Group LLC/Realogy Co.-Issuer Corp.
75606DAQ4
25000.00000000
PA
USD
18012.95000000
0.003874311084
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
5.25000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NDU2
685000.00000000
PA
USD
441175.35000000
0.094890095662
Long
DBT
CORP
US
N
2
2056-11-01
Fixed
2.93700000
N
N
N
N
N
N
SHEA HOMES LP/FNDG CP
N/A
Shea Homes LP/Shea Homes Funding Corp.
82088KAK4
70000.00000000
PA
USD
63700.00000000
0.013700899412
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.75000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries, Inc.
853496AD9
50000.00000000
PA
USD
46583.86000000
0.010019478494
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
NEWELL BRANDS INC
549300LWGYFM1TVO1Z12
Newell Brands, Inc.
651229BC9
1340000.00000000
PA
USD
1318225.00000000
0.283530111903
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
6.37500000
N
N
N
N
N
VMED O2 UK FINAN
213800MRR46ECNGZ7L69
Vmed O2 U.K. Financing I PLC
92858RAB6
45000.00000000
PA
USD
37985.39000000
0.008170078611
Long
DBT
CORP
GB
N
2
2031-07-15
Fixed
4.75000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264ACT0
370000.00000000
PA
USD
259836.54000000
0.055886880663
Long
DBT
CORP
US
N
2
2052-10-15
Fixed
3.40000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Purchased USD / Sold TWD
000000000
1.00000000
NC
2635.24000000
0.000566799971
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
3268259.00000000
TWD
106882.17000000
USD
2023-08-22
2635.24000000
N
N
N
NEW FORTRESS ENERGY INC
254900EICTYTCHA5X705
New Fortress Energy, Inc.
644393AB6
65000.00000000
PA
USD
59641.22000000
0.012827917677
Long
DBT
CORP
US
N
2
2026-09-30
Fixed
6.50000000
N
N
N
N
N
N
SOUTHWESTERN ELEC POWER
R64UBJHEC74EB3HGQ410
Southwestern Electric Power Co.
845437BR2
200000.00000000
PA
USD
190761.01000000
0.041029786654
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.10000000
N
N
N
N
N
N
Structured Asset Securities Corporation
N/A
Structured Asset Securities Corp. Mortgage Pass-Through Certificates
86358RDU8
40360.92000000
PA
USD
40080.64000000
0.008620734961
Long
ABS-MBS
CORP
US
N
2
2031-08-25
Fixed
3.37500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2J1
625000.00000000
PA
USD
527929.84000000
0.113549664596
Long
DBT
CORP
US
N
2
2031-02-11
Fixed
2.57200000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust
92538MAA7
942510.88000000
PA
USD
777665.92000000
0.167264090212
Long
ABS-MBS
CORP
US
N
2
2066-10-25
Variable
1.63000000
N
N
N
N
N
N
LINDBLAD EXPEDITIONS LLC
549300MPUWOG67Y2R254
Lindblad Expeditions LLC
53523LAA8
15000.00000000
PA
USD
14394.38000000
0.003096011812
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
6.75000000
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
150190AF3
40000.00000000
PA
USD
39591.38000000
0.008515502590
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.50000000
N
N
N
N
N
N
NATIONAL FUEL GAS CO
8JB38FFW1Y3C1HM8E841
National Fuel Gas Co.
636180BR1
300000.00000000
PA
USD
244598.53000000
0.052609416891
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
2.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. REMICS
31396RDY0
599732.29000000
PA
USD
607838.69000000
0.130736840671
Long
ABS-MBS
USGSE
US
N
2
2036-05-15
Fixed
6.00000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300RD723OFH36TP29
Wells Fargo Commercial Mortgage Trust
94989XBJ3
54000.00000000
PA
USD
48273.90000000
0.010382980347
Long
ABS-MBS
CORP
US
N
2
2048-12-15
Variable
4.68500000
N
N
N
N
N
N
CRSO TR 2023 BRND
N/A
Crso Trust Brnd
228925AG8
1130000.00000000
PA
USD
1141156.94000000
0.245445470156
Long
ABS-MBS
CORP
US
N
2
2028-07-10
Variable
7.91300000
N
N
N
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp.
78442FDJ4
100000.00000000
PA
USD
92451.23000000
0.019884850907
Long
DBT
CORP
US
N
2
2025-01-25
Fixed
5.62500000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397B28
200000.00000000
PA
USD
186995.52000000
0.040219887129
Long
DBT
CORP
US
N
2
2025-11-13
Fixed
3.37500000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bonds
80413TAZ2
65000.00000000
PA
USD
44703.75000000
0.009615095480
Long
DBT
NUSS
SA
N
2
2051-11-17
Fixed
3.25000000
N
N
N
N
N
N
Bath & Body Works Inc
GR3KVMWVCR54YWQNXU90
Bath & Body Works, Inc.
501797AW4
70000.00000000
PA
USD
67646.86000000
0.014549808860
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
6.62500000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust
126670LE6
91885.83000000
PA
USD
84558.78000000
0.018187305168
Long
ABS-MBS
CORP
US
N
2
2036-02-20
Floating
6.53700000
N
N
N
N
N
N
VERTIV GROUP CORPORATION
549300ZT8RQ5VK10E643
Vertiv Group Corp.
92535UAB0
50000.00000000
PA
USD
44883.59000000
0.009653776324
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
4.12500000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Purchased USD / Sold MYR
000000000
1.00000000
NC
-19561.16000000
-0.00420730746
N/A
DFE
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
2596159.00000000
MYR
556709.48000000
USD
2023-08-16
-19561.16000000
N
N
N
CITIZENS FINANCIAL GROUP
2138004JDDA4ZQUPFW65
Citizens Financial Group, Inc.
174610AP0
60000.00000000
PA
USD
53850.02000000
0.011582318797
Long
DBT
CORP
US
N
2
2023-10-06
Variable
8.53300000
N
N
N
N
N
N
KB HOME
549300LGUCWQURMWLG09
KB Home
48666KBA6
30000.00000000
PA
USD
30618.60000000
0.006585594328
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
7.25000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAN0
378000.00000000
PA
USD
313195.45000000
0.067363569182
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.70000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TH1
11200000.00000000
PA
USD
9794750.00000000
2.106701483861
Long
DBT
UST
US
N
2
2042-05-15
Fixed
3.25000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967PC9
140000.00000000
PA
USD
142450.00000000
0.030638824510
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
7.37500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association REMICS
31359DXP3
33.55000000
PA
USD
33.38000000
0.000007179529
Long
ABS-MBS
USGSE
US
N
2
2023-09-25
Fixed
6.50000000
N
N
N
N
N
N
OMAN GOV INTERNTL BOND
549300SZ20F0QTKNQC75
Oman Government International Bonds
68205LAT0
140000.00000000
PA
USD
142622.20000000
0.030675862106
Long
DBT
NUSS
OM
N
2
2051-01-25
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31378PKF9
614.43000000
PA
USD
606.05000000
0.000130352120
Long
ABS-MBS
USGSE
US
N
2
2027-05-01
Floating
4.65500000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust
63942LAA0
52641.43000000
PA
USD
45477.73000000
0.009781566785
Long
ABS-O
CORP
US
N
2
2069-07-15
Fixed
0.94000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202KTG0
442.92000000
PA
USD
431.85000000
0.000092884354
Long
ABS-MBS
USGA
US
N
2
2025-07-20
Floating
2.62500000
N
N
N
N
N
N
INEOS Enterprises Holdings US Finco LLC
N/A
INEOS Enterprises Holdings U.S. Finco LLC
000000000
665000.00000000
PA
USD
654612.70000000
0.140797217534
Long
LON
CORP
US
N
2
2030-06-23
Variable
9.12700000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bonds
74727PBE0
60000.00000000
PA
USD
54229.20000000
0.011663874637
Long
DBT
NUSS
QA
N
2
2050-04-16
Fixed
4.40000000
N
N
N
N
N
N
MORGAN STANLEY CCP MORGAN STANLEY CCMSCHUS2
N/A
Collateral Position
000000000
154000.00000000
NS
USD
154000.00000000
0.033123053525
Long
STIV
CORP
US
N
1
N
N
N
COMSTOCK RESOURCES INC
I03QQGEA4SS774AURI46
Comstock Resources, Inc.
205768AT1
25000.00000000
PA
USD
22129.63000000
0.004759746227
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.87500000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romania Government International Bonds
000000000
104000.00000000
PA
USD
87075.04000000
0.018728514354
Long
DBT
NUSS
RO
N
2
2031-02-14
Fixed
3.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Purchased PEN / Sold USD
000000000
1.00000000
NC
1083.31000000
0.000233003474
N/A
DFE
PE
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
81881.00000000
USD
299905.54000000
PEN
2023-09-13
1083.31000000
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
Sysco Corp.
871829BN6
184000.00000000
PA
USD
208491.16000000
0.044843271767
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
6.60000000
N
N
N
N
N
N
Hilton Grand Vacations Trust
N/A
Hilton Grand Vacations Trust
43283GAA0
95135.49000000
PA
USD
90971.55000000
0.019566594285
Long
ABS-O
CORP
US
N
2
2037-01-25
Fixed
4.30000000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAF7
15000.00000000
PA
USD
14892.60000000
0.003203171343
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
6.00000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust
41161PMX8
113904.78000000
PA
USD
83814.38000000
0.018027196070
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Variable
4.21500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31409BB48
14562.97000000
PA
USD
14427.90000000
0.003103221454
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Floating
4.21100000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IS30HKV5IAS29
Federal Home Loan Mortgage Corp. STACR REMIC Trust
35564KH44
362000.00000000
PA
USD
377941.39000000
0.081289434352
Long
ABS-MBS
USGSE
US
N
2
2042-09-25
Floating
8.76900000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial, Inc.
02005NBP4
200000.00000000
PA
USD
162771.84000000
0.035009742653
Long
DBT
CORP
US
N
2
2028-11-02
Fixed
2.20000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TS7
900000.00000000
PA
USD
860343.75000000
0.185046831696
Long
DBT
UST
US
N
2
2043-05-15
Fixed
3.87500000
N
N
N
N
N
N
ENEL FINANCE AMERICA LLC
549300EGNLVUJX1DEC60
Enel Finance America LLC
29280HAA0
500000.00000000
PA
USD
525073.66000000
0.112935343797
Long
DBT
CORP
US
N
2
2027-10-14
Fixed
7.10000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
549300QGM7D5K3CV2643
WFRBS Commercial Mortgage Trust
96221TAH0
2364166.89000000
PA
USD
3248.84000000
0.000698775981
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Variable
1.22400000
N
N
N
N
N
N
FS Rialto Issuer Ltd
N/A
FS Rialto Issuer LLC
30326MAA3
800000.00000000
PA
USD
786574.40000000
0.169180168523
Long
ABS-CBDO
CORP
US
N
2
2039-01-19
Floating
6.96800000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
Exelon Corp.
30161NBB6
200000.00000000
PA
USD
183890.57000000
0.039552059693
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp. REMICS
31339NC79
7660.14000000
PA
USD
7659.96000000
0.001647540682
Long
ABS-MBS
USGSE
US
N
2
2032-01-15
Floating
5.68200000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119CD9
200000.00000000
PA
USD
184397.77000000
0.039661150685
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.12500000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust
89180YAA8
248344.93000000
PA
USD
230021.05000000
0.049474023058
Long
ABS-MBS
CORP
US
N
2
2062-09-25
Fixed
3.75000000
N
N
N
N
N
N
PACTIV EVERGREEN GROUP
N/A
Pactiv Evergreen Group Issuer LLC/Pactiv Evergreen Group Issuer, Inc.
69527AAA4
50000.00000000
PA
USD
44199.65000000
0.009506671251
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
JETBLUE 2019-1 CLASS A
N/A
JetBlue Pass-Through Trust
477143AJ0
252447.86000000
PA
USD
215706.60000000
0.046395202970
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
2.95000000
N
N
N
N
N
N
New Economy Assets Phase 1 Issuer LLC
N/A
New Economy Assets Phase 1 Sponsor LLC
643821AA9
1500000.00000000
PA
USD
1286064.75000000
0.276612932149
Long
ABS-O
CORP
US
N
2
2061-10-20
Fixed
1.91000000
N
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAK3
1350000.00000000
PA
USD
1348352.35000000
0.290010045842
Long
DBT
US
N
2
2030-07-01
Fixed
5.50000000
N
N
N
N
N
N
FIVE 2023-V1
N/A
FIVE Mortgage Trust
337964AG5
96000.00000000
PA
USD
87655.74000000
0.018853414076
Long
ABS-MBS
CORP
US
N
2
2056-02-10
Variable
6.40500000
N
N
N
N
N
N
SVENSKA HANDELSBANKEN AB
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken AB
86959LAL7
1800000.00000000
PA
USD
1712026.76000000
0.368230870180
Long
DBT
CORP
SE
N
2
2027-06-10
Fixed
3.95000000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDQ4
147000.00000000
PA
USD
139514.61000000
0.030007466847
Long
ABS-O
CORP
US
N
2
2026-03-20
Fixed
2.36000000
N
N
N
N
N
N
VIRGIN MEDIA SECURED FIN
213800X3RLP4NOTPY579
Virgin Media Secured Finance PLC
92769XAP0
50000.00000000
PA
USD
46159.31000000
0.009928164258
Long
DBT
CORP
GB
N
2
2029-05-15
Fixed
5.50000000
N
N
N
N
N
Fannie Mae - CAS
N/A
Federal National Mortgage Association Connecticut Avenue Securities
20754LAF6
178000.00000000
PA
USD
178937.19000000
0.038486663129
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
8.21900000
N
N
N
N
N
N
MetroNet Infrastructure Issuer LLC
5493000BIROCAEATAQ61
MetroNet Infrastructure Issuer LLC
59170JAA6
289000.00000000
PA
USD
280340.06000000
0.060296875406
Long
ABS-O
CORP
US
N
2
2052-10-20
Fixed
6.35000000
N
N
N
N
N
N
DataBank Issuer LLC
N/A
DataBank Issuer
23802WAL5
1285000.00000000
PA
USD
1181734.06000000
0.254172990401
Long
ABS-O
CORP
US
N
2
2053-02-25
Fixed
5.11600000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BL2
870000.00000000
PA
USD
795666.34000000
0.171135706285
Long
DBT
CORP
GB
N
2
2027-05-22
Fixed
6.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F052680
5185000.00000000
PA
USD
5150426.42000000
1.107778246666
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
5.50000000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Issuance Trust
68378PAB1
3040000.00000000
PA
USD
3042180.90000000
0.654326758335
Long
ABS-O
CORP
US
N
2
2030-01-08
Fixed
8.53300000
N
N
N
N
N
N
BPR Trust
N/A
BPR Trust
05592DAL8
348000.00000000
PA
USD
338539.69000000
0.072814729040
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Floating
8.91700000
N
N
N
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain, Inc.
46284VAF8
45000.00000000
PA
USD
40590.87000000
0.008730477659
Long
DBT
US
N
2
2029-09-15
Fixed
4.87500000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Purchased EUR / Sold USD
000000000
1.00000000
NC
-4290.15000000
-0.00092274589
N/A
DFE
XX
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
184608.21000000
USD
164000.00000000
EUR
2023-08-02
-4290.15000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050692
1600000.00000000
PA
USD
1564003.20000000
0.336393257837
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31418ES43
197438.96000000
PA
USD
192895.67000000
0.041488919494
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
5.00000000
N
N
N
N
N
N
SYDNEY AIRPORT FINANCE
549300MJAANHLHOVTO40
Sydney Airport Finance Co. Pty. Ltd.
87124VAE9
300000.00000000
PA
USD
288026.50000000
0.061950111533
Long
DBT
CORP
AU
N
2
2025-04-30
Fixed
3.37500000
N
N
N
N
N
N
PARK INTERMED HOLDINGS
N/A
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer
70052LAB9
45000.00000000
PA
USD
41512.50000000
0.008928706230
Long
DBT
US
N
2
2028-10-01
Fixed
5.87500000
N
N
N
N
N
Commonwealth Edison Co
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co.
202795JF8
745000.00000000
PA
USD
588769.60000000
0.126635369965
Long
DBT
CORP
US
N
2
2045-03-01
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DWF40
242197.90000000
PA
USD
231932.68000000
0.049885185544
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
4.50000000
N
N
N
N
N
N
GLOBAL INFRASTRUCTURE SO
2549003BGLQITAJ6ZT28
Global Infrastructure Solutions, Inc.
37960XAA5
25000.00000000
PA
USD
21050.63000000
0.004527669767
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.62500000
N
N
N
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp.
63743HFG2
100000.00000000
PA
USD
99096.91000000
0.021314235416
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.80000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GDT4
55000.00000000
PA
USD
54632.40000000
0.011750596814
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
6.75000000
N
N
N
N
N
N
FannieMae Whole Loan
N/A
Federal National Mortgage Association REMIC Trust
31359VA94
64863.83000000
PA
USD
64816.07000000
0.013940949064
Long
ABS-MBS
USGSE
US
N
2
2029-02-25
Fixed
6.25000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Purchased PEN / Sold USD
000000000
1.00000000
NC
11682.16000000
0.002512654616
N/A
DFE
PE
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
646915.09000000
USD
2381941.37000000
PEN
2023-09-20
11682.16000000
N
N
N
Bath & Body Works Inc
GR3KVMWVCR54YWQNXU90
Bath & Body Works, Inc.
501797AL8
20000.00000000
PA
USD
18561.65000000
0.003992328093
Long
DBT
CORP
US
N
2
2035-11-01
Fixed
6.87500000
N
N
N
N
N
N
AMERICAN AIRLINES/AADVAN
N/A
American Airlines, Inc./AAdvantage Loyalty IP Ltd.
00253XAB7
80000.00000000
PA
USD
77449.48000000
0.016658203061
Long
DBT
CORP
XX
N
2
2029-04-20
Fixed
5.75000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95000U2U6
1915000.00000000
PA
USD
1639459.71000000
0.352622803419
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
3.35000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RD2
225000.00000000
PA
USD
210287.11000000
0.045229553247
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78016FZU1
1730000.00000000
PA
USD
1780311.83000000
0.382917948288
Long
DBT
CORP
CA
N
2
2027-11-01
Fixed
6.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co.
694308HL4
425000.00000000
PA
USD
305740.86000000
0.065760200458
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
4.30000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Purchased PEN / Sold USD
000000000
1.00000000
NC
1237.47000000
0.000266160941
N/A
DFE
PE
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
106208.77000000
USD
387555.80000000
PEN
2023-08-14
1237.47000000
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co.
842400HT3
775000.00000000
PA
USD
813018.31000000
0.174867850642
Long
DBT
CORP
US
N
2
2032-11-01
Fixed
5.95000000
N
N
N
N
N
N
PERFORMANCE FOOD GROUP I
549300OMUOGBYK0FFO76
Performance Food Group, Inc.
71376LAE0
45000.00000000
PA
USD
39974.28000000
0.008597858545
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
4.25000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co.
95002YAA1
125000.00000000
PA
USD
128517.50000000
0.027642156048
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
7.62500000
N
N
N
N
N
N
GOLDMAN FUTURES CASH COLLATERAL FEDL01
N/A
Collateral Position
000000000
161000.00000000
NS
USD
161000.00000000
0.034628646867
Long
STIV
CORP
US
N
1
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bonds
195325DR3
50000.00000000
PA
USD
40155.00000000
0.008636728664
Long
DBT
NUSS
CO
N
2
2030-01-30
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley Dean Witter Capital I Trust
N/A
Morgan Stanley Dean Witter Capital I, Inc. Trust
61746WYU8
21875.52000000
PA
USD
21852.64000000
0.004700169898
Long
ABS-MBS
CORP
US
N
2
2032-11-25
Floating
6.98700000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBW2
300000.00000000
PA
USD
248054.31000000
0.053352702514
Long
DBT
CORP
US
N
2
2050-01-31
Fixed
4.20000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Inflation-Indexed Notes
912828WU0
768432.00000000
PA
USD
746264.53000000
0.160510129682
Long
DBT
UST
US
N
2
2024-07-15
Fixed
0.12500000
N
N
N
N
N
N
ENERGIZER HOLDINGS INC
5493000D6NN0V57UME20
Energizer Holdings, Inc.
29272WAC3
30000.00000000
PA
USD
26946.90000000
0.005795867604
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.75000000
N
N
N
N
N
N
RESIDEO FUNDING INC
5493000IFJ6XJKH66598
Resideo Funding, Inc.
76119LAB7
50000.00000000
PA
USD
42266.93000000
0.009090972628
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
4.00000000
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC/CCO Holdings Capital Corp.
1248EPCT8
1300000.00000000
PA
USD
1292592.73000000
0.278017001181
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
7.37500000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Certificates
N/A
WaMu Mortgage Pass-Through Certificates Trust
92925CDS8
341866.04000000
PA
USD
303685.89000000
0.065318207722
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Variable
3.64400000
N
N
N
N
N
N
Golub Capital Partners Funding
N/A
Golub Capital Partners ABS Funding Ltd.
38179EAC8
2580000.00000000
PA
USD
2383954.06000000
0.512752194355
Long
ABS-O
CORP
US
N
2
2030-07-22
Fixed
6.58000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co.
345370DA5
15000.00000000
PA
USD
11859.51000000
0.002550799899
Long
DBT
CORP
US
N
2
2032-02-12
Fixed
3.25000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co.
694308HK6
200000.00000000
PA
USD
194545.86000000
0.041843850219
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.40000000
N
N
N
N
N
N
Starwood Property Trust, Inc.
5493008SB15CNJRIOK13
Starwood Property Trust, Inc.
85570DAH5
1014900.00000000
PA
USD
1009196.26000000
0.217062738553
Long
LON
CORP
US
N
2
2027-11-18
Variable
8.56900000
N
N
N
N
N
N
SOUTHERN CALIF GAS CO
XY0N0J73VHV5F4CUJV89
Southern California Gas Co.
842434CW0
100000.00000000
PA
USD
93588.66000000
0.020129494769
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
2.95000000
N
N
N
N
N
N
GENESIS ENERGY LP/FIN
N/A
Genesis Energy LP/Genesis Energy Finance Corp.
37185LAM4
15000.00000000
PA
USD
14762.36000000
0.003175158704
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
8.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Purchased PEN / Sold USD
000000000
1.00000000
NC
-10398.79000000
-0.00223662128
N/A
DFE
PE
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
881817.21000000
USD
3140592.00000000
PEN
2023-08-01
-10398.79000000
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BP5
200000.00000000
PA
USD
180269.56000000
0.038773235615
Long
DBT
CORP
GB
N
2
2028-05-22
Fixed
3.07300000
N
N
N
N
N
N
Residential Funding Mtg Sec I
N/A
Residential Funding Mtg Sec I Trust
76111XRB1
149082.80000000
PA
USD
135564.57000000
0.029157873429
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Fixed
5.50000000
N
N
N
N
N
N
PACTIV EVERGREEN GROUP
N/A
Pactiv Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer LLC
76174LAA1
5000.00000000
PA
USD
4502.95000000
0.000968515934
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
4.00000000
N
N
N
N
N
AMERICAN AIRLINES INC
IWUQB36BXD6OWD6X4T14
American Airlines, Inc.
023771T32
25000.00000000
PA
USD
24819.91000000
0.005338384463
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
7.25000000
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AP6
45000.00000000
PA
USD
33300.00000000
0.007162322612
Long
DBT
CORP
US
N
2
2044-10-15
Fixed
5.60000000
N
N
N
N
N
N
MOLINA HEALTHCARE INC
549300NQQCEQ46YHZ591
Molina Healthcare, Inc.
60855RAJ9
30000.00000000
PA
USD
27507.79000000
0.005916506496
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.37500000
N
N
N
N
N
N
HUDBAY MINERALS INC
549300WI524AL577IX21
Hudbay Minerals, Inc.
443628AH5
50000.00000000
PA
USD
47899.00000000
0.010302345070
Long
DBT
CORP
CA
N
2
2029-04-01
Fixed
6.12500000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DPYV4
99406.13000000
PA
USD
93060.19000000
0.020015828924
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.00000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
U.S. Bancorp
902973BC9
205000.00000000
PA
USD
159387.50000000
0.034281822686
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.70000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397C92
10000.00000000
PA
USD
10091.89000000
0.002170611770
Long
DBT
CORP
US
N
2
2028-05-12
Fixed
6.80000000
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Future
000000000
164.00000000
NC
USD
-225805.30000000
-0.04856727946
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CBOT 5 Year U.S. Treasury Notes
FVU3 Comdty
2023-09-29
17744336.63000000
USD
-225805.30000000
N
N
N
HUNTINGTON BANCSHARES
549300XTVCVV9I7B5T19
Huntington Bancshares, Inc.
446150BB9
830000.00000000
PA
USD
785972.66000000
0.169050743418
Long
DBT
CORP
US
N
2
2028-08-04
Fixed
4.44300000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202KXR1
766.74000000
PA
USD
748.85000000
0.000161066224
Long
ABS-MBS
USGA
US
N
2
2026-01-20
Floating
3.62500000
N
N
N
N
N
N
L3Harris Technologies Inc
549300UTE50ZMDBG8A20
L3Harris Technologies, Inc.
50248CWR7
300000.00000000
PA
USD
297396.66000000
0.063965490177
Long
STIV
CORP
US
N
2
2023-09-25
None
0.00000000
N
N
N
N
N
N
SG Capital Partners
N/A
SG Residential Mortgage Trust
78432YAA7
492778.39000000
PA
USD
400622.77000000
0.086167853597
Long
ABS-MBS
CORP
US
N
2
2061-12-25
Variable
1.73700000
N
N
N
N
N
N
NOBLE FINANCE II LLC
N/A
Noble Finance II LLC
65505PAA5
35000.00000000
PA
USD
36006.25000000
0.007744395753
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
8.00000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan, Inc.
28368EAE6
1400000.00000000
PA
USD
1594123.21000000
0.342871613054
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
7.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association REMICS
38376RFJ0
750085.11000000
PA
USD
746448.92000000
0.160549789161
Long
ABS-MBS
USGA
US
N
2
2065-08-20
Floating
4.56400000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp.
539830BX6
155000.00000000
PA
USD
169821.09000000
0.036525928920
Long
DBT
CORP
US
N
2
2054-11-15
Fixed
5.70000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust
46655AAJ7
284000.00000000
PA
USD
183822.01000000
0.039537313482
Long
ABS-MBS
CORP
US
N
2
2039-01-05
Variable
3.45000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC/CCO Holdings Capital Corp.
1248EPCE1
45000.00000000
PA
USD
38128.36000000
0.008200829279
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.50000000
N
N
N
N
N
N
Lightstone Holdco LLC
549300VXK6UGDG7H3G98
Lightstone Holdco LLC
53226GAK7
89193.41000000
PA
USD
80292.80000000
0.017269757870
Long
LON
CORP
US
N
2
2027-01-29
Variable
11.06900000
N
N
N
N
N
N
API GROUP DE INC
549300XP4G7B4QYA0G83
APi Group DE, Inc.
001877AA7
25000.00000000
PA
USD
21670.83000000
0.004661065337
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
4.12500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc.
38148YAA6
290000.00000000
PA
USD
246081.82000000
0.052928449970
Long
DBT
CORP
US
N
2
2038-10-31
Fixed
4.01700000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark Mortgage Trust
08162VAH1
56000.00000000
PA
USD
45910.75000000
0.009874702789
Long
ABS-MBS
CORP
US
N
2
2062-03-15
Variable
4.18000000
N
N
N
N
N
N
MATCH GROUP HLD II LLC
5493003RFFE030RC9167
Match Group Holdings II LLC
57665RAN6
45000.00000000
PA
USD
41511.17000000
0.008928420167
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
4.62500000
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bonds
80413TBE8
200000.00000000
PA
USD
183958.00000000
0.039566562859
Long
DBT
NUSS
SA
N
2
2053-01-18
Fixed
5.00000000
N
N
N
N
N
N
YUM! BRANDS INC
549300JE8XHZZ7OHN517
Yum! Brands, Inc.
988498AR2
55000.00000000
PA
USD
52062.66000000
0.011197884895
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
5.37500000
N
N
N
N
N
N
Freddie Mac Multiclass Certificates
N/A
Federal Home Loan Mortgage Corp. Multiclass Certificates
3137FRV57
3460000.00000000
PA
USD
295696.79000000
0.063599874041
Long
ABS-MBS
USGSE
US
N
2
2029-02-27
Variable
2.12600000
N
N
N
N
N
N
SWISS RE FINANCE LUX
549300CLQZ6TM98LW631
Swiss Re Finance Luxembourg SA
87089NAA8
3400000.00000000
PA
USD
3251250.00000000
0.699294336190
Long
DBT
CORP
LU
N
2
2049-04-02
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CFC0
8400000.00000000
PA
USD
7728656.21000000
1.662316190394
Long
DBT
UST
US
N
2
2029-07-31
Fixed
2.62500000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XCQ6
210000.00000000
PA
USD
201375.56000000
0.043312814626
Long
DBT
CORP
US
N
2
2053-02-06
Fixed
5.55000000
N
N
N
N
N
N
FAIRFAX FINL HLDGS LTD
GLS7OQD0WOEDI8YAP031
Fairfax Financial Holdings Ltd.
303901BL5
1800000.00000000
PA
USD
1753663.45000000
0.377186287787
Long
DBT
CORP
CA
N
2
2032-08-16
Fixed
5.62500000
N
N
N
N
N
N
PACIFICORP
SGY07Y7FNYBNLM6Z1M11
PacifiCorp
695114CW6
100000.00000000
PA
USD
83899.81000000
0.018045570762
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
2.70000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032682
235000.00000000
PA
USD
212972.28000000
0.045807092401
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
3.50000000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE
7D6DIU2QXTUJRFNNJA49
Nissan Motor Acceptance Co. LLC
654740BT5
200000.00000000
PA
USD
170492.32000000
0.036670300266
Long
DBT
CORP
US
N
2
2028-03-09
Fixed
2.75000000
N
N
N
N
N
N
Thornburg Mortgage Securities Trust
N/A
Thornburg Mortgage Securities Trust
88522YAB5
130894.30000000
PA
USD
127492.89000000
0.027421778048
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
3.50500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DWFR9
455180.58000000
PA
USD
445240.41000000
0.095764428129
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
5.00000000
N
N
N
N
N
N
CHURCHILL DOWNS INC
529900FODTBQC8MIS994
Churchill Downs, Inc.
171484AJ7
95000.00000000
PA
USD
92853.00000000
0.019971265512
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
6.75000000
N
N
N
N
N
N
BLACKSTONE MORTGAGE TR
549300OLDJ20R2Y2UW20
Blackstone Mortgage Trust, Inc.
09257WAD2
3450000.00000000
PA
USD
2966406.26000000
0.638028787838
Long
DBT
US
N
2
2027-01-15
Fixed
3.75000000
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp.
808513BD6
40000.00000000
PA
USD
39008.47000000
0.008390127530
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.37500000
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM Mortgage Trust
12591YBE4
2636230.98000000
PA
USD
10115.22000000
0.002175629697
Long
ABS-MBS
CORP
US
N
2
2047-06-10
Variable
1.04800000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967NL1
240000.00000000
PA
USD
230287.57000000
0.049531347449
Long
DBT
CORP
US
N
2
2026-03-17
Fixed
3.29000000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy, Inc.
25746UDL0
200000.00000000
PA
USD
161589.24000000
0.034755383412
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
2.25000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DH9
200000.00000000
PA
USD
195199.91000000
0.041984526409
Long
DBT
CORP
GB
N
2
2033-08-11
Fixed
5.40200000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAS0
743000.00000000
PA
USD
770134.36000000
0.165644166414
Long
DBT
CORP
NL
N
2
2029-09-15
Fixed
7.87500000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78016EZ59
160000.00000000
PA
USD
154334.77000000
0.033195057451
Long
DBT
CORP
CA
N
2
2025-04-14
Fixed
3.37500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179VBK5
45790.96000000
PA
USD
45584.36000000
0.009804501273
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFF7
200000.00000000
PA
USD
200421.40000000
0.043107589349
Long
DBT
CORP
US
N
2
2029-07-20
Fixed
5.44900000
N
N
N
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AZ0
45000.00000000
PA
USD
38210.17000000
0.008218425364
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
6.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397C68
1690000.00000000
PA
USD
1749516.21000000
0.376294279654
Long
DBT
CORP
US
N
2
2030-03-06
Fixed
7.35000000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co., Inc.
58933YBG9
200000.00000000
PA
USD
129911.53000000
0.027941990660
Long
DBT
CORP
US
N
2
2061-12-10
Fixed
2.90000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CGD7
2700000.00000000
PA
USD
2664246.09000000
0.573038739240
Long
DBT
UST
US
N
2
2024-12-31
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140XL4P0
200000.00000000
PA
USD
175254.27000000
0.037694523153
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
3.00000000
N
N
N
N
N
N
M&T BANK CORPORATION
549300WYXDDBYRASEG81
M&T Bank Corp.
55261FAL8
56000.00000000
PA
USD
48788.52000000
0.010493667268
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
5.00000000
N
N
N
N
N
N
VISTRA CORP
549300ZH5GKBTJZ7NM23
Vistra Operations Co. LLC
92840VAF9
105000.00000000
PA
USD
98918.43000000
0.021275847087
Long
DBT
CORP
US
N
2
2027-07-31
Fixed
5.00000000
N
N
N
N
N
N
COREBRIDGE GLOB FUNDING
54930057MDZ7KOVOTV71
Corebridge Global Funding
00138CAU2
100000.00000000
PA
USD
99888.58000000
0.021484511570
Long
DBT
CORP
US
N
2
2026-07-02
Fixed
5.75000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBQ7
345000.00000000
PA
USD
265123.99000000
0.057024130594
Long
DBT
CORP
US
N
2
2047-11-15
Fixed
4.00000000
N
N
N
N
N
N
ROYAL CARIBBEAN CRUISES
K2NEH8QNVW44JIWK7Z55
Royal Caribbean Cruises Ltd.
780153AG7
25000.00000000
PA
USD
25441.48000000
0.005472074699
Long
DBT
CORP
LR
N
2
2027-10-15
Fixed
7.50000000
N
N
N
N
N
WYNN MACAU LTD
254900NMDQ8ENTHU1I31
Wynn Macau Ltd.
98313RAG1
75000.00000000
PA
USD
70192.50000000
0.015097337237
Long
DBT
CORP
KY
N
2
2026-01-15
Fixed
5.50000000
N
N
N
N
N
N
WIPRO IT SERVICE
549300S6XZZ65F0EJS98
Wipro IT Services LLC
97654MAA4
200000.00000000
PA
USD
178512.00000000
0.038395211239
Long
DBT
CORP
US
N
2
2026-06-23
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140QN7K2
296669.63000000
PA
USD
269144.38000000
0.057888855225
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
Avis Budget Rental Car Funding AESOP LLC
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RGY4
2100000.00000000
PA
USD
2066537.97000000
0.444480829817
Long
ABS-O
CORP
US
N
2
2029-06-20
Fixed
5.49000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding Trust
06051GDM8
168198.59000000
PA
USD
157337.23000000
0.033840840849
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
4.46600000
N
N
N
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust
80556UAF0
860312.08000000
PA
USD
815526.04000000
0.175407225155
Long
ABS-O
CORP
US
N
2
2036-03-25
Floating
5.87700000
N
N
N
N
N
N
SPCM SA
969500F7036FEDYPRV54
SPCM SA
7846ELAD9
30000.00000000
PA
USD
26910.37000000
0.005788010557
Long
DBT
CORP
FR
N
2
2027-03-15
Fixed
3.12500000
N
N
N
N
N
N
EMORY UNIVERSITY
95MD72NUUVZ3P8PQ6919
Emory University
29157TAD8
200000.00000000
PA
USD
167684.76000000
0.036066436888
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
2.14300000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bills
912796YJ2
325000.00000000
PA
USD
321914.38000000
0.069238878176
Long
STIV
UST
US
N
2
2023-10-05
None
0.00000000
N
N
N
N
N
N
Berry Global Inc
549300AP2Q7ERHX6RI89
Berry Global, Inc.
085770AB1
30000.00000000
PA
USD
29264.76000000
0.006294403973
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.62500000
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc.
17307GXR4
809.79000000
PA
USD
801.32000000
0.000172351722
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
6.43000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833EL0
210000.00000000
PA
USD
140670.97000000
0.030256182264
Long
DBT
CORP
US
N
2
2061-08-05
Fixed
2.85000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing, Inc.
527298BT9
50000.00000000
PA
USD
32784.03000000
0.007051345327
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
3.75000000
N
N
N
N
N
N
MidAmerican Energy Co
NINLOILYRTLIMK26MZ18
MidAmerican Energy Co.
595620AT2
1400000.00000000
PA
USD
1306827.35000000
0.281078651052
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140QQDT9
750734.49000000
PA
USD
719042.96000000
0.154655184746
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4.50000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd.
335934AT2
5000.00000000
PA
USD
4890.63000000
0.001051899995
Long
DBT
CORP
CA
N
2
2027-10-15
Fixed
6.87500000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Purchased USD / Sold TWD
000000000
1.00000000
NC
1555.32000000
0.000334525633
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
1794999.00000000
TWD
58810.00000000
USD
2023-08-22
1555.32000000
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co. Ltd.
654744AB7
200000.00000000
PA
USD
188805.44000000
0.040609173343
Long
DBT
CORP
JP
N
2
2025-09-17
Fixed
3.52200000
N
N
N
N
N
N
Taubman Centers Commercial Mortgage Trust
N/A
Taubman Centers Commercial Mortgage Trust
87666YAE7
150000.00000000
PA
USD
143943.59000000
0.030960072962
Long
ABS-MBS
CORP
US
N
2
2037-05-15
Floating
8.99900000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark Mortgage Trust
08162MBD9
143000.00000000
PA
USD
101813.24000000
0.021898476610
Long
ABS-MBS
CORP
US
N
2
2053-03-15
Variable
3.37100000
N
N
N
N
N
N
ROCKCLIFF ENERGY II LLC
5493007AZNVKZ5HEMT23
Rockcliff Energy II LLC
77289KAA3
25000.00000000
PA
USD
22893.68000000
0.004924081740
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
5.50000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing, Inc.
527298BU6
30000.00000000
PA
USD
31075.95000000
0.006683963345
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
10.50000000
N
N
N
N
N
MACY'S RETAIL HLDGS LLC
N/A
Macy's Retail Holdings LLC
55616XAM9
30000.00000000
PA
USD
21886.38000000
0.004707426858
Long
DBT
CORP
US
N
2
2034-12-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DPW46
242859.57000000
PA
USD
232566.31000000
0.050021469702
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.50000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Purchased USD / Sold PEN
000000000
1.00000000
NC
10251.56000000
0.002204954354
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
3140592.00000000
PEN
880951.47000000
USD
2023-08-14
10251.56000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Swap
000000000
1200000.00000000
OU
Notional Amount
USD
68588.27000000
0.014752291807
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2033-06-21
21526.05000000
USD
0.00000000
USD
1200000.00000000
USD
47062.22000000
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Purchased USD / Sold GBP
000000000
1.00000000
NC
-12180.29000000
-0.00261979478
N/A
DFE
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
652000.00000000
GBP
824563.54000000
USD
2023-08-02
-12180.29000000
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS Mortgage Trust
054976AG0
1301668.31000000
PA
USD
101789.42000000
0.021893353291
Long
ABS-MBS
CORP
US
N
2
2055-09-15
Variable
1.15100000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust
07384MWN8
38378.18000000
PA
USD
35836.97000000
0.007707986204
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Variable
4.55500000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy, Inc.
25746UDM8
60000.00000000
PA
USD
51504.00000000
0.011077725641
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
4.35000000
N
N
N
N
N
N
M&T BANK CORPORATION
549300WYXDDBYRASEG81
M&T Bank Corp.
55261FAN4
190000.00000000
PA
USD
141857.80000000
0.030511451313
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
3.50000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co.
345370CX6
50000.00000000
PA
USD
58355.45000000
0.012551368141
Long
DBT
CORP
US
N
2
2030-04-22
Fixed
9.62500000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAV5
200000.00000000
PA
USD
187200.00000000
0.040263867661
Long
DBT
CORP
GB
N
2
2029-09-27
Fixed
8.00000000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries, Inc.
853496AH0
15000.00000000
PA
USD
12113.32000000
0.002605390563
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.37500000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T, Inc.
00206RKJ0
275000.00000000
PA
USD
186510.57000000
0.040115581773
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
3.50000000
N
N
N
N
N
N
COTY INC
549300BO9IWPF3S48F93
Coty, Inc.
222070AE4
20000.00000000
PA
USD
19299.03000000
0.004150927296
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISOMSKCX2AW62
Federal Home Loan Mortgage Corp. STACR REMIC Trust
35564KMH9
130000.00000000
PA
USD
127561.25000000
0.027436481243
Long
ABS-MBS
USGSE
US
N
2
2041-11-25
Floating
6.86900000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162DU1
240000.00000000
PA
USD
241248.24000000
0.051888820560
Long
DBT
CORP
US
N
2
2063-03-02
Fixed
5.75000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CS9
25000.00000000
PA
USD
19345.93000000
0.004161014771
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
3.87500000
N
N
N
N
N
N
WYNN LAS VEGAS LLC/CORP
N/A
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
983130AV7
29000.00000000
PA
USD
28453.74000000
0.006119965928
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Future
000000000
19.00000000
NC
USD
-971.47000000
-0.00020894839
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
Three-Month SOFR Futures
SFRZ3 Comdty
2024-03-19
4495658.97000000
USD
-971.47000000
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GDH0
55000.00000000
PA
USD
50898.45000000
0.010947481062
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DWH30
200000.00000000
PA
USD
201172.59000000
0.043269158872
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
6.00000000
N
N
N
N
N
N
NFAS, Llc
N/A
NFAS2 LLC
62909JAB6
1460000.00000000
PA
USD
1425386.32000000
0.306578879034
Long
ABS-O
CORP
US
N
2
2028-09-15
Fixed
7.59000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust
17331LAC1
1120000.00000000
PA
USD
1112758.08000000
0.239337308079
Long
ABS-MBS
CORP
US
N
2
2028-07-10
Variable
6.36000000
N
N
N
N
N
N
FORTREA HOLDINGS INC
5493000FIVFABOVCDU97
Fortrea Holdings, Inc.
34965KAA5
10000.00000000
PA
USD
10219.93000000
0.002198151223
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
7.50000000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp.
808513BT1
100000.00000000
PA
USD
77734.80000000
0.016719571046
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
1.95000000
N
N
N
N
N
N
SCENTRE GROUP TRUST 1/2
N/A
Scentre Group Trust 1/Scentre Group Trust 2
80622GAE4
1715000.00000000
PA
USD
1607347.80000000
0.345716020862
Long
DBT
AU
N
2
2030-05-28
Fixed
4.37500000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc.
17307GWE4
80591.67000000
PA
USD
80128.99000000
0.017234524835
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
5.16900000
N
N
N
N
N
N
Humana Inc
529900YLDW34GJAO4J06
Humana, Inc.
44486JVW6
250000.00000000
PA
USD
248886.32000000
0.053531655188
Long
STIV
CORP
US
N
2
2023-08-30
None
0.00000000
N
N
N
N
N
N
Sotera Health Holdings, LLC
549300OVT7MBXFLOFU20
Sotera Health Holdings LLC
83601MAB6
2455000.00000000
PA
USD
2451931.25000000
0.527373052165
Long
LON
CORP
US
N
2
2026-12-11
Variable
8.81600000
N
N
N
N
N
N
Vantage Data Centers LLC
N/A
Vantage Data Centers Issuer LLC
92212KAE6
1370000.00000000
PA
USD
1334034.35000000
0.286930462203
Long
ABS-O
CORP
US
N
2
2048-03-16
Fixed
6.31600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140QRVZ3
247402.02000000
PA
USD
241983.19000000
0.052046897107
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAK4
535000.00000000
PA
USD
498125.85000000
0.107139280466
Long
DBT
CORP
US
N
2
2028-07-22
Variable
3.59100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DQM78
226322.56000000
PA
USD
228188.01000000
0.049079764084
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
6.00000000
N
N
N
N
N
N
DUKE UNIVERSITY
FY5ICUIRRDCHN4HHL592
Duke University
26442TAF4
300000.00000000
PA
USD
217925.46000000
0.046872445948
Long
DBT
CORP
US
N
2
2044-10-01
Fixed
2.68200000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBH1
280000.00000000
PA
USD
212821.03000000
0.045774560830
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
4.65000000
N
N
N
N
N
N
SELECT MEDICAL CORP
549300X05KS0JKR8CB50
Select Medical Corp.
816196AT6
30000.00000000
PA
USD
29744.35000000
0.006397556474
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
6.25000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Purchased USD / Sold IDR
000000000
1.00000000
NC
33.39000000
0.000007181680
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
66613097.00000000
IDR
4449.00000000
USD
2023-09-26
33.39000000
N
N
N
COSTAR GROUP INC
N/A
CoStar Group, Inc.
22160NAA7
200000.00000000
PA
USD
167146.96000000
0.035950764302
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
2.80000000
N
N
N
N
N
N
BLUE RACER MID LLC/FINAN
N/A
Blue Racer Midstream LLC/Blue Racer Finance Corp.
095796AH1
20000.00000000
PA
USD
20056.16000000
0.004313774423
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
7.62500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAH3
3190000.00000000
PA
USD
2886964.77000000
0.620942133777
Long
DBT
CORP
US
N
2
2023-08-16
Variable
9.34900000
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AU3
200000.00000000
PA
USD
189050.00000000
0.040661774473
Long
DBT
CORP
GB
N
2
2025-09-27
Fixed
7.50000000
N
N
N
N
N
N
LIVE NATION ENTERTAINMEN
5493007B9BM9ZXJINO78
Live Nation Entertainment, Inc.
538034AV1
25000.00000000
PA
USD
25127.42000000
0.005404525179
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
6.50000000
N
N
N
N
N
N
ZF NA CAPITAL
529900JYGMS9CW9IQX78
ZF North America Capital, Inc.
98877DAE5
25000.00000000
PA
USD
25752.05000000
0.005538873574
Long
DBT
CORP
US
N
2
2030-04-14
Fixed
7.12500000
N
N
N
N
N
N
CITIZENS FINANCIAL GROUP
2138004JDDA4ZQUPFW65
Citizens Financial Group, Inc.
174610AQ8
80000.00000000
PA
USD
71000.51000000
0.015271127876
Long
DBT
CORP
US
N
2
2024-04-06
Fixed
6.37500000
N
N
N
N
N
N
GENESIS ENERGY LP/FIN
N/A
Genesis Energy LP/Genesis Energy Finance Corp.
37185LAK8
15000.00000000
PA
USD
14314.09000000
0.003078742657
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
6.25000000
N
N
N
N
N
HESS MIDSTREAM OPERATION
N/A
Hess Midstream Operations LP
428102AF4
1800000.00000000
PA
USD
1692000.00000000
0.363923419249
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
5.50000000
N
N
N
N
N
N
MVW Owner Trust
N/A
MVW LLC
55400UAB9
150072.83000000
PA
USD
141743.43000000
0.030486852069
Long
ABS-O
CORP
US
N
2
2039-11-21
Fixed
4.40000000
N
N
N
N
N
N
FS LUXEMBOURG SARL
222100EKR3JUJPGGOY81
FS Luxembourg Sarl
30315XAB0
20000.00000000
PA
USD
20563.60000000
0.004422917035
Long
DBT
CORP
LU
N
2
2025-12-15
Fixed
10.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YCX5
305000.00000000
PA
USD
297140.17000000
0.063910323086
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.80000000
N
N
N
N
N
N
BLUE OWL CREDIT INCOME
5493003I42XBWPE05N35
Blue Owl Credit Income Corp.
69120VAN1
950000.00000000
PA
USD
947775.01000000
0.203851963545
Long
DBT
CORP
US
N
2
2027-09-16
Fixed
7.75000000
N
N
N
N
N
N
SUNTORY HOLDINGS LTD
54930074QUY8RD0UZM08
Suntory Holdings Ltd.
86803UAD3
200000.00000000
PA
USD
191182.33000000
0.041120406166
Long
DBT
CORP
JP
N
2
2024-10-16
Fixed
2.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DWEK5
491941.99000000
PA
USD
471091.72000000
0.101324651018
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
4.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PCW4
200000.00000000
PA
USD
184221.11000000
0.039623153811
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
2.94700000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc.
38144GAG6
95000.00000000
PA
USD
77475.07000000
0.016663707080
Long
DBT
CORP
US
N
2
2026-08-10
Fixed
3.65000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A2N0
1800000.00000000
PA
USD
1680902.03000000
0.361536415000
Long
DBT
CORP
US
N
2
2025-06-29
Fixed
2.55000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
Onslow Bay Mortgage Loan Trust
67115DAA0
310070.35000000
PA
USD
249055.39000000
0.053568019569
Long
ABS-MBS
CORP
US
N
2
2061-10-25
Variable
1.95700000
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
904678AG4
500000.00000000
PA
USD
501669.00000000
0.107901358044
Long
DBT
CORP
IT
N
2
2023-12-04
Fixed
7.83000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PCP9
200000.00000000
PA
USD
177057.60000000
0.038082391959
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
1.47000000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AT4
235000.00000000
PA
USD
203033.27000000
0.043669362789
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
5.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TG3
80000.00000000
PA
USD
64421.88000000
0.013856164801
Long
DBT
UST
US
N
2
2052-05-15
Fixed
2.87500000
N
N
N
N
N
N
Iridium Satellite LLC
254900615BJ7139TFM33
Iridium Satellite LLC
46269KAL8
1396151.28000000
PA
USD
1394601.55000000
0.299957544070
Long
LON
CORP
US
N
2
2026-11-04
None
0.00000000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Purchased AUD / Sold USD
000000000
1.00000000
NC
-3046.82000000
-0.00065532455
N/A
DFE
AU
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
465398.70000000
USD
688000.00000000
AUD
2023-08-16
-3046.82000000
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust
61691RAK2
80000.00000000
PA
USD
66454.20000000
0.014293285867
Long
ABS-MBS
CORP
US
N
2
2051-12-15
Variable
5.07000000
N
N
N
N
N
N
Enbridge US Inc
5493003FRODSVHJWFS32
Enbridge U.S., Inc.
29251VW10
300000.00000000
PA
USD
298574.00000000
0.064218718072
Long
STIV
CORP
US
N
2
2023-09-01
None
0.00000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
U.S. Small Business Administration
83162CPS6
39031.51000000
PA
USD
38453.23000000
0.008270703866
Long
ABS-O
USGA
US
N
2
2025-08-01
Fixed
5.11000000
N
N
N
N
N
N
RLJ LODGING TRUST LP
549300RX5I8Z6I6LDZ74
RLJ Lodging Trust LP
74965LAB7
50000.00000000
PA
USD
41910.00000000
0.009014202423
Long
DBT
US
N
2
2029-09-15
Fixed
4.00000000
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Future
000000000
-42.00000000
NC
USD
103586.10000000
0.022279791784
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Ultra 10-Year U.S. Treasury Notes Futures
UXYU3 Comdty
2023-09-20
-5016929.85000000
USD
103586.10000000
N
N
N
Countrywide Alternative Loan Trust
N/A
Countrywide Alternative Loan Trust
021468AA1
1189833.32000000
PA
USD
655879.08000000
0.141069596576
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Fixed
6.00000000
N
N
N
N
N
N
NEVADA POWER CO
MJZFGXRJ52U8U4MKJ519
Nevada Power Co.
641423CF3
1245000.00000000
PA
USD
1275903.35000000
0.274427369836
Long
DBT
CORP
US
N
2
2053-05-01
Fixed
5.90000000
N
N
N
N
N
N
CONSENSUS CLOUD SOLUTION
N/A
Consensus Cloud Solutions, Inc.
20848VAB1
30000.00000000
PA
USD
25950.12000000
0.005581475413
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
6.50000000
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TJ7
3965000.00000000
PA
USD
3276391.00000000
0.704701782221
Long
DBT
UST
US
N
2
2052-08-15
Fixed
3.00000000
N
N
N
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DaVita, Inc.
23918KAS7
30000.00000000
PA
USD
25599.04000000
0.005505963455
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
4.62500000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co.
345370CQ1
75000.00000000
PA
USD
58678.32000000
0.012620812559
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IRODEKU3J3Q16
Federal Home Loan Mortgage Corp. STACR REMIC Trust
35564KTJ8
383000.00000000
PA
USD
408136.29000000
0.087783897267
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Floating
10.31900000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Future
000000000
91.00000000
NC
USD
-219102.07000000
-0.04712551683
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CBOT U.S. Long Bond Futures
USU3 Comdty
2023-09-20
11542914.57000000
USD
-219102.07000000
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources, Inc.
212015AT8
200000.00000000
PA
USD
193186.26000000
0.041551420975
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
5.75000000
N
N
N
N
N
N
Oxford Finance Funding Trust
N/A
Oxford Finance Funding Trust
69145CAC8
2560000.00000000
PA
USD
2504001.54000000
0.538572578157
Long
ABS-O
CORP
US
N
2
2031-02-15
Fixed
7.87900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140N1WN9
286099.31000000
PA
USD
279574.78000000
0.060132275338
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264AAZ8
205000.00000000
PA
USD
175175.63000000
0.037677608888
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.50000000
N
N
N
N
N
N
AMERICAN AIRLINES/AADVAN
N/A
American Airlines, Inc./AAdvantage Loyalty IP Ltd.
00253XAA9
87083.34000000
PA
USD
85778.14000000
0.018449570925
Long
DBT
CORP
XX
N
2
2026-04-20
Fixed
5.50000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm, Inc.
893647BR7
70000.00000000
PA
USD
70208.88000000
0.015100860325
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
6.75000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBD6
200000.00000000
PA
USD
191805.16000000
0.041254367409
Long
DBT
CORP
GB
N
2
2029-05-16
Fixed
4.97200000
N
N
N
N
N
N
IMOLA MERGER CORP
N/A
Imola Merger Corp.
45258LAA5
100000.00000000
PA
USD
87803.10000000
0.018885108967
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.75000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp.
03027XAZ3
165000.00000000
PA
USD
156390.31000000
0.033637172785
Long
DBT
US
N
2
2025-03-15
Fixed
2.40000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bills
912797FA0
1700000.00000000
PA
USD
1682073.50000000
0.361788380348
Long
STIV
UST
US
N
2
2023-10-12
None
0.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Future
000000000
-24.00000000
NC
USD
63094.69000000
0.013570706454
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CBOT 10 Year U.S. Treasury Notes
TYU3 Comdty
2023-09-20
-2736844.69000000
USD
63094.69000000
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust
07386HKZ3
77611.35000000
PA
USD
71354.37000000
0.015347237771
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
4.12400000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG
251526CB3
200000.00000000
PA
USD
192589.08000000
0.041422976657
Long
DBT
CORP
DE
N
2
2025-11-26
Fixed
3.96100000
N
N
N
N
N
Stack Infrastructure Issuer LLC
N/A
Stack Infrastructure Issuer LLC
85236KAF9
950000.00000000
PA
USD
918434.16000000
0.197541193772
Long
ABS-O
CORP
US
N
2
2048-03-25
Fixed
5.90000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BF3
55000.00000000
PA
USD
38097.95000000
0.008194288552
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.37500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Swap
000000000
4200000.00000000
OU
Notional Amount
USD
83622.92000000
0.017986015942
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-06-21
71039.79000000
USD
0.00000000
USD
4200000.00000000
USD
12583.13000000
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Swaption
000000000
-1700000.00000000
NC
USD
-3649.39000000
-0.00078492818
N/A
DIR
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Bank of America N.A.
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
1700000.00000000
OU
Notional Amount
N/A
-3649.39000000
0.00000000
DIR
US
N/A
N/A
2025-03-04
0.00000000
N/A
0.00000000
N/A
1700000.00000000
USD
1.00000000
5.10000000
USD
2024-03-04
XXXX
1259.36000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co.
097023DA0
300000.00000000
PA
USD
281006.67000000
0.060440253060
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
2.75000000
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp.
89788MAG7
1720000.00000000
PA
USD
1629677.79000000
0.350518861472
Long
DBT
CORP
US
N
2
2028-06-06
Fixed
4.12300000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833BZ2
610000.00000000
PA
USD
571632.59000000
0.122949460228
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
2.45000000
N
N
N
N
N
N
VISTRA CORP
549300ZH5GKBTJZ7NM23
Vistra Operations Co. LLC
92840VAA0
25000.00000000
PA
USD
24174.99000000
0.005199671998
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
5.50000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC
013092AC5
35000.00000000
PA
USD
33167.69000000
0.007133864747
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
4.62500000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC/CCO Holdings Capital Corp.
1248EPCK7
15000.00000000
PA
USD
12331.38000000
0.002652291946
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.25000000
N
N
N
N
N
N
CARPENTER TECHNOLOGY
DX6I6ZD3X5WNNCDJKP85
Carpenter Technology Corp.
144285AM5
40000.00000000
PA
USD
40797.60000000
0.008774942133
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
7.62500000
N
N
N
N
N
N
CNTRL PARENT/CDK GLB INC
N/A
Central Parent, Inc./CDK Global, Inc.
15477CAA3
30000.00000000
PA
USD
29669.52000000
0.006381461681
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
7.25000000
N
N
N
N
N
EMERALD DEBT MERGER
98450099EE3A0ZD5F786
Emerald Debt Merger Sub LLC
29103CAA6
25000.00000000
PA
USD
24843.75000000
0.005343512084
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
6.62500000
N
N
N
N
N
N
HUNTINGTON NATIONAL BANK
2WHM8VNJH63UN14OL754
Huntington National Bank
44644MAJ0
1645000.00000000
PA
USD
1614803.51000000
0.347319630481
Long
DBT
CORP
US
N
2
2030-01-10
Fixed
5.65000000
N
N
N
N
N
N
MCF CLO LLC
N/A
MCF CLO Ltd.
55293LAL7
820000.00000000
PA
USD
822170.54000000
0.176836355864
Long
ABS-CBDO
CORP
JE
N
2
2035-04-15
Floating
9.03200000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CQ3
25000.00000000
PA
USD
20639.15000000
0.004439166689
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.37500000
N
N
N
N
N
N
Aramark Services Inc
42YMHYH0XMHJEXDUB065
Aramark Services, Inc.
038522AQ1
55000.00000000
PA
USD
51700.19000000
0.011119923120
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.00000000
N
N
N
N
N
N
Bank of America N.A.
B4TYDEB6GKMZO031MB27
Purchased USD / Sold TWD
000000000
1.00000000
NC
1842.14000000
0.000396216245
N/A
DFE
US
N
2
Bank of America N.A.
B4TYDEB6GKMZO031MB27
1847391.00000000
TWD
60972.00000000
USD
2023-09-20
1842.14000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31418EPD6
239497.97000000
PA
USD
237899.16000000
0.051168484482
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association Connecticut Avenue Securities
30711XQX5
161367.86000000
PA
USD
164693.75000000
0.035423116211
Long
ABS-MBS
USGSE
US
N
2
2030-02-25
Floating
7.83300000
N
N
N
N
N
N
Freedom Financial
N/A
FREED ABS Trust
35634JAB4
2850000.00000000
PA
USD
2860091.57000000
0.615162117920
Long
ABS-O
CORP
US
N
2
2029-12-18
Fixed
7.58000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DWGZ0
217447.18000000
PA
USD
215990.78000000
0.046456325758
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
5.50000000
N
N
N
N
N
N
Structured Asset Securities Corporation
N/A
Structured Asset Securities Corp.
86359BV73
26740.49000000
PA
USD
26720.35000000
0.005747140151
Long
ABS-O
CORP
US
N
2
2035-02-25
Floating
6.07200000
N
N
N
N
N
N
HUDBAY MINERALS INC
549300WI524AL577IX21
Hudbay Minerals, Inc.
443628AJ1
70000.00000000
PA
USD
66379.53000000
0.014277225488
Long
DBT
CORP
CA
N
2
2026-04-01
Fixed
4.50000000
N
N
N
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CH3
50000.00000000
PA
USD
45123.75000000
0.009705431081
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
5.25000000
N
N
N
N
N
N
TALEN ENERGY SUPPLY LLC
K5K33XN0PQAU1XF7NN66
Talen Energy Supply LLC
87422VAK4
25000.00000000
PA
USD
25947.00000000
0.005580804349
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
8.62500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202K2H7
1855.35000000
PA
USD
1809.15000000
0.000389120599
Long
ABS-MBS
USGA
US
N
2
2026-05-20
Floating
2.87500000
N
N
N
N
N
N
CREDIT ACCEPTANC
N/A
Credit Acceptance Corp.
225310AM3
1500000.00000000
PA
USD
1471976.70000000
0.316599759881
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.62500000
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA
000000000
200000.00000000
PA
169100.96000000
0.036371039930
Long
DBT
CORP
FR
N
2
2027-02-01
Fixed
5.87500000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IS4CDPWRMWB65
Federal Home Loan Mortgage Corp. STACR REMIC Trust
35564KWT2
436000.00000000
PA
USD
448428.40000000
0.096450116203
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Floating
8.41900000
N
N
N
N
N
N
M360 2018-CRE1, Ltd.
N/A
M360 Ltd.
55379AAA2
700000.00000000
PA
USD
685222.58000000
0.147380936324
Long
ABS-CBDO
CORP
KY
N
2
2038-11-22
Floating
6.90600000
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AM3
35000.00000000
PA
USD
27069.70000000
0.005822280013
Long
DBT
CORP
US
N
2
2043-11-15
Fixed
5.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133KQEU6
236328.17000000
PA
USD
230937.90000000
0.049671223523
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
5.00000000
N
N
N
N
N
N
Small Business Administration Participation Certs
N/A
U.S. Small Business Administration
83162CQY2
142648.91000000
PA
USD
138928.93000000
0.029881496003
Long
ABS-O
USGA
US
N
2
2027-04-01
Fixed
5.32000000
N
N
N
N
N
N
ORGANON & CO/ORG
N/A
Organon & Co./Organon Foreign Debt Co.-Issuer BV
68622TAA9
50000.00000000
PA
USD
44807.08000000
0.009637320189
Long
DBT
CORP
US
N
2
2028-04-30
Fixed
4.12500000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Purchased EUR / Sold USD
000000000
1.00000000
NC
0.01000000
0.000000002150
N/A
DFE
XX
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
277.99000000
USD
251.88000000
EUR
2023-10-19
0.01000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Future
000000000
242.00000000
NC
USD
-608968.90000000
-0.13097993162
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME Ultra Long Term U.S. Treasury Bond Futures
WNU3 Comdty
2023-09-20
32605906.40000000
USD
-608968.90000000
N
N
N
UNITED AIRLINES HOLDINGS
98450079DA0B78DD6764
United Airlines Holdings, Inc.
910047AK5
25000.00000000
PA
USD
24312.50000000
0.005229248304
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.87500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SF6
200000.00000000
PA
USD
164460.94000000
0.035373042327
Long
DBT
UST
US
N
2
2049-02-15
Fixed
3.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F042681
2675000.00000000
PA
USD
2561957.18000000
0.551037953260
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Federal National Mortgage Association Connecticut Avenue Securities
20755AAC6
144000.00000000
PA
USD
148598.67000000
0.031961309741
Long
ABS-MBS
USGSE
US
N
2
2043-01-25
Floating
8.41900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3128QPF56
309.90000000
PA
USD
304.78000000
0.000065553534
Long
ABS-MBS
USGSE
US
N
2
2036-03-01
Floating
4.81500000
N
N
N
N
N
N
PUBLIC SERVICE ELECTRIC
549300RUHPVD434XUK18
Public Service Electric & Gas Co.
74456QCJ3
1835000.00000000
PA
USD
1603974.73000000
0.344990524900
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
3.10000000
N
N
N
N
N
N
REGENERON PHARMACEUTICAL
549300RCBFWIRX3HYQ56
Regeneron Pharmaceuticals, Inc.
75886FAE7
300000.00000000
PA
USD
239897.38000000
0.051598271157
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
1.75000000
N
N
N
N
N
N
ASB BANK LIMITED
549300IBZWZL1KTPF918
ASB Bank Ltd.
00216LAF0
1680000.00000000
PA
USD
1680835.56000000
0.361522118316
Long
DBT
CORP
NZ
N
2
2027-11-29
Fixed
5.39800000
N
N
N
N
N
N
GEN DIGITAL INC
YF6ZV0M6AU4FY94MK914
Gen Digital, Inc.
668771AL2
25000.00000000
PA
USD
25193.38000000
0.005418712170
Long
DBT
CORP
US
N
2
2030-09-30
Fixed
7.12500000
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133BNLR2
236923.85000000
PA
USD
226882.17000000
0.048798897797
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.50000000
N
N
N
N
N
N
Mariner Finance Issuance Trust
N/A
Mariner Finance Issuance Trust
56847QAB7
2431000.00000000
PA
USD
2431830.92000000
0.523049777448
Long
ABS-O
CORP
US
N
2
2037-10-20
Fixed
7.20000000
N
N
N
N
N
N
Bank
N/A
Bank
065403BH9
72000.00000000
PA
USD
54783.94000000
0.011783190759
Long
ABS-MBS
CORP
US
N
2
2052-04-15
Variable
4.51100000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC/CCO Holdings Capital Corp.
1248EPCS0
25000.00000000
PA
USD
23904.53000000
0.005141500173
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
6.37500000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Purchased USD / Sold CAD
000000000
1.00000000
NC
-120.05000000
-0.00002582092
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
35000.00000000
CAD
26422.62000000
USD
2023-08-02
-120.05000000
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBV1
200000.00000000
PA
USD
192184.80000000
0.041336022189
Long
DBT
CORP
US
N
2
2033-03-01
Fixed
5.00000000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773DG2
35000.00000000
PA
USD
32932.45000000
0.007083268208
Long
DBT
CORP
US
N
2
2030-07-28
Fixed
4.77200000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEY7
1380000.00000000
PA
USD
1467320.51000000
0.315598284358
Long
DBT
CORP
US
N
2
2033-10-18
Fixed
6.34200000
N
N
N
N
N
N
WRKCo Inc
549300JEB576INN13W07
WRKCo, Inc.
92940PAB0
200000.00000000
PA
USD
194616.28000000
0.041858996488
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
4.65000000
N
N
N
N
N
N
MELCO RESORTS FINANCE
5493000FQDBWKDBZEF60
Melco Resorts Finance Ltd.
58547DAC3
105000.00000000
PA
USD
94841.25000000
0.020398907793
Long
DBT
CORP
KY
N
2
2027-07-17
Fixed
5.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31418ET75
496288.54000000
PA
USD
499200.22000000
0.107370361083
Long
ABS-MBS
USGSE
US
N
2
2053-07-01
Fixed
6.00000000
N
N
N
N
N
N
MACY'S RETAIL HLDGS LLC
N/A
Macy's Retail Holdings LLC
55617LAR3
30000.00000000
PA
USD
26773.24000000
0.005758515984
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
6.12500000
N
N
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd.
335934AR6
20000.00000000
PA
USD
19586.00000000
0.004212650171
Long
DBT
CORP
CA
N
2
2026-03-01
Fixed
6.87500000
N
N
N
N
N
N
VMC Finance LLC
549300QK6J0UZ3WZJ014
VMC Finance LLC
91835BAA3
800000.00000000
PA
USD
782140.72000000
0.168226551511
Long
ABS-CBDO
CORP
US
N
2
2039-02-18
Floating
6.96800000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
000000000
200000.00000000
PA
USD
193500.00000000
0.041618901669
Long
DBT
CORP
ES
N
2
2024-02-08
Fixed
7.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RJ9
500000.00000000
PA
USD
413554.69000000
0.088949312548
Long
DBT
UST
US
N
2
2044-11-15
Fixed
3.00000000
N
N
N
N
N
N
ADT SEC CORP
5493009JEEDYLVRA0J13
ADT Security Corp.
00109LAA1
55000.00000000
PA
USD
47712.50000000
0.010262231761
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
4.12500000
N
N
N
N
N
NEW FORTRESS ENERGY INC
254900EICTYTCHA5X705
New Fortress Energy, Inc.
644393AA8
75000.00000000
PA
USD
71423.45000000
0.015362095826
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
6.75000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IS4M3TZMRB410
Federal Home Loan Mortgage Corp. STACR REMIC Trust
35564KUX5
210000.00000000
PA
USD
213646.57000000
0.045952121906
Long
ABS-MBS
USGSE
US
N
2
2042-04-25
Floating
7.96900000
N
N
N
N
N
N
SENSATA TECHNOLOGIES BV
PUCKW5P5O3XMOZVH7T53
Sensata Technologies BV
81725WAK9
20000.00000000
PA
USD
17673.42000000
0.003801283354
Long
DBT
CORP
NL
N
2
2029-04-15
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFB6
90000.00000000
PA
USD
89530.59000000
0.019256665744
Long
DBT
CORP
US
N
2
2038-01-19
Fixed
5.94800000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co.
097023CX1
100000.00000000
PA
USD
99880.41000000
0.021482754328
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
5.93000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133BMYP4
233324.45000000
PA
USD
223874.77000000
0.048152051880
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.50000000
N
N
N
N
N
N
Lazard Group LLC
FI94J2CJ1D7BIGVMS874
Lazard Group LLC
52107QAK1
100000.00000000
PA
USD
94165.25000000
0.020253510493
Long
DBT
CORP
US
N
2
2029-03-11
Fixed
4.37500000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp.
682691AC4
45000.00000000
PA
USD
36956.25000000
0.007948726278
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
3.87500000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
639057AH1
200000.00000000
PA
USD
201896.27000000
0.043424811413
Long
DBT
CORP
GB
N
2
2034-03-02
Fixed
6.01600000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association REMICS
38382GDD1
236582.33000000
PA
USD
183692.81000000
0.039509524531
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Fixed
1.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Inflation-Indexed Notes
912828B25
781986.00000000
PA
USD
770072.93000000
0.165630953757
Long
DBT
UST
US
N
2
2024-01-15
Fixed
0.62500000
N
N
N
N
N
N
GENESIS ENERGY LP/FIN
N/A
Genesis Energy LP/Genesis Energy Finance Corp.
37185LAJ1
20000.00000000
PA
USD
19812.70000000
0.004261409886
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.50000000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp.
064058AJ9
23000.00000000
PA
USD
20831.04000000
0.004480439304
Long
DBT
CORP
US
N
2
2026-03-20
Fixed
3.70000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances, Inc.
459506AQ4
200000.00000000
PA
USD
159330.38000000
0.034269537044
Long
DBT
CORP
US
N
2
2030-11-01
Fixed
2.30000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
17308CC53
200000.00000000
PA
USD
173328.70000000
0.037280362386
Long
DBT
CORP
US
N
2
2030-11-05
Fixed
2.97600000
N
N
N
N
N
N
ATLAS LUXCO 4 / ALL UNI
N/A
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl
019579AA9
20000.00000000
PA
USD
17000.00000000
0.003656440973
Long
DBT
CORP
XX
N
2
2028-06-01
Fixed
4.62500000
N
N
N
N
N
LEEWARD RENEWABL
254900EVJU1A57NUX379
Leeward Renewable Energy Operations LLC
524590AA4
25000.00000000
PA
USD
22130.50000000
0.004759933350
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
4.25000000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America, Inc.
911365BP8
55000.00000000
PA
USD
46581.79000000
0.010019033269
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.75000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162DP2
100000.00000000
PA
USD
100065.90000000
0.021522650400
Long
DBT
CORP
US
N
2
2028-03-02
Fixed
5.15000000
N
N
N
N
N
N
FIDELITY NATL FINANCIAL
549300CAZYIH39SYQ287
Fidelity National Financial, Inc.
31620RAJ4
1500000.00000000
PA
USD
1316906.15000000
0.283246447363
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
3.40000000
N
N
N
N
N
N
WINDSOR HOLDINGS III LLC
254900IXUJZ9H146T437
Windsor Holdings III LLC
97360AAA5
45000.00000000
PA
USD
45225.00000000
0.009727208413
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
8.50000000
N
N
N
N
N
N
TierPoint Issuer LLC
N/A
TierPoint Issuer LLC
88651CAA8
1020000.00000000
PA
USD
978120.84000000
0.210378889203
Long
ABS-O
CORP
US
N
3
2053-06-25
Fixed
6.00000000
N
N
N
N
N
N
Credit Acceptance Auto Loan Trust
N/A
Credit Acceptance Auto Loan Trust
22534QAE1
3050000.00000000
PA
USD
3132575.09000000
0.673769171281
Long
ABS-O
CORP
US
N
2
2033-02-15
Fixed
8.45000000
N
N
N
N
N
N
FIRST AMERICAN FINANCIAL
549300B6VEZK3N0A1P55
First American Financial Corp.
31847RAH5
1645000.00000000
PA
USD
1251575.30000000
0.269194776964
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
2.40000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association Connecticut Avenue Securities
30711XSX3
171692.52000000
PA
USD
177205.31000000
0.038114162130
Long
ABS-MBS
USGSE
US
N
2
2030-02-25
Floating
7.98300000
N
N
N
N
N
N
ON SEMICONDUCTOR CORP
ZV20P4CNJVT8V1ZGJ064
ON Semiconductor Corp.
682189AQ8
15000.00000000
PA
USD
13586.25000000
0.002922195363
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.87500000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC/New Red Finance, Inc.
68245XAM1
35000.00000000
PA
USD
30077.33000000
0.006469175399
Long
DBT
CORP
CA
N
2
2030-10-15
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust
46628LAG3
139950.28000000
PA
USD
103224.05000000
0.022201920345
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
4.33500000
N
N
N
N
N
N
COMERICA BANK
70WY0ID1N53Q4254VH70
Comerica Bank
200339EX3
1690000.00000000
PA
USD
1469160.55000000
0.315994048925
Long
DBT
CORP
US
N
2
2033-08-25
Fixed
5.33200000
N
N
N
N
N
N
Nomura Asset Acceptance Corporation
N/A
NAAC Reperforming Loan REMIC Trust Certificates
62951MAY6
391382.28000000
PA
USD
348703.10000000
0.075000723673
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Fixed
6.50000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV/NXP Funding LLC
62947QBA5
200000.00000000
PA
USD
197442.00000000
0.042466765805
Long
DBT
CORP
XX
N
2
2024-03-01
Fixed
4.87500000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Swaption
000000000
300000.00000000
NC
USD
257.37000000
0.000055356365
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Purchased
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
300000.00000000
OU
Notional Amount
N/A
257.37000000
0.00000000
DIR
US
N/A
N/A
2033-09-08
0.00000000
N/A
0.00000000
N/A
300000.00000000
USD
1.00000000
4.20000000
USD
2023-09-06
XXXX
-2742.63000000
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corp. Nacional del Cobre de Chile
21987BBB3
125000.00000000
PA
USD
110603.75000000
0.023789181372
Long
DBT
CORP
CL
N
2
2030-01-14
Fixed
3.15000000
N
N
N
N
N
N
MIDWEST GMNG BOR/MWG FIN
N/A
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp.
59833DAB6
45000.00000000
PA
USD
39969.00000000
0.008596722898
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.87500000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
Elanco Animal Health, Inc.
28414HAG8
1670000.00000000
PA
USD
1647905.90000000
0.354439450194
Long
DBT
CORP
US
N
2
2028-08-28
Fixed
6.65000000
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
48128BAF8
95000.00000000
PA
USD
92886.25000000
0.019978417081
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
5.00000000
N
N
N
N
N
N
Walgreens Boots Alliance Inc
549300RPTUOIXG4LIH86
Walgreens Boots Alliance, Inc.
93142XVE8
250000.00000000
PA
USD
249455.63000000
0.053654105094
Long
STIV
CORP
US
N
2
2023-08-14
None
0.00000000
N
N
N
N
N
N
ASGN INCORPORATED
LZBNYYCBUKY537072438
ASGN, Inc.
00191UAA0
55000.00000000
PA
USD
50432.56000000
0.010847275222
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.62500000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co. LP/PTL Finance Corp.
709599BW3
650000.00000000
PA
USD
651909.40000000
0.140215778894
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
6.05000000
N
N
N
N
N
N
LoanCore 2021-CRE6 Issuer, Ltd.
N/A
LoanCore Issuer Ltd.
53948HAA4
700000.00000000
PA
USD
672414.47000000
0.144626107018
Long
ABS-CBDO
CORP
KY
N
2
2038-11-15
Floating
6.63600000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Swap
000000000
6500000.00000000
OU
Notional Amount
-79268.41000000
-0.01704942719
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-06-21
0.00000000
CAD
-93201.57000000
CAD
6500000.00000000
CAD
-8805.78000000
N
N
N
GENESIS ENERGY LP/FIN
N/A
Genesis Energy LP/Genesis Energy Finance Corp.
37185LAN2
25000.00000000
PA
USD
24935.86000000
0.005363323542
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
8.87500000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397C35
35000.00000000
PA
USD
35867.16000000
0.007714479613
Long
DBT
CORP
US
N
2
2027-11-04
Fixed
7.35000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PCT1
320000.00000000
PA
USD
301829.43000000
0.064918911463
Long
DBT
CORP
US
N
2
2025-12-10
Fixed
1.56100000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XDU7
260000.00000000
PA
USD
252427.19000000
0.054293242373
Long
DBT
CORP
US
N
2
2025-04-07
Fixed
3.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140N3AD1
261294.39000000
PA
USD
250311.00000000
0.053838082148
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.50000000
N
N
N
N
N
N
FORESEA HOLDING SA
N/A
FORESEA Holding SA
000000000
20272.00000000
PA
USD
18346.16000000
0.003945979478
Long
DBT
CORP
LU
N
2
2030-06-15
Fixed
7.50000000
N
N
N
N
N
N
ATS CORP
5493005KP4RP3IU7HQ41
ATS Corp.
001940AC9
15000.00000000
PA
USD
13416.50000000
0.002885684724
Long
DBT
CORP
CA
N
2
2028-12-15
Fixed
4.12500000
N
N
N
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Walmart, Inc.
931142EW9
260000.00000000
PA
USD
255187.63000000
0.054886970957
Long
DBT
CORP
US
N
2
2025-09-09
Fixed
3.90000000
N
N
N
N
N
N
Keurig Dr Pepper Inc
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper, Inc.
49271KV35
250000.00000000
PA
USD
249925.28000000
0.053755119653
Long
STIV
CORP
US
N
2
2023-08-03
None
0.00000000
N
N
N
N
N
N
IPALCO ENTERPRISES INC
5493000YFVK2DZX0JV43
IPALCO Enterprises, Inc.
462613AP5
200000.00000000
PA
USD
182256.00000000
0.039200488592
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
4.25000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc.
38141GZH0
415000.00000000
PA
USD
405723.14000000
0.087264865471
Long
DBT
CORP
US
N
2
2025-01-24
Fixed
1.75700000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBS0
300000.00000000
PA
USD
308610.34000000
0.066377381884
Long
DBT
CORP
FR
N
2
2034-01-10
Fixed
6.69100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31418EP20
193679.37000000
PA
USD
189222.59000000
0.040698895952
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
5.00000000
N
N
N
N
N
N
MIDCONTINENT COMM & FIN
N/A
Midcontinent Communications/Midcontinent Finance Corp.
59565XAC4
25000.00000000
PA
USD
23580.58000000
0.005071823464
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140XJWC3
217403.57000000
PA
USD
203168.92000000
0.043698539037
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.00000000
N
N
N
N
N
N
DARLING INGREDIENTS INC
L1N0SPPKS7EXZYUMZ898
Darling Ingredients, Inc.
237266AJ0
15000.00000000
PA
USD
14774.54000000
0.003177778436
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
6.00000000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC/Prime Finance, Inc.
74166MAE6
45000.00000000
PA
USD
42364.37000000
0.009111930487
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.25000000
N
N
N
N
N
Comerica Bank
70WY0ID1N53Q4254VH70
Comerica Bank
200339DX4
1020000.00000000
PA
USD
957905.72000000
0.206030924906
Long
DBT
CORP
US
N
2
2025-07-27
Fixed
4.00000000
N
N
N
N
N
ODEBRECHT OIL & FINANCE
N/A
Odebrecht Oil & Gas Finance Ltd.
67576JAB7
74037.00000000
PA
USD
422.01000000
0.000090767920
Long
DBT
CORP
KY
N
2
2023-08-31
None
0.00000000
N
N
N
N
N
N
WMRK Commercial Mortgage Trust
N/A
WMRK Commercial Mortgage Trust
929342AC7
3100000.00000000
PA
USD
3086401.54000000
0.663837944216
Long
ABS-MBS
CORP
US
N
2
2027-11-15
Floating
9.30500000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Future
000000000
-35.00000000
NC
USD
89323.40000000
0.019212102332
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CBOT U.S. Long Bond Futures
USU3 Comdty
2023-09-20
-4444635.90000000
USD
89323.40000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SP4
805000.00000000
PA
USD
453630.08000000
0.097568918314
Long
DBT
UST
US
N
2
2050-08-15
Fixed
1.37500000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162CY4
215000.00000000
PA
USD
132098.07000000
0.028412282098
Long
DBT
CORP
US
N
2
2053-09-01
Fixed
2.77000000
N
N
N
N
N
N
CLI Funding LLC
254900Z4P82YK31RVL27
CLI Funding VIII LLC
12565KAG2
1250858.98000000
PA
USD
1254286.08000000
0.269777824438
Long
ABS-O
CORP
US
N
2
2048-06-18
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DWFD0
530511.99000000
PA
USD
480751.93000000
0.103402414997
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
3.50000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Swaption
000000000
-100000.00000000
NC
-188.04000000
-0.00004044453
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
IRS Swap
N/A
100000.00000000
OU
Notional Amount
N/A
-188.04000000
0.00000000
DIR
US
N/A
N/A
2033-08-17
0.00000000
N/A
0.00000000
N/A
100000.00000000
EUR
1.00000000
3.27000000
EUR
2023-08-17
XXXX
219.50000000
N
N
N
XPO INC
54930096DB9LCLPN7H13
XPO, Inc.
98379KAB8
25000.00000000
PA
USD
25297.08000000
0.005441016460
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
7.12500000
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040HCF0
235000.00000000
PA
USD
187048.25000000
0.040231228548
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
3.95000000
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group, Inc.
693475BC8
304000.00000000
PA
USD
235600.00000000
0.050673970198
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
3.40000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Swap
000000000
180000000.00000000
OU
Notional Amount
47402.83000000
0.010195626463
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2043-09-20
2064860.00000000
JPY
0.00000000
JPY
180000000.00000000
JPY
32677.52000000
N
N
N
Sierra Receivables Funding Co LLC
N/A
Sierra Timeshare Receivables Funding LLC
82650BAC0
131000.00000000
PA
USD
131112.25000000
0.028200247237
Long
ABS-O
CORP
US
N
2
2040-04-20
Fixed
7.30000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GFM6
1500000.00000000
PA
USD
1461706.65000000
0.314390828609
Long
DBT
CORP
US
N
2
2025-01-22
Fixed
4.00000000
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
92556HAD9
515000.00000000
PA
USD
428494.51000000
0.092162640194
Long
DBT
CORP
US
N
2
2032-05-19
Fixed
4.20000000
N
N
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
Novelis Corp.
670001AH9
50000.00000000
PA
USD
41635.16000000
0.008955088527
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
3.87500000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040685
3610000.00000000
PA
USD
3371447.59000000
0.725147006367
Long
ABS-MBS
USGSE
US
N
2
2053-08-01
Fixed
4.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Swap
000000000
100000.00000000
OU
Notional Amount
160.20000000
0.000034456579
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Barclays Bank PLC
Barclays Bank PLC
Y
sell protection
2023-12-20
42.42000000
EUR
0.00000000
EUR
100000.00000000
EUR
117.66000000
N
N
N
Rio Oil Finance Trust
549300V5D1W52HY8NO65
Rio Oil Finance Trust
76716XAA0
44130.55000000
PA
USD
44332.23000000
0.009535187189
Long
DBT
CORP
US
N
2
2024-07-06
Fixed
9.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31418D7F3
578869.57000000
PA
USD
488379.83000000
0.105043060062
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
HUB INTERNATIONAL LTD
549300JQT6ATTUNS5E06
HUB International Ltd.
44332PAH4
70000.00000000
PA
USD
71330.70000000
0.015342146714
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
7.25000000
N
N
N
N
N
N
Iron Mountain Inc
SQL3F6CKNNBM3SQGHX24
Iron Mountain, Inc.
46284VAC5
15000.00000000
PA
USD
14069.40000000
0.003026113566
Long
DBT
US
N
2
2027-09-15
Fixed
4.87500000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer U.S. Finance II LLC
07274NAG8
300000.00000000
PA
USD
299983.01000000
0.064521774654
Long
DBT
CORP
US
N
2
2023-12-15
Floating
6.56200000
N
N
N
N
N
N
Hitachi America Capital Ltd
549300FT5PAYBG3RQJ06
Hitachi America Capital Ltd.
4335P3V33
250000.00000000
PA
USD
249923.89000000
0.053754820686
Long
STIV
CORP
US
N
2
2023-08-03
None
0.00000000
N
N
N
N
N
N
APPALACHIAN POWER CO
3SCHO1ABYYIG382BEI70
Appalachian Power Co.
037735CZ8
200000.00000000
PA
USD
167639.21000000
0.036056639777
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.70000000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAK6
30000.00000000
PA
USD
27415.70000000
0.005896699341
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
4.50000000
N
N
N
N
N
N
State Street Global Advisors
549300BZ5TGIFZUZDZ37
State Street Institutional US Government Money Market Fund
857492706
6500567.06000000
NS
USD
6500567.06000000
1.398172926439
Long
STIV
RF
US
N
2
N
N
N
INTOWN 2022-STAY
N/A
INTOWN Mortgage Trust
46117NAA0
272000.00000000
PA
USD
272255.30000000
0.058557966716
Long
ABS-MBS
CORP
US
N
2
2039-08-15
Floating
7.71100000
N
N
N
N
N
N
RELIANCE STAND LIFE II
N/A
Reliance Standard Life Global Funding II
75951AAJ7
200000.00000000
PA
USD
199415.44000000
0.042891222680
Long
DBT
CORP
US
N
2
2023-09-19
Fixed
3.85000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd.
335934AL9
35000.00000000
PA
USD
34822.55000000
0.007489799919
Long
DBT
CORP
CA
N
2
2025-04-01
Fixed
7.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Inflation-Indexed Notes
91282CEZ0
942255.00000000
PA
USD
864058.88000000
0.185845899552
Long
DBT
UST
US
N
2
2032-07-15
Fixed
0.62500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36202KG90
39.83000000
PA
USD
39.58000000
0.000008513054
Long
ABS-MBS
USGA
US
N
2
2023-11-20
Floating
2.75000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust
63942GAA1
541452.11000000
PA
USD
455498.97000000
0.097970888077
Long
ABS-O
CORP
US
N
2
2070-02-18
Fixed
1.11000000
N
N
N
N
N
N
MATTAMY GROUP CORP
5493008TNY7A82WCXU31
Mattamy Group Corp.
57701RAM4
30000.00000000
PA
USD
26247.00000000
0.005645329778
Long
DBT
CORP
CA
N
2
2030-03-01
Fixed
4.62500000
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP/MPT Finance Corp.
55342UAM6
25000.00000000
PA
USD
18042.42000000
0.003880649632
Long
DBT
US
N
2
2031-03-15
Fixed
3.50000000
N
N
N
N
N
N
PERFORMANCE FOOD GROUP I
549300OMUOGBYK0FFO76
Performance Food Group, Inc.
69346VAA7
40000.00000000
PA
USD
38731.87000000
0.008330635085
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Federal National Mortgage Association Connecticut Avenue Securities
20754MBZ9
154598.32000000
PA
USD
158570.54000000
0.034106107038
Long
ABS-MBS
USGSE
US
N
2
2042-06-25
Floating
8.01900000
N
N
N
N
N
N
MV24 CAPITAL BV
N/A
MV24 Capital BV
55388RAA4
33623.60000000
PA
USD
30904.29000000
0.006647041894
Long
DBT
CORP
NL
N
2
2034-06-01
Fixed
6.74800000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Inflation-Indexed Bonds
912810SG4
120850.00000000
PA
USD
101293.31000000
0.021786647590
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31418ELX6
550641.16000000
PA
USD
538006.14000000
0.115716923195
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
5.00000000
N
N
N
N
N
N
ASCENT RESOURCES/ARU FIN
N/A
Ascent Resources Utica Holdings LLC/ARU Finance Corp.
04364VAG8
50000.00000000
PA
USD
48901.12000000
0.010517885812
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
7.00000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Swaption
000000000
-1800000.00000000
NC
USD
-1291.68000000
-0.00027782068
N/A
DIR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Call
Written
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
1800000.00000000
OU
Notional Amount
N/A
-1291.68000000
0.00000000
DIR
US
N/A
N/A
2025-01-18
0.00000000
N/A
0.00000000
N/A
1800000.00000000
USD
1.00000000
3.87800000
USD
2024-01-16
XXXX
1228.32000000
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc.
17307GXQ6
6192.48000000
PA
USD
6189.50000000
0.001331267141
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
6.78000000
N
N
N
N
N
N
COMSTOCK RESOURCES INC
I03QQGEA4SS774AURI46
Comstock Resources, Inc.
205768AS3
80000.00000000
PA
USD
74621.49000000
0.016049945502
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
6.75000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate Mortgage Trust
N/A
Bear Stearns ARM Trust
07384MR87
42504.45000000
PA
USD
39482.16000000
0.008492011032
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Variable
4.75100000
N
N
N
N
N
N
BEACON ROOFING SUPPLY IN
549300HDXQWWCBOYXP31
Beacon Roofing Supply, Inc.
073685AK5
25000.00000000
PA
USD
25062.50000000
0.005390561876
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
6.50000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust
07386HVS7
264367.16000000
PA
USD
163361.11000000
0.035136485652
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
4.37500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Swap
000000000
600000.00000000
OU
Notional Amount
USD
2431.91000000
0.000523066786
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-07-17
0.00000000
USD
-77.40000000
USD
600000.00000000
USD
2509.31000000
N
N
N
TALLGRASS NRG PRTNR/FIN
N/A
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.
87470LAD3
5000.00000000
PA
USD
4600.00000000
0.000989389910
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
ARDAGH METAL PACKAGING
N/A
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC
03969YAC2
50000.00000000
PA
USD
49338.67000000
0.010611996151
Long
DBT
CORP
XX
N
2
2027-06-15
Fixed
6.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co.
097023CW3
405000.00000000
PA
USD
407343.22000000
0.087613319994
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
N
N
N
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust
23332UEM2
102918.83000000
PA
USD
87819.56000000
0.018888649262
Long
ABS-MBS
CORP
US
N
2
2045-08-19
Floating
5.88100000
N
N
N
N
N
N
ATLANTICA SUSTAIN INFRA
549300ITBBGKJ651R879
Atlantica Sustainable Infrastructure PLC
04916WAA2
1495000.00000000
PA
USD
1353546.84000000
0.291127301493
Long
DBT
CORP
GB
N
2
2028-06-15
Fixed
4.12500000
N
N
N
N
N
N
ASHTEAD CAPITAL INC
213800J1134IW58IC398
Ashtead Capital, Inc.
04505AAA7
1700000.00000000
PA
USD
1646994.83000000
0.354243492919
Long
DBT
CORP
US
N
2
2032-08-11
Fixed
5.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810PX0
645000.00000000
PA
USD
682792.97000000
0.146858364232
Long
DBT
UST
US
N
2
2038-05-15
Fixed
4.50000000
N
N
N
N
N
N
CHS/COMMUNITY HEALTH SYS
5493007X5NC5XI1BB106
CHS/Community Health Systems, Inc.
12543DBM1
30000.00000000
PA
USD
23971.09000000
0.005155816215
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
5.25000000
N
N
N
N
N
N
ZF NA CAPITAL
529900JYGMS9CW9IQX78
ZF North America Capital, Inc.
98877DAD7
40000.00000000
PA
USD
40625.48000000
0.008737921743
Long
DBT
CORP
US
N
2
2028-04-14
Fixed
6.87500000
N
N
N
N
N
N
XHR LP
549300M88BPT83ZL2164
XHR LP
98372MAC9
40000.00000000
PA
USD
34796.05000000
0.007484100172
Long
DBT
US
N
2
2029-06-01
Fixed
4.87500000
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp.
682691AB6
40000.00000000
PA
USD
34586.91000000
0.007439117345
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RB6
170000.00000000
PA
USD
139121.09000000
0.029922826691
Long
DBT
UST
US
N
2
2043-05-15
Fixed
2.87500000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PAR7
650000.00000000
PA
USD
614995.10000000
0.132276075421
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
4.00500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DWE74
235796.00000000
PA
USD
230384.64000000
0.049552225727
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
5.00000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABV8
200000.00000000
PA
USD
191625.89000000
0.041215809164
Long
DBT
CORP
US
N
2
2024-06-14
Fixed
0.87500000
N
N
N
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp.
058498AY2
25000.00000000
PA
USD
25576.38000000
0.005501089634
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
6.87500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc.
38144GAE1
60000.00000000
PA
USD
49570.73000000
0.010661908721
Long
DBT
CORP
US
N
2
2026-05-10
Fixed
3.80000000
N
N
N
N
N
N
CIVITAS RESOURCES INC
IIVIHPH28S64K95M2381
Civitas Resources, Inc.
17888HAA1
30000.00000000
PA
USD
30856.80000000
0.006636827519
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
8.37500000
N
N
N
N
N
N
Invesco Senior Loan ETF
549300SIHU6DQELRNG59
Invesco Senior Loan ETF
46138G508
73013.00000000
NS
USD
1533273.00000000
0.329783660049
Long
EC
RF
US
N
1
N
N
FORTUNE BRANDS INNOVATIO
54930032LHW54PQUJD44
Fortune Brands Innovations, Inc.
34964CAE6
200000.00000000
PA
USD
176937.38000000
0.038056534469
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
3.25000000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp.
35137LAK1
310000.00000000
PA
USD
284160.17000000
0.061118522861
Long
DBT
CORP
US
N
2
2049-01-25
Fixed
5.57600000
N
N
N
N
N
N
VOLKSWAGEN BANK GMBH
529900GJD3OQLRZCKW37
Volkswagen Bank GmbH
000000000
700000.00000000
PA
731704.97000000
0.157378590168
Long
DBT
CORP
DE
N
2
2026-07-31
Fixed
2.50000000
N
N
N
N
N
N
ATHENE HOLDING LTD
549300H316CT32FQXI76
Athene Holding Ltd.
04686JAF8
1555000.00000000
PA
USD
1585231.11000000
0.340959057832
Long
DBT
CORP
BM
N
2
2033-02-01
Fixed
6.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3133B7VG0
95382.69000000
PA
USD
86577.62000000
0.018621526891
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
3.50000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC/CCO Holdings Capital Corp.
1248EPCQ4
40000.00000000
PA
USD
33024.38000000
0.007103040950
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJA8
280000.00000000
PA
USD
233402.58000000
0.050201338637
Long
DBT
CORP
US
N
2
2051-03-20
Fixed
4.08300000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp.
85172FAN9
70000.00000000
PA
USD
69342.62000000
0.014914540998
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
7.12500000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
31408DC85
3323.77000000
PA
USD
3303.17000000
0.000710461537
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Floating
4.03000000
N
N
N
N
N
N
ALLIANT HOLD / CO-ISSUER
N/A
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer
01883LAB9
40000.00000000
PA
USD
36500.00000000
0.007850593854
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
4.25000000
N
N
N
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp.
058498AW6
15000.00000000
PA
USD
12374.54000000
0.002661575004
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
2.87500000
N
N
N
N
N
N
ROCHE HOLDINGS INC
PVJRP0EQNV6OGDPZGY95
Roche Holdings, Inc.
771196BY7
200000.00000000
PA
USD
133420.99000000
0.028696822033
Long
DBT
CORP
US
N
2
2051-12-13
Fixed
2.60700000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romania Government International Bonds
77586RAL4
50000.00000000
PA
USD
42869.50000000
0.009220576253
Long
DBT
NUSS
RO
N
2
2032-03-27
Fixed
3.62500000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBX2
200000.00000000
PA
USD
186000.00000000
0.040005765945
Long
DBT
CORP
GB
N
2
2029-03-15
Fixed
8.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
060505FQ2
45000.00000000
PA
USD
40746.45000000
0.008763940547
Long
DBT
CORP
US
N
2
2025-01-28
Fixed
4.30000000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773DJ6
2430000.00000000
PA
USD
2467388.00000000
0.530697563578
Long
DBT
CORP
US
N
2
2028-10-27
Fixed
6.36100000
N
N
N
N
N
N
HEALTHEQUITY INC
529900LRJU1RAFQHM467
HealthEquity, Inc.
42226AAA5
45000.00000000
PA
USD
40309.48000000
0.008669954958
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Inflation-Indexed Notes
91282CDX6
329112.00000000
PA
USD
289310.02000000
0.062226177128
Long
DBT
UST
US
N
2
2032-01-15
Fixed
0.12500000
N
N
N
N
N
N
DNB BANK ASA
549300GKFG0RYRRQ1414
DNB Bank ASA
23341CAC7
1570000.00000000
PA
USD
1571749.50000000
0.338059368938
Long
DBT
CORP
NO
N
2
2026-10-09
Fixed
5.89600000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA
02156LAF8
55000.00000000
PA
USD
38517.34000000
0.008284492951
Long
DBT
CORP
FR
N
2
2029-07-15
Fixed
5.12500000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBY0
200000.00000000
PA
USD
139507.61000000
0.030005961254
Long
DBT
CORP
US
N
2
2060-04-01
Fixed
3.85000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CR1
50000.00000000
PA
USD
39238.74000000
0.008439655099
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.62500000
N
N
N
N
N
N
CDW LLC/CDW FINANCE
N/A
CDW LLC/CDW Finance Corp.
12513GBJ7
51000.00000000
PA
USD
43167.93000000
0.009284763999
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
3.56900000
N
N
N
N
N
N
L3HARRIS TECH INC
549300UTE50ZMDBG8A20
L3Harris Technologies, Inc.
502431AP4
55000.00000000
PA
USD
55137.78000000
0.011859296351
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
5.40000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
345397C43
80000.00000000
PA
USD
80788.80000000
0.017376439913
Long
DBT
CORP
US
N
2
2026-03-06
Fixed
6.95000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio, Inc.
82967NBC1
5000.00000000
PA
USD
4568.35000000
0.000982582477
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
5.50000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RAL6
200000.00000000
PA
USD
199391.06000000
0.042885978914
Long
DBT
CORP
FR
N
2
2023-09-14
Fixed
4.25000000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group, Inc.
693475BP9
75000.00000000
PA
USD
68581.66000000
0.014750870097
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
6.25000000
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140N9TX4
234723.02000000
PA
USD
233156.09000000
0.050148322394
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
5.50000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Purchased PEN / Sold USD
000000000
1.00000000
NC
835.63000000
0.000179731280
N/A
DFE
PE
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
81000.00000000
USD
295974.00000000
PEN
2023-09-20
835.63000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Swap
000000000
3600000.00000000
OU
Notional Amount
USD
-30080.23000000
-0.00646979914
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-07-18
0.00000000
USD
-30054.66000000
USD
3600000.00000000
USD
-25.57000000
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust
17326DAH5
68000.00000000
PA
USD
56150.57000000
0.012077132049
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Variable
4.25900000
N
N
N
N
N
N
LIVE NATION ENTERTAINMEN
5493007B9BM9ZXJINO78
Live Nation Entertainment, Inc.
538034AR0
35000.00000000
PA
USD
32506.25000000
0.006991599082
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
4.75000000
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc.
38141GYB4
615000.00000000
PA
USD
504452.62000000
0.108500072293
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.61500000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBN4
200000.00000000
PA
USD
182702.83000000
0.039296594917
Long
DBT
CORP
GB
N
2
2025-12-15
Fixed
6.12500000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QC5
300000.00000000
PA
USD
316875.00000000
0.068154984323
Long
DBT
UST
US
N
2
2039-08-15
Fixed
4.50000000
N
N
N
N
N
N
NORTHWEST FIBER LLC/NORT
N/A
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.
667449AD4
30000.00000000
PA
USD
26110.65000000
0.005616002970
Long
DBT
CORP
US
N
2
2027-04-30
Fixed
4.75000000
N
N
N
N
N
N
RAPTOR ACQ/RAPTOR CO-ISS
N/A
Raptor Acquisition Corp./Raptor Co.-Issuer LLC
75383KAA2
45000.00000000
PA
USD
42189.19000000
0.009074251938
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
4.87500000
N
N
N
N
N
N
TRONOX INC
549300EPZ4YXC7E5P181
Tronox, Inc.
897051AC2
75000.00000000
PA
USD
62173.37000000
0.013372544560
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.62500000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967JT9
980000.00000000
PA
USD
955346.43000000
0.205480460622
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
4.40000000
N
N
N
N
N
N
Chase Mortgage Finance Corporation
N/A
Chase Mortgage Finance Trust
16162WNL9
792518.36000000
PA
USD
588101.80000000
0.126491736361
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
PILGRIM'S PRIDE CORP
549300ZSLGV64ZL3HD75
Pilgrim's Pride Corp.
72147KAK4
40000.00000000
PA
USD
39721.33000000
0.008543452855
Long
DBT
CORP
US
N
2
2033-07-01
Fixed
6.25000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PDU7
200000.00000000
PA
USD
200463.04000000
0.043116545478
Long
DBT
CORP
US
N
2
2029-07-24
Fixed
5.29900000
N
N
N
N
N
N
Citibank N.A.
E57ODZWZ7FF32TWEFA76
Purchased USD / Sold CNH
000000000
1.00000000
NC
150.29000000
0.000032325089
N/A
DFE
US
N
2
Citibank N.A.
E57ODZWZ7FF32TWEFA76
45000.00000000
CNY
6454.38000000
USD
2023-08-16
150.29000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Purchased USD / Sold TWD
000000000
1.00000000
NC
1598.12000000
0.000343731261
N/A
DFE
US
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
1865169.00000000
TWD
61091.00000000
USD
2023-08-22
1598.12000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCJ8
1690000.00000000
PA
USD
1524960.94000000
0.327995862592
Long
DBT
UST
US
N
2
2026-06-30
Fixed
0.87500000
N
N
N
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bonds
25714PCW6
110000.00000000
PA
USD
102287.90000000
0.022000568744
Long
DBT
NUSS
DO
N
2
2045-01-27
Fixed
6.85000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Swaption
000000000
3600000.00000000
NC
USD
3154.68000000
0.000678523600
N/A
DIR
US
N
2
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Put
Purchased
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
7LTWFZYICNSX8D621K86
IRS Swap
N/A
3600000.00000000
OU
Notional Amount
N/A
3154.68000000
0.00000000
DIR
US
N/A
N/A
2024-10-18
0.00000000
N/A
0.00000000
N/A
3600000.00000000
USD
1.00000000
5.42900000
USD
2023-10-16
XXXX
634.68000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc.
38141GVX9
200000.00000000
PA
USD
203380.25000000
0.043743992900
Long
DBT
CORP
US
N
2
2027-10-28
Floating
7.37700000
N
N
N
N
N
N
SERVICE PROPERTIES TRUST
529900IS770AG1K9QG27
Service Properties Trust
44106MAX0
35000.00000000
PA
USD
27411.51000000
0.005895798135
Long
DBT
US
N
2
2028-01-15
Fixed
3.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DWFE8
458284.73000000
PA
USD
427932.93000000
0.092041852893
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas & Electric Co.
694308JP3
100000.00000000
PA
USD
93273.99000000
0.020061814047
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
3.15000000
N
N
N
N
N
N
BLACK HILLS CORP
3MGELCRSTNSAMJ962671
Black Hills Corp.
092113AT6
200000.00000000
PA
USD
165734.54000000
0.035646974281
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC/Charter Communications Operating Capital
161175BT0
565000.00000000
PA
USD
428154.58000000
0.092089526430
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE
7D6DIU2QXTUJRFNNJA49
Nissan Motor Acceptance Co. LLC
654740BS7
100000.00000000
PA
USD
89395.20000000
0.019227545418
Long
DBT
CORP
US
N
2
2026-03-09
Fixed
2.00000000
N
N
N
N
N
N
INTACT FINANCIAL CORP
5493009LXGE7Y4U9OY43
Intact Financial Corp.
45823TAL0
1220000.00000000
PA
USD
1207570.60000000
0.259730036487
Long
DBT
CORP
CA
N
2
2032-09-22
Fixed
5.45900000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AR4
200000.00000000
PA
USD
179549.99000000
0.038618467072
Long
DBT
CORP
NL
N
2
2026-11-16
Fixed
5.75000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032690
4800000.00000000
PA
USD
4355064.00000000
0.936707908942
Long
ABS-MBS
USGSE
US
N
2
2049-09-12
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
48128BAD3
100000.00000000
PA
USD
99750.00000000
0.021454705124
Long
DBT
CORP
US
N
2
2023-11-01
Variable
8.21400000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NBJ7
15000.00000000
PA
USD
11830.95000000
0.002544657078
Long
DBT
CORP
NL
N
2
2051-06-10
Fixed
5.50000000
N
N
N
N
N
N
Republic of South Africa
378900AAFB4F17004C49
Republic of South Africa Government International Bonds
836205AX2
90000.00000000
PA
USD
67320.00000000
0.014479506255
Long
DBT
NUSS
ZA
N
2
2047-09-27
Fixed
5.65000000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust
86359BWG2
140619.83000000
PA
USD
134618.29000000
0.028954343020
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Variable
6.19900000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DV8
600000.00000000
PA
USD
618372.98000000
0.133002605941
Long
DBT
CORP
GB
N
2
2034-03-09
Fixed
6.25400000
N
N
N
N
N
Regional Management Issuance Trust
N/A
Regional Management Issuance Trust
75907JAB0
3140000.00000000
PA
USD
3178452.75000000
0.683636756916
Long
ABS-O
CORP
US
N
2
2032-11-17
Fixed
8.51000000
N
N
N
N
N
N
STORE Master Funding LLC
N/A
Store Master Funding I-VII XIV XIX XX
86190BAA2
1355729.17000000
PA
USD
1131633.92000000
0.243397213655
Long
ABS-O
CORP
US
N
2
2051-06-20
Fixed
2.12000000
N
N
N
N
N
N
VENTURE GLOBAL LNG INC
54930011XLBUWMQUC829
Venture Global LNG, Inc.
92332YAB7
20000.00000000
PA
USD
20294.34000000
0.004365003312
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
8.37500000
N
N
N
N
N
N
GYP HOLDINGS III CORP
549300055I1KJWZH9690
GYP Holdings III Corp.
36261NAA5
20000.00000000
PA
USD
17864.00000000
0.003842274208
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.62500000
N
N
N
N
N
N
REPUBLIC OF EL SALVADOR
529900AKDMUSFSDOM949
El Salvador Government International Bonds
283875CB6
25000.00000000
PA
USD
17465.00000000
0.003756455388
Long
DBT
NUSS
SV
N
2
2052-07-15
Fixed
9.50000000
N
N
N
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
Purchased USD / Sold JPY
000000000
1.00000000
NC
247.03000000
0.000053132389
N/A
DFE
US
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
2300000.00000000
JPY
16448.95000000
USD
2023-08-16
247.03000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
Purchased THB / Sold USD
000000000
1.00000000
NC
1082.22000000
0.000232769032
N/A
DFE
TH
N
2
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
150484.10000000
USD
5164412.73000000
THB
2023-09-20
1082.22000000
N
N
N
ZIPRECRUITER INC
549300HLOVNNFCY2IV80
ZipRecruiter, Inc.
98980BAA1
30000.00000000
PA
USD
25575.00000000
0.005500792817
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.00000000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837BA0
1800000.00000000
PA
USD
1737698.02000000
0.373752367057
Long
DBT
CORP
NL
N
2
2026-03-28
Fixed
3.86900000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust
362439AA9
624105.87000000
PA
USD
601060.70000000
0.129278998298
Long
ABS-O
CORP
US
N
2
2036-06-25
Floating
5.69200000
N
N
N
N
N
N
OLYMPUS WTR US HLDG CORP
549300YU2GGVCBN3MY89
Olympus Water U.S. Holding Corp.
681639AA8
65000.00000000
PA
USD
52093.72000000
0.011204565427
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
4.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCB5
1485000.00000000
PA
USD
1253606.84000000
0.269631730264
Long
DBT
UST
US
N
2
2031-05-15
Fixed
1.62500000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAF4
200000.00000000
PA
USD
181060.12000000
0.038943273026
Long
DBT
CORP
GB
N
2
2028-02-16
Fixed
2.97200000
N
N
N
N
N
N
HILCORP ENERGY I/HILCORP
N/A
Hilcorp Energy I LP/Hilcorp Finance Co.
431318AY0
30000.00000000
PA
USD
27729.99000000
0.005964298331
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
6.00000000
N
N
N
N
N
N
CLEARWAY ENERGY OP LLC
549300Z3NFMM54NWBB87
Clearway Energy Operating LLC
18539UAE5
30000.00000000
PA
USD
24519.45000000
0.005273760095
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.75000000
N
N
N
N
N
N
MEDCO BELL PTE LTD
2549003PNDCWIWGKC768
Medco Bell Pte. Ltd.
58406LAA9
55000.00000000
PA
USD
51675.80000000
0.011114677203
Long
DBT
CORP
SG
N
2
2027-01-30
Fixed
6.37500000
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group, Inc.
53079EBM5
110000.00000000
PA
USD
87899.97000000
0.018905944228
Long
DBT
CORP
US
N
2
2051-12-15
Fixed
4.12500000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC/Prime Finance, Inc.
74166MAC0
95000.00000000
PA
USD
93139.28000000
0.020032839978
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.75000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738ECE3
400000.00000000
PA
USD
436169.82000000
0.093813482427
Long
DBT
CORP
GB
N
2
2033-11-02
Fixed
7.43700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140NCT25
217097.07000000
PA
USD
212147.90000000
0.045629780824
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
5.00000000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander U.K. Group Holdings PLC
80281LAT2
100000.00000000
PA
USD
101034.75000000
0.021731035273
Long
DBT
CORP
GB
N
2
2029-01-10
Fixed
6.53400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DWES8
472951.51000000
PA
USD
452906.13000000
0.097413207700
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4.50000000
N
N
N
N
N
N
DUKE ENERGY PROGRESS LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
26442UAL8
1400000.00000000
PA
USD
1125087.16000000
0.241989105331
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
2.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TF5
600000.00000000
PA
USD
457687.50000000
0.098441607534
Long
DBT
UST
US
N
2
2042-02-15
Fixed
2.37500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GKG3
415000.00000000
PA
USD
406507.66000000
0.087433603769
Long
DBT
CORP
US
N
2
2025-02-04
Fixed
1.84300000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd.
05401AAK7
1800000.00000000
PA
USD
1754168.80000000
0.377294980872
Long
DBT
CORP
KY
N
2
2026-01-15
Fixed
5.50000000
N
N
N
N
N
N
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Swap
000000000
100000.00000000
OU
Notional Amount
USD
-767.75000000
-0.00016513132
N/A
DCR
US
N
2
JPMorgan Chase Bank N.A.
7H6GLXDRUGQFU57RNE97
Banco do Brasil SA
Banco do Brasil SA
Y
sell protection
2024-12-20
0.00000000
USD
-1708.36000000
USD
100000.00000000
USD
940.61000000
N
N
N
Freddie Mac - STACR
5493000IS349P4O9HR58
Federal Home Loan Mortgage Corp. STACR REMIC Trust
35564KYP8
192000.00000000
PA
USD
204960.00000000
0.044083773055
Long
ABS-MBS
USGSE
US
N
2
2042-06-25
Floating
9.56900000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AY9
227000.00000000
PA
USD
171166.19000000
0.036815239435
Long
DBT
CORP
NL
N
2
2027-05-16
Fixed
3.87500000
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Future
000000000
-40.00000000
NC
USD
39087.60000000
0.008407147188
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CME Three-Month SOFR Futures
SFRM4 Comdty
2024-09-17
-9555087.60000000
USD
39087.60000000
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust
92538NAC1
123678.23000000
PA
USD
115493.03000000
0.024840791003
Long
ABS-MBS
CORP
US
N
2
2067-04-25
Variable
4.74000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Federal National Mortgage Association Connecticut Avenue Securities
20754LAB5
343000.00000000
PA
USD
337653.90000000
0.072624209108
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
6.96900000
N
N
N
N
N
N
CROCS INC
549300B0J6YCXD63OG72
Crocs, Inc.
227046AB5
25000.00000000
PA
USD
20131.50000000
0.004329978909
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
4.12500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Swap
000000000
200000.00000000
OU
Notional Amount
USD
35465.20000000
0.007628024142
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
T-Mobile USA, Inc.
T-Mobile USA, Inc.
Y
sell protection
2028-06-20
33683.91000000
USD
0.00000000
USD
200000.00000000
USD
1781.29000000
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
Sysco Corp.
871829BR7
135000.00000000
PA
USD
93042.07000000
0.020011931588
Long
DBT
CORP
US
N
2
2051-12-14
Fixed
3.15000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing, Inc.
527298BQ5
200000.00000000
PA
USD
170132.08000000
0.036592818130
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.87500000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bonds
455780BM7
165000.00000000
PA
USD
156345.75000000
0.033627588608
Long
DBT
NUSS
ID
N
2
2043-04-15
Fixed
4.62500000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CH0
2000000.00000000
PA
USD
1671462.16000000
0.359506042797
Long
DBT
CORP
GB
N
2
2031-06-04
Fixed
2.84800000
N
N
N
N
N
N
T-Mobile US Trust
N/A
T-Mobile U.S. Trust
87267WAA2
3100000.00000000
PA
USD
3067969.56000000
0.659873506163
Long
ABS-O
CORP
US
N
2
2028-05-22
Fixed
4.91000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
639057AB4
550000.00000000
PA
USD
431260.70000000
0.092757605515
Long
DBT
CORP
GB
N
2
2035-11-28
Fixed
3.03200000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAM2
20000.00000000
PA
USD
20297.74000000
0.004365734600
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
7.50000000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA, Inc.
80282KBF2
1145000.00000000
PA
USD
1150001.09000000
0.247347712064
Long
DBT
CORP
US
N
2
2029-03-09
Fixed
6.49900000
N
N
N
N
N
N
UNITED AIRLINES 2012-1 A
N/A
United Airlines Pass-Through Trust
210795PZ7
152343.86000000
PA
USD
150232.01000000
0.032312616288
Long
DBT
CORP
US
N
2
2024-04-11
Fixed
4.15000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SS8
2000000.00000000
PA
USD
1204765.62000000
0.259126728028
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
MORGAN STANLEY CCP MORGAN STANLEY CCP CCMSCZUS2
N/A
Collateral Position
000000000
567000.00000000
NS
USD
567000.00000000
0.121953060705
Long
STIV
CORP
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Future
000000000
28.00000000
NC
USD
-79865.72000000
-0.01717789946
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CBOT 10 Year U.S. Treasury Notes
TYU3 Comdty
2023-09-20
3199240.72000000
USD
-79865.72000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc.
38144GAB7
39000.00000000
PA
USD
36781.29000000
0.007911095047
Long
DBT
CORP
US
N
2
2025-02-10
Fixed
4.95000000
N
N
N
N
N
N
CIVITAS RESOURCES INC
IIVIHPH28S64K95M2381
Civitas Resources, Inc.
17888HAB9
30000.00000000
PA
USD
31050.00000000
0.006678381895
Long
DBT
CORP
US
N
2
2031-07-01
Fixed
8.75000000
N
N
N
N
N
N
CONTL AIRLINES 2012-2 A
N/A
Continental Airlines Pass-Through Trust
210795QB9
105418.00000000
PA
USD
102368.47000000
0.022017898123
Long
DBT
CORP
US
N
2
2024-10-29
Fixed
4.00000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd.
335934AU9
65000.00000000
PA
USD
66543.75000000
0.014312546707
Long
DBT
CORP
CA
N
2
2031-06-01
Fixed
8.62500000
N
N
N
N
N
N
WR GRACE HOLDING LLC
549300WNOVFRGYOAEB12
WR Grace Holdings LLC
92943GAD3
15000.00000000
PA
USD
14139.40000000
0.003041169500
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
4.87500000
N
N
N
N
N
N
US FOODS INC
5493000JOOFAOUY1JZ87
U.S. Foods, Inc.
90290MAC5
35000.00000000
PA
USD
35088.17000000
0.007546930733
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
6.25000000
N
N
N
N
N
N
TEREX CORP
YAWJZJYEQ7M1SYMOS462
Terex Corp.
880779BA0
25000.00000000
PA
USD
23261.75000000
0.005003247989
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp.
3132DWG80
490657.65000000
PA
USD
479372.03000000
0.103105619533
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
5.00000000
N
N
N
N
N
N
2023-08-30
PACE SELECT ADVISORS TRUST
Joanne Kilkeary
Joanne Kilkeary
Vice President and Treasurer