NPORT-P false 0000930709 XXXXXXXX S000010163 C000028191 C000028190 Pioneer Variable Contracts Trust /MA/ 811-08786 0000930709 549300VNR8Z3H6PB2X77 60 State Street NULL Boston 02109 617-422-4947 Pioneer VCT Strategic Income Fund S000010163 KIE2348SOBWF0QF72O51 2020-12-31 2020-09-30 N 48871654.03 5591119.43 43280534.60 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 2896.25000000 0.00000000 0.00000000 1144725.33000000 TWD LKR NOK USD SGD CZK THB HKD DKK CHF EGP ARS EUR GBP PHP RON GHS JPY UYU CAD RUB VND MXN AUD KRW NZD IDR SEK KZT MYR CNY N MCMLT 2018-3 M2 V/R 08/25/58 N/A 59980XAH0 79829.81000000 NS USD 82289.10000000 0.190129583103 Long ABS-CBDO CORP US Y 2 2058-08-25 Variable 3.25000000 N N N N N N HOWMET AEROSPA 6.875% 05/01/25 549300HO5WFZUT5N2T22 443201AA6 45000.00000000 NS USD 49725.00000000 0.114889985670 Long DBT CORP US N 2 2025-05-01 Fixed 6.87500000 N N N N N N BROADCOM INC 5% 04/15/30 549300WV6GIDOZJTV909 11135FBD2 160000.00000000 NS USD 188735.56000000 0.436074927780 Long DBT CORP US N 2 2030-04-15 Fixed 5.00000000 N N N N N N JPMCC 2020-LOOP V/R 12/05/26 N/A 46651WAL8 100000.00000000 NS USD 76861.56000000 0.177589211201 Long ABS-CBDO CORP US Y 2 2038-12-05 Variable 3.86147000 N N N N N N PUT USD/CALL JPY FEBRUARY 03 2021 101.1 USD-JPY N/A N/A 440000.00000000 NC USD 2877.16000000 0.006647699772 N/A DFE CORP US N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Put Written PUT USD/CALL JPY FEBRUARY 03 2021 101.1 USD-JPY 0 440000.00000000 USD 101.10000000 USD 2021-02-03 XXXX -1726.12000000 N N N BAUSCH HEALTH C 5.25% 01/30/30 B3BS7ACMDUWISF18KY76 071734AJ6 10000.00000000 NS USD 9850.00000000 0.022758498921 Long DBT CORP US Y 2 2030-01-30 Fixed 5.25000000 N N N N N N PUT EUR/CALL USD 18DEC20 1.126 N/A N/A 350000.00000000 NC 924.84000000 0.002136849760 N/A DFE CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written PUT EUR/CALL USD 18DEC20 1.126 0 350000.00000000 EUR 1.12600000 EUR 2020-12-18 XXXX -1894.18000000 N N N GSMS 2020-DUNE G V/R 12/15/21 N/A 36258BAW8 100000.00000000 NS USD 81257.19000000 0.187745347304 Long ABS-CBDO CORP US Y 2 2036-12-15 Variable 4.15238000 N N N N N N GNMA P#520471 6.5% 01/15/30 N/A 36211RFL8 987.28000000 NS USD 1090.99000000 0.002520740582 Long ABS-MBS USGSE US N 2 2030-01-15 Fixed 6.50000000 N N N N N N PCT 2016-PLSD 2.712% 04/13/21 N/A 69640GAA3 75000.00000000 NS USD 59250.00000000 0.136897569652 Long ABS-CBDO CORP US Y 2 2033-04-13 Fixed 2.71298000 N N N N N N TPMT 2017-2 M2 V/R 04/25/57 N/A 89173HAD8 70000.00000000 NS USD 76632.38000000 0.177059689091 Long ABS-CBDO CORP US Y 2 2057-04-25 Variable 3.75000000 N N N N N N TEVA PHARMACEUT 3.15% 10/01/26 N/A 88167AAE1 142000.00000000 NS USD 125273.82000000 0.289446101250 Long DBT CORP NL N 2 2026-10-01 Fixed 3.15000000 N N N N N N FNR 2019-33 S V/R 07/25/49 N/A 3136B47J1 80334.04000000 NS USD 13048.03000000 0.030147571236 Long ABS-CBDO CORP US N 2 2049-07-25 Variable 5.90187000 N N N N N N FGLMC P#G04832 5% 10/01/38 N/A 3128M6VZ8 4137.19000000 NS USD 4758.43000000 0.010994388225 Long ABS-MBS USGA US N 2 2038-10-01 Fixed 5.00000000 N N N N N N GNMA P#569703 6.5% 02/15/32 N/A 36200Q3L6 234.42000000 NS USD 269.63000000 0.000622982138 Long ABS-MBS USGSE US N 2 2032-02-15 Fixed 6.50000000 N N N N N N COSTAR GROUP INC 2.8% 07/15/30 N/A 22160NAA7 118000.00000000 NS USD 122269.45000000 0.282504481818 Long DBT CORP US Y 2 2030-07-15 Fixed 2.80000000 N N N N N N FNCL 30YR TBA 3.0% OCT 20 N/A 01F0306A1 253000.00000000 NS USD 265032.32000000 0.612359164343 Long ABS-MBS USGA US N 2 2050-10-01 Fixed 3.00000000 N N N N N N GNMA II P#BG7415 4% 04/20/48 N/A 3617GSGY9 21089.80000000 NS USD 23350.79000000 0.053952175535 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4.00000000 N N N N N N SUMMIT MATERIAL 5.25% 01/15/29 N/A 86614RAN7 5000.00000000 NS USD 5206.25000000 0.012029079696 Long DBT CORP US Y 2 2029-01-15 Fixed 5.25000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 394.86000000 0.000912326993 N/A DFE N/A N 1 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 -25784.00000000 EUR 30623.96000000 USD 2020-10-26 394.86000000 N N N HPA 2017-1 D V/R 07/17/22 N/A 43730TAG8 100000.00000000 NS USD 99944.98000000 0.230923626345 Long ABS-CBDO CORP US Y 2 2034-07-17 Variable 2.05050000 N N N N N N TPMT 2017-4 B1 V/R 06/25/57 N/A 89173UAE7 175000.00000000 NS USD 184582.83000000 0.426480013950 Long ABS-CBDO CORP US Y 2 2057-06-25 Variable 3.38915200 N N N N N N GOODYEAR TIRE & 9.5% 05/31/25 N/A 382550BH3 24000.00000000 NS USD 26040.00000000 0.060165615421 Long DBT CORP US N 2 2025-05-31 Fixed 9.50000000 N N N N N N GNMA P#613880 6% 09/15/33 N/A 36290N6R8 156.93000000 NS USD 174.63000000 0.000403483925 Long ABS-MBS USGSE US N 2 2033-09-15 Fixed 6.00000000 N N N N N N FLIR SYSTEMS INC 2.5% 08/01/30 VOBD35NEPH6WISIRTJ85 302445AE1 67000.00000000 NS USD 68562.28000000 0.158413662478 Long DBT CORP US N 2 2030-08-01 Fixed 2.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -3668.26000000 -0.00847554225 N/A DFE N/A N 1 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 -206483.61000000 EUR 2136507.00000000 SEK 2020-12-03 -3668.26000000 N N N UMBS P#AL7382 3.5% 09/01/45 N/A 3138EQFY3 49295.80000000 NS USD 53614.97000000 0.123877790548 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 3.50000000 N N N N N N FGLMC P#Q43953 3% 10/01/46 N/A 3132WHMB8 2400.83000000 NS USD 2632.66000000 0.006082780687 Long ABS-MBS USGA US N 2 2046-10-01 Fixed 3.00000000 N N N N N N ENERGY TRANSFER OPE V/R /PERP/ N/A 29278NAB9 15000.00000000 NS USD 10195.50000000 0.023556779263 Long DBT CORP US N 2 2169-02-15 Variable 6.62500000 N N N N N N CVS HEALTH CORP AMRTZ 6.036%28 N/A 126650BP4 52880.78000000 NS USD 60121.21000000 0.138910506895 Long DBT CORP US N 2 2028-12-10 Fixed 6.03600000 N N N N N N NATIONSTAR MTG H 5.5% 08/15/28 N/A 63861CAC3 35000.00000000 NS USD 34956.25000000 0.080766677960 Long DBT CORP US Y 2 2028-08-15 Fixed 5.50000000 N N N N N N JOSEPH T RYERSON 8.5% 08/01/28 N/A 48088LAB3 45000.00000000 NS USD 47362.50000000 0.109431411690 Long DBT CORP US Y 2 2028-08-01 Fixed 8.50000000 N N N N N N MILLICOM INTL C 6.25% 03/25/29 549300CTHC1CP86P2G96 600814AQ0 13000.00000000 NS USD 13877.50000000 0.032064067896 Long DBT CORP LU Y 2 2029-03-25 Fixed 6.25000000 N N N N N N MSC 2016-UBS9 D 3% 02/15/26 N/A 61766CAV1 15000.00000000 NS USD 11583.97000000 0.026764849619 Long ABS-CBDO CORP US Y 2 2049-03-15 Fixed 3.00000000 N N N N N N FGLMC P#A35084 5% 06/01/35 N/A 31297QUH0 608.67000000 NS USD 666.15000000 0.001539144574 Long ABS-MBS USGA US N 2 2035-06-01 Fixed 5.00000000 N N N N N N CAS 2019-R01 2M2 V/R 07/25/31 N/A 20754FAK8 43886.96000000 NS USD 43612.15000000 0.100766199870 Long ABS-CBDO CORP US Y 2 2031-07-25 Variable 2.59813000 N N N N N N HEALTHCARE TRUS 3.75% 07/01/27 N/A 42225UAF1 55000.00000000 NS USD 61182.23000000 0.141362001568 Long DBT CORP US N 2 2027-07-01 Fixed 3.75000000 N N N N N N FNMA 30YR TBA 2.5% OCT20 N/A 01F0226A8 140000.00000000 NS USD 146852.34000000 0.339303433650 Long ABS-MBS USGA US N 2 2050-10-01 Fixed 2.50000000 N N N N N N JPMMT 2018-LTV1 V/R 04/25/49 N/A 465964AC8 58384.03000000 NS USD 60089.95000000 0.138838280431 Long ABS-CBDO CORP US Y 2 2049-04-25 Variable 4.50000000 N N N N N N GLP CAPITAL LP / F 4% 01/15/30 N/A 361841AP4 40000.00000000 NS USD 41400.00000000 0.095655010693 Long DBT CORP US N 2 2030-01-15 Fixed 4.00000000 N N N N N N GNMA P#621696 4.5% 09/15/33 N/A 36290YUV8 4494.49000000 NS USD 4982.61000000 0.011512357797 Long ABS-MBS USGSE US N 2 2033-09-15 Fixed 4.50000000 N N N N N N NCR CORP 5.25% 10/01/30 549300YKTY8JX1DV2R67 62886EAZ1 10000.00000000 NS USD 10000.00000000 0.023105075046 Long DBT CORP US Y 2 2030-10-01 Fixed 5.25000000 N N N N N N SENSATA TECHNOL 3.75% 02/15/31 N/A 81728UAB0 20000.00000000 NS USD 19875.00000000 0.045921336655 Long DBT CORP US Y 2 2031-02-15 Fixed 3.75000000 N N N N N N ICONX 2013-1A 4.352% 01/25/20 N/A 45112AAC1 38374.43000000 NS USD 24664.37000000 0.056987211983 Long ABS-CBDO CORP US Y 2 2043-01-25 Fixed 4.35200000 N N N N N N NOVA CHEMICALS 5.25% 06/01/27 N/A 66977WAR0 28000.00000000 NS USD 26355.00000000 0.060893425285 Long DBT CORP CA Y 2 2027-06-01 Fixed 5.25000000 N N N N N N COVANTA HOLDING CO 6% 01/01/27 40XIFLS8XDQGGHGPGC04 22282EAH5 56000.00000000 NS USD 58240.00000000 0.134563957072 Long DBT CORP US N 2 2027-01-01 Fixed 6.00000000 N N N N N N UBSCM 2018-C9 XB V/R 03/15/51 N/A 90291JAY3 1000000.00000000 NS USD 25884.90000000 0.059807255707 Long ABS-CBDO CORP US N 2 2051-03-15 Variable 0.44249900 N N N N N N GNMA P#586772 6% 03/15/33 N/A 36201L2D5 626.88000000 NS USD 700.59000000 0.001618718452 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 6.00000000 N N N N N N TRONOX INC 6.5% 05/01/25 N/A 897051AB4 50000.00000000 NS USD 52125.00000000 0.120435203681 Long DBT CORP US Y 2 2025-05-01 Fixed 6.50000000 N N N N N N UMBS P#AL5543 4.5% 06/01/44 N/A 3138ENER6 61540.54000000 NS USD 69113.14000000 0.159686428642 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 4.50000000 N N N N N N UMBS P#CA3812 3% 07/01/49 N/A 3140QBGW2 6575.48000000 NS USD 7205.05000000 0.016647322096 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.00000000 N N N N N N SIMON PROPERTY 3.25% 09/13/49 N/A 828807DH7 40000.00000000 NS USD 36684.60000000 0.084760043606 Long DBT CORP US N 2 2049-09-13 Fixed 3.25000000 N N N N N N GAZPROM (GAZ CA 4.95% 07/19/22 N/A 368266AR3 200000.00000000 NS USD 209920.00000000 0.485021735383 Long DBT CORP LU Y 2 2022-07-19 Fixed 4.95000000 N N N N N N TPMT 2016-2 B2 V/R 10/25/32 N/A 89172PAF6 100000.00000000 NS USD 103686.83000000 0.239569198851 Long ABS-CBDO CORP US Y 2 2055-08-25 Variable 3.49913700 N N N N N N SPRINT CORP 7.25% 09/15/21 N/A 85207UAE5 30000.00000000 NS USD 31387.50000000 0.072521054303 Long DBT CORP US N 2 2021-09-15 Fixed 7.25000000 N N N N N N NY STATE ELECTRI 3.3% 09/15/49 N/A 649840CR4 47000.00000000 NS USD 50648.79000000 0.117024409398 Long DBT CORP US Y 2 2049-09-15 Fixed 3.30000000 N N N N N N STACR 2020-DNA3 V/R 06/25/50 N/A 35565WBD3 80000.00000000 NS USD 81578.50000000 0.188487736470 Long ABS-CBDO CORP US Y 2 2050-06-25 Variable 5.24813000 N N N N N N PENSKE AUTOMOTIV 3.5% 09/01/25 N/A 70959WAJ2 30000.00000000 NS USD 29877.75000000 0.069032765598 Long DBT CORP US N 2 2025-09-01 Fixed 3.50000000 N N N N N N GNMA P#603997 6% 02/15/33 N/A 36200K7J0 446.24000000 NS USD 527.39000000 0.001218538552 Long ABS-MBS USGSE US N 2 2033-02-15 Fixed 6.00000000 N N N N N N NYU HOSPITALS 4.428% 07/01/42 N/A 62952EAA5 50000.00000000 NS USD 58717.61000000 0.135667478562 Long DBT CORP US N 2 2042-07-01 Fixed 4.42800000 N N N N N N CAS 2018-C06 1M2 V/R 03/25/31 N/A 30711X3H5 73896.02000000 NS USD 72586.50000000 0.167711652988 Long ABS-CBDO CORP US N 2 2031-03-25 Variable 2.14813000 N N N N N N GNMA II P#MA4197 4% 01/20/47 N/A 36179SUW5 40901.39000000 NS USD 44093.97000000 0.101879448596 Long ABS-MBS USGSE US N 2 2047-01-20 Fixed 4.00000000 N N N N N N STACR 2019-HQA1 V/R 02/25/49 N/A 35563MAH9 72391.99000000 NS USD 71699.25000000 0.165661655205 Long ABS-CBDO CORP US Y 2 2049-02-25 Variable 2.49813000 N N N N N N SCIENTIFIC GAME 7.25% 11/15/29 N/A 80874YBE9 15000.00000000 NS USD 15225.00000000 0.035177476758 Long DBT CORP US Y 2 2029-11-15 Fixed 7.25000000 N N N N N N IAMGOLD CORP 5.75% 10/15/28 N/A 450913AF5 70000.00000000 NS USD 68075.00000000 0.157287798381 Long DBT CORP CA Y 2 2028-10-15 Fixed 5.75000000 N N N N N N PROG 2018-SFR 3.712% 08/17/23 N/A 74332UAA5 100000.00000000 NS USD 102568.81000000 0.236986005251 Long ABS-CBDO CORP US Y 2 2035-08-17 Fixed 3.71200000 N N N N N N ROYAL CARIBBEAN 11.5% 06/01/25 K2NEH8QNVW44JIWK7Z55 780153AZ5 29000.00000000 NS USD 33641.62000000 0.077729215479 Long DBT CORP US Y 2 2025-06-01 Fixed 11.50000000 N N N N N N AMHERST COLLEG 3.794% 11/01/42 549300AS419G4Y35BP63 898361AM2 10000.00000000 NS USD 11287.28000000 0.026079345147 Long DBT CORP US N 2 2042-11-01 Fixed 3.79400000 N N N N N N FREMF 2017-KW03 V/R 07/25/27 N/A 30302YAN7 50000.00000000 NS USD 51106.74000000 0.118082506309 Long ABS-CBDO CORP US Y 2 2027-07-25 Variable 4.19790300 N N N N N N GENERAL MOTORS FINL V/R /PERP/ N/A 37045XDB9 20000.00000000 NS USD 20075.00000000 0.046383438156 Long DBT CORP US N 2 2169-03-30 Variable 5.70000000 N N N N N N SBIZ 2019-A C 4.31% 07/15/26 N/A 831645AC0 100000.00000000 NS USD 66597.67000000 0.153874416329 Long ABS-CBDO CORP US Y 2 2026-07-15 Fixed 4.31000000 N N N N N N T/L CONFIE SEGUROS HOLDING II CO. 0% 4/19/22 N/A N/A 101112.07000000 NS USD 98015.51000000 0.226465571430 Long LON CORP US N 2 2022-04-19 Fixed 0.00000000 N N N N N N FINANCE AMER V/R 12/26/68 N/A 31739EAA0 81397.14000000 NS USD 87453.45000000 0.202061852535 Long ABS-CBDO CORP US N 2 2068-12-26 Variable 1.64559300 N N N N N N CSC HOLDINGS LLC 5.5% 04/15/27 N/A 126307AQ0 200000.00000000 NS USD 210520.00000000 0.486408039885 Long DBT CORP US Y 2 2027-04-15 Fixed 5.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -729.40000000 -0.00168528417 N/A DFE N/A N 1 STATE STREET BANK AND TRUST CO N/A -135519.10000000 USD 114900.00000000 EUR 2020-11-24 -729.40000000 N N N UMBS P#AE0625 4% 12/01/40 N/A 31419AVT1 6845.44000000 NS USD 7793.84000000 0.018007725810 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.00000000 N N N N N N LAMAR MEDIA COR 3.75% 02/15/28 N/A 513075BQ3 15000.00000000 NS USD 14925.00000000 0.034484324507 Long DBT CORP US Y 2 2028-02-15 Fixed 3.75000000 N N N N N N DELTA AIR LINES 4.75% 10/20/28 N/A 830867AB3 30000.00000000 NS USD 31148.37000000 0.071968542643 Long DBT CORP US Y 2 2028-10-20 Fixed 4.75000000 N N N N N N CD&R SMOKEY BUY 6.75% 07/15/25 N/A 12510CAA9 5000.00000000 NS USD 5275.00000000 0.012187927087 Long DBT CORP US Y 2 2025-07-15 Fixed 6.75000000 N N N N N N FREMF 2018-KW04 V/R 09/25/28 N/A 30296MAE1 50000.00000000 NS USD 50539.92000000 0.116772864446 Long ABS-CBDO CORP US Y 2 2028-09-25 Variable 4.04422700 N N N N N N GNMA P#784078 4% 06/15/45 N/A 3622A2Q70 29184.93000000 NS USD 31572.75000000 0.072949075818 Long ABS-MBS USGSE US N 2 2045-06-15 Fixed 4.00000000 N N N N N N FNR 2019-41 SM V/R 08/25/49 N/A 3136B5TL9 65737.45000000 NS USD 8359.50000000 0.019314687485 Long ABS-CBDO CORP US N 2 2049-08-25 Variable 5.90187000 N N N N N N VOC ESCROW LTD 5% 02/15/28 N/A 91832VAA2 94000.00000000 NS USD 83224.78000000 0.192291478765 Long DBT CORP US Y 2 2028-02-15 Fixed 5.00000000 N N N N N N CONN 2019-B C 4.6% 11/15/21 N/A 20824LAC9 100000.00000000 NS USD 98187.64000000 0.226863279087 Long ABS-CBDO CORP US Y 2 2024-06-17 Fixed 4.60000000 N N N N N N TRICIDA INC 3.5% 05/15/27 N/A 89610FAA9 85000.00000000 NS USD 51108.39000000 0.118086318647 Long DBT CORP US Y 2 2027-05-15 Fixed 3.50000000 N N N N N TRICIDA INC USD XXXX N N N T/L ELECTRICAL COM 0% 06/14/25 N/A 29279EAB8 12593.41000000 NS USD 11365.55000000 0.026260188569 Long LON CORP US N 2 2025-06-14 Fixed 0.00000000 N N N N N N TPMT 2016-3 B1 V/R 04/25/56 N/A 89172YAE0 100000.00000000 NS USD 106892.60000000 0.246976154495 Long ABS-CBDO CORP US Y 2 2056-04-25 Variable 4.11097800 N N N N N N ALTA WIND HOLD 7% 06/30/35 N/A 021345AA1 48831.64000000 NS USD 59344.60000000 0.137116143662 Long DBT CORP US Y 2 2035-06-30 Fixed 7.00000000 N N N N N N ENERGY TRANSFER 6.5% 02/01/42 N/A 29273RAR0 21000.00000000 NS USD 21996.80000000 0.050823771479 Long DBT CORP US N 2 2042-02-01 Fixed 6.50000000 N N N N N N BOOZ ALLEN HAM 3.875% 09/01/28 N/A 09951LAA1 25000.00000000 NS USD 25663.75000000 0.059296286973 Long DBT CORP US Y 2 2028-09-01 Fixed 3.87500000 N N N N N N FGLMC P#Q37291 3.5% 11/01/45 N/A 3132QUC50 42398.34000000 NS USD 45543.00000000 0.105227443285 Long ABS-MBS USGA US N 2 2045-11-01 Fixed 3.50000000 N N N N N N JPMMT 2014-1 B4 V/R 03/25/39 N/A 46641CBR1 21875.74000000 NS USD 22346.63000000 0.051632056319 Long ABS-CBDO CORP US Y 2 2044-01-25 Variable 3.72255900 N N N N N N FREMF 2017-K66 B V/R 07/25/27 N/A 35708QAU7 30000.00000000 NS USD 33842.35000000 0.078193003651 Long ABS-CBDO CORP US N 2 2027-07-25 Variable 4.17289300 N N N N N N QUICKEN LOANS 3.625% 03/01/29 N/A 74841CAA9 85000.00000000 NS USD 84256.25000000 0.194674697941 Long DBT CORP US Y 2 2029-03-01 Fixed 3.62500000 N N N N N N CSAIL 2015-C1 C V/R 02/15/25 N/A 126281BF0 100000.00000000 NS USD 91739.23000000 0.211964179388 Long ABS-CBDO CORP US N 2 2050-04-15 Variable 4.41090200 N N N N N N GNMA P#733913 4.5% 09/15/40 N/A 3620AMK27 14247.78000000 NS USD 15888.04000000 0.036709435654 Long ABS-MBS USGSE US N 2 2040-09-15 Fixed 4.50000000 N N N N N N WESTERN GLOBA 10.375% 08/15/25 N/A 958278AA1 60000.00000000 NS USD 61200.00000000 0.141403059286 Long DBT CORP US Y 2 2025-08-15 Fixed 10.37500000 N N N N N N CAS 2019-R02 1M2 V/R 08/25/31 N/A 20753KAB8 70302.30000000 NS USD 69906.06000000 0.161518476252 Long ABS-CBDO CORP US Y 2 2031-08-25 Variable 2.44813000 N N N N N N IBERDROLA INTL 6.75% 07/15/36 N/A 29266MAF6 65000.00000000 NS USD 94330.65000000 0.217951674746 Long DBT CORP NL N 2 2036-07-15 Fixed 6.75000000 N N N N N N SOUTHERN CAL ED 3.65% 02/01/50 N/A 842400GT4 88000.00000000 NS USD 90933.70000000 0.210102996278 Long DBT CORP US N 2 2050-02-01 Fixed 3.65000000 N N N N N N FREMF 2016-K52 B V/R 11/25/25 N/A 30294DAN3 100000.00000000 NS USD 110496.38000000 0.255302715230 Long ABS-CBDO CORP US Y 2 2049-01-25 Variable 4.05874900 N N N N N N TPMT 2015-6 M1 V/R 07/25/26 N/A 89172RAC9 70000.00000000 NS USD 75275.27000000 0.173924076252 Long ABS-CBDO CORP US Y 2 2055-04-25 Variable 3.75000000 N N N N N N TRONOX INC 6.5% 04/15/26 N/A 897051AA6 47000.00000000 NS USD 47000.00000000 0.108593852720 Long DBT CORP US Y 2 2026-04-15 Fixed 6.50000000 N N N N N N BMARK 2020-IG3 B V/R 04/15/30 N/A 08162QAN9 100000.00000000 NS USD 106994.91000000 0.247212542517 Long ABS-CBDO CORP US Y 2 2048-09-15 Variable 3.38741600 N N N N N N T/L BASS PRO GROUP 0% 09/25/24 N/A 07014QAK7 50666.13000000 NS USD 50371.61000000 0.116383982927 Long LON CORP US N 2 2024-09-25 Fixed 0.00000000 N N N N N N FGLMC P#Q46050 3% 02/01/47 N/A 3132WKWL8 51265.86000000 NS USD 53921.10000000 0.124585106210 Long ABS-MBS USGA US N 2 2047-02-01 Fixed 3.00000000 N N N N N N BAUSCH HEAL 4.5% 05/15/23/EUR/ B3BS7ACMDUWISF18KY76 C94135AB3 105000.00000000 NS 121890.06000000 0.281627898376 Long DBT CORP US Y 2 2023-05-15 Fixed 4.50000000 N N N N N N PLAINS ALL AMERICAN V/R /PERP/ 5521FA2ITF25TVH63740 726503AE5 45000.00000000 NS USD 28548.00000000 0.065960368243 Long DBT CORP US N 2 2168-11-15 Variable 6.12500000 N N N N N N CNO FINANCIAL G 5.25% 05/30/29 11XPYHB76MPM4Y4P2897 12621EAL7 132000.00000000 NS USD 152413.69000000 0.352152974561 Long DBT CORP US N 2 2029-05-30 Fixed 5.25000000 N N N N N N FNMA P#254238 6% 3/1/32 N/A 31371KLT6 113.66000000 NS USD 133.53000000 0.000308522067 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 6.00000000 N N N N N N BMARK 2018-B5 3.943% 07/15/28 N/A 08160BAC8 40000.00000000 NS USD 46923.50000000 0.108417098896 Long ABS-CBDO CORP US N 2 2051-07-15 Fixed 3.94360000 N N N N N N CENTENE CORP 4.25% 12/15/27 N/A 15135BAR2 20000.00000000 NS USD 20928.60000000 0.048355687362 Long DBT CORP US N 2 2027-12-15 Fixed 4.25000000 N N N N N N FGLMC P#G18527 3% 10/01/29 N/A 3128MMSR5 21556.61000000 NS USD 22665.58000000 0.052368992687 Long ABS-MBS USGA US N 2 2029-10-01 Fixed 3.00000000 N N N N N N ENABLE MIDSTREAM 4.4% 03/15/27 N/A 292480AK6 70000.00000000 NS USD 67086.38000000 0.155003584452 Long DBT CORP US N 2 2027-03-15 Fixed 4.40000000 N N N N N N BANCO DE CREDITO V/R 09/16/26 N/A 05954TAH4 65000.00000000 NS USD 68096.60000000 0.157337705343 Long DBT CORP PA Y 2 2026-09-16 Variable 6.87500000 N N N N N N UMBS P#AB1149 5% 06/01/40 N/A 31416WH39 4574.22000000 NS USD 5264.62000000 0.012163944019 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 5.00000000 N N N N N N GNMA II P#BB5176 4% 02/20/48 N/A 3617AVXD5 18049.36000000 NS USD 19987.45000000 0.046181153224 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 4.00000000 N N N N N N UNITED RENTALS 4.875% 01/15/28 N/A 911365BG8 35000.00000000 NS USD 36750.00000000 0.084911150797 Long DBT CORP US N 2 2028-01-15 Fixed 4.87500000 N N N N N N GENERAL ELECTRI 4.35% 05/01/50 3C7474T6CDKPR9K6YT90 369604BY8 55000.00000000 NS USD 56078.59000000 0.129570003047 Long DBT CORP US N 2 2050-05-01 Fixed 4.35000000 N N N N N N BOEING CO 5.805% 05/01/50 RVHJWBXLJ1RFUBSY1F30 097023CW3 85000.00000000 NS USD 102831.31000000 0.237592513471 Long DBT CORP US N 2 2050-05-01 Fixed 5.80500000 N N N N N N INTESA SANPAOLO 4.7% 09/23/49 2W8N8UU78PMDQKZENC08 46115HBN6 200000.00000000 NS USD 224044.61000000 0.517656752788 Long DBT CORP IT Y 2 2049-09-23 Fixed 4.70000000 N N N N N N UNITED MEXICAN STA 5% 04/27/51 N/A 91087BAL4 200000.00000000 NS USD 224000.00000000 0.517553681049 Long DBT USGA MX N 2 2051-04-27 Fixed 5.00000000 N N N N N N UMBS P#AD8529 4.5% 08/01/40 N/A 31418WPP9 149244.12000000 NS USD 167310.72000000 0.386572674173 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.50000000 N N N N N N SEMT 2013-5 A2 V/R 05/25/43 N/A 81745AAB3 127323.69000000 NS USD 129208.42000000 0.298537024078 Long ABS-CBDO CORP US Y 2 2043-05-25 Variable 3.00000000 N N N N N N HPA 2018-1 A V/R 07/15/20 N/A 43730WAA4 52217.89000000 NS USD 52119.99000000 0.120423628039 Long ABS-CBDO CORP US Y 2 2037-07-17 Variable 1.05050000 N N N N N N T/L COMMONWEALTH 0% 08/20/2021 N/A N/A 150000.00000000 NS USD 147000.00000000 0.339644603188 Long LON CORP BS N 2 2021-08-19 Fixed 0.00000000 N N N N N N FREMF 2017-KW02 V/R 12/25/26 N/A 30301RAN3 49000.00000000 NS USD 49447.33000000 0.114248427051 Long ABS-CBDO CORP US Y 2 2026-12-25 Variable 3.92246100 N N N N N N SEMPRA ENERGY 3.4% 02/01/28 PBBKGKLRK5S5C0Y4T545 816851BG3 95000.00000000 NS USD 104482.32000000 0.241407184466 Long DBT CORP US N 2 2028-02-01 Fixed 3.40000000 N N N N N N UMBS P#SD0030 3% 02/01/47 N/A 3132DMA70 39192.80000000 NS USD 42656.79000000 0.098558833420 Long ABS-MBS USGA US N 2 2047-02-01 Fixed 3.00000000 N N N N N N T/L 24 HOUR FITNE 0% 06/15/21 N/A N/A 14517.02000000 NS USD 12375.76000000 0.028594286356 Long LON CORP US N 2 2021-06-15 Fixed 0.00000000 N N N N N N USA COM PART/U 6.875% 09/01/27 N/A 91740PAF5 18000.00000000 NS USD 17849.16000000 0.041240618132 Long DBT CORP US N 2 2027-09-01 Fixed 6.87500000 N N N N N N US T BILL ZCP 10/27/20 N/A 9127964K2 1300000.00000000 PA USD 1299927.24000000 3.003491643562 Long STIV UST US N 2 2020-10-27 Fixed 0.00000000 N N N N N N SBA TOWER TRUS 3.869% 10/08/24 N/A 78403DAH3 150000.00000000 NS USD 157934.87000000 0.364909702386 Long DBT CORP US Y 2 2049-10-15 Fixed 3.86900000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -148.49000000 -0.00034308725 N/A DFE N/A N 1 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 -98009.29000000 USD 579381.92000000 GHS 2020-11-27 -148.49000000 N N N EGYPT GOVE 15.7% 11/07/27/EGP/ N/A M1487WCG8 1754000.00000000 NS 116777.37000000 0.269814989762 Long DBT USGA EG N 2 2027-11-07 Fixed 15.70000000 N N N N N N F/C EURO-BOBL FUTURE DEC20 N/A N/A -15.00000000 NC -2375883.02000000 -5.48949554795 N/A DIR CORP DE N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Short F/C EURO-BOBL FUTURE DEC20 EURO-BOBL FUTURE DEC20 /EUR/ 2020-12-08 2375355.71000000 EUR -527.31000000 N N N PRUDENTIAL FINANC V/R 10/01/50 5PRBRS5FEH7NREC8OR45 744320BH4 65000.00000000 NS USD 66319.50000000 0.153231702456 Long DBT CORP US N 2 2050-10-01 Variable 3.70000000 N N N N N N BACARDI LTD 5.3% 05/15/48 549300R32WTQNHNN5055 067316AH2 200000.00000000 NS USD 250681.99000000 0.579202619183 Long DBT CORP BM Y 2 2048-05-15 Fixed 5.30000000 N N N N N N GNMA II P#5175 4.5% 09/20/41 N/A 36202FXC5 8249.78000000 NS USD 9160.30000000 0.021164941895 Long ABS-MBS USGSE US N 2 2041-09-20 Fixed 4.50000000 N N N N N N FGLMC P#Q47419 4% 04/01/47 N/A 3132WMG57 18713.16000000 NS USD 20208.41000000 0.046691682962 Long ABS-MBS USGA US N 2 2047-04-01 Fixed 4.00000000 N N N N N N UMBS P#FM3894 4.5% 04/01/50 N/A 3140X7KG3 211121.35000000 NS USD 232412.19000000 0.536990109174 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 4.50000000 N N N N N N PHILLIPS 66 PAR 3.75% 03/01/28 N/A 718549AF5 125000.00000000 NS USD 130325.92000000 0.301119016214 Long DBT CORP US N 2 2028-03-01 Fixed 3.75000000 N N N N N N BANCO DE LA V/R 12/05/22/ARS/ N/A P10215AV6 1000000.00000000 NS 6828.22000000 0.015776653553 Long DBT CORP AR N 2 2022-12-05 Variable 33.62673600 N N N N N N GNMA P#615243 6% 06/15/33 N/A 36290RP49 1171.85000000 NS USD 1375.53000000 0.003178172387 Long ABS-MBS USGSE US N 2 2033-06-15 Fixed 6.00000000 N N N N N N FNR 2009-36 HX 4.5% 06/25/29 N/A 31397NR31 3364.42000000 NS USD 3551.38000000 0.008205490141 Long ABS-MBS USGSE US N 2 2029-06-25 Fixed 4.50000000 N N N N N N QVC INC 4.75% 02/15/27 N/A 747262AY9 10000.00000000 NS USD 10272.00000000 0.023733533088 Long DBT CORP US N 2 2027-02-15 Fixed 4.75000000 N N N N N N ABBVIE INC 4.05% 11/21/39 FR5LCKFTG8054YNNRU85 00287YBR9 53000.00000000 NS USD 60947.78000000 0.140820303083 Long DBT CORP US Y 2 2039-11-21 Fixed 4.05000000 N N N N N N UMBS P#CA4160 3.5% 09/01/49 N/A 3140QBTS7 251530.01000000 NS USD 282702.56000000 0.653186386473 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.50000000 N N N N N N CAS 2019-R02 1B1 V/R 08/25/31 N/A 20753KAF9 100000.00000000 NS USD 95493.35000000 0.220638101822 Long ABS-CBDO CORP US Y 2 2031-08-25 Variable 4.29813000 N N N N N N SOUTHWEST AIRLI 1.25% 05/01/25 UDTZ87G0STFETI6HGH41 844741BG2 27000.00000000 NS USD 35235.00000000 0.081410731927 Long DBT CORP US N 2 2025-05-01 Fixed 1.25000000 N N N N N SOUTHWEST AIRLINES CO USD XXXX N N N GENERAL MOTORS C 6.6% 04/01/36 54930070NSV60J38I987 37045VAK6 152000.00000000 NS USD 184993.23000000 0.427428246230 Long DBT CORP US N 2 2036-04-01 Fixed 6.60000000 N N N N N N CD 2018-CD7 A 4.013% 07/15/28 N/A 12512JAV6 30000.00000000 NS USD 35188.10000000 0.081302369125 Long ABS-CBDO CORP US N 2 2051-08-15 Fixed 4.01300000 N N N N N N VALERO ENERGY 6.625% 06/15/37 549300XTO5VR8SKV1V74 91913YAL4 79000.00000000 NS USD 99373.14000000 0.229602385733 Long DBT CORP US N 2 2037-06-15 Fixed 6.62500000 N N N N N N HILTON DOMESTIC 5.75% 05/01/28 N/A 432833AH4 5000.00000000 NS USD 5268.75000000 0.012173486415 Long DBT CORP US Y 2 2028-05-01 Fixed 5.75000000 N N N N N N EMIR 2019-1 B1 V/R 04/25/29 N/A 269822AD4 150000.00000000 NS USD 128735.42000000 0.297444154028 Long ABS-CBDO CORP US Y 2 2029-04-25 Variable 4.64813000 N N N N N N SCIENTIFIC GAME 8.25% 03/15/26 N/A 80874YBA7 31000.00000000 NS USD 32366.79000000 0.074783711197 Long DBT CORP US Y 2 2026-03-15 Fixed 8.25000000 N N N N N N ALBERTSONS COS/S 3.5% 03/15/29 N/A 013092AG6 40000.00000000 NS USD 38825.00000000 0.089705453869 Long DBT CORP US Y 2 2029-03-15 Fixed 3.50000000 N N N N N N CSMC 2013-IVR4 B V/R 07/25/43 N/A 12647GCQ9 16630.03000000 NS USD 16445.00000000 0.037996295914 Long ABS-CBDO CORP US Y 2 2043-07-25 Variable 3.46743300 N N N N N N TPMT 2015-5 M1 V/R 05/25/25 N/A 89171VAC1 60000.00000000 NS USD 63633.27000000 0.147025147882 Long ABS-CBDO CORP US Y 2 2055-05-25 Variable 3.50000000 N N N N N N CARDINAL HEALTH 4.9% 09/15/45 CCU46N3GJMF4OK4N7U60 14149YBD9 45000.00000000 NS USD 52055.74000000 0.120275177931 Long DBT CORP US N 2 2045-09-15 Fixed 4.90000000 N N N N N N PROG 2018-SFR 5.368% 10/17/23 N/A 74331MAF3 100000.00000000 NS USD 102791.32000000 0.237500116276 Long ABS-CBDO CORP US Y 2 2035-10-17 Fixed 5.36800000 N N N N N N TRUIST FINANCIAL CO V/R /PERP/ 549300DRQQI75D2JP341 89832QAF6 115000.00000000 NS USD 124309.25000000 0.287217455026 Long DBT CORP US N 2 2169-03-01 Variable 5.10000000 N N N N N N JBS USA LUX/JBS 6.75% 02/15/28 N/A 472141AA8 50000.00000000 NS USD 54371.00000000 0.125624603537 Long DBT CORP US Y 2 2028-02-15 Fixed 6.75000000 N N N N N N UMBS P#BD2425 3.5% 01/01/47 N/A 3140F9VT9 80830.28000000 NS USD 87535.47000000 0.202251360360 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N IVORY COA 5.875% 10/17/31/EUR/ N/A N/A 100000.00000000 NS 105900.25000000 0.244683322372 Long DBT USGA CI Y 2 2031-10-17 Fixed 5.87500000 N N N N N N FARMERS EXCHANGE V/R 10/15/54 N/A 30958QAA9 60000.00000000 NS USD 72544.49000000 0.167614588568 Long DBT CORP US Y 2 2054-10-15 Variable 5.45400000 N N N N N N EXACT SCIENCES 0.375% 03/01/28 549300VM3X1FYD4N9Z14 30063PAC9 50000.00000000 NS USD 53988.06000000 0.124739817793 Long DBT CORP US N 2 2028-03-01 Fixed 0.37500000 N N N N N EXACT SCIENCES CORP USD XXXX N N N UMBS P#CA3805 3% 07/01/49 N/A 3140QBGP7 4563.34000000 NS USD 4948.22000000 0.011432899444 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.00000000 N N N N N N GNMA P#796211 4% 04/15/42 N/A 36177Q3V3 141777.90000000 NS USD 152815.03000000 0.353080273643 Long ABS-MBS USGSE US N 2 2042-04-15 Fixed 4.00000000 N N N N N N FGLMC P#Q47579 4% 04/01/47 N/A 3132WMM50 14326.11000000 NS USD 15548.71000000 0.035925411143 Long ABS-MBS USGA US N 2 2047-04-01 Fixed 4.00000000 N N N N N N ENLINK MIDSTREAM 5.6% 04/01/44 N/A 29336UAC1 34000.00000000 NS USD 21845.00000000 0.050473036439 Long DBT CORP US N 2 2044-04-01 Fixed 5.60000000 N N N N N N FREEDOM MORTGAG 8.25% 04/15/25 549300LYRWPSYPK6S325 35640YAB3 32000.00000000 NS USD 32633.12000000 0.075399068661 Long DBT CORP US Y 2 2025-04-15 Fixed 8.25000000 N N N N N N UMBS P#AB1617 4% 10/01/40 N/A 31416WYP1 45642.01000000 NS USD 52010.06000000 0.120169633949 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.00000000 N N N N N N LAMAR MEDIA CO 4.875% 01/15/29 N/A 513075BU4 15000.00000000 NS USD 15600.00000000 0.036043917073 Long DBT CORP US Y 2 2029-01-15 Fixed 4.87500000 N N N N N N FGLMC P#A22366 5% 05/01/34 N/A 31296YTX1 189.55000000 NS USD 217.83000000 0.000503297849 Long ABS-MBS USGA US N 2 2034-05-01 Fixed 5.00000000 N N N N N N FREMF 2020-K106 V/R 02/25/30 N/A 30313WAE8 50000.00000000 NS USD 54624.77000000 0.126210941026 Long ABS-CBDO CORP US Y 2 2053-03-25 Variable 3.70746300 N N N N N N STACR 2020-DNA2 V/R 02/25/50 N/A 35565KBD9 30000.00000000 NS USD 25944.96000000 0.059946024788 Long ABS-CBDO CORP US Y 2 2050-02-25 Variable 2.64813000 N N N N N N RUSSIA GOV 8.15% 02/03/27/RUB/ N/A X54006AA3 12276000.00000000 NS 178123.65000000 0.411556030086 Long DBT USGA RU N 2 2027-02-03 Fixed 8.15000000 N N N N N N CCO HLDGS LLC/C 4.75% 03/01/30 N/A 1248EPCD3 50000.00000000 NS USD 52937.50000000 0.122312491029 Long DBT CORP US Y 2 2030-03-01 Fixed 4.75000000 N N N N N N GNMA P#AI8459 4% 09/15/44 N/A 36198VMG9 13615.31000000 NS USD 14610.15000000 0.033756861219 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 4.00000000 N N N N N N REPUBLIC OF ARGENT 1% 07/09/29 N/A 040114HX1 6500.00000000 NS USD 2964.00000000 0.006848344243 Long DBT USGA AR N 2 2029-07-09 Fixed 1.00000000 N N N N N N JPMCC 2019-BKWD V/R 09/15/22 N/A 46591JAN6 100000.00000000 NS USD 88570.28000000 0.204642296631 Long ABS-CBDO CORP US Y 2 2029-09-15 Variable 2.75238000 N N N N N N REPUBLIC OF ARGE S/UP 07/09/35 N/A 040114HT0 145500.00000000 NS USD 54708.00000000 0.126403244566 Long DBT USGA AR N 2 2035-07-09 Variable 0.12500000 N N N N N N GNMA P#AA8385 4% 03/15/44 N/A 36178GJ62 5834.46000000 NS USD 6270.41000000 0.014487829362 Long ABS-MBS USGSE US N 2 2044-03-15 Fixed 4.00000000 N N N N N N BAUSCH HEALTH AM 8.5% 01/31/27 N/A 91911XAW4 7000.00000000 NS USD 7691.25000000 0.017770690845 Long DBT CORP US Y 2 2027-01-31 Fixed 8.50000000 N N N N N N GOLDMAN SACHS GRO V/R 05/01/29 N/A 38141GWZ3 60000.00000000 NS USD 69972.77000000 0.161672610208 Long DBT CORP US N 2 2029-05-01 Variable 4.22300000 N N N N N N UMBS P#MA0384 5% 04/01/30 N/A 31417YNA1 22411.92000000 NS USD 25189.46000000 0.058200436368 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 5.00000000 N N N N N N CHC 2019-CHC E V/R 06/15/21 N/A 162665AN3 99570.34000000 NS USD 84977.28000000 0.196340643167 Long ABS-CBDO CORP US Y 2 2034-06-15 Variable 2.50238000 N N N N N N FGLMC P#G60045 5.5% 06/01/41 N/A 31335ABN7 8456.85000000 NS USD 9834.37000000 0.022722385688 Long ABS-MBS USGA US N 2 2041-06-01 Fixed 5.50000000 N N N N N N MARRIOTT INTERN 5.75% 05/01/25 225YDZ14ZO8E1TXUSU86 571903BD4 10000.00000000 NS USD 11160.20000000 0.025785725853 Long DBT CORP US N 2 2025-05-01 Fixed 5.75000000 N N N N N N FNMA 30YR TBA 4.0% OCT 20 N/A 01F0406A0 280000.00000000 NS USD 298632.03000000 0.689991546453 Long ABS-MBS USGA US N 2 2050-10-01 Fixed 4.00000000 N N N N N N MSC 2014-150E 4.012% 09/09/24 N/A 61764BAG8 100000.00000000 NS USD 106091.62000000 0.245125484193 Long ABS-CBDO CORP US Y 2 2032-09-09 Fixed 4.01200000 N N N N N N GNMA P#594118 6% 09/15/33 N/A 36201VAT9 651.06000000 NS USD 725.10000000 0.001675348991 Long ABS-MBS USGSE US N 2 2033-09-15 Fixed 6.00000000 N N N N N N AUTONATION INC 4.75% 06/01/30 N/A 05329WAQ5 30000.00000000 NS USD 35346.44000000 0.081668214883 Long DBT CORP US N 2 2030-06-01 Fixed 4.75000000 N N N N N N MPT OPER PARTN 4.625% 08/01/29 N/A 55342UAJ3 86000.00000000 NS USD 89480.42000000 0.206745181932 Long DBT CORP US N 2 2029-08-01 Fixed 4.62500000 N N N N N N GNMA P#767081 4% 08/15/43 N/A 36176H6S8 56720.57000000 NS USD 64583.90000000 0.149221585631 Long ABS-MBS USGSE US N 2 2043-08-15 Fixed 4.00000000 N N N N N N SUNOCO LOGISTICS 5.4% 10/01/47 N/A 86765BAV1 38000.00000000 NS USD 35878.34000000 0.082897173825 Long DBT CORP US N 2 2047-10-01 Fixed 5.40000000 N N N N N N JPMORGAN CHASE & CO V/R /PERP/ 8I5DZWZKVSZI1NUHU748 48128BAF8 195000.00000000 NS USD 194663.88000000 0.449772355630 Long DBT CORP US N 2 2169-02-01 Variable 5.00000000 N N N N N N CSAIL 2015-C4 D V/R 11/15/25 N/A 12635RBE7 50000.00000000 NS USD 39710.15000000 0.091750599587 Long ABS-CBDO CORP US N 2 2048-11-15 Variable 3.70905500 N N N N N N STANDARD INDUS 4.375% 07/15/30 N/A 853496AG2 55000.00000000 NS USD 56389.58000000 0.130288547775 Long DBT CORP US Y 2 2030-07-15 Fixed 4.37500000 N N N N N N UMBS P#MA2796 3% 10/01/46 N/A 31418CDA9 1619.39000000 NS USD 1721.57000000 0.003977700404 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N CAESARS ENTERTA 6.25% 07/01/25 N/A 28470RAH5 40000.00000000 NS USD 41809.80000000 0.096601856669 Long DBT CORP US Y 2 2025-07-01 Fixed 6.25000000 N N N N N N GNMA II P#MA2373 4.5% 11/20/44 N/A 36179QT68 22073.45000000 NS USD 24520.75000000 0.056655376895 Long ABS-MBS USGSE US N 2 2044-11-20 Fixed 4.50000000 N N N N N N F/C US 2YR NOTE (CBT) DEC20 N/A N/A 1.00000000 NC USD 220960.94000000 0.510531910111 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Long F/C US 2YR NOTE (CBT) DEC20 US 2YR NOTE (CBT) DEC20 2020-12-31 220875.00000000 USD 85.94000000 N N N N/A N/A N/A 1.00000000 NC N/A 4176.71000000 0.009650319799 N/A DFE N/A N 1 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 -219834.99000000 USD 260944130.00000000 KRW 2020-12-08 4176.71000000 N N N NATIONSTAR MTG 9.125% 07/15/26 N/A 93369KAB1 14000.00000000 NS USD 15015.00000000 0.034692270182 Long DBT CORP US Y 2 2026-07-15 Fixed 9.12500000 N N N N N N JPMORGAN CHASE & CO V/R /PERP/ 8I5DZWZKVSZI1NUHU748 48128BAG6 160000.00000000 NS USD 156800.00000000 0.362287576734 Long DBT CORP US N 2 2169-08-01 Variable 4.60000000 N N N N N N CALL USD/PUT JPY FEBRUARY 03 2021 107.94 USD-JPY N/A N/A -440000.00000000 NC USD -2895.20000000 -0.00668938132 N/A DFE CORP US N 2 JPMORGAN CHASE BANK, N.A. N/A Call Purchased CALL USD/PUT JPY FEBRUARY 03 2021 107.94 USD-JPY 0 -440000.00000000 USD 107.94000000 USD 2021-02-03 XXXX 1708.08000000 N N N MEDNAX INC 5.25% 12/01/23 N/A 58502BAA4 50000.00000000 NS USD 50625.00000000 0.116969442424 Long DBT CORP US Y 2 2023-12-01 Fixed 5.25000000 N N N N N N NATIONSTAR MTG HLD 6% 01/15/27 N/A 63861CAA7 10000.00000000 NS USD 10193.60000000 0.023552389299 Long DBT CORP US Y 2 2027-01-15 Fixed 6.00000000 N N N N N N KB HOME 6.875% 06/15/27 549300LGUCWQURMWLG09 48666KAX7 9000.00000000 NS USD 10642.50000000 0.024589576118 Long DBT CORP US N 2 2027-06-15 Fixed 6.87500000 N N N N N N FREMF 2018-KW06 V/R 06/25/28 N/A 30306WAN7 76000.00000000 NS USD 79548.77000000 0.183798030073 Long ABS-CBDO CORP US Y 2 2028-06-25 Variable 4.36774900 N N N N N N SEMT 2013-7 A2 V/R 06/25/43 N/A 81745CAB9 50342.32000000 NS USD 51086.72000000 0.118036249949 Long ABS-CBDO CORP US N 2 2043-06-25 Variable 3.00000000 N N N N N N SUNOCO LOGISTICS 6.1% 02/15/42 N/A 86765BAK5 19000.00000000 NS USD 19185.06000000 0.044327225107 Long DBT CORP US N 2 2042-02-15 Fixed 6.10000000 N N N N N N KBR INC 4.75% 09/30/28 254900OFQDXZRKRCV808 48242WAC0 40000.00000000 NS USD 40250.00000000 0.092997927063 Long DBT CORP US Y 2 2028-09-30 Fixed 4.75000000 N N N N N N GNMA P#544003 7% 03/15/31 N/A 36212UKQ3 43.40000000 NS USD 44.63000000 0.000103117949 Long ABS-MBS USGSE US N 2 2031-03-15 Fixed 7.00000000 N N N N N N CVS PASS-THROU 5.773% 01/31/33 N/A 126650BV1 31805.92000000 NS USD 36731.09000000 0.084867459100 Long DBT CORP US Y 2 2033-01-10 Fixed 5.77300000 N N N N N N T/L 1011778 B C 0% 11/19/26 N/A N/A 70672.22000000 NS USD 68066.18000000 0.157267419705 Long LON CORP CA N 2 2026-11-19 Fixed 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 3267.99000000 0.007550715420 N/A DFE N/A N 1 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 -1087719.17000000 USD 930000.00000000 EUR 2020-11-24 3267.99000000 N N N GNMA P#619059 6% 08/15/34 N/A 36290VWU4 4055.46000000 NS USD 4523.95000000 0.010452620425 Long ABS-MBS USGSE US N 2 2034-08-15 Fixed 6.00000000 N N N N N N TRANSOCEAN INC 8% 02/01/27 N/A 893830BL2 10000.00000000 NS USD 2800.00000000 0.006469421013 Long DBT CORP US Y 2 2027-02-01 Fixed 8.00000000 N N N N N N FGLMC P#Q52549 3% 11/01/47 N/A 3132XUZP3 1650.09000000 NS USD 1797.32000000 0.004152721348 Long ABS-MBS USGA US N 2 2047-11-01 Fixed 3.00000000 N N N N N N TPMT 2018-2 A2 V/R 03/25/58 N/A 89175VAB9 50000.00000000 NS USD 53528.92000000 0.123678971377 Long ABS-CBDO CORP US Y 2 2058-03-25 Variable 3.50000000 N N N N N N ALLIANCE DATA SYST 7% 01/15/26 549300G8S4PO686J7H97 018581AL2 95000.00000000 NS USD 94534.50000000 0.218422671701 Long DBT CORP US Y 2 2026-01-15 Fixed 7.00000000 N N N N N N GNMA II P#3530 5.5% 03/20/34 N/A 36202D4P3 2377.69000000 NS USD 2820.25000000 0.006516208790 Long ABS-MBS USGSE US N 2 2034-03-20 Fixed 5.50000000 N N N N N N BANK OF AMERICA CORP PREFERRED N/A 060505682 106.00000000 NS USD 157728.00000000 0.364431727698 Long EP CORP US N 1 N N N JPMCC 2018-WP 4.548% 07/05/23 N/A 46645WBA0 50000.00000000 NS USD 52068.39000000 0.120304405851 Long ABS-CBDO CORP US Y 2 2033-07-05 Fixed 4.54870000 N N N N N N T/L INTEGRO LTD 5.75% 10/31/22 N/A N/A 65544.42000000 NS USD 64561.25000000 0.149169252636 Long LON CORP KY N 2 2022-10-31 Fixed 0.00000000 N N N N N N GNR 2019-128 ID 3.5% 10/20/49 N/A 38382AFH3 959792.44000000 NS USD 71884.90000000 0.166090600923 Long ABS-CBDO CORP US N 2 2049-10-20 Fixed 3.50000000 N N N N N N JPMWM 2020-ATR1 V/R 02/25/50 N/A 46652HAC0 92512.13000000 NS USD 94557.48000000 0.218475767163 Long ABS-CBDO CORP US Y 2 2050-02-25 Variable 3.00000000 N N N N N N COMM 2012-CR4 3.251% 10/15/22 N/A 12624QAT0 25000.00000000 NS USD 25130.01000000 0.058063076697 Long ABS-CBDO CORP US N 2 2045-10-15 Fixed 3.25100000 N N N N N N UMBS P#BE2316 3.5% 01/01/47 N/A 3140FMSE7 48688.68000000 NS USD 51787.40000000 0.119655176348 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N SCML 2018-SBC7 A V/R 05/25/39 N/A 86934NAA7 43089.65000000 NS USD 43165.31000000 0.099733772696 Long ABS-CBDO CORP US Y 2 2039-05-25 Variable 4.72000000 N N N N N N T/L NAVISTAR INC 0% 11/6/24 N/A 63937YAE1 33528.30000000 NS USD 33344.93000000 0.077043711008 Long LON CORP US N 2 2024-11-06 Fixed 0.00000000 N N N N N N VICI PROPERTIE 4.125% 08/15/30 N/A 92564RAE5 8000.00000000 NS USD 7870.00000000 0.018183694061 Long DBT CORP US Y 2 2030-08-15 Fixed 4.12500000 N N N N N N TPMT 2015-6 B1 V/R 09/25/29 N/A 89172RAE5 150000.00000000 NS USD 160706.66000000 0.371313943982 Long ABS-CBDO CORP US Y 2 2055-04-25 Variable 3.94497000 N N N N N N GNR 2020-9 SA V/R 01/20/50 N/A 38382CAZ4 259788.31000000 NS USD 23587.40000000 0.054498864715 Long ABS-CBDO CORP US N 2 2050-01-20 Variable 3.19375000 N N N N N N N/A N/A N/A 1.00000000 NC USD 150339.93000000 0.347361536518 N/A DCR US N 2 JP MORGAN N/A CDX.NA.HY.34-V7 CDX.NA.HY.34-V7 Y 2025-06-20 -2484000.00000000 USD 2472615.00000000 USD 2484000.00000000 USD 141024.93000000 N N N AMSTED INDUSTR 5.625% 07/01/27 N2VLGYMEEBIU3PFSUY86 032177AH0 14000.00000000 NS USD 14893.48000000 0.034411497310 Long DBT CORP US Y 2 2027-07-01 Fixed 5.62500000 N N N N N N BANK OF AMERICA C V/R 03/20/51 9DJT3UXIJIZJI4WXO774 06051GJA8 70000.00000000 NS USD 86683.85000000 0.200283685959 Long DBT CORP US N 2 2051-03-20 Variable 4.08300000 N N N N N N GNMA II 30 YR TBA 2% NOV 20 N/A 21H0206B6 50000.00000000 NS USD 51843.75000000 0.119785373445 Long ABS-MBS USGA US N 2 2050-11-01 Fixed 2.00000000 N N N N N N FLEX LTD 4.875% 06/15/29 549300EAQH74YHD07T53 33938XAA3 197000.00000000 NS USD 226451.78000000 0.523218537138 Long DBT CORP US N 2 2029-06-15 Fixed 4.87500000 N N N N N N UMBS P#FM1637 4.5% 05/01/49 N/A 3140X4ZB5 149215.72000000 NS USD 164054.00000000 0.379047998173 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.50000000 N N N N N N NEWFIELD EXPLO 5.625% 07/01/24 N/A 651290AQ1 75000.00000000 NS USD 72753.80000000 0.168098200894 Long DBT CORP US N 2 2024-07-01 Fixed 5.62500000 N N N N N N HESS MIDSTREAM 5.125% 06/15/28 N/A 428104AA1 30000.00000000 NS USD 29943.60000000 0.069184912517 Long DBT CORP US Y 2 2028-06-15 Fixed 5.12500000 N N N N N N GNMA P#781635 6% 03/15/33 N/A 36225BY85 791.96000000 NS USD 944.74000000 0.002182828859 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 6.00000000 N N N N N N STR 2015-1A A1 3.75% 04/20/22 N/A 86213CAA3 97291.67000000 NS USD 98837.91000000 0.228365732802 Long ABS-CBDO CORP US Y 2 2045-04-20 Fixed 3.75000000 N N N N N N T/L BUILDERS FIRST 0% 02/29/24 N/A N/A 8318.67000000 NS USD 8211.22000000 0.018972085432 Long LON CORP US N 2 2024-02-29 Fixed 0.00000000 N N N N N N BALL CORP 2.875% 08/15/30 0BGI85ALH27ZJP15DY16 058498AW6 100000.00000000 NS USD 98875.00000000 0.228451429525 Long DBT CORP US N 2 2030-08-15 Fixed 2.87500000 N N N N N N DOMINICAN REPU 4.875% 09/23/32 N/A 25714PEF1 150000.00000000 NS USD 149175.00000000 0.344669957011 Long DBT USGA DO Y 2 2032-09-23 Fixed 4.87500000 N N N N N N ALBERTSONS COS 4.875% 02/15/30 N/A 013092AE1 30000.00000000 NS USD 31275.00000000 0.072261122208 Long DBT CORP US Y 2 2030-02-15 Fixed 4.87500000 N N N N N N GNR 2019-117 SB V/R 09/20/49 N/A 38381YRH9 354011.18000000 NS USD 29227.66000000 0.067530727774 Long ABS-CBDO CORP US N 2 2049-09-20 Variable 3.26375000 N N N N N N LIFEPOINT HEALT 6.75% 04/15/25 N/A 53219LAT6 20000.00000000 NS USD 21050.00000000 0.048636182973 Long DBT CORP US Y 2 2025-04-15 Fixed 6.75000000 N N N N N N DIAMOND SPORTS 6.625% 08/15/27 N/A 25277LAC0 97000.00000000 NS USD 50500.63000000 0.116682084606 Long DBT CORP US Y 2 2027-08-15 Fixed 6.62500000 N N N N N N EMERALD PLANTATION HOLDINGS N/A G30337102 1032.00000000 NS USD 25.80000000 0.000059611093 Long EC CORP HK N 2 N N N LEAR CORP 3.5% 05/30/30 549300UPNBTXA1SYTQ33 521865BB0 45000.00000000 NS USD 46066.81000000 0.106437710221 Long DBT CORP US N 2 2030-05-30 Fixed 3.50000000 N N N N N N WEST STREET ME 6.375% 09/01/25 N/A 95616AAA1 16000.00000000 NS USD 16316.64000000 0.037699719171 Long DBT CORP US Y 2 2025-09-01 Fixed 6.37500000 N N N N N N UMBS P#AB2639 4.5% 05/01/41 N/A 31416X4Z0 23434.15000000 NS USD 26473.75000000 0.061167798052 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N DUKE ENERGY CORP V/R /PERP/ I1BZKREC126H0VB1BL91 26441CBG9 200000.00000000 NS USD 211561.00000000 0.488813278198 Long DBT CORP US N 2 2169-03-16 Variable 4.87500000 N N N N N N FNR 2019-41 PS V/R 08/25/49 N/A 3136B5SU0 68179.29000000 NS USD 10826.09000000 0.025013762191 Long ABS-CBDO CORP US N 2 2049-08-25 Variable 5.90187000 N N N N N N GROUP 1 AUTOMOTIVE 4% 08/15/28 549300US8QAZJLWYAF63 398905AN9 10000.00000000 NS USD 9825.00000000 0.022700736233 Long DBT CORP US Y 2 2028-08-15 Fixed 4.00000000 N N N N N N BNP PARIBAS V/R /PERP/ N/A 05565AHN6 210000.00000000 NS USD 222337.50000000 0.513712462322 Long DBT CORP FR Y 2 2169-09-25 Variable 6.62500000 N N N N N N EMLT 2003-1 IF1 S/UP 12/25/32 N/A 29445FAA6 25116.63000000 NS USD 25711.76000000 0.059407214438 Long ABS-CBDO CORP US N 2 2032-12-25 Variable 4.01000000 N N N N N N UMBS P#AZ2086 3% 10/01/30 N/A 3138YTJ88 24045.36000000 NS USD 25748.48000000 0.059492056274 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 3.00000000 N N N N N N US TIPS 1% 02/15/49 N/A 912810SG4 382007.57000000 NS USD 533860.55000000 1.233488807229 Long DBT UST US N 2 2049-02-15 Fixed 1.00000000 N N N N N N PRIME SECSRVC B 5.75% 04/15/26 N/A 74166MAC0 35000.00000000 NS USD 37428.30000000 0.086478368037 Long DBT CORP US Y 2 2026-04-15 Fixed 5.75000000 N N N N N N COVANTA HOLDING CO 5% 09/01/30 40XIFLS8XDQGGHGPGC04 22282EAJ1 45000.00000000 NS USD 45418.50000000 0.104939785101 Long DBT CORP US N 2 2030-09-01 Fixed 5.00000000 N N N N N N TERVITA CORP 7.625% 12/01/21 N/A 88158UAA6 21000.00000000 NS USD 19162.50000000 0.044275100058 Long DBT CORP CA Y 2 2021-12-01 Fixed 7.62500000 N N N N N N FGLMC P#G60658 3.5% 07/01/46 N/A 31335AWT1 46010.92000000 NS USD 51209.71000000 0.118320419267 Long ABS-MBS USGA US N 2 2046-07-01 Fixed 3.50000000 N N N N N N CAS 2019-R04 2B1 V/R 06/25/39 N/A 20753TAC7 30000.00000000 NS USD 27005.69000000 0.062396849414 Long ABS-CBDO CORP US Y 2 2039-06-25 Variable 5.39813000 N N N N N N UMBS TBA 30YR 2% NOV 20 N/A 01F0206B0 630000.00000000 NS USD 650267.45000000 1.502447823276 Long ABS-MBS USGA US N 2 2050-11-01 Fixed 2.00000000 N N N N N N STATE OF QATAR 3.4% 04/16/25 N/A 74727PBC4 200000.00000000 NS USD 219196.00000000 0.506454002996 Long DBT USGA QA Y 2 2025-04-16 Fixed 3.40000000 N N N N N N UMBS P#CA1519 3% 04/01/48 N/A 3140Q8VM4 3469.69000000 NS USD 3802.02000000 0.008784595742 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -376.27000000 -0.00086937465 N/A DFE N/A N 1 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 -102444.81000000 USD 2357000.00000000 CZK 2020-10-29 -376.27000000 N N N BORGWARNER INC 2.65% 07/01/27 549300DSFX2IE88NSX47 099724AL0 69000.00000000 NS USD 72816.94000000 0.168244086338 Long DBT CORP US N 2 2027-07-01 Fixed 2.65000000 N N N N N N ENABLE MIDSTREA 4.95% 05/15/28 N/A 292480AL4 122000.00000000 NS USD 119111.64000000 0.275208338115 Long DBT CORP US N 2 2028-05-15 Fixed 4.95000000 N N N N N N GENERAL ELECTRI 4.25% 05/01/40 3C7474T6CDKPR9K6YT90 369604BX0 50000.00000000 NS USD 50727.98000000 0.117207378487 Long DBT CORP US N 2 2040-05-01 Fixed 4.25000000 N N N N N N TPMT 2017-1 B2 V/R 07/25/29 N/A 89173FAF7 150000.00000000 NS USD 158018.39000000 0.365102675972 Long ABS-CBDO CORP US Y 2 2056-10-25 Variable 3.89749000 N N N N N N F/C EURO-BUND FUTURE DEC20 N/A N/A -5.00000000 NC -1022512.65000000 -2.36252315145 N/A DIR CORP DE N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Short F/C EURO-BUND FUTURE DEC20 EURO-BUND FUTURE DEC20 /EUR/ 2020-12-08 1018938.66000000 EUR -3573.99000000 N N N GNMA P#604476 6% 07/15/33 N/A 36200MQ55 988.06000000 NS USD 1157.81000000 0.002675128693 Long ABS-MBS USGSE US N 2 2033-07-15 Fixed 6.00000000 N N N N N N CENOVUS ENERGY 6.75% 11/15/39 549300EIRQ0Z2B9C1W06 15135UAF6 275000.00000000 NS USD 276470.84000000 0.638787950646 Long DBT CORP CA N 2 2039-11-15 Fixed 6.75000000 N N N N N N PRIME SECSRVC B 6.25% 01/15/28 N/A 74166MAE6 104000.00000000 NS USD 105300.00000000 0.243296440243 Long DBT CORP US Y 2 2028-01-15 Fixed 6.25000000 N N N N N N FHR 4091 SH V/R 08/15/42 N/A 3137ATFZ0 86569.81000000 NS USD 19022.72000000 0.043952137319 Long ABS-CBDO CORP US N 2 2042-08-15 Variable 6.39762000 N N N N N N US T BILL ZCP 10/13/20 N/A 9127964H9 3000000.00000000 PA USD 2999923.74000000 6.931346314747 Long STIV UST US N 2 2020-10-13 Fixed 0.00000000 N N N N N N F/C US ULTRA BOND CBT DEC20 N/A N/A 9.00000000 NC USD 1996312.50000000 4.612495012942 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Long F/C US ULTRA BOND CBT DEC20 US ULTRA BOND CBT DEC20 2020-12-21 2005507.81000000 USD -9195.31000000 N N N GNR 2009-83 EB 4.5% 09/20/39 N/A 38376CAG4 24535.16000000 NS USD 27721.66000000 0.064051103472 Long ABS-MBS USGSE US N 2 2039-09-20 Fixed 4.50000000 N N N N N N UMBS P#BM1057 4% 04/01/47 N/A 3140J5E70 32344.33000000 NS USD 35250.71000000 0.081447030000 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N CAMERON LNG LL 3.402% 01/15/38 N/A 133434AC4 64000.00000000 NS USD 69263.03000000 0.160032750612 Long DBT CORP US Y 2 2038-01-15 Fixed 3.40200000 N N N N N N FNMA 30YR TBA 4.5% OCT 20 N/A 01F0426A6 260000.00000000 NS USD 281246.88000000 0.649823026908 Long ABS-MBS USGA US N 2 2050-10-01 Fixed 4.50000000 N N N N N N LEVEL 3 FINANC 4.625% 09/15/27 N/A 527298BN2 55000.00000000 NS USD 56512.50000000 0.130572555358 Long DBT CORP US Y 2 2027-09-15 Fixed 4.62500000 N N N N N N NOVELIS CORP 4.75% 01/30/30 N/A 670001AE6 57000.00000000 NS USD 55986.54000000 0.129357320831 Long DBT CORP US Y 2 2030-01-30 Fixed 4.75000000 N N N N N N T/L STONEPEAK LON 0% 10/19/26 N/A 86184NAC0 14035.12000000 NS USD 13859.68000000 0.032022894652 Long LON CORP US N 2 2026-10-19 Fixed 0.00000000 N N N N N N T/L STAPLES INC 0% 09/12/24 N/A 855031AR1 14812.50000000 NS USD 13988.55000000 0.032320649754 Long LON CORP US N 2 2024-09-12 Fixed 0.00000000 N N N N N N HNGRY 2018-1A 4.959% 06/20/25 N/A 411707AD4 29400.00000000 NS USD 30397.25000000 0.070233074246 Long ABS-CBDO CORP US Y 2 2048-06-20 Fixed 4.95900000 N N N N N N CSMC 2015-1 B4 V/R 12/25/35 N/A 12649NAV3 38508.10000000 NS USD 37991.77000000 0.087780269701 Long ABS-CBDO CORP US Y 2 2045-01-25 Variable 3.93046100 N N N N N N UMBS P#AY5580 3.5% 06/01/45 N/A 3138YKFW8 45580.04000000 NS USD 49227.73000000 0.113741039603 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 3.50000000 N N N N N N UMBS P#AS1091 4% 11/01/43 N/A 3138WAF93 23916.07000000 NS USD 26757.20000000 0.061822711404 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4.00000000 N N N N N N CVS PASS-THROU 8.353% 07/10/31 N/A 126659AA9 17474.80000000 NS USD 22046.69000000 0.050939042698 Long DBT CORP US Y 2 2031-07-10 Fixed 8.35300000 N N N N N N NCR CORP 5% 10/01/28 549300YKTY8JX1DV2R67 62886EAY4 25000.00000000 NS USD 25020.00000000 0.057808897767 Long DBT CORP US Y 2 2028-10-01 Fixed 5.00000000 N N N N N N STEEL DYNAMICS 3.25% 01/15/31 N/A 858119BM1 20000.00000000 NS USD 21400.28000000 0.049445507542 Long DBT CORP US N 2 2031-01-15 Fixed 3.25000000 N N N N N N GNMA II P#MA2224 4% 09/20/44 N/A 36179QPH8 27102.78000000 NS USD 29502.70000000 0.068166209758 Long ABS-MBS USGSE US N 2 2044-09-20 Fixed 4.00000000 N N N N N N TPMT 2018-3 M1 V/R 05/25/58 N/A 89175MAE3 100000.00000000 NS USD 106546.15000000 0.246175679170 Long ABS-CBDO CORP US Y 2 2058-05-25 Variable 3.87500000 N N N N N N BARCLAYS PLC 4.375% 01/12/26 213800LBQA1Y9L22JB70 06738EAN5 200000.00000000 NS USD 224063.30000000 0.517699936174 Long DBT CORP GB N 2 2026-01-12 Fixed 4.37500000 N N N N N N HCA INC 3.5% 09/01/30 N/A 404119CA5 76000.00000000 NS USD 77434.88000000 0.178913871364 Long DBT CORP US N 2 2030-09-01 Fixed 3.50000000 N N N N N N BOEING CO 3.75% 02/01/50 RVHJWBXLJ1RFUBSY1F30 097023CQ6 237000.00000000 NS USD 216893.36000000 0.501133735995 Long DBT CORP US N 2 2050-02-01 Fixed 3.75000000 N N N N N N CLEVELAND-CLIFF 6.75% 03/15/26 549300TM2WLI2BJMDD86 185899AG6 20000.00000000 NS USD 20350.00000000 0.047018827720 Long DBT CORP US Y 2 2026-03-15 Fixed 6.75000000 N N N N N N ENERGY TRANSFE 5.875% 01/15/24 N/A 29278NAM5 30000.00000000 NS USD 33029.63000000 0.076315207991 Long DBT CORP US N 2 2024-01-15 Fixed 5.87500000 N N N N N N GSMS 2020-DUNE E V/R 12/15/21 N/A 36258BAS7 100000.00000000 NS USD 85996.90000000 0.198696482829 Long ABS-CBDO CORP US Y 2 2036-12-15 Variable 2.65238000 N N N N N N FGLMC P#Q45370 3% 12/01/46 N/A 3132WJ6G1 17282.88000000 NS USD 18205.56000000 0.042064083006 Long ABS-MBS USGA US N 2 2046-12-01 Fixed 3.00000000 N N N N N N MEG ENERGY CORP 7% 03/31/24 5493002WXPTG5ZC1T326 552704AC2 27000.00000000 NS USD 25110.00000000 0.058016843442 Long DBT CORP CA Y 2 2024-03-31 Fixed 7.00000000 N N N N N N GNMA II P#MA4005 4% 10/20/46 N/A 36179SNW3 41127.84000000 NS USD 44253.94000000 0.102249060481 Long ABS-MBS USGSE US N 2 2046-10-20 Fixed 4.00000000 N N N N N N MOLINA HEALTHC 4.375% 06/15/28 549300NQQCEQ46YHZ591 60855RAJ9 15000.00000000 NS USD 15307.50000000 0.035368093627 Long DBT CORP US Y 2 2028-06-15 Fixed 4.37500000 N N N N N N FNMA TBA 15YR 2.0% NOV 20 N/A 01F0204B2 80000.00000000 NS USD 83140.44000000 0.192096610562 Long ABS-MBS USGA US N 2 2035-11-01 Fixed 2.00000000 N N N N N N MEX BONOS D 8.5% 05/31/29/MXN/ N/A P9767G6N6 5300000.00000000 NS 283405.71000000 0.654811019825 Long DBT USGA MX N 2 2029-05-31 Fixed 8.50000000 N N N N N N VISTRA CORP 4.3% 07/15/29 N/A 92840VAE2 19000.00000000 NS USD 20738.92000000 0.047917430299 Long DBT CORP US Y 2 2029-07-15 Fixed 4.30000000 N N N N N N STACR 2020-DNA4 V/R 08/25/50 N/A 35565XBD1 70000.00000000 NS USD 72318.39000000 0.167092182821 Long ABS-CBDO CORP US Y 2 2050-08-25 Variable 6.14813000 N N N N N N HIGHWOODS REAL 4.125% 03/15/28 N/A 431282AQ5 45000.00000000 NS USD 49647.06000000 0.114709904715 Long DBT CORP US N 2 2028-03-15 Fixed 4.12500000 N N N N N N CENTURYLINK INC 4% 02/15/27 8M3THTGWLTYZVE6BBY25 156700BC9 25000.00000000 NS USD 25397.75000000 0.058681691977 Long DBT CORP US Y 2 2027-02-15 Fixed 4.00000000 N N N N N N AIB GROUP PLC V/R 04/10/25 N/A 00135TAB0 200000.00000000 NS USD 214850.89000000 0.496414593732 Long DBT CORP IE Y 2 2025-04-10 Variable 4.26300000 N N N N N N TRANSOCEAN INC 6.8% 03/15/38 N/A 893830AT6 35000.00000000 NS USD 4637.50000000 0.010714978552 Long DBT CORP US N 2 2038-03-15 Fixed 6.80000000 N N N N N N GNMA P#771507 4% 12/15/41 N/A 36176N3Q2 3452.66000000 NS USD 3686.34000000 0.008517316234 Long ABS-MBS USGSE US N 2 2041-12-15 Fixed 4.00000000 N N N N N N FORD MOTOR COM 4.346% 12/08/26 20S05OYHG0MQM4VUIC57 345370CR9 135000.00000000 NS USD 133253.10000000 0.307882287572 Long DBT CORP US N 2 2026-12-08 Fixed 4.34600000 N N N N N N MERITAGE HOMES COR 6% 06/01/25 52990044W9UMFJO2FB97 59001AAY8 19000.00000000 NS USD 21188.99000000 0.048957320411 Long DBT CORP US N 2 2025-06-01 Fixed 6.00000000 N N N N N N MARRIOTT INTERNA 3.5% 10/15/32 225YDZ14ZO8E1TXUSU86 571903BF9 180000.00000000 NS USD 178625.92000000 0.412716528690 Long DBT CORP US N 2 2032-10-15 Fixed 3.50000000 N N N N N N CAS 2019-R07 1M2 V/R 10/25/39 N/A 20753WAF3 83377.29000000 NS USD 82919.53000000 0.191586196349 Long ABS-CBDO CORP US Y 2 2039-10-25 Variable 2.24813000 N N N N N N DOMINION ENERGY INC V/R /PERP/ ILUL7B6Z54MRYCF6H308 25746UDD8 151000.00000000 NS USD 153094.48000000 0.353725944965 Long DBT CORP US N 2 2169-06-15 Variable 4.65000000 N N N N N N FINANCE AMER 2.0% 09/25/69 N/A 31739LAA4 142501.75000000 NS USD 149132.17000000 0.344570997974 Long ABS-CBDO CORP US Y 2 2069-09-25 Fixed 2.00000000 N N N N N N KINDER MORGAN I 5.05% 02/15/46 549300WR7IX8XE0TBO16 49456BAJ0 48000.00000000 NS USD 54541.86000000 0.126019376849 Long DBT CORP US N 2 2046-02-15 Fixed 5.05000000 N N N N N N TPMT 2016-1 B1 V/R 02/25/55 N/A 89172EAJ3 150000.00000000 NS USD 161813.37000000 0.373871005743 Long ABS-CBDO CORP US Y 2 2055-02-25 Variable 4.03523200 N N N N N N NOVA CHEMICALS COR 5% 05/01/25 N/A 66977WAP4 19000.00000000 NS USD 18525.00000000 0.042802151524 Long DBT CORP CA Y 2 2025-05-01 Fixed 5.00000000 N N N N N N CMLTI 2018-RP2 A V/R 02/25/58 N/A 17326UAA2 78476.78000000 NS USD 83027.02000000 0.191834552801 Long ABS-CBDO CORP US Y 2 2058-02-25 Variable 3.50000000 N N N N N N PUGET ENERGY INC 4.1% 06/15/30 N/A 745310AJ1 60000.00000000 NS USD 66973.42000000 0.154742589524 Long DBT CORP US Y 2 2030-06-15 Fixed 4.10000000 N N N N N N CHENIERE ENERG 4.625% 10/15/28 MIHC87W9WTYSYZWV1J40 16411RAJ8 120000.00000000 NS USD 123150.00000000 0.284538999201 Long DBT CORP US Y 2 2028-10-15 Fixed 4.62500000 N N N N N N FNMA TBA 30YR TBA 3% NOV20 N/A 01F0306B9 170000.00000000 NS USD 178118.16000000 0.411543345400 Long ABS-MBS USGA US N 2 2050-11-01 Fixed 3.00000000 N N N N N N NEXTERA ENERGY O 4.5% 09/15/27 N/A 65342QAB8 17000.00000000 NS USD 18147.50000000 0.041929934941 Long DBT CORP US Y 2 2027-09-15 Fixed 4.50000000 N N N N N N STACR 2018-HQA2 V/R 10/25/48 N/A 35563XBD3 150000.00000000 NS USD 139504.76000000 0.322326794919 Long ABS-CBDO CORP US Y 2 2048-10-25 Variable 4.39813000 N N N N N N NRG ENERGY INC 4.45% 06/15/29 N/A 629377CL4 200000.00000000 NS USD 220370.06000000 0.509166677437 Long DBT CORP US Y 2 2029-06-15 Fixed 4.45000000 N N N N N N SCFT 2020-AA A 1.97% 09/25/37 N/A 85022WAP9 100000.00000000 NS USD 100358.89000000 0.231879968506 Long ABS-CBDO CORP US Y 2 2037-09-25 Fixed 1.97000000 N N N N N N INTER-AME 7.875% 03/14/23/IDR/ VKU1UKDS9E7LYLMACP54 U4582NBR4 980000000.00000000 NS 69080.78000000 0.159611660619 Long DBT CORP US N 2 2023-03-14 Fixed 7.87500000 N N N N N N REPUBLIC OF PE 2.783% 01/23/31 N/A 715638DF6 20000.00000000 NS USD 21610.00000000 0.049930067176 Long DBT USGA PE N 2 2031-01-23 Fixed 2.78300000 N N N N N N BANK OF AMERICA COR V/R /PERP/ 9DJT3UXIJIZJI4WXO774 060505FQ2 120000.00000000 NS USD 116400.00000000 0.268943073545 Long DBT CORP US N 2 2169-07-28 Variable 4.30000000 N N N N N N FGLMC P#A89784 5% 11/01/39 N/A 3129362R7 17068.19000000 NS USD 19660.79000000 0.045426402843 Long ABS-MBS USGA US N 2 2039-11-01 Fixed 5.00000000 N N N N N N YPF SOCIED 16.5% 05/09/22/ARS/ N/A 984245AP5 175000.00000000 NS 1481.79000000 0.003423686915 Long DBT CORP AR Y 2 2022-05-09 Fixed 16.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 74.01000000 0.000171000660 N/A DFE N/A N 1 STATE STREET BANK AND TRUST CO N/A -10375.00000000 EUR 12237.63000000 USD 2020-10-26 74.01000000 N N N ENABLE MIDSTREA 4.15% 09/15/29 N/A 292480AM2 30000.00000000 NS USD 27813.16000000 0.064262514908 Long DBT CORP US N 2 2029-09-15 Fixed 4.15000000 N N N N N N BOMFT 2017-SPL5 V/R 06/28/57 N/A 07331UAD0 40000.00000000 NS USD 42229.94000000 0.097572593292 Long ABS-CBDO CORP US Y 2 2057-06-28 Variable 4.00000000 N N N N N N CHARLES SCHWAB CORP V/R /PERP/ 549300VSGCJ7E698NM85 808513BD6 60000.00000000 NS USD 65013.00000000 0.150213024401 Long DBT CORP US N 2 2169-09-01 Variable 5.37500000 N N N N N N GNMA P#781661 6.5% 11/15/32 N/A 36225BZ27 410.01000000 NS USD 491.91000000 0.001136561746 Long ABS-MBS USGSE US N 2 2032-11-15 Fixed 6.50000000 N N N N N N INEOS FIN 2.875% 05/01/26/EUR/ N/A N/A 100000.00000000 NS 112637.63000000 0.260250089424 Long DBT CORP GB Y 2 2026-05-01 Fixed 2.87500000 N N N N N N CLEVELAND-CLIF 9.875% 10/17/25 549300TM2WLI2BJMDD86 185899AJ0 10000.00000000 NS USD 11162.50000000 0.025791040021 Long DBT CORP US Y 2 2025-10-17 Fixed 9.87500000 N N N N N N US TIPS 1% 02/15/48 N/A 912810SB5 499087.25000000 NS USD 689442.25000000 1.592961492670 Long DBT UST US N 2 2048-02-15 Fixed 1.00000000 N N N N N N UMBS P#AE7731 4.5% 11/01/40 N/A 31419JSV1 47000.73000000 NS USD 52863.90000000 0.122142437676 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.50000000 N N N N N N AES CORP/THE 3.95% 07/15/30 2NUNNB7D43COUIRE5295 00130HCC7 20000.00000000 NS USD 22099.20000000 0.051060367447 Long DBT CORP US Y 2 2030-07-15 Fixed 3.95000000 N N N N N N GLOBAL AIR LEASE 6.5% 09/15/24 N/A 37960JAA6 150256.00000000 NS USD 83767.72000000 0.193545945710 Long DBT CORP KY Y 2 2024-09-15 Fixed 6.50000000 N N Y N N N GNMA II P#784449 V/R 09/20/44 N/A 3622A25J7 25433.17000000 NS USD 26766.18000000 0.061843459761 Long ABS-MBS USGSE US N 2 2044-09-20 Fixed 4.50000000 N N N N N N UMBS P#AS1845 4.5% 02/01/44 N/A 3138WBBP9 20670.27000000 NS USD 23058.96000000 0.053277900130 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 4.50000000 N N N N N N MEXICAN UDIBONOS2% 6/9/22 /MXN 254900EGTWEU67VP6075 P4R0C9GC1 1462679.75700000 NS 67079.40000000 0.154987457109 Long DBT USGA MX N 2 2022-06-09 Fixed 2.00000000 N N N N N N GNMA P#770470 4.5% 07/15/41 N/A 36176MW74 14109.73000000 NS USD 15695.23000000 0.036263946702 Long ABS-MBS USGSE US N 2 2041-07-15 Fixed 4.50000000 N N N N N N GNMA II P#3474 6% 11/20/33 N/A 36202D2F7 3834.41000000 NS USD 4408.37000000 0.010185571968 Long ABS-MBS USGSE US N 2 2033-11-20 Fixed 6.00000000 N N N N N N BOOKING HOLDIN 4.625% 04/13/30 FXM8FAOHMYDIPD38UZ17 09857LAR9 145000.00000000 NS USD 174202.04000000 0.402495120751 Long DBT CORP US N 2 2030-04-13 Fixed 4.62500000 N N N N N N LEXINGTON REALTY 2.7% 09/15/30 N/A 529043AE1 40000.00000000 NS USD 40779.95000000 0.094222380515 Long DBT CORP US N 2 2030-09-15 Fixed 2.70000000 N N N N N N T/L KUEHG CORP 0% 02/21/25 N/A 48244EAJ3 71667.59000000 NS USD 65755.01000000 0.151927444075 Long LON CORP US N 2 2025-02-21 Fixed 0.00000000 N N N N N N GNMA P#604946 5.5% 01/15/34 N/A 36200NBP5 3042.87000000 NS USD 3535.65000000 0.008169145858 Long ABS-MBS USGSE US N 2 2034-01-15 Fixed 5.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2280.24000000 -0.00526851163 N/A DFE N/A N 1 THE BANK OF NEW YORK MELLON HPFHU0OQ28E4N0NFVK49 -423294.97000000 USD 587765.19000000 AUD 2020-11-27 -2280.24000000 N N N FNCL 30YR TBA 3.5% OCT 20 N/A 01F0326A7 587000.00000000 NS USD 618895.19000000 1.429961981107 Long ABS-MBS USGA US N 2 2050-10-01 Fixed 3.50000000 N N N N N N POWERTEAM SERV 9.033% 12/04/25 N/A 73939VAA2 75000.00000000 NS USD 79031.25000000 0.182602296229 Long DBT CORP US Y 2 2025-12-04 Fixed 9.03300000 N N N N N N GARDA WORLD SE 4.625% 02/15/27 N/A 36485MAK5 35000.00000000 NS USD 35175.00000000 0.081272101477 Long DBT CORP CA Y 2 2027-02-15 Fixed 4.62500000 N N N N N N INTERNATIONAL PAPE 6% 11/15/41 824LMFJDH41EY779Q875 460146CH4 16000.00000000 NS USD 21993.65000000 0.050816493380 Long DBT CORP US N 2 2041-11-15 Fixed 6.00000000 N N N N N N COMM 2015-CR24 D V/R 08/10/25 N/A 12593JBL9 100000.00000000 NS USD 83624.27000000 0.193214503408 Long ABS-CBDO CORP US N 2 2048-08-10 Variable 3.46300000 N N N N N N APACHE CORP 4.375% 10/15/28 72ZZ1XRHOOU9P9X16K08 037411BE4 95000.00000000 NS USD 86925.00000000 0.200840864844 Long DBT CORP US N 2 2028-10-15 Fixed 4.37500000 N N N N N N PUT EUR/CALL USD MAR21 1.11 N/A N/A 330000.00000000 NC USD 1023.00000000 0.002363649177 N/A DFE CORP US N 2 BANK OF AMERICA, N.A. N/A Put Written PUT EUR/CALL USD MAR21 1.11 0 330000.00000000 USD 1.11000000 USD 2021-03-08 XXXX -4116.97000000 N N N WESCO DISTRIBUT 7.25% 06/15/28 N/A 95081QAP9 15000.00000000 NS USD 16435.13000000 0.037973491205 Long DBT CORP US Y 2 2028-06-15 Fixed 7.25000000 N N N N N N WILLIAMS COMPANI 7.5% 01/15/31 N/A 969457BB5 95000.00000000 NS USD 125139.88000000 0.289136631875 Long DBT CORP US N 2 2031-01-15 Fixed 7.50000000 N N N N N N GNMA II P#AR0817 3.5% 03/20/46 N/A 36192S4A5 15277.73000000 NS USD 16967.10000000 0.039202611882 Long ABS-MBS USGSE US N 2 2046-03-20 Fixed 3.50000000 N N N N N N GNMA II P#AM2831 3.5% 04/20/45 N/A 36184NEC1 11750.75000000 NS USD 12936.35000000 0.029889533758 Long ABS-MBS USGSE US N 2 2045-04-20 Fixed 3.50000000 N N N N N N UBS GROUP AG V/R /PERP/ N/A 90352JAF0 200000.00000000 NS USD 213500.00000000 0.493293352249 Long DBT CORP CH Y 2 2169-07-31 Variable 7.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 640.96000000 0.001480942890 N/A DFE N/A N 1 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 -49153.20000000 USD 795790.35000000 EGP 2020-11-30 640.96000000 N N N ALLIED UNIVERS 6.625% 07/15/26 N/A 019576AA5 45000.00000000 NS USD 47925.00000000 0.110731072161 Long DBT CORP US Y 2 2026-07-15 Fixed 6.62500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -3816.90000000 -0.00881897609 N/A DFE N/A N 1 BANK OF AMERICA, N.A. N/A -173209.48000000 EUR 1861465.00000000 NOK 2020-10-06 -3816.90000000 N N N TENET HEALTHCA 5.125% 11/01/27 0W9AIBT6U6ADJ2I8HK17 88033GDA5 30000.00000000 NS USD 30816.00000000 0.071200599264 Long DBT CORP US Y 2 2027-11-01 Fixed 5.12500000 N N N N N N MEG ENERGY CORP 6.5% 01/15/25 5493002WXPTG5ZC1T326 552704AD0 21000.00000000 NS USD 20599.32000000 0.047594883451 Long DBT CORP CA Y 2 2025-01-15 Fixed 6.50000000 N N N N N N REPUBLIC OF PHILIP 5% 01/13/37 N/A 718286BW6 200000.00000000 NS USD 260407.14000000 0.601672651243 Long DBT USGA PH N 2 2037-01-13 Fixed 5.00000000 N N N N N N NATIONWIDE MUTU 4.35% 04/30/50 Z7LVXXWM8HZPKF5T2355 638671AN7 105000.00000000 NS USD 112485.55000000 0.259898707443 Long DBT CORP US Y 2 2050-04-30 Fixed 4.35000000 N N N N N N CMLTI 2018-RP1 M V/R 09/25/64 N/A 17326QAB9 135000.00000000 NS USD 144264.94000000 0.333325226532 Long ABS-CBDO CORP US Y 2 2064-09-25 Variable 3.00000000 N N N N N N BEACON ROOFING 4.875% 11/01/25 549300HDXQWWCBOYXP31 073685AD1 81000.00000000 NS USD 79380.00000000 0.183408085721 Long DBT CORP US Y 2 2025-11-01 Fixed 4.87500000 N N N N N N SIMON PROPERTY G 3.8% 07/15/50 N/A 828807DJ3 55000.00000000 NS USD 55842.10000000 0.129023591127 Long DBT CORP US N 2 2050-07-15 Fixed 3.80000000 N N N N N N GNMA P#574567 5.5% 04/15/34 N/A 36200WJL6 4174.57000000 NS USD 4753.99000000 0.010984129572 Long ABS-MBS USGSE US N 2 2034-04-15 Fixed 5.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -249.55000000 -0.00057658714 N/A DFE N/A N 1 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 -219779.45000000 USD 299729.00000000 SGD 2020-12-08 -249.55000000 N N N GNR 2019-90 SA V/R 07/20/49 N/A 38381XEA0 163021.59000000 NS USD 15124.51000000 0.034945293859 Long ABS-CBDO CORP US N 2 2049-07-20 Variable 3.14375000 N N N N N N APACHE CORP 4.25% 01/15/30 72ZZ1XRHOOU9P9X16K08 037411BF1 41000.00000000 NS USD 36937.93000000 0.085345364472 Long DBT CORP US N 2 2030-01-15 Fixed 4.25000000 N N N N N N AIR CANADA 4% 07/01/25 N/A 008911BE8 76000.00000000 NS USD 86001.60000000 0.198707342214 Long DBT CORP CA Y 2 2025-07-01 Fixed 4.00000000 N N N N N AIR CANADA 4% 07/01/25 USD XXXX N N N AVOLON HOLDINGS 3.95% 07/01/24 N/A 05401AAF8 10000.00000000 NS USD 9491.92000000 0.021931152393 Long DBT CORP IE Y 2 2024-07-01 Fixed 3.95000000 N N N N N N PLAINS ALL AMER 4.9% 02/15/45 N/A 72650RBH4 45000.00000000 NS USD 41069.01000000 0.094890255814 Long DBT CORP US N 2 2045-02-15 Fixed 4.90000000 N N N N N N DCP MIDSTREAM OP 5.6% 04/01/44 N/A 23311VAF4 16000.00000000 NS USD 14580.00000000 0.033687199418 Long DBT CORP US N 2 2044-04-01 Fixed 5.60000000 N N N N N N BUILDERS FIRSTSOUR 5% 03/01/30 549300W0SKP6L3H7DP63 12008RAN7 10000.00000000 NS USD 10350.00000000 0.023913752673 Long DBT CORP US Y 2 2030-03-01 Fixed 5.00000000 N N N N N N INDONESIA 6.125% 05/15/28/IDR/ N/A Y39814HQ7 1784000000.00000000 NS 115336.56000000 0.266485987444 Long DBT USGA ID N 2 2028-05-15 Fixed 6.12500000 N N N N N N UMBS P#AS1626 4.5% 02/01/44 N/A 3138WAYY7 20043.36000000 NS USD 22406.42000000 0.051770201563 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 4.50000000 N N N N N N CREDIT SUISSE GROUP V/R /PERP/ 549300506SI9CRFV9Z86 225401AN8 400000.00000000 NS USD 386000.00000000 0.891855896807 Long DBT CORP CH Y 2 2169-07-24 Variable 5.10000000 N N N N N N FREMF 2018-KHG1 V/R 12/25/27 N/A 30309FAJ0 75000.00000000 NS USD 77105.32000000 0.178152420510 Long ABS-CBDO CORP US Y 2 2027-12-25 Variable 3.93891100 N N N N N N BELDEN IN 2.875% 09/15/25/EUR/ 68BKYO1JC791TTJHUE82 U07461AL7 100000.00000000 NS 114156.75000000 0.263760027585 Long DBT CORP US Y 2 2025-09-15 Fixed 2.87500000 N N N N N N BAUSCH HEALTH COS 5% 01/30/28 B3BS7ACMDUWISF18KY76 071734AH0 15000.00000000 NS USD 14568.75000000 0.033661206208 Long DBT CORP US Y 2 2028-01-30 Fixed 5.00000000 N N N N N N BANCO CONT(CONT T V/R 10/07/40 N/A 212141AA3 100000.00000000 NS USD 100376.00000000 0.231919501290 Long DBT CORP KY Y 2 2040-10-07 Variable 7.37500000 N N N N N N MCAS 2019-01 M10 V/R 10/15/49 N/A 62547NAB5 100000.00000000 NS USD 92222.36000000 0.213080454879 Long ABS-CBDO CORP US Y 2 2049-10-15 Variable 3.39813000 N N N N N N GNMA P#558809 6% 10/15/33 N/A 36213MYE2 1093.31000000 NS USD 1268.04000000 0.002929815936 Long ABS-MBS USGSE US N 2 2033-10-15 Fixed 6.00000000 N N N N N N OUTFRONT MEDIA 6.25% 06/15/25 N/A 69007TAD6 55000.00000000 NS USD 56650.00000000 0.130890250140 Long DBT CORP US Y 2 2025-06-15 Fixed 6.25000000 N N N N N N CGCMT 2018-B2 3.744% 01/10/28 N/A 17327FAC0 150000.00000000 NS USD 171916.68000000 0.397214779320 Long ABS-CBDO CORP US N 2 2051-03-10 Fixed 3.74400000 N N N N N N UMBS P#AS8491 3% 01/01/47 N/A 3138WJNH7 62291.73000000 NS USD 68289.16000000 0.157782616668 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N T/L NATURES BOUNTY 0% 09/26/24 N/A 18913EAB3 32440.69000000 NS USD 31662.11000000 0.073155542769 Long LON CORP US N 2 2024-09-26 Fixed 0.00000000 N N N N N N COMM 2013-CR11 C V/R 09/10/23 N/A 12626LAW2 100000.00000000 NS USD 98789.44000000 0.228253742503 Long ABS-CBDO CORP US Y 2 2050-08-10 Variable 5.28536900 N N N N N N AVIENT CORP 5.75% 05/15/25 SM8L9RZYIB34LNTWO040 73179PAM8 25000.00000000 NS USD 26500.00000000 0.061228448874 Long DBT CORP US Y 2 2025-05-15 Fixed 5.75000000 N N N N N N F/C US LONG BOND(CBT) DEC20 N/A N/A -6.00000000 NC USD -1057687.50000000 -2.44379490635 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Short F/C US LONG BOND(CBT) DEC20 US LONG BOND(CBT) DEC20 2020-12-21 1065375.00000000 USD 7687.50000000 N N N TERRAFORM POWER 4.75% 01/15/30 N/A 88104LAG8 19000.00000000 NS USD 20092.50000000 0.046423872037 Long DBT CORP US Y 2 2030-01-15 Fixed 4.75000000 N N N N N N QVC INC 4.375% 09/01/28 N/A 747262AZ6 105000.00000000 NS USD 107100.00000000 0.247455353751 Long DBT CORP US N 2 2028-09-01 Fixed 4.37500000 N N N N N N LORENZ RE 2018 0.0% 07/01/21 N/A N/A 40000.00000000 NS USD 1096.00000000 0.002532316225 Long DBT CORP BM N 3 2021-07-01 Fixed 0.00000000 N N N N N N GNR 2019-159 CI 3.5% 12/20/49 N/A 38382BHB2 266986.67000000 NS USD 27505.98000000 0.063552773213 Long ABS-CBDO CORP US N 2 2049-12-20 Fixed 3.50000000 N N N N N N CITY OF BUENOS A 7.5% 06/01/27 N/A 11942GAD4 250000.00000000 NS USD 177500.00000000 0.410115082081 Long DBT USGA AR Y 2 2027-06-01 Fixed 7.50000000 N N N N N N GNMA P#AM4159 4% 04/15/45 N/A 36184QTQ7 18459.45000000 NS USD 19828.28000000 0.045813389744 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 4.00000000 N N N N N N FHR 4087 SB V/R 07/15/42 N/A 3137AS5J9 152241.27000000 NS USD 31379.26000000 0.072502015721 Long ABS-CBDO CORP US N 2 2042-07-15 Variable 5.87762000 N N N N N N VISTRA CORP 3.7% 01/30/27 N/A 92840VAG7 150000.00000000 NS USD 157749.51000000 0.364481426715 Long DBT CORP US Y 2 2027-01-30 Fixed 3.70000000 N N N N N N C/O HOMEX OCT22 0.01 N/A N/A 3182.00000000 NC 0.00000000 0.000000 N/A DE CORP MX N 2 BROWN BROTHERS HARRIMAN AND CO 5493006KMX1VFTPYPW14 Call Written C/O HOMEX OCT22 0.01 1059031 318200.00000000 MXN 15000000000.00000000 MXN 2022-10-23 XXXX -0.01000000 N N N LORENZ RE 2019V/R 6/30/22 N/A N/A 20578.00000000 NS USD 1989.89000000 0.004597655778 Long DBT CORP BM N 3 2022-06-30 Variable 0.00000000 N N N N N N CALL EUR/PUT USD 18DEC20 1.196 N/A N/A -350000.00000000 NC -2938.58000000 -0.00678961114 N/A DFE CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Purchased CALL EUR/PUT USD 18DEC20 1.196 0 -350000.00000000 EUR 1.19600000 EUR 2020-12-18 XXXX -119.56000000 N N N F/C US 10YR NOTE (CBT)DEC20 N/A N/A -3.00000000 NC USD -418593.75000000 -0.96716400078 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Short F/C US 10YR NOTE (CBT)DEC20 US 10YR NOTE (CBT)DEC20 2020-12-21 418195.31000000 USD -398.44000000 N N N HIGHWOODS REALTY 2.6% 02/01/31 N/A 431282AT9 54000.00000000 NS USD 53629.39000000 0.123911108066 Long DBT CORP US N 2 2031-02-01 Fixed 2.60000000 N N N N N N PATTERN ENERGY O 4.5% 08/15/28 N/A 70339PAA7 10000.00000000 NS USD 10375.00000000 0.023971515361 Long DBT CORP US Y 2 2028-08-15 Fixed 4.50000000 N N N N N N COMMSCOPE TECH LLC 5% 03/15/27 N/A 20338HAB9 50000.00000000 NS USD 48000.00000000 0.110904360224 Long DBT CORP US Y 2 2027-03-15 Fixed 5.00000000 N N N N N N CALL EUR/PUT USD 4JUN20 1.172 N/A N/A -175000.00000000 NC -5229.98000000 -0.01208390803 N/A DFE CORP US N 2 BANK OF AMERICA, N.A. N/A Call Purchased CALL EUR/PUT USD 4JUN20 1.172 0 -175000.00000000 EUR 1.17200000 EUR 2021-06-04 XXXX -2333.83000000 N N N REPS 2019-A B 3.93% 05/20/23 N/A 76041QAB9 100000.00000000 NS USD 98796.99000000 0.228271186835 Long ABS-CBDO CORP US Y 2 2027-11-22 Fixed 3.93000000 N N N N N N ANHEUSER-BUSCH 5.55% 01/23/49 N/A 03523TBV9 241000.00000000 NS USD 323996.65000000 0.748596691317 Long DBT CORP US N 2 2049-01-23 Fixed 5.55000000 N N N N N N UMBS P#AZ3804 3% 05/01/46 N/A 3138YVGN3 15532.40000000 NS USD 16857.29000000 0.038948895053 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 3.00000000 N N N N N N MIDWEST CONNEC 4.625% 04/01/29 N/A 59833CAC6 38000.00000000 NS USD 38405.77000000 0.088736819808 Long DBT CORP US Y 2 2029-04-01 Fixed 4.62500000 N N N N N N REPUBLICA 9.875% 06/20/22/UYU/ N/A 917288BJ0 4429000.00000000 NS 108809.88000000 0.251406044323 Long DBT USGA UY Y 2 2022-06-20 Fixed 9.87500000 N N N N N N NRZT 2019-RPL2 A V/R 02/25/59 N/A 64830HAA2 84745.70000000 NS USD 90524.85000000 0.209158345285 Long ABS-CBDO CORP US Y 2 2059-02-25 Variable 3.25000000 N N N N N N JPMMT 2019-LTV1 V/R 06/25/49 N/A 46650PAC4 49666.42000000 NS USD 50962.42000000 0.117749053866 Long ABS-CBDO CORP US Y 2 2049-06-25 Variable 4.00000000 N N N N N N PRUDENTIAL FINANCI 3% 03/10/40 5PRBRS5FEH7NREC8OR45 74432QCJ2 91000.00000000 NS USD 97604.52000000 0.225515975950 Long DBT CORP US N 2 2040-03-10 Fixed 3.00000000 N N N N N N INTERPUBLIC GRO 4.75% 03/30/30 N/A 460690BR0 115000.00000000 NS USD 138080.92000000 0.319037001913 Long DBT CORP US N 2 2030-03-30 Fixed 4.75000000 N N N N N N CAS 2020-SBT1 1M V/R 02/25/40 N/A 20753VBE7 30000.00000000 NS USD 27896.19000000 0.064454356347 Long ABS-CBDO CORP US Y 2 2040-02-25 Variable 3.79813000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 4659.87000000 0.010766664605 N/A DFE N/A N 1 STATE STREET BANK AND TRUST CO N/A -375000.00000000 EUR 444574.05000000 USD 2020-11-24 4659.87000000 N N N GNMA P#569234 6.5% 03/15/32 N/A 36200QLP7 259.59000000 NS USD 301.35000000 0.000696271436 Long ABS-MBS USGSE US N 2 2032-03-15 Fixed 6.50000000 N N N N N N FREMF 2018-KW07 V/R 10/25/31 N/A 30297NAE8 25000.00000000 NS USD 24954.74000000 0.057658114047 Long ABS-CBDO CORP US Y 2 2031-10-25 Variable 4.22070100 N N N N N N FREEPORT-MCMORA 5.45% 03/15/43 N/A 35671DBC8 193000.00000000 NS USD 213994.54000000 0.494435990631 Long DBT CORP US N 2 2043-03-15 Fixed 5.45000000 N N N N N N BLACK KNIGHT I 3.625% 09/01/28 N/A 092174AA9 15000.00000000 NS USD 15159.38000000 0.035025861256 Long DBT CORP US Y 2 2028-09-01 Fixed 3.62500000 N N N N N N QUICKEN LOANS 3.875% 03/01/31 N/A 74841CAB7 50000.00000000 NS USD 49375.00000000 0.114081308043 Long DBT CORP US Y 2 2031-03-01 Fixed 3.87500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -334.57000000 -0.00077302649 N/A DFE N/A N 1 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 -82223.29000000 USD 6405000.00000000 RUB 2020-11-24 -334.57000000 N N N US RENAL CARE 10.625% 07/15/27 N/A 07335BAA4 31000.00000000 NS USD 32860.00000000 0.075923276603 Long DBT CORP US Y 2 2027-07-15 Fixed 10.62500000 N N N N N N CAS 2019-R06 2B1 V/R 09/25/39 N/A 20754JAC8 100000.00000000 NS USD 84630.45000000 0.195539289849 Long ABS-CBDO CORP US Y 2 2039-09-25 Variable 3.89813000 N N N N N N CALPINE CORP 4.625% 02/01/29 N/A 131347CP9 15000.00000000 NS USD 14971.88000000 0.034592641099 Long DBT CORP US Y 2 2029-02-01 Fixed 4.62500000 N N N N N N GNR 2012-130 PA 3% 04/20/41 N/A 38378GJK5 6602.47000000 NS USD 6756.56000000 0.015611082585 Long ABS-CBDO CORP US N 2 2041-04-20 Fixed 3.00000000 N N N N N N FREMF 2019-KJ24 V/R 10/25/27 N/A 30312FAG1 97082.28000000 NS USD 81392.85000000 0.188058790752 Long ABS-CBDO CORP US Y 2 2027-10-25 Variable 7.60000000 N N N N N N PUT EUR/CALL USD 04JUNE2021 1.11 EUR-USD N/A N/A 175000.00000000 NC 1065.52000000 0.002461891956 N/A DFE CORP US N 2 BANK OF AMERICA, N.A. N/A Put Written PUT EUR/CALL USD 04JUNE2021 1.11 EUR-USD 0 175000.00000000 EUR 1.11000000 EUR 2021-06-04 XXXX -1830.63000000 N N N FGLMC P#Q47341 4% 04/01/47 N/A 3132WMEP5 44542.46000000 NS USD 48346.84000000 0.111705736647 Long ABS-MBS USGA US N 2 2047-04-01 Fixed 4.00000000 N N N N N N CLNY 2019-IKPR E V/R 11/15/21 N/A 12564NAN2 65000.00000000 NS USD 54904.43000000 0.126857097555 Long ABS-CBDO CORP US Y 2 2038-11-15 Variable 2.87338000 N N N N N N PBF HOLDING CO 9.25% 05/15/25 N/A 69318FAK4 30000.00000000 NS USD 30750.60000000 0.071049492073 Long DBT CORP US Y 2 2025-05-15 Fixed 9.25000000 N N N N N N ENERGY TRANSFE 6.125% 12/15/45 N/A 29273RBJ7 10000.00000000 NS USD 10037.91000000 0.023192666386 Long DBT CORP US N 2 2045-12-15 Fixed 6.12500000 N N N N N N ELEMENT SOLUTI 3.875% 09/01/28 549300FLGN6P5CU20J91 28618MAA4 65000.00000000 NS USD 63781.25000000 0.147367056783 Long DBT CORP US Y 2 2028-09-01 Fixed 3.87500000 N N N N N N INSMED INC 1.75% 01/15/25 N/A 457669AA7 54000.00000000 NS USD 58601.80000000 0.135399898687 Long DBT CORP US N 2 2025-01-15 Fixed 1.75000000 N N N N N INSMED INC USD XXXX N N N T/L REGIONALCARE H 0% 11/16/25 N/A 75915TAD4 72674.01000000 NS USD 70751.06000000 0.163470855094 Long LON CORP US N 2 2025-11-16 Fixed 0.00000000 N N N N N N PROG 2017-SFR 4.261% 08/17/22 N/A 74333JAN1 100000.00000000 NS USD 102020.80000000 0.235719824033 Long ABS-CBDO CORP US Y 2 2034-08-17 Fixed 4.26100000 N N N N N N UMBS P#BE2699 4% 06/01/47 N/A 3140FM7M2 12941.27000000 NS USD 13973.56000000 0.032286015247 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N OCI NV 6.625% 04/15/23 549300NCMRGIBJYUOE57 67091GAA1 200000.00000000 NS USD 206800.00000000 0.477812951968 Long DBT CORP NL Y 2 2023-04-15 Fixed 6.62500000 N N N N N N FREMF 2019-K88 C V/R 04/25/29 N/A 302971AT3 75000.00000000 NS USD 81657.14000000 0.188669434780 Long ABS-CBDO CORP US Y 2 2052-02-25 Variable 4.52545400 N N N N N N COMM 2015-DC1 B V/R 01/10/25 N/A 12629NAJ4 75000.00000000 NS USD 77882.93000000 0.179949094251 Long ABS-CBDO CORP US N 2 2048-02-10 Variable 4.03500000 N N N N N N PAR PHARMACEUTIC 7.5% 04/01/27 N/A 69888XAA7 31000.00000000 NS USD 32478.08000000 0.075040847577 Long DBT CORP US Y 2 2027-04-01 Fixed 7.50000000 N N N N N N CAMERON LNG LL 3.302% 01/15/35 N/A 133434AB6 28000.00000000 NS USD 31591.14000000 0.072991566051 Long DBT CORP US Y 2 2035-01-15 Fixed 3.30200000 N N N N N N CITRIX SYSTEMS I 3.3% 03/01/30 HCTKJGUQOPZ5NBK7NP58 177376AF7 215000.00000000 NS USD 229614.50000000 0.530526025434 Long DBT CORP US N 2 2030-03-01 Fixed 3.30000000 N N N N N N ENLINK MIDSTREA 5.05% 04/01/45 N/A 29336UAD9 9000.00000000 NS USD 5715.00000000 0.013204550389 Long DBT CORP US N 2 2045-04-01 Fixed 5.05000000 N N N N N N UNITI GRP/UNIT 7.875% 02/15/25 N/A 91327AAA0 73000.00000000 NS USD 77358.47000000 0.178737325485 Long DBT CORP US Y 2 2025-02-15 Fixed 7.87500000 N N N N N N PIONEER ILS INTERVAL FUND N/A 72369L107 97089.20800000 NS USD 852443.25000000 1.969576526441 Long EC RF US N 2 N N N T/L ALLIANCE HEAL 0% 10/24/23 N/A N/A 36067.51000000 NS USD 27711.86000000 0.064028460498 Long LON CORP US N 2 2023-10-24 Fixed 0.00000000 N N N N N N HILTON DOMESTI 5.375% 05/01/25 N/A 432833AG6 5000.00000000 NS USD 5221.50000000 0.012064314935 Long DBT CORP US Y 2 2025-05-01 Fixed 5.37500000 N N N N N N SCIENTIFIC GAMES I 7% 05/15/28 N/A 80874YBC3 15000.00000000 NS USD 15036.71000000 0.034742431300 Long DBT CORP US Y 2 2028-05-15 Fixed 7.00000000 N N N N N N US T BILL ZCP 11/27/20 N/A 9127963B3 500000.00000000 PA USD 499924.79000000 1.155079979072 Long STIV UST US N 2 2020-11-27 Fixed 0.00000000 N N N N N N UMBS P#AU8807 4% 11/01/43 N/A 3138X8YD7 28449.90000000 NS USD 31472.04000000 0.072716384607 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4.00000000 N N N N N N GNMA P#546091 4.5% 03/15/40 N/A 36212WUQ8 61624.67000000 NS USD 68825.97000000 0.159022920202 Long ABS-MBS USGSE US N 2 2040-03-15 Fixed 4.50000000 N N N N N N SOUTHERN CAL E 4.875% 03/01/49 N/A 842400GR8 65000.00000000 NS USD 78989.85000000 0.182506641218 Long DBT CORP US N 2 2049-03-01 Fixed 4.87500000 N N N N N N NCR CORP 8.125% 04/15/25 549300YKTY8JX1DV2R67 62886EAX6 5000.00000000 NS USD 5526.25000000 0.012768442097 Long DBT CORP US Y 2 2025-04-15 Fixed 8.12500000 N N N N N N RALPH LAUREN CO 2.95% 06/15/30 N/A 731572AB9 55000.00000000 NS USD 57420.93000000 0.132671489690 Long DBT CORP US N 2 2030-06-15 Fixed 2.95000000 N N N N N N T/L GRUPO AEROMEXIC 0% 8/19/22 N/A N/A 15000.00000000 NS USD 14850.00000000 0.034311036444 Long LON CORP US N 2 2022-08-19 Fixed 0.00000000 N N N N N N GNMA P#591202 4.5% 04/15/35 N/A 36201RX71 10155.35000000 NS USD 11270.92000000 0.026041545244 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 4.50000000 N N N N N N BRINK'S CO/THE 5.5% 07/15/25 XFP140TFNOQMIVFTVQ13 109696AB0 45000.00000000 NS USD 46912.50000000 0.108391683313 Long DBT CORP US Y 2 2025-07-15 Fixed 5.50000000 N N N N N N CENTENE CORP 4.625% 12/15/29 N/A 15135BAT8 35000.00000000 NS USD 37753.10000000 0.087228820875 Long DBT CORP US N 2 2029-12-15 Fixed 4.62500000 N N N N N N T/L 24 HOUR FITNES 0% 05/30/25 N/A N/A 54022.16000000 NS USD 4524.36000000 0.010453567733 Long LON CORP US N 2 2025-05-30 Fixed 0.00000000 Y N N N N N GREIF INC 6.5% 03/01/27 54930070FVGKR0Z1FI24 397624AH0 65000.00000000 NS USD 67338.70000000 0.155586571705 Long DBT CORP US Y 2 2027-03-01 Fixed 6.50000000 N N N N N N UMBS P#BD9327 3.5% 10/01/46 N/A 3140FHLH8 13542.71000000 NS USD 14652.48000000 0.033854665002 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.50000000 N N N N N N EUROPEAN B 6.45% 12/13/22/IDR/ 549300HTGDOVDU6OGK19 G315BBHV3 1997800000.00000000 NS 135563.08000000 0.313219513697 Long DBT CORP GB N 2 2022-12-13 Fixed 6.45000000 N N N N N N GNMA P#615383 6% 07/15/33 N/A 36290RUG6 1214.04000000 NS USD 1382.81000000 0.003194992882 Long ABS-MBS USGSE US N 2 2033-07-15 Fixed 6.00000000 N N N N N N EDGEWELL PERSONA 5.5% 06/01/28 549300CY8QZDL4Z3RU59 28035QAA0 55000.00000000 NS USD 57872.65000000 0.133715192140 Long DBT CORP US Y 2 2028-06-01 Fixed 5.50000000 N N N N N N MARRIOTT INTER 4.625% 06/15/30 225YDZ14ZO8E1TXUSU86 571903BE2 25000.00000000 NS USD 26773.68000000 0.061860788567 Long DBT CORP US N 2 2030-06-15 Fixed 4.62500000 N N N N N N T/L SINCLAIR TEL 0% 01/03/24 N/A N/A 71642.04000000 NS USD 69970.42000000 0.161667180515 Long LON CORP US N 2 2024-01-03 Fixed 0.00000000 N N N N N N BROADCOM INC 4.3% 11/15/32 549300WV6GIDOZJTV909 11135FAS0 20000.00000000 NS USD 22847.82000000 0.052790059575 Long DBT CORP US N 2 2032-11-15 Fixed 4.30000000 N N N N N N UMBS TBA 15YR 1.5% OCT 20 N/A 01F0124A1 270000.00000000 NS USD 276264.85000000 0.638312009205 Long ABS-MBS USGA US N 2 2035-10-01 Fixed 1.50000000 N N N N N N UMBS P#AS7423 3% 05/01/46 N/A 3138WHG97 1555.28000000 NS USD 1653.05000000 0.003819384430 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 3.00000000 N N N N N N T/L USI HOLDINGS 0% 05/16/2024 N/A 90351NAE5 97000.00000000 NS USD 94029.38000000 0.217255588150 Long LON CORP US N 2 2024-05-16 Fixed 0.00000000 N N N N N N AXA 8.6% 12/15/30 F5WCUMTUM4RKZ1MAIE39 054536AA5 85000.00000000 NS USD 130052.68000000 0.300487693144 Long DBT CORP FR N 2 2030-12-15 Fixed 8.60000000 N N N N N N TPMT 2017-6 A2 V/R 10/25/57 N/A 89175JAB6 165000.00000000 NS USD 175358.37000000 0.405166829894 Long ABS-CBDO CORP US Y 2 2057-10-25 Variable 3.00000000 N N N N N N FNR 2012-14 SP V/R 08/25/41 N/A 3136A4WQ8 68943.18000000 NS USD 9305.16000000 0.021499642012 Long ABS-CBDO CORP US N 2 2041-08-25 Variable 6.40187000 N N N N N N BOMFT 2017-RT5 B V/R 05/28/69 N/A 07333AAD2 85000.00000000 NS USD 92029.60000000 0.212635081452 Long ABS-CBDO CORP US Y 2 2069-05-28 Variable 4.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -14949.39000000 -0.03454067778 N/A DFE N/A N 1 BANK OF AMERICA, N.A. N/A -573622.87000000 USD 5004326.05000000 SEK 2020-10-29 -14949.39000000 N N N CALPINE CORP 5% 02/01/31 N/A 131347CQ7 15000.00000000 NS USD 15289.50000000 0.035326504492 Long DBT CORP US Y 2 2031-02-01 Fixed 5.00000000 N N N N N N NATWEST GROUP PLC V/R /PERP/ N/A 780097BB6 200000.00000000 NS USD 205000.00000000 0.473654038460 Long DBT CORP GB N 2 2169-09-30 Variable 8.62500000 N N N N N N CAS 2019-R06 2M2 V/R 09/25/39 N/A 20754JAB0 86604.37000000 NS USD 85901.50000000 0.198476060413 Long ABS-CBDO CORP US Y 2 2039-09-25 Variable 2.24813000 N N N N N N WESCO DISTRIBU 7.125% 06/15/25 N/A 95081QAN4 20000.00000000 NS USD 21786.00000000 0.050336716497 Long DBT CORP US Y 2 2025-06-15 Fixed 7.12500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -464.94000000 -0.00107424735 N/A DFE N/A N 1 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 -3595300.32000000 MXN 161592.96000000 USD 2020-10-29 -464.94000000 N N N ANGI GROUP LLC 3.875% 08/15/28 N/A 001846AA2 35000.00000000 NS USD 34650.00000000 0.080059085037 Long DBT CORP US Y 2 2028-08-15 Fixed 3.87500000 N N N N N N YPF SOCIEDAD AN 6.95% 07/21/27 N/A 984245AQ3 30000.00000000 NS USD 20025.00000000 0.046267912781 Long DBT CORP AR Y 2 2027-07-21 Fixed 6.95000000 N N N N N N LOGAN MERGER SUB 5.5% 09/01/27 N/A 541056AA5 25000.00000000 NS USD 25288.75000000 0.058429846659 Long DBT CORP US Y 2 2027-09-01 Fixed 5.50000000 N N N N N N SEMT 2013-6 A1 V/R 05/25/43 N/A 81745BAA3 43832.58000000 NS USD 45018.72000000 0.104016090411 Long ABS-CBDO CORP US N 2 2043-05-25 Variable 2.50000000 N N N N N N DESARROLLADORA HOMEX SAB /MXN/ N/A P35054108 15463.00000000 NS 29.37000000 0.000067859605 Long EC CORP MX N 1 N N N T/L FITNESS INTERN 0% 04/18/25 N/A N/A 15560.26000000 NS USD 9662.92000000 0.022326249177 Long LON CORP US N 2 2025-04-18 Fixed 0.00000000 N N N N N N IRON MOUNTAIN IN 4.5% 02/15/31 SQL3F6CKNNBM3SQGHX24 46284VAN1 64000.00000000 NS USD 64601.60000000 0.149262481614 Long DBT CORP US Y 2 2031-02-15 Fixed 4.50000000 N N N N N N WELLS FARGO & COMPANY /PFD/CV N/A 949746804 295.00000000 NS USD 395904.75000000 0.914740896014 Long EP CORP US N 1 N N N UNITED RENTALS 3.875% 11/15/27 N/A 911365BM5 50000.00000000 NS USD 51500.00000000 0.118991136491 Long DBT CORP US N 2 2027-11-15 Fixed 3.87500000 N N N N N N CARGILL INC 2.125% 04/23/30 QXZYQNMR4JZ5RIRN4T31 141781BM5 35000.00000000 NS USD 36662.69000000 0.084709420386 Long DBT CORP US Y 2 2030-04-23 Fixed 2.12500000 N N N N N N CITIGROUP INC V/R /PERP/ 6SHGI4ZSSLCXXQSBB395 172967MK4 155000.00000000 NS USD 149768.75000000 0.346041820842 Long DBT CORP US N 2 2169-07-30 Variable 4.70000000 N N N N N N SMITHFIELD FOODS I 3% 10/15/30 N/A 832248BC1 70000.00000000 NS USD 70151.20000000 0.162084874062 Long DBT CORP US Y 2 2030-10-15 Fixed 3.00000000 N N N N N N ASBURY AUTOMOTI 4.75% 03/01/30 549300JH4DTA7U42GL91 043436AT1 15000.00000000 NS USD 15112.50000000 0.034917544664 Long DBT CORP US Y 2 2030-03-01 Fixed 4.75000000 N N N N N N ANGLO AMERICAN C 4.5% 03/15/28 N/A 034863AU4 200000.00000000 NS USD 228790.04000000 0.528621104416 Long DBT CORP GB Y 2 2028-03-15 Fixed 4.50000000 N N N N N N PILGRIM'S PRID 5.875% 09/30/27 N/A 72147KAE8 30000.00000000 NS USD 30975.00000000 0.071567969957 Long DBT CORP US Y 2 2027-09-30 Fixed 5.87500000 N N N N N N DUKE REALTY LP 1.75% 07/01/30 N/A 26441YBE6 205000.00000000 NS USD 204059.63000000 0.471481306517 Long DBT CORP US N 2 2030-07-01 Fixed 1.75000000 N N N N N N ISTAR INC 4.25% 08/01/25 N/A 45031UCG4 120000.00000000 NS USD 111974.40000000 0.258717691532 Long DBT CORP US N 2 2025-08-01 Fixed 4.25000000 N N N N N N STACR 2018-HQA2 V/R 10/25/48 N/A 35563XAH5 100000.00000000 NS USD 97873.65000000 0.226137802835 Long ABS-CBDO CORP US Y 2 2048-10-25 Variable 2.44813000 N N N N N N VALERO ENERGY C 2.15% 09/15/27 549300XTO5VR8SKV1V74 91913YBB5 35000.00000000 NS USD 34858.72000000 0.080541334163 Long DBT CORP US N 2 2027-09-15 Fixed 2.15000000 N N N N N N INTERNATIONAL PA 4.8% 06/15/44 824LMFJDH41EY779Q875 460146CK7 70000.00000000 NS USD 86626.39000000 0.200150924198 Long DBT CORP US N 2 2044-06-15 Fixed 4.80000000 N N N N N N STANDARD INDUSTRIE 5% 02/15/27 N/A 853496AC1 5000.00000000 NS USD 5200.00000000 0.012014639024 Long DBT CORP US Y 2 2027-02-15 Fixed 5.00000000 N N N N N N INTERNATIONAL PA 7.3% 11/15/39 824LMFJDH41EY779Q875 460146CF8 53000.00000000 NS USD 77470.55000000 0.178996287166 Long DBT CORP US N 2 2039-11-15 Fixed 7.30000000 N N N N N N STICHTING AK RA 0% /PERP//EUR/ DG3RU1DBUFHT4ZF9WN62 N22634XZ2 151050.00000000 NS 210544.44000000 0.486464508689 Long DBT CORP NL N 2 2169-03-29 Variable 6.50000000 N N N N N N EXPEDIA GROUP I 3.25% 02/15/30 N/A 30212PAR6 121000.00000000 NS USD 116584.77000000 0.269369986016 Long DBT CORP US N 2 2030-02-15 Fixed 3.25000000 N N N N N N SMITHFIELD FOODS 5.2% 04/01/29 N/A 832248BB3 7000.00000000 NS USD 8188.78000000 0.018920237644 Long DBT CORP US Y 2 2029-04-01 Fixed 5.20000000 N N N N N N GNR 2019-110 PI 3.5% 09/20/49 N/A 38381YWF7 386024.04000000 NS USD 28207.66000000 0.065174010119 Long ABS-CBDO CORP US N 2 2049-09-20 Fixed 3.50000000 N N N N N N TPMT 2015-2 1B3 V/R 10/25/31 N/A 89171YAG6 100000.00000000 NS USD 100011.24000000 0.231076720572 Long ABS-CBDO CORP US Y 2 2060-11-25 Variable 3.62849800 N N N N N N GNR 2019-121 SA V/R 10/20/49 N/A 38382AAB1 353838.38000000 NS USD 32431.48000000 0.074933177927 Long ABS-CBDO CORP US N 2 2049-10-20 Variable 3.19375000 N N N N N N LEAR CORP 549300UPNBTXA1SYTQ33 521865204 22.00000000 NS USD 2399.10000000 0.005543138554 Long EC CORP US N 1 N N N N/A N/A N/A 1.00000000 NC N/A -8410.71000000 -0.01943300857 N/A DFE N/A N 1 BANK OF AMERICA, N.A. N/A -321924.49000000 USD 2930100.41000000 NOK 2020-10-30 -8410.71000000 N N N ENLINK MIDSTRE 5.375% 06/01/29 54930000GY1H533OBE23 29336TAA8 4000.00000000 NS USD 3240.00000000 0.007486044315 Long DBT CORP US N 2 2029-06-01 Fixed 5.37500000 N N N N N N FARMERS INS EXCH V/R 11/01/57 549300UWG2TLX1GZVT44 309601AE2 120000.00000000 NS USD 122269.66000000 0.282504967025 Long DBT CORP US Y 2 2057-11-01 Variable 4.74700000 N N N N N N CLEARWATER PAPE 4.75% 08/15/28 549300HCVV19GXN4P292 18538RAJ2 40000.00000000 NS USD 40100.00000000 0.092651350937 Long DBT CORP US Y 2 2028-08-15 Fixed 4.75000000 N N N N N N T/L DYNCORP INTERNA 0% 8/18/25 N/A N/A 19000.00000000 NS USD 18905.00000000 0.043680144376 Long LON CORP US N 2 2025-08-18 Fixed 0.00000000 N N N N N N GNMA P#723600 4.5% 01/15/40 N/A 3620A93H2 17729.09000000 NS USD 19805.68000000 0.045761172275 Long ABS-MBS USGSE US N 2 2040-01-15 Fixed 4.50000000 N N N N N N GNMA II P#AL9912 3.5% 04/20/45 N/A 36184JAM2 9230.95000000 NS USD 10136.07000000 0.023419465802 Long ABS-MBS USGSE US N 2 2045-04-20 Fixed 3.50000000 N N N N N N GNMA II TBA 30 YR 2.5% NOV 20 N/A 21H0226B2 50000.00000000 NS USD 52417.97000000 0.121112113065 Long ABS-MBS USGA US N 2 2050-11-01 Fixed 2.50000000 N N N N N N C/O HOMEX OCT22 0.01 N/A N/A 3182.00000000 NC 0.00000000 0.000000 N/A DE CORP MX N 2 BROWN BROTHERS HARRIMAN AND CO 5493006KMX1VFTPYPW14 Call Written C/O HOMEX OCT22 0.01 1059031 318200.00000000 MXN 12500000000.00000000 MXN 2022-10-23 XXXX -0.01000000 N N N STACR 2020-HQA2 V/R 03/25/50 N/A 35565LAH9 50000.00000000 NS USD 49248.24000000 0.113788428112 Long ABS-CBDO CORP US Y 2 2050-03-25 Variable 3.24813000 N N N N N N GARDA WORLD SECU 9.5% 11/01/27 N/A 36257BAA7 38000.00000000 NS USD 39900.00000000 0.092189249436 Long DBT CORP CA Y 2 2027-11-01 Fixed 9.50000000 N N N N N N PETROLEOS MEXIC 5.35% 02/12/28 N/A 71654QCK6 42000.00000000 NS USD 36330.00000000 0.083940737645 Long DBT CORP MX N 2 2028-02-12 Fixed 5.35000000 N N N N N N MINERVA LUXEMB 5.875% 01/19/28 N/A 603374AE9 200000.00000000 NS USD 207750.00000000 0.480007934097 Long DBT CORP LU Y 2 2028-01-19 Fixed 5.87500000 N N N N N N STACR 2020-DNA4 V/R 08/25/50 N/A 35565XBE9 40000.00000000 NS USD 41199.88000000 0.095192631932 Long ABS-CBDO CORP US Y 2 2050-08-25 Variable 10.14813000 N N N N N N STACR 2019-HRP1 V/R 02/25/49 N/A 35564RCB8 60000.00000000 NS USD 51498.90000000 0.118988594932 Long ABS-CBDO CORP US Y 2 2049-02-25 Variable 4.19813000 N N N N N N MCMLT 2019-GS1 M V/R 07/25/59 N/A 59981BAG9 100000.00000000 NS USD 106315.32000000 0.245642344722 Long ABS-CBDO CORP US Y 2 2059-07-25 Variable 3.00000000 N N N N N N LLOYDS BANKING 4.65% 03/24/26 549300PPXHEU2JF0AM85 53944YAB9 200000.00000000 NS USD 222408.84000000 0.513877293927 Long DBT CORP GB N 2 2026-03-24 Fixed 4.65000000 N N N N N N CAS 2020-SBT1 2M V/R 02/25/40 N/A 20753VCZ9 50000.00000000 NS USD 47522.59000000 0.109801300836 Long ABS-CBDO CORP US Y 2 2040-02-25 Variable 3.79813000 N N N N N N JPMCC 2015-JP1 C V/R 12/15/25 N/A 46590KAK0 50000.00000000 NS USD 50318.52000000 0.116261318084 Long ABS-CBDO CORP US N 2 2049-01-15 Variable 4.87026800 N N N N N N GNR 2019-128 IB 3.5% 10/20/49 N/A 38382AFF7 546348.29000000 NS USD 56664.02000000 0.130922643455 Long ABS-CBDO CORP US N 2 2049-10-20 Fixed 3.50000000 N N N N N N T/L WATERJET HOL 0% 04/21/2025 N/A 81946HAB5 19376.83000000 NS USD 14726.39000000 0.034025434611 Long LON CORP US N 2 2025-04-21 Fixed 0.00000000 N N N N N N PUERTO RICO CMWLTH 8% 07/01/35 549300X44HXPLJU48U63 74514LE86 100000.00000000 NS USD 63000.00000000 0.145561972795 Long DBT MUN PR N 2 2035-07-01 Fixed 8.00000000 Y N N N N N TPMT 2016-4 B1 V/R 04/25/27 N/A 89172UAE8 125000.00000000 NS USD 133813.35000000 0.309176749401 Long ABS-CBDO CORP US Y 2 2056-07-25 Variable 3.93539700 N N N N N N GNMA P#612658 5.5% 06/15/35 N/A 36202XTP2 4045.41000000 NS USD 4468.01000000 0.010323370635 Long ABS-MBS USGSE US N 2 2035-06-15 Fixed 5.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -322.30000000 -0.00074467656 N/A DFE N/A N 1 STATE STREET BANK AND TRUST CO N/A -61286.97000000 USD 52000.00000000 EUR 2020-10-26 -322.30000000 N N N ENLINK MIDSTREA 5.45% 06/01/47 N/A 29336UAG2 135000.00000000 NS USD 85050.00000000 0.196508663273 Long DBT CORP US N 2 2047-06-01 Fixed 5.45000000 N N N N N N FNR 2018-43 SM V/R 06/25/48 N/A 3136B1Z98 61636.43000000 NS USD 8642.22000000 0.019967914167 Long ABS-CBDO CORP US N 2 2048-06-25 Variable 6.05187000 N N N N N N ENERGY TRANSFER OPE V/R /PERP/ N/A 29278NAT0 115000.00000000 NS USD 90850.00000000 0.209909606800 Long DBT CORP US N 2 2169-05-15 Variable 7.12500000 N N N N N N MSC 2018-MP A V/R 07/11/28 N/A 61691DAA5 100000.00000000 NS USD 107684.84000000 0.248806630960 Long ABS-CBDO CORP US Y 2 2040-07-11 Variable 4.41800000 N N N N N N ISTAR INC 4.75% 10/01/24 N/A 45031UCF6 30000.00000000 NS USD 29025.00000000 0.067062480323 Long DBT CORP US N 2 2024-10-01 Fixed 4.75000000 N N N N N N CFCRE 2016-C3 3.597% 11/10/25 N/A 12531WBA9 40000.00000000 NS USD 44253.31000000 0.102247604862 Long ABS-CBDO CORP US N 2 2048-01-10 Fixed 3.59700000 N N N N N N WINDSTREAM ESCR 7.75% 08/15/28 N/A 97382WAA1 35000.00000000 NS USD 34387.50000000 0.079452576817 Long DBT CORP US Y 2 2028-08-15 Fixed 7.75000000 N N N N N N TPMT 2017-3 M2 V/R 07/25/57 N/A 89169DAD3 150000.00000000 NS USD 160567.32000000 0.370991997866 Long ABS-CBDO CORP US Y 2 2057-07-25 Variable 3.75000000 N N N N N N F/C US 10YR ULTRA FUT DEC20 N/A N/A -25.00000000 NC USD -3998046.88000000 -9.23751732031 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Short F/C US 10YR ULTRA FUT DEC20 US 10YR ULTRA FUT DEC20 2020-12-21 4004492.19000000 USD 6445.31000000 N N N UMBS P#995245 5% 01/01/39 N/A 31416BTA6 18774.60000000 NS USD 21523.88000000 0.049731086269 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.00000000 N N N N N N EXPEDIA GROUP IN 3.8% 02/15/28 N/A 30212PAP0 100000.00000000 NS USD 100984.21000000 0.233324775059 Long DBT CORP US N 2 2028-02-15 Fixed 3.80000000 N N N N N N PRECISION DRIL 7.125% 01/15/26 N/A 740212AL9 25000.00000000 NS USD 16079.50000000 0.037151805421 Long DBT CORP CA Y 2 2026-01-15 Fixed 7.12500000 N N N N N N GNMA P#796299 3.5% 10/15/42 N/A 36177Q7M9 9941.21000000 NS USD 10493.58000000 0.024245495340 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 3.50000000 N N N N N N MILEAGE PLUS HLD 6.5% 06/20/27 N/A 599191AA1 55000.00000000 NS USD 57268.75000000 0.132319876658 Long DBT CORP US Y 2 2027-06-20 Fixed 6.50000000 N N N N N N TPMT 2017-6 M1 V/R 10/25/57 N/A 89175JAC4 155000.00000000 NS USD 166050.51000000 0.383660949511 Long ABS-CBDO CORP US Y 2 2057-10-25 Variable 3.25000000 N N N N N N REGIONALCARE/LI 9.75% 12/01/26 N/A 53219LAR0 13000.00000000 NS USD 13812.50000000 0.031913884908 Long DBT CORP US Y 2 2026-12-01 Fixed 9.75000000 N N N N N N QNB FINANSBANK 4.875% 05/19/22 N/A 31772DAC6 200000.00000000 NS USD 197969.20000000 0.457409322296 Long DBT CORP TR Y 2 2022-05-19 Fixed 4.87500000 N N N N N N MARATHON PETRO 5.375% 10/01/22 3BNYRYQHD39K4LCKQF12 56585AAZ5 65000.00000000 NS USD 65000.00000000 0.150182987804 Long DBT CORP US N 2 2022-10-01 Fixed 5.37500000 N N N N N N GRAY TELEVISION IN 7% 05/15/27 529900TM5726KDN7UU35 389284AA8 69000.00000000 NS USD 74805.49000000 0.172838646036 Long DBT CORP US Y 2 2027-05-15 Fixed 7.00000000 N N N N N N CALL EUR/PUT USD MAR21 1.198 N/A N/A -330000.00000000 NC USD -3626.37000000 -0.00837875509 N/A DFE CORP US N 2 BANK OF AMERICA, N.A. N/A Call Purchased CALL EUR/PUT USD MAR21 1.198 0 -330000.00000000 USD 1.19800000 USD 2021-03-08 XXXX 1513.60000000 N N N ASBURY AUTOMOTIV 4.5% 03/01/28 549300JH4DTA7U42GL91 043436AS3 15000.00000000 NS USD 15093.75000000 0.034874222648 Long DBT CORP US Y 2 2028-03-01 Fixed 4.50000000 N N N N N N GNMA P#175339 6.5% 03/15/29 N/A 36216UV87 313.83000000 NS USD 346.80000000 0.000801284002 Long ABS-MBS USGSE US N 2 2029-03-15 Fixed 6.50000000 N N N N N N WILLIAMS COMPAN 5.75% 06/24/44 N/A 969457BV1 65000.00000000 NS USD 76567.02000000 0.176908674321 Long DBT CORP US N 2 2044-06-24 Fixed 5.75000000 N N N N N N JAZZ INVESTMENTS 1.5% 08/15/24 N/A 472145AD3 19000.00000000 NS USD 19274.99000000 0.044535009047 Long DBT CORP IE N 2 2024-08-15 Fixed 1.50000000 N N N N N JAZZ PHARMACEUTICALS PLC USD XXXX N N N UMBS P#AJ3639 4.5% 12/01/41 N/A 3138AVBH7 20044.80000000 NS USD 21794.65000000 0.050356702386 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 4.50000000 N N N N N N OXFIN 2016-1A 3.968% 02/15/21 N/A 69144YAA5 6108.92000000 NS USD 6111.29000000 0.014120181408 Long ABS-CBDO CORP US Y 2 2024-06-17 Fixed 3.96800000 N N N N N N AFRICAN EXPORT 3.994% 09/21/29 21380068LJCDYA42GJ76 00831TAA9 200000.00000000 NS USD 206076.00000000 0.476140144535 Long DBT CORP EG Y 2 2029-09-21 Fixed 3.99400000 N N N N N N MEG ENERGY COR 7.125% 02/01/27 5493002WXPTG5ZC1T326 552704AE8 20000.00000000 NS USD 17936.60000000 0.041442648908 Long DBT CORP CA Y 2 2027-02-01 Fixed 7.12500000 N N N N N N RCMT 2019-5 E V/R 12/25/28 N/A 75575MAN8 100000.00000000 NS USD 72777.20000000 0.168152266769 Long ABS-CBDO CORP US Y 2 2052-02-25 Variable 5.45766400 N N N N N N JBS USA/FOOD/FIN 5.5% 01/15/30 N/A 46590XAB2 39000.00000000 NS USD 42450.33000000 0.098081806041 Long DBT CORP US Y 2 2030-01-15 Fixed 5.50000000 N N N N N N GNMA P#636293 5% 04/15/35 N/A 36291R3A8 3387.44000000 NS USD 3886.84000000 0.008980572989 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 5.00000000 N N N N N N KCM 2019-S2 A 3.469% 02/15/29 N/A 49307XAC8 50000.00000000 NS USD 54250.52000000 0.125346233592 Long ABS-CBDO CORP US Y 2 2052-06-15 Fixed 3.46930000 N N N N N N CHASE 2019-1 B1 V/R 03/25/50 N/A 16159WBQ6 122826.37000000 NS USD 130978.06000000 0.302625790578 Long ABS-CBDO CORP US Y 2 2050-03-25 Variable 3.95078700 N N N N N N DANSKE BANK A/S V/R /PERP/ MAES062Z21O4RZ2U7M96 K222736J8 210000.00000000 NS USD 217350.00000000 0.502188806142 Long DBT CORP DK N 2 2168-09-28 Variable 6.12500000 N N N N N N NEW YORK LIFE I 3.75% 05/15/50 TAE73CY392TBWJ3O3305 64952GAT5 35000.00000000 NS USD 39459.76000000 0.091172071612 Long DBT CORP US Y 2 2050-05-15 Fixed 3.75000000 N N N N N N GNMA P#605618 5.5% 07/15/34 N/A 36200NYP0 1276.39000000 NS USD 1465.29000000 0.003385563541 Long ABS-MBS USGSE US N 2 2034-07-15 Fixed 5.50000000 N N N N N N UMBS P#BH1439 4% 04/01/47 N/A 3140GPS58 22542.66000000 NS USD 24651.90000000 0.056958399954 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N UMBS P#MA2932 3% 01/01/47 N/A 31418CHJ6 824.51000000 NS USD 876.55000000 0.002025275353 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N ENERGIZER HOLDI 4.75% 06/15/28 5493000D6NN0V57UME20 29272WAC3 25000.00000000 NS USD 25872.50000000 0.059778605414 Long DBT CORP US Y 2 2028-06-15 Fixed 4.75000000 N N N N N N GNMA II P#MA2305 4.5% 10/20/44 N/A 36179QR29 10276.44000000 NS USD 11416.11000000 0.026377007829 Long ABS-MBS USGSE US N 2 2044-10-20 Fixed 4.50000000 N N N N N N JPMMT 2020-7 A3 V/R 01/25/51 N/A 46591XAC9 150000.00000000 NS USD 154576.17000000 0.357149400830 Long ABS-CBDO CORP US Y 2 2051-01-25 Variable 3.00000000 N N N N N N AIR CANADA 201 5.375% 05/15/21 N/A 009089AB9 25031.75000000 NS USD 22914.28000000 0.052943615904 Long DBT CORP CA Y 2 2021-05-15 Fixed 5.37500000 N N N N N N UMBS P#AT5988 3% 05/01/43 N/A 3138WTUN4 69424.11000000 NS USD 73904.46000000 0.170756809459 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N TEVA PHARM FIN 0.25% 02/01/26 N/A 88163VAE9 31000.00000000 NS USD 30084.85000000 0.069511271702 Long DBT CORP US N 2 2026-02-01 Fixed 0.25000000 N N N N N TEVA PHARMACEUTICAL-SP ADR USD XXXX N N N TPMT 2019-4 M1 V/R 11/25/33 N/A 89178BAC8 150000.00000000 NS USD 162820.58000000 0.376198172006 Long ABS-CBDO CORP US Y 2 2059-10-25 Variable 3.50000000 N N N N N N ENERGY TRANSFER OP 6% 06/15/48 N/A 29278NAE3 35000.00000000 NS USD 35202.62000000 0.081335917694 Long DBT CORP US N 2 2048-06-15 Fixed 6.00000000 N N N N N N UMBS P#BH6459 4% 07/01/47 N/A 3140GVE92 18627.82000000 NS USD 20300.36000000 0.046904134127 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.00000000 N N N N N N SMITHFIELD FOOD 2.65% 10/03/21 N/A 832248BA5 25000.00000000 NS USD 25154.97000000 0.058120746965 Long DBT CORP US Y 2 2021-10-03 Fixed 2.65000000 N N N N N N 2020-10-30 Pioneer Variable Contracts Trust /MA/ Mark E. Bradley Mark E. Bradley Treasurer and Chief Accounting and Financial Officer XXXX