NPORT-P false 0000930709 XXXXXXXX S000010163 C000028190 C000028191 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 2020-12-31 N 50097573.76 5380492.44 44717081.32 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 3675.49000000 0.00000000 0.00000000 1951423.17000000 ARS AUD CAD CHF CZK DKK EGP EUR GBP GHS HKD IDR INR JPY KRW KZT LKR MXN MYR NOK NZD PEN PLN RON RUB SEK SGD THB TWD USD UYU UZS VND N MARRIOTT INTER 4.625% 06/15/30 225YDZ14ZO8E1TXUSU86 571903BE2 25000.00000000 NS USD 29336.98000000 0.065605757652 Long DBT CORP US N 2 2030-06-15 Fixed 4.62500000 N N N N N N UMBS P#MA2932 3% 01/01/47 N/A 31418CHJ6 780.15000000 NS USD 846.22000000 0.001892386477 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N BOEING CO 5.805% 05/01/50 RVHJWBXLJ1RFUBSY1F30 097023CW3 85000.00000000 NS USD 117142.33000000 0.261963273411 Long DBT CORP US N 2 2050-05-01 Fixed 5.80500000 N N N N N N FHR 4087 SB V/R 07/15/42 N/A 3137AS5J9 143361.61000000 NS USD 28404.91000000 0.063521386372 Long ABS-CBDO CORP US N 2 2042-07-15 Variable 5.87137000 N N N N N N MILLICOM INTL C 6.25% 03/25/29 549300CTHC1CP86P2G96 600814AQ0 13000.00000000 NS USD 14625.00000000 0.032705622925 Long DBT CORP LU Y 2 2029-03-25 Fixed 6.25000000 N N N N N N SCIENTIFIC GAME 7.25% 11/15/29 N/A 80874YBE9 15000.00000000 NS USD 16462.50000000 0.036814790934 Long DBT CORP US Y 2 2029-11-15 Fixed 7.25000000 N N N N N N GNMA P#586772 6% 03/15/33 N/A 36201L2D5 610.70000000 NS USD 688.34000000 0.001539322289 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 6.00000000 N N N N N N FORD MOTOR COM 5.291% 12/08/46 20S05OYHG0MQM4VUIC57 345370CS7 21000.00000000 NS USD 21945.00000000 0.049075206503 Long DBT CORP US N 2 2046-12-08 Fixed 5.29100000 N N N N N N SCML 2018-SBC7 A V/R 05/25/39 N/A 86934NAA7 36539.93000000 NS USD 36908.47000000 0.082537743767 Long ABS-CBDO CORP US Y 2 2039-05-25 Variable 4.72000000 N N N N N N FHR 4091 SH V/R 08/15/42 N/A 3137ATFZ0 80558.72000000 NS USD 17331.41000000 0.038757918648 Long ABS-CBDO CORP US N 2 2042-08-15 Variable 6.39137000 N N N N N N JAZZ INVESTMENTS 1.5% 08/15/24 N/A 472145AD3 19000.00000000 NS USD 20267.26000000 0.045323306892 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 FGLMC P#A35084 5% 06/01/35 N/A 31297QUH0 601.85000000 NS USD 666.16000000 0.001489721556 Long ABS-MBS USGA US N 2 2035-06-01 Fixed 5.00000000 N N N N N N AMSTED INDUSTR 5.625% 07/01/27 N2VLGYMEEBIU3PFSUY86 032177AH0 14000.00000000 NS USD 14875.00000000 0.033264693403 Long DBT CORP US Y 2 2027-07-01 Fixed 5.62500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 4424.44000000 0.009894295131 N/A DFE N/A N 1 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -235519.77000000 USD 260944130.00000000 KRW 2021-03-04 4424.44000000 N N N CD 2018-CD7 A 4.013% 07/15/28 N/A 12512JAV6 30000.00000000 NS USD 35044.83000000 0.078370119349 Long ABS-CBDO CORP US N 2 2051-08-15 Fixed 4.01300000 N N N N N N COMMSCOPE TECH LLC 5% 03/15/27 N/A 20338HAB9 50000.00000000 NS USD 49250.00000000 0.110136884041 Long DBT CORP US Y 2 2027-03-15 Fixed 5.00000000 N N N N N N LEVEL 3 FINANC 4.625% 09/15/27 N/A 527298BN2 55000.00000000 NS USD 57443.93000000 0.128460821467 Long DBT CORP US Y 2 2027-09-15 Fixed 4.62500000 N N N N N N ENERGY TRANSFER OPE V/R /PERP/ N/A 29278NAB9 15000.00000000 NS USD 12675.00000000 0.028344873202 Long DBT CORP US N 2 2169-02-15 Variable 6.62500000 N N N N N N SENSATA TECHNOL 3.75% 02/15/31 N/A 81728UAB0 20000.00000000 NS USD 20731.60000000 0.046361702034 Long DBT CORP US Y 2 2031-02-15 Fixed 3.75000000 N N N N N N EMIR 2020-2 B1 V/R 10/25/30 N/A 269820AH9 150000.00000000 NS USD 149888.37000000 0.335192650270 Long ABS-CBDO CORP US Y 2 2030-10-25 Variable 7.14800000 N N N N N N GNMA II P#3474 6% 11/20/33 N/A 36202D2F7 3547.97000000 NS USD 4115.35000000 0.009203082756 Long ABS-MBS USGSE US N 2 2033-11-20 Fixed 6.00000000 N N N N N N GNMA P#569234 6.5% 03/15/32 N/A 36200QLP7 235.72000000 NS USD 273.92000000 0.000612562340 Long ABS-MBS USGSE US N 2 2032-03-15 Fixed 6.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 33991.41000000 0.076014375260 N/A DFE N/A N 1 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -575032.47000000 USD 5004326.05000000 SEK 2021-01-27 33991.41000000 N N N FNR 2019-41 SM V/R 08/25/49 N/A 3136B5TL9 55439.44000000 NS USD 7909.71000000 0.017688341382 Long ABS-CBDO CORP US N 2 2049-08-25 Variable 5.90200000 N N N N N N UMBS P#FM3894 4.5% 04/01/50 N/A 3140X7KG3 187227.38000000 NS USD 206592.93000000 0.462000031982 Long ABS-MBS USGSE US N 2 2050-04-01 Fixed 4.50000000 N N N N N N F/C US ULTRA BOND CBT MAR21 N/A N/A 12.00000000 NC USD 2562750.00000000 5.731031463481 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Long F/C US ULTRA BOND CBT MAR21 US ULTRA BOND CBT MAR21 2021-03-22 2595562.50000000 USD -32812.50000000 N N N N/A N/A N/A 1.00000000 NC N/A 139.18000000 0.000311245716 N/A DFE N/A N 1 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 -138096.59000000 USD 113000.00000000 EUR 2021-03-26 139.18000000 N N N GNMA II P#MA4005 4% 10/20/46 N/A 36179SNW3 36897.98000000 NS USD 40276.97000000 0.090070659379 Long ABS-MBS USGSE US N 2 2046-10-20 Fixed 4.00000000 N N N N N N FGLMC P#Q47341 4% 04/01/47 N/A 3132WMEP5 38158.57000000 NS USD 41345.04000000 0.092459164998 Long ABS-MBS USGA US N 2 2047-04-01 Fixed 4.00000000 N N N N N N REPUBLICA 9.875% 06/20/22/UYU/ N/A 917288BJ0 4429000.00000000 NS 108777.41000000 0.243256954141 Long DBT USGA UY Y 2 2022-06-20 Fixed 9.87500000 N N N N N N UMBS P#AZ2086 3% 10/01/30 N/A 3138YTJ88 23085.46000000 NS USD 24733.29000000 0.055310608988 Long ABS-MBS USGSE US N 2 2030-10-01 Fixed 3.00000000 N N N N N N GNMA P#619059 6% 08/15/34 N/A 36290VWU4 4009.44000000 NS USD 4510.99000000 0.010087845330 Long ABS-MBS USGSE US N 2 2034-08-15 Fixed 6.00000000 N N N N N N GNMA P#723600 4.5% 01/15/40 N/A 3620A93H2 16481.85000000 NS USD 18660.01000000 0.041729042793 Long ABS-MBS USGSE US N 2 2040-01-15 Fixed 4.50000000 N N N N N N STACR 2020-HQA2 V/R 03/25/50 N/A 35565LAH9 50000.00000000 NS USD 50343.79000000 0.112582906830 Long ABS-CBDO CORP US Y 2 2050-03-25 Variable 3.24800000 N N N N N N US TIPS 0.25% 02/15/50 N/A 912810SM1 335341.39100000 NS USD 399479.80000000 0.893349449936 Long DBT UST US N 2 2050-02-15 Fixed 0.25000000 N N N N N N TPMT 2019-4 M2B V/R 11/25/35 N/A 89178BAW4 77657.16000000 NS USD 79900.28000000 0.178679550725 Long ABS-CBDO CORP US Y 2 2059-10-25 Variable 3.25000000 N N N N N N ALBERTSONS COS/S 3.5% 03/15/29 N/A 013092AG6 40000.00000000 NS USD 40474.80000000 0.090513063029 Long DBT CORP US Y 2 2029-03-15 Fixed 3.50000000 N N N N N N CLEARWATER PAPE 4.75% 08/15/28 549300HCVV19GXN4P292 18538RAJ2 40000.00000000 NS USD 41400.00000000 0.092582071051 Long DBT CORP US Y 2 2028-08-15 Fixed 4.75000000 N N N N N N GNMA II P#MA2373 4.5% 11/20/44 N/A 36179QT68 20189.42000000 NS USD 22539.10000000 0.050403781585 Long ABS-MBS USGSE US N 2 2044-11-20 Fixed 4.50000000 N N N N N N T/L GRUPO AEROMEXIC 0% 8/19/22 N/A N/A 30000.00000000 NS USD 30562.50000000 0.068346365858 Long LON CORP US N 2 2022-08-19 Fixed 0.00000000 N N N N N N MILEAGE PLUS HLD 6.5% 06/20/27 N/A 599191AA1 80000.00000000 NS USD 86000.00000000 0.192320244214 Long DBT CORP US Y 2 2027-06-20 Fixed 6.50000000 N N N N N N FNMA TBA CONV 30YR 2.5% 2/1/51 N/A 01F022626 200000.00000000 NS USD 210477.43000000 0.470686869059 Long ABS-MBS USGA US N 2 2051-02-01 Fixed 2.50000000 N N N N N N GNMA P#546091 4.5% 03/15/40 N/A 36212WUQ8 61153.65000000 NS USD 68781.28000000 0.153814332173 Long ABS-MBS USGSE US N 2 2040-03-15 Fixed 4.50000000 N N N N N N MEDNAX INC 5.25% 12/01/23 N/A 58502BAA4 50000.00000000 NS USD 50615.00000000 0.113189408847 Long DBT CORP US Y 2 2023-12-01 Fixed 5.25000000 N N N N N N GNMA P#636293 5% 04/15/35 N/A 36291R3A8 3108.93000000 NS USD 3582.87000000 0.008012307364 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 5.00000000 N N N N N N T/L 24 HOUR FITNES 0% 05/30/25 N/A N/A 39505.14000000 NS USD 1086.39000000 0.002429474303 Long LON CORP US N 2 2025-05-30 Fixed 0.00000000 Y N N N N N T/L BANK OF INDU 0% 12/11/27 N/A N/A 110000.00000000 NS USD 110000.00000000 0.245991010041 Long LON CORP US N 2 2027-12-11 Fixed 0.00000000 N N N N N N CALPINE CORP 5% 02/01/31 N/A 131347CQ7 15000.00000000 NS USD 15675.00000000 0.035053718930 Long DBT CORP US Y 2 2031-02-01 Fixed 5.00000000 N N N N N N GLOBAL AIR LEASE 6.5% 09/15/24 N/A 37960JAA6 150256.00000000 NS USD 134103.48000000 0.299893186320 Long DBT CORP KY Y 2 2024-09-15 Fixed 6.50000000 N N Y N N N UMBS P#AT5988 3% 05/01/43 N/A 3138WTUN4 59974.91000000 NS USD 63634.45000000 0.142304569353 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N FGLMC P#G60658 3.5% 07/01/46 N/A 31335AWT1 42624.24000000 NS USD 46839.79000000 0.104746975020 Long ABS-MBS USGA US N 2 2046-07-01 Fixed 3.50000000 N N N N N N FNMA TBA 30YR 3% JAN 21 N/A 01F030611 1003000.00000000 NS USD 1050877.57000000 2.350058498853 Long ABS-MBS USGA US N 2 2051-01-01 Fixed 3.00000000 N N N N N N JPMORGAN CHASE & CO V/R /PERP/ 8I5DZWZKVSZI1NUHU748 48128BAG6 160000.00000000 NS USD 165200.00000000 0.369433771443 Long DBT CORP US N 2 2169-08-01 Variable 4.60000000 N N N N N N SEMT 2013-6 A1 V/R 05/25/43 N/A 81745BAA3 38168.76000000 NS USD 39114.18000000 0.087470333137 Long ABS-CBDO CORP US N 2 2043-05-25 Variable 2.50000000 N N N N N N GNMA II P#BB5176 4% 02/20/48 N/A 3617AVXD5 16866.26000000 NS USD 18718.19000000 0.041859149674 Long ABS-MBS USGSE US N 2 2048-02-20 Fixed 4.00000000 N N N N N N MERITAGE HOMES COR 6% 06/01/25 52990044W9UMFJO2FB97 59001AAY8 19000.00000000 NS USD 21517.50000000 0.048119195986 Long DBT CORP US N 2 2025-06-01 Fixed 6.00000000 N N N N N N ANHEUSER-BUSCH 5.55% 01/23/49 N/A 03523TBV9 53000.00000000 NS USD 75359.27000000 0.168524572211 Long DBT CORP US N 2 2049-01-23 Fixed 5.55000000 N N N N N N INGEVITY CORP 3.875% 11/01/28 5493009UTFC4B5IMGF87 45688CAB3 35000.00000000 NS USD 35262.50000000 0.078856890832 Long DBT CORP US Y 2 2028-11-01 Fixed 3.87500000 N N N N N N GNMA II 30 YR TBA 2% JAN 51 N/A 21H020618 50000.00000000 NS USD 52287.11000000 0.116928718191 Long ABS-MBS USGA US N 2 2051-01-15 Fixed 2.00000000 N N N N N N CAS 2018-C06 1M2 V/R 03/25/31 N/A 30711X3H5 73309.55000000 NS USD 72837.78000000 0.162885809739 Long ABS-CBDO CORP US N 2 2031-03-25 Variable 2.14800000 N N N N N N BRITISH AIR 20 8.375% 11/15/28 N/A 11042WAA4 30000.00000000 NS USD 33075.00000000 0.073965024155 Long DBT CORP GB Y 2 2028-11-15 Fixed 8.37500000 N N N N N N CENTRAL GARDEN 4.125% 10/15/30 5493004DVZLD37DJ0H83 153527AN6 10000.00000000 NS USD 10425.00000000 0.023313238906 Long DBT CORP US N 2 2030-10-15 Fixed 4.12500000 N N N N N N EXPEDIA GROUP IN 3.8% 02/15/28 N/A 30212PAP0 100000.00000000 NS USD 107413.30000000 0.240206419625 Long DBT CORP US N 2 2028-02-15 Fixed 3.80000000 N N N N N N N/A N/A N/A 1.00000000 NC USD 198211.42000000 0.443256612795 N/A DCR US N 2 JP MORGAN N/A CDX.NA.HY CDX.NA.HY Y 2025-12-20 -2100000.00000000 USD 2099416.67000000 USD 2100000.00000000 USD 199378.08000000 N N N GLP CAPITAL LP / F 4% 01/15/30 N/A 361841AP4 40000.00000000 NS USD 43450.40000000 0.097167343479 Long DBT CORP US N 2 2030-01-15 Fixed 4.00000000 N N N N N N FARMERS EXCHANGE V/R 10/15/54 N/A 30958QAA9 60000.00000000 NS USD 73763.97000000 0.164957031681 Long DBT CORP US Y 2 2054-10-15 Variable 5.45400000 N N N N N N FGLMC P#Q52549 3% 11/01/47 N/A 3132XUZP3 1626.87000000 NS USD 1774.51000000 0.003968304611 Long ABS-MBS USGA US N 2 2047-11-01 Fixed 3.00000000 N N N N N N GNMA P#781661 6.5% 11/15/32 N/A 36225BZ27 395.68000000 NS USD 472.74000000 0.001057179909 Long ABS-MBS USGSE US N 2 2032-11-15 Fixed 6.50000000 N N N N N N PUGET ENERGY INC 4.1% 06/15/30 N/A 745310AK8 60000.00000000 NS USD 67843.77000000 0.151717795520 Long DBT CORP US N 2 2030-06-15 Fixed 4.10000000 N N N N N N UMBS P#AD8529 4.5% 08/01/40 N/A 31418WPP9 0.00000000 NS USD 0.00000000 0.000000 Long ABS-MBS USGSE US N N/A 2040-08-01 Fixed 0.00000000 N N N N N N ENLINK MIDSTREA 5.45% 06/01/47 N/A 29336UAG2 135000.00000000 NS USD 108711.45000000 0.243109448986 Long DBT CORP US N 2 2047-06-01 Fixed 5.45000000 N N N N N N GNMA P#591202 4.5% 04/15/35 N/A 36201RX71 6848.76000000 NS USD 7571.49000000 0.016931986114 Long ABS-MBS USGSE US N 2 2035-04-15 Fixed 4.50000000 N N N N N N DIAMOND SPORTS 6.625% 08/15/27 N/A 25277LAC0 66000.00000000 NS USD 39930.00000000 0.089294736644 Long DBT CORP US Y 2 2027-08-15 Fixed 6.62500000 N N N N N N F/C US 10YR ULTRA FUT MAR21 N/A N/A -11.00000000 NC USD -1719953.13000000 -3.84630006974 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Short F/C US 10YR ULTRA FUT MAR21 US 10YR ULTRA FUT MAR21 2021-03-22 1726648.45000000 USD 6695.33000000 N N N EGYPT GOVE 15.7% 11/07/27/EGP/ N/A M1487WCG8 1754000.00000000 NS 118595.75000000 0.265213530264 Long DBT USGA EG N 2 2027-11-07 Fixed 15.70000000 N N N N N N GNMA II P#AM2831 3.5% 04/20/45 N/A 36184NEC1 11109.73000000 NS USD 12268.79000000 0.027436473128 Long ABS-MBS USGSE US N 2 2045-04-20 Fixed 3.50000000 N N N N N N FINANCE AMER V/R 12/26/68 N/A 31739EAA0 78138.81000000 NS USD 84826.54000000 0.189696056844 Long ABS-CBDO CORP US N 2 2068-12-26 Variable 1.64559300 N N N N N N WILLIAMS COMPAN 5.75% 06/24/44 D71FAKCBLFS2O0RBPG08 969457BV1 65000.00000000 NS USD 84243.06000000 0.188391231075 Long DBT CORP US N 2 2044-06-24 Fixed 5.75000000 N N N N N N CVS PASS-THROU 5.773% 01/31/33 N/A 126650BV1 31360.10000000 NS USD 36843.39000000 0.082392206540 Long DBT CORP US Y 2 2033-01-10 Fixed 5.77300000 N N N N N N CAS 2019-R06 2B1 V/R 09/25/39 N/A 20754JAC8 100000.00000000 NS USD 96519.86000000 0.215845616822 Long ABS-CBDO CORP US Y 2 2039-09-25 Variable 3.89800000 N N N N N N VOC ESCROW LTD 5% 02/15/28 N/A 91832VAA2 94000.00000000 NS USD 93295.00000000 0.208633920743 Long DBT CORP US Y 2 2028-02-15 Fixed 5.00000000 N N N N N N OUTFRONT MEDIA 6.25% 06/15/25 N/A 69007TAD6 55000.00000000 NS USD 58025.00000000 0.129760257796 Long DBT CORP US Y 2 2025-06-15 Fixed 6.25000000 N N N N N N WELLS FARGO & COMPANY /PFD/CV N/A 949746804 418.00000000 NS USD 634482.20000000 1.418881065737 Long EP CORP US N 1 N N N WESCO DISTRIBUT 7.25% 06/15/28 N/A 95081QAP9 15000.00000000 NS USD 17059.35000000 0.038149515792 Long DBT CORP US Y 2 2028-06-15 Fixed 7.25000000 N N N N N N UMBS P#BQ9280 1.5% 12/01/35 N/A 3140KVJ27 42944.10000000 NS USD 44202.75000000 0.098849810173 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 1.50000000 N N N N N N TPMT 2015-6 B1 V/R 09/25/29 N/A 89172RAE5 150000.00000000 NS USD 163570.70000000 0.365790197328 Long ABS-CBDO CORP US Y 2 2055-04-25 Variable 3.90973000 N N N N N N ABBVIE INC 4.05% 11/21/39 FR5LCKFTG8054YNNRU85 00287YCA5 53000.00000000 NS USD 64141.91000000 0.143439392971 Long DBT CORP US N 2 2039-11-21 Fixed 4.05000000 N N N N N N AUTONATION INC 4.75% 06/01/30 N/A 05329WAQ5 30000.00000000 NS USD 36100.02000000 0.080729821657 Long DBT CORP US N 2 2030-06-01 Fixed 4.75000000 N N N N N N LEAR CORP 3.5% 05/30/30 549300UPNBTXA1SYTQ33 521865BB0 45000.00000000 NS USD 49240.25000000 0.110115080292 Long DBT CORP US N 2 2030-05-30 Fixed 3.50000000 N N N N N N UMBS P#AS7423 3% 05/01/46 N/A 3138WHG97 1238.10000000 NS USD 1329.26000000 0.002972600090 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 3.00000000 N N N N N N OCCIDENTAL PETRO 4.4% 04/15/46 IM7X0T3ECJW4C1T7ON55 674599CJ2 62000.00000000 NS USD 54030.83000000 0.120828167682 Long DBT CORP US N 2 2046-04-15 Fixed 4.40000000 N N N N N N JPMMT 2019-LTV1 V/R 06/25/49 N/A 46650PAC4 39039.47000000 NS USD 40088.66000000 0.089649545132 Long ABS-CBDO CORP US Y 2 2049-06-25 Variable 4.00000000 N N N N N N BMARK 2018-B5 3.943% 07/15/28 N/A 08160BAC8 40000.00000000 NS USD 46819.38000000 0.104701332506 Long ABS-CBDO CORP US N 2 2051-07-15 Fixed 3.94360000 N N N N N N PILGRIM'S PRID 5.875% 09/30/27 N/A 72147KAE8 30000.00000000 NS USD 32538.30000000 0.072764811654 Long DBT CORP US Y 2 2027-09-30 Fixed 5.87500000 N N N N N N GNMA II P#5175 4.5% 09/20/41 N/A 36202FXC5 7605.21000000 NS USD 8472.87000000 0.018947725902 Long ABS-MBS USGSE US N 2 2041-09-20 Fixed 4.50000000 N N N N N N GNMA P#781635 6% 03/15/33 N/A 36225BY85 758.05000000 NS USD 916.75000000 0.002050111440 Long ABS-MBS USGSE US N 2 2033-03-15 Fixed 6.00000000 N N N N N N CSC HOLDINGS LLC 5.5% 04/15/27 N/A 126307AQ0 200000.00000000 NS USD 212000.00000000 0.474091764806 Long DBT CORP US Y 2 2027-04-15 Fixed 5.50000000 N N N N N N TRONOX INC 6.5% 05/01/25 N/A 897051AB4 50000.00000000 NS USD 53500.00000000 0.119641082156 Long DBT CORP US Y 2 2025-05-01 Fixed 6.50000000 N N N N N N MEXICAN UDIBONOS2% 6/9/22 /MXN 254900EGTWEU67VP6075 P4R0C9GC1 1475340.86700000 NS 74988.77000000 0.167696029764 Long DBT USGA MX N 2 2022-06-09 Fixed 2.00000000 N N N N N N PLAINS ALL AMERICAN V/R /PERP/ 5521FA2ITF25TVH63740 726503AE5 45000.00000000 NS USD 36562.50000000 0.081764057314 Long DBT CORP US N 2 2169-11-15 Variable 6.12500000 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 CITRIX SYSTEMS I 3.3% 03/01/30 HCTKJGUQOPZ5NBK7NP58 177376AF7 215000.00000000 NS USD 237530.92000000 0.531186099334 Long DBT CORP US N 2 2030-03-01 Fixed 3.30000000 N N N N N N US TREAS NTS 0.125% 10/31/22 N/A 91282CAR2 975000.00000000 NS USD 975152.34000000 2.180715536914 Long DBT UST US N 2 2022-10-31 Fixed 0.12500000 N N N N N N IRON MOUNTAIN IN 4.5% 02/15/31 SQL3F6CKNNBM3SQGHX24 46284VAN1 64000.00000000 NS USD 67040.00000000 0.149920339210 Long DBT CORP US Y 2 2031-02-15 Fixed 4.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1999.74000000 -0.00447198238 N/A DFE N/A N 1 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -220289.25000000 USD 790000.00000000 PEN 2021-02-26 -1999.74000000 N N N JETBLUE 2019-1 2.75% 05/15/32 N/A 477143AH4 53951.60000000 NS USD 53915.17000000 0.120569519316 Long DBT CORP US N 2 2032-05-15 Fixed 2.75000000 N N N N N N CARDINAL HEALTH 4.9% 09/15/45 CCU46N3GJMF4OK4N7U60 14149YBD9 45000.00000000 NS USD 55396.35000000 0.123881855355 Long DBT CORP US N 2 2045-09-15 Fixed 4.90000000 N N N N N N STACR 2019-HQA1 V/R 02/25/49 N/A 35563MAH9 72391.99000000 NS USD 72207.52000000 0.161476370703 Long ABS-CBDO CORP US Y 2 2049-02-25 Variable 2.49800000 N N N N N N GRAY TELEVISION IN 7% 05/15/27 529900TM5726KDN7UU35 389284AA8 69000.00000000 NS USD 75555.00000000 0.168962279669 Long DBT CORP US Y 2 2027-05-15 Fixed 7.00000000 N N N N N N TPMT 2015-5 M1 V/R 05/25/25 N/A 89171VAC1 60000.00000000 NS USD 62940.66000000 0.140753059327 Long ABS-CBDO CORP US Y 2 2055-05-25 Variable 3.50000000 N N N N N N ENERGY TRANSFE 6.125% 12/15/45 N/A 29273RBJ7 10000.00000000 NS USD 11812.97000000 0.026417131108 Long DBT CORP US N 2 2045-12-15 Fixed 6.12500000 N N N N N N NRG ENERGY INC 2.45% 12/02/27 5E2UPK5SW04M13XY7I38 629377CP5 30000.00000000 NS USD 31584.76000000 0.070632427402 Long DBT CORP US Y 2 2027-12-02 Fixed 2.45000000 N N N N N N TERRAFORM POWER 4.75% 01/15/30 N/A 88104LAG8 19000.00000000 NS USD 20330.00000000 0.045463611219 Long DBT CORP US Y 2 2030-01-15 Fixed 4.75000000 N N N N N N MEG ENERGY CORP 6.5% 01/15/25 5493002WXPTG5ZC1T326 552704AD0 21000.00000000 NS USD 21631.05000000 0.048373125797 Long DBT CORP CA Y 2 2025-01-15 Fixed 6.50000000 N N N N N N T/L NATURES BOUNTY 0% 09/26/24 N/A 18913EAB3 32440.69000000 NS USD 32221.03000000 0.072055306493 Long LON CORP US N 2 2024-09-26 Fixed 0.00000000 N N N N N N ICONX 2013-1A 4.352% 01/25/20 N/A 45112AAC1 37686.46000000 NS USD 14888.18000000 0.033294167598 Long ABS-CBDO CORP US Y 2 2043-01-25 Fixed 4.35200000 N N N N N N ENERGY TRANSFER OPE V/R /PERP/ N/A 29278NAT0 140000.00000000 NS USD 133000.00000000 0.297425493958 Long DBT CORP US N 2 2169-05-15 Variable 7.12500000 N N N N N N FNMA P#254238 6% 3/1/32 N/A 31371KLT6 108.50000000 NS USD 128.24000000 0.000286780792 Long ABS-MBS USGSE US N 2 2032-03-01 Fixed 6.00000000 N N N N N N FGLMC P#G04832 5% 10/01/38 N/A 3128M6VZ8 3831.27000000 NS USD 4453.48000000 0.009959236758 Long ABS-MBS USGA US N 2 2038-10-01 Fixed 5.00000000 N N N N N N GREIF INC 6.5% 03/01/27 54930070FVGKR0Z1FI24 397624AH0 65000.00000000 NS USD 68737.50000000 0.153716427751 Long DBT CORP US Y 2 2027-03-01 Fixed 6.50000000 N N N N N N PRIME SECSRVC B 6.25% 01/15/28 N/A 74166MAE6 104000.00000000 NS USD 111653.36000000 0.249688389099 Long DBT CORP US Y 2 2028-01-15 Fixed 6.25000000 N N N N N N GNMA P#605618 5.5% 07/15/34 N/A 36200NYP0 1196.76000000 NS USD 1376.55000000 0.003078353862 Long ABS-MBS USGSE US N 2 2034-07-15 Fixed 5.50000000 N N N N N N BNP PARIBAS V/R /PERP/ R0MUWSFPU8MPRO8K5P83 05565AHN6 210000.00000000 NS USD 229162.50000000 0.512471953077 Long DBT CORP FR Y 2 2169-09-25 Variable 6.62500000 N N N N N N UMBS P#AJ3639 4.5% 12/01/41 N/A 3138AVBH7 0.00000000 NS USD 0.00000000 0.000000 Long ABS-MBS USGSE US N N/A 2041-12-01 Fixed 0.00000000 N N N N N N STEEL DYNAMICS 3.25% 01/15/31 549300HGGKEL4FYTTQ83 858119BM1 20000.00000000 NS USD 22364.91000000 0.050014243639 Long DBT CORP US N 2 2031-01-15 Fixed 3.25000000 N N N N N N PETROLEOS MEXIC 5.35% 02/12/28 N/A 71654QCK6 42000.00000000 NS USD 41548.50000000 0.092914158915 Long DBT CORP MX N 2 2028-02-12 Fixed 5.35000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 24423.86000000 0.054618636277 N/A DFE N/A N 1 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 -428605.29000000 USD 587765.00000000 AUD 2021-02-26 24423.86000000 N N N BAUSCH HEALTH COS 5% 01/30/28 B3BS7ACMDUWISF18KY76 071734AH0 15000.00000000 NS USD 15458.10000000 0.034568669384 Long DBT CORP US Y 2 2028-01-30 Fixed 5.00000000 N N N N N N GNMA II P#MA2305 4.5% 10/20/44 N/A 36179QR29 9240.03000000 NS USD 10294.29000000 0.023020934497 Long ABS-MBS USGSE US N 2 2044-10-20 Fixed 4.50000000 N N N N N N AFRICAN EXPORT 3.994% 09/21/29 21380068LJCDYA42GJ76 00831TAA9 200000.00000000 NS USD 214000.00000000 0.478564328625 Long DBT CORP EG Y 2 2029-09-21 Fixed 3.99400000 N N N N N N JPMORGAN CHASE & CO V/R /PERP/ 8I5DZWZKVSZI1NUHU748 48128BAF8 195000.00000000 NS USD 205145.97000000 0.458764221510 Long DBT CORP US N 2 2169-02-01 Variable 5.00000000 N N N N N N SOUTHERN CAL E 4.875% 03/01/49 N/A 842400GR8 65000.00000000 NS USD 85777.71000000 0.191823141108 Long DBT CORP US N 2 2049-03-01 Fixed 4.87500000 N N N N N N AIR CANADA 4% 07/01/25 4B4HI3CGXMBDC0G6BM51 008911BE8 118000.00000000 NS USD 174050.00000000 0.389224866342 Long DBT CORP CA Y 2 2025-07-01 Fixed 4.00000000 N N N N N AIR CANADA USD XXXX N N N ALASKA AIRLINES 4.8% 08/15/27 N/A 01166VAA7 133000.00000000 NS USD 146476.50000000 0.327562747111 Long DBT CORP US Y 2 2027-08-15 Fixed 4.80000000 N N N N N N LLOYDS BANKING 4.65% 03/24/26 549300PPXHEU2JF0AM85 53944YAB9 200000.00000000 NS USD 230177.55000000 0.514741891030 Long DBT CORP GB N 2 2026-03-24 Fixed 4.65000000 N N N N N N US T BILL ZCP 01/07/21 N/A 9127963T4 3000000.00000000 PA USD 2999992.50000000 6.708828956281 Long STIV UST US N 2 2021-01-07 Fixed 0.00000000 N N N N N N INTERNATIONAL PA 7.3% 11/15/39 824LMFJDH41EY779Q875 460146CF8 53000.00000000 NS USD 84929.67000000 0.189926684597 Long DBT CORP US N 2 2039-11-15 Fixed 7.30000000 N N N N N N VALERO ENERGY C 2.15% 09/15/27 549300XTO5VR8SKV1V74 91913YBB5 35000.00000000 NS USD 35761.74000000 0.079973332212 Long DBT CORP US N 2 2027-09-15 Fixed 2.15000000 N N N N N N HILTON DOMESTIC 5.75% 05/01/28 N/A 432833AH4 5000.00000000 NS USD 5437.50000000 0.012159782882 Long DBT CORP US Y 2 2028-05-01 Fixed 5.75000000 N N N N N N ASBURY AUTOMOTI 4.75% 03/01/30 549300JH4DTA7U42GL91 043436AV6 15000.00000000 NS USD 16087.50000000 0.035976185218 Long DBT CORP US N 2 2030-03-01 Fixed 4.75000000 N N N N N N UMBS P#CA3812 3% 07/01/49 N/A 3140QBGW2 0.00000000 NS USD 0.00000000 0.000000 Long ABS-MBS USGSE US N N/A 2049-07-01 Fixed 0.00000000 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 99902.37000000 0.223409862743 Long LON CORP US N 2 2022-04-19 Fixed 0.00000000 N N N N N N IBERDROLA INTL 6.75% 07/15/36 N/A 29266MAF6 65000.00000000 NS USD 99633.65000000 0.222808929068 Long DBT CORP NL N 2 2036-07-15 Fixed 6.75000000 N N N N N N GNMA P#615383 6% 07/15/33 N/A 36290RUG6 875.80000000 NS USD 995.37000000 0.002225927924 Long ABS-MBS USGSE US N 2 2033-07-15 Fixed 6.00000000 N N N N N N FREMF 2019-KJ24 V/R 10/25/27 N/A 30312FAG1 89364.13000000 NS USD 74530.23000000 0.166670605057 Long ABS-CBDO CORP US Y 2 2027-10-25 Variable 7.60000000 N N N N N N COLD 2020-ICE5 D V/R 11/15/25 N/A 193051AN9 100000.00000000 NS USD 100031.10000000 0.223697739313 Long ABS-CBDO CORP US Y 2 2037-11-15 Variable 2.25863000 N N N N N N ENABLE MIDSTREA 4.95% 05/15/28 N/A 292480AL4 122000.00000000 NS USD 126123.43000000 0.282047544868 Long DBT CORP US N 2 2028-05-15 Fixed 4.95000000 N N N N N N COVANTA HOLDING CO 6% 01/01/27 40XIFLS8XDQGGHGPGC04 22282EAH5 56000.00000000 NS USD 58819.46000000 0.131536894322 Long DBT CORP US N 2 2027-01-01 Fixed 6.00000000 N N N N N N INTER-AME 7.875% 03/14/23/IDR/ VKU1UKDS9E7LYLMACP54 U4582NBR4 980000000.00000000 NS 74849.68000000 0.167384985313 Long DBT CORP US N 2 2023-03-14 Fixed 7.87500000 N N N N N N UMBS P#CA1519 3% 04/01/48 N/A 3140Q8VM4 0.00000000 NS USD 0.00000000 0.000000 Long ABS-MBS USGSE US N N/A 2048-04-01 Fixed 0.00000000 N N N N N N KINGDOM OF MOROCCO 4% 12/15/50 N/A 617726AM6 200000.00000000 NS USD 206100.00000000 0.460897701540 Long DBT USGA MA Y 2 2050-12-15 Fixed 4.00000000 N N N N N N ALLIANCE DATA SYST 7% 01/15/26 549300G8S4PO686J7H97 018581AL2 95000.00000000 NS USD 100491.00000000 0.224726205364 Long DBT CORP US Y 2 2026-01-15 Fixed 7.00000000 N N N N N N INEOS FIN 2.875% 05/01/26/EUR/ N/A N/A 100000.00000000 NS 123618.06000000 0.276444831261 Long DBT CORP GB Y 2 2026-05-01 Fixed 2.87500000 N N N N N N PIONEER ILS INTERVAL FUND N/A 72369L107 97089.20800000 NS USD 824287.38000000 1.843338956094 Long EC RF US N 2 N N N T/L INTEGRO LTD 5.75% 10/31/22 N/A N/A 65544.42000000 NS USD 63578.09000000 0.142178532505 Long LON CORP KY N 2 2022-10-31 Fixed 0.00000000 N N N N N N CALL EUR/PUT USD 4JUN20 1.172 N/A N/A -175000.00000000 NC -10319.86000000 -0.02307811622 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 -7423.71000000 N N N RCMT 2019-5 E V/R 12/25/28 N/A 75575MAN8 100000.00000000 NS USD 78269.37000000 0.175032376196 Long ABS-CBDO CORP US Y 2 2052-02-25 Variable 5.39443100 N N N N N N GNR 2019-90 SA V/R 07/20/49 N/A 38381XEA0 153625.70000000 NS USD 13813.24000000 0.030890298723 Long ABS-CBDO CORP US N 2 2049-07-20 Variable 3.14837000 N N N N N N SPRINT CORP 7.25% 09/15/21 N/A 85207UAE5 30000.00000000 NS USD 31215.00000000 0.069805539803 Long DBT CORP US N 2 2021-09-15 Fixed 7.25000000 N N N N N N ANGI GROUP LLC 3.875% 08/15/28 N/A 001846AA2 35000.00000000 NS USD 35612.50000000 0.079639589500 Long DBT CORP US Y 2 2028-08-15 Fixed 3.87500000 N N N N N N HIGHWOODS REALTY 2.6% 02/01/31 N/A 431282AT9 54000.00000000 NS USD 55083.79000000 0.123182883081 Long DBT CORP US N 2 2031-02-01 Fixed 2.60000000 N N N N N N GNMA P#175339 6.5% 03/15/29 N/A 36216UV87 302.84000000 NS USD 336.34000000 0.000752151057 Long ABS-MBS USGSE US N 2 2029-03-15 Fixed 6.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 2534.92000000 0.005668795737 N/A DFE N/A N 1 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 -83344.07000000 USD 6405000.00000000 RUB 2021-02-26 2534.92000000 N N N LUMEN TECHNOLOGIES 4% 02/15/27 8M3THTGWLTYZVE6BBY25 156700BC9 25000.00000000 NS USD 25812.50000000 0.057724026788 Long DBT CORP US Y 2 2027-02-15 Fixed 4.00000000 N N N N N N GNMA P#767081 4% 08/15/43 N/A 36176H6S8 56356.98000000 NS USD 65762.55000000 0.147063600885 Long ABS-MBS USGSE US N 2 2043-08-15 Fixed 4.00000000 N N N N N N T/L NAVISTAR INC 0% 11/6/24 N/A 63937YAE1 33442.33000000 NS USD 33463.23000000 0.074833215881 Long LON CORP US N 2 2024-11-06 Fixed 0.00000000 N N N N N N TRONOX INC 6.5% 04/15/26 N/A 897051AA6 47000.00000000 NS USD 48938.75000000 0.109440841296 Long DBT CORP US Y 2 2026-04-15 Fixed 6.50000000 N N N N N N GNMA P#574567 5.5% 04/15/34 N/A 36200WJL6 4118.58000000 NS USD 4708.51000000 0.010529555733 Long ABS-MBS USGSE US N 2 2034-04-15 Fixed 5.50000000 N N N N N N KBR INC 4.75% 09/30/28 254900OFQDXZRKRCV808 48242WAC0 40000.00000000 NS USD 41700.00000000 0.093252955624 Long DBT CORP US Y 2 2028-09-30 Fixed 4.75000000 N N N N N N SCIENTIFIC GAME 8.25% 03/15/26 N/A 80874YBA7 31000.00000000 NS USD 33405.60000000 0.074704338954 Long DBT CORP US Y 2 2026-03-15 Fixed 8.25000000 N N N N N N UMBS P#AL7382 3.5% 09/01/45 N/A 3138EQFY3 47807.74000000 NS USD 52953.20000000 0.118418283208 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 3.50000000 N N N N N N WINDSTREAM ESCR 7.75% 08/15/28 N/A 97382WAA1 35000.00000000 NS USD 35245.00000000 0.078817755899 Long DBT CORP US Y 2 2028-08-15 Fixed 7.75000000 N N N N N N UMBS P#BE2699 4% 06/01/47 N/A 3140FM7M2 11228.28000000 NS USD 12254.04000000 0.027403487969 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.00000000 N N N N N N CITIGROUP INC V/R /PERP/ 6SHGI4ZSSLCXXQSBB395 172967MU2 15000.00000000 NS USD 15393.75000000 0.034424764643 Long DBT CORP US N 2 2169-03-10 Variable 4.00000000 N N N N N N UMBS P#SD0030 3% 02/01/47 N/A 3132DMA70 36953.83000000 NS USD 40284.58000000 0.090087677484 Long ABS-MBS USGA US N 2 2047-02-01 Fixed 3.00000000 N N N N N N F/C EURO-BUND FUTURE MAR21 N/A N/A -17.00000000 NC -3687575.37000000 -8.24645808972 N/A DIR CORP DE N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Short F/C EURO-BUND FUTURE MAR21 EURO-BUND FUTURE MAR21 /EUR/ 2021-03-08 3675181.20000000 EUR -12394.16000000 N N N TPMT 2019-4 B1B V/R 10/25/36 N/A 89178BBA1 100000.00000000 NS USD 100707.67000000 0.225210740565 Long ABS-CBDO CORP US Y 2 2059-10-25 Variable 3.50000000 N N N N N N GSMS 2020-DUNE E V/R 12/15/21 N/A 36258BAS7 100000.00000000 NS USD 87467.93000000 0.195602949517 Long ABS-CBDO CORP US Y 2 2036-12-15 Variable 2.65863000 N N N N N N UMBS P#AS1845 4.5% 02/01/44 N/A 3138WBBP9 0.00000000 NS USD 0.00000000 0.000000 Long ABS-MBS USGSE US N N/A 2044-02-01 Fixed 0.00000000 N N N N N N SIMON PROPERTY G 3.8% 07/15/50 N/A 828807DJ3 55000.00000000 NS USD 61358.84000000 0.137215663877 Long DBT CORP US N 2 2050-07-15 Fixed 3.80000000 N N N N N N REPUBLIC OF ARGENT 1% 07/09/29 N/A 040114HX1 6500.00000000 NS USD 2819.44000000 0.006305062666 Long DBT USGA AR N 2 2029-07-09 Fixed 1.00000000 N N N N N N WEST STREET ME 6.375% 09/01/25 N/A 95616AAA1 16000.00000000 NS USD 16400.00000000 0.036675023315 Long DBT CORP US Y 2 2025-09-01 Fixed 6.37500000 N N N N N N FGLMC P#Q47419 4% 04/01/47 N/A 3132WMG57 14873.07000000 NS USD 16094.23000000 0.035991235395 Long ABS-MBS USGA US N 2 2047-04-01 Fixed 4.00000000 N N N N N N PRUDENTIAL FINANC V/R 10/01/50 5PRBRS5FEH7NREC8OR45 744320BH4 51000.00000000 NS USD 53946.78000000 0.120640208187 Long DBT CORP US N 2 2050-10-01 Variable 3.70000000 N N N N N N HILTON DOMESTIC 3.75% 05/01/29 N/A 432833AJ0 40000.00000000 NS USD 41707.60000000 0.093269951367 Long DBT CORP US Y 2 2029-05-01 Fixed 3.75000000 N N N N N N EMERALD PLANTATION HOLDINGS N/A G30337102 1032.00000000 NS USD 41.28000000 0.000092313717 Long EC CORP HK N 2 N N N CLNY 2019-IKPR E V/R 11/15/21 N/A 12564NAN2 65000.00000000 NS USD 56860.50000000 0.127156107513 Long ABS-CBDO CORP US Y 2 2038-11-15 Variable 2.87963000 N N N N N N PUT EUR/CALL USD MAR21 1.11 N/A N/A 330000.00000000 NC USD 10.23000000 0.000022877163 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 -5129.74000000 N N N FREMF 2017-KW02 V/R 12/25/26 N/A 30301RAN3 49000.00000000 NS USD 49674.86000000 0.111086990773 Long ABS-CBDO CORP US Y 2 2026-12-25 Variable 3.78345300 N N N N N N N/A N/A N/A 1.00000000 NC N/A -275.69000000 -0.00061652055 N/A DFE N/A N 1 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 -32000.00000000 EUR 38845.36000000 USD 2021-02-25 -275.69000000 N N N N/A N/A N/A 1.00000000 NC N/A 27664.77000000 0.061866224680 N/A DFE N/A N 1 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 -832211.35000000 USD 703800.00000000 EUR 2021-01-26 27664.77000000 N N N REPS 2019-A B 3.93% 05/20/23 N/A 76041QAB9 100000.00000000 NS USD 100429.38000000 0.224588405672 Long ABS-CBDO CORP US Y 2 2027-11-22 Fixed 3.93000000 N N N N N N TPMT 2016-3 B1 V/R 04/25/56 N/A 89172YAE0 100000.00000000 NS USD 109564.51000000 0.245017131632 Long ABS-CBDO CORP US Y 2 2056-04-25 Variable 4.09919500 N N N N N N SBIZ 2019-A C 4.31% 07/15/26 N/A 831645AC0 100000.00000000 NS USD 90887.95000000 0.203251078373 Long ABS-CBDO CORP US Y 2 2026-07-15 Fixed 4.31000000 N N N N N N CAS 2019-R04 2B1 V/R 06/25/39 N/A 20753TAC7 30000.00000000 NS USD 30561.00000000 0.068343011435 Long ABS-CBDO CORP US Y 2 2039-06-25 Variable 5.39800000 N N N N N N FGLMC P#G18527 3% 10/01/29 N/A 3128MMSR5 19604.05000000 NS USD 20610.99000000 0.046091984073 Long ABS-MBS USGA US N 2 2029-10-01 Fixed 3.00000000 N N N N N N PROVIDENCE SER 5.875% 11/15/25 549300EFZIFW7F7I0Q28 743815AE2 10000.00000000 NS USD 10575.00000000 0.023648681192 Long DBT CORP US Y 2 2025-11-15 Fixed 5.87500000 N N N N N N STACR 2020-HQA3 V/R 07/25/50 N/A 35565MBE3 30000.00000000 NS USD 35313.92000000 0.078971880448 Long ABS-CBDO CORP US Y 2 2050-07-25 Variable 10.14800000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 943.92000000 0.002110871219 N/A DFE N/A N 1 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 -95568.15000000 USD 579381.92000000 GHS 2021-02-26 943.92000000 N N N LORENZ RE 2019V/R 6/30/22 N/A N/A 20578.00000000 NS USD 1356.09000000 0.003032599534 Long DBT CORP BM N 3 2022-06-30 Variable 0.00000000 N N N N N N COMM 2013-CR11 C V/R 09/10/23 N/A 12626LAW2 100000.00000000 NS USD 101164.16000000 0.226231580894 Long ABS-CBDO CORP US Y 2 2050-08-10 Variable 5.11952400 N N N N N N STANDARD INDUSTRIE 5% 02/15/27 N/A 853496AC1 5000.00000000 NS USD 5225.00000000 0.011684572976 Long DBT CORP US Y 2 2027-02-15 Fixed 5.00000000 N N N N N N NATWEST GROUP PLC V/R /PERP/ N/A 780097BB6 200000.00000000 NS USD 207582.00000000 0.464211871330 Long DBT CORP GB N 2 2169-09-30 Variable 8.62500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 7462.93000000 0.016689215350 N/A DFE N/A N 1 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 -102247.58000000 USD 2357000.00000000 CZK 2021-01-27 7462.93000000 N N N UMBS P#BD9327 3.5% 10/01/46 N/A 3140FHLH8 12657.97000000 NS USD 13729.74000000 0.030703569183 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.50000000 N N N N N N UMBS P#AB1149 5% 06/01/40 N/A 31416WH39 4161.98000000 NS USD 4837.29000000 0.010817544117 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 5.00000000 N N N N N N BRITISH AIR 20- 4.25% 11/15/32 N/A 11044MAA4 30000.00000000 NS USD 32062.50000000 0.071700788722 Long DBT CORP GB Y 2 2032-11-15 Fixed 4.25000000 N N N N N N GNMA P#733913 4.5% 09/15/40 N/A 3620AMK27 12313.35000000 NS USD 13763.90000000 0.030779960573 Long ABS-MBS USGSE US N 2 2040-09-15 Fixed 4.50000000 N N N N N N HNGRY 2018-1A 4.959% 06/20/25 N/A 411707AD4 29325.00000000 NS USD 31271.30000000 0.069931442475 Long ABS-CBDO CORP US Y 2 2048-06-20 Fixed 4.95900000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -1303.88000000 -0.00291584325 N/A DFE N/A N 1 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 -6405000.00000000 RUB 84575.11000000 USD 2021-02-26 -1303.88000000 N N N FREMF 2016-K52 B V/R 11/25/25 N/A 30294DAN3 100000.00000000 NS USD 110424.35000000 0.246939976269 Long ABS-CBDO CORP US Y 2 2049-01-25 Variable 3.92466400 N N N N N N CGCMT 2018-B2 3.744% 01/10/28 N/A 17327FAC0 150000.00000000 NS USD 172039.40000000 0.384728597935 Long ABS-CBDO CORP US N 2 2051-03-10 Fixed 3.74400000 N N N N N N CAS 2018-C03 1B1 V/R 10/25/30 N/A 30711XJ62 40000.00000000 NS USD 40328.20000000 0.090185224101 Long ABS-CBDO CORP US N 2 2030-10-25 Variable 3.89800000 N N N N N N UNITI GRP/UNIT 7.875% 02/15/25 N/A 91327AAA0 73000.00000000 NS USD 78417.33000000 0.175363256467 Long DBT CORP US Y 2 2025-02-15 Fixed 7.87500000 N N N N N N US T BILL ZCP 01/28/21 N/A 912796UC1 1400000.00000000 PA USD 1399946.34000000 3.130674674364 Long STIV UST US N 2 2021-01-28 Fixed 0.00000000 N N N N N N UMBS P#AB1617 4% 10/01/40 N/A 31416WYP1 42772.24000000 NS USD 48355.86000000 0.108137334934 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.00000000 N N N N N N MARRIOTT INTERN 5.75% 05/01/25 225YDZ14ZO8E1TXUSU86 571903BD4 10000.00000000 NS USD 11697.01000000 0.026157811857 Long DBT CORP US N 2 2025-05-01 Fixed 5.75000000 N N N N N N GNMA II P#AR0817 3.5% 03/20/46 N/A 36192S4A5 14459.90000000 NS USD 16258.21000000 0.036357940903 Long ABS-MBS USGSE US N 2 2046-03-20 Fixed 3.50000000 N N N N N N NCR CORP 5% 10/01/28 549300YKTY8JX1DV2R67 62886EAY4 25000.00000000 NS USD 26375.00000000 0.058981935362 Long DBT CORP US Y 2 2028-10-01 Fixed 5.00000000 N N N N N N AES CORP/THE 3.95% 07/15/30 2NUNNB7D43COUIRE5295 00130HCC7 20000.00000000 NS USD 22608.20000000 0.050558308665 Long DBT CORP US Y 2 2030-07-15 Fixed 3.95000000 N N N N N N T/L SINCLAIR TEL 0% 01/03/24 N/A N/A 60775.87000000 NS USD 60269.42000000 0.134779413639 Long LON CORP US N 2 2024-01-03 Fixed 0.00000000 N N N N N N JOSEPH T RYERSON 8.5% 08/01/28 N/A 48088LAB3 41000.00000000 NS USD 46432.50000000 0.103836159761 Long DBT CORP US Y 2 2028-08-01 Fixed 8.50000000 N N N N N N GNMA P#AM4159 4% 04/15/45 N/A 36184QTQ7 15629.67000000 NS USD 16891.38000000 0.037773887519 Long ABS-MBS USGSE US N 2 2045-04-15 Fixed 4.00000000 N N N N N N STACR 2020-DNA5 V/R 10/25/50 N/A 35566ABE8 100000.00000000 NS USD 122358.89000000 0.273628972169 Long ABS-CBDO CORP US Y 2 2050-10-25 Variable 11.58167000 N N N N N N CITIGROUP INC V/R /PERP/ 6SHGI4ZSSLCXXQSBB395 172967MK4 140000.00000000 NS USD 143862.60000000 0.321717329828 Long DBT CORP US N 2 2169-07-30 Variable 4.70000000 N N N N N N GNMA P#603997 6% 02/15/33 N/A 36200K7J0 407.42000000 NS USD 486.80000000 0.001088622033 Long ABS-MBS USGSE US N 2 2033-02-15 Fixed 6.00000000 N N N N N N FREMF 2018-KHG1 V/R 12/25/27 N/A 30309FAJ0 75000.00000000 NS USD 76274.12000000 0.170570434716 Long ABS-CBDO CORP US Y 2 2027-12-25 Variable 3.81185000 N N N N N N MEX BONOS D 8.5% 05/31/29/MXN/ N/A P9767G6N6 5490000.00000000 NS 336252.50000000 0.751955382762 Long DBT USGA MX N 2 2029-05-31 Fixed 8.50000000 N N N N N N UMBS P#AB2639 4.5% 05/01/41 N/A 31416X4Z0 21354.84000000 NS USD 23856.80000000 0.053350530257 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -3014.72000000 -0.00674176379 N/A DFE N/A N 1 STATE STREET BANK AND TRUST CO N/A -92000.00000000 EUR 109387.39000000 USD 2021-01-26 -3014.72000000 N N N GNMA TBA 30 UR 2.5% JAN 21 N/A 21H022614 110000.00000000 NS USD 116445.31000000 0.260404540195 Long ABS-MBS USGA US N 2 2051-01-01 Fixed 2.50000000 N N N N N N T/L FITNESS INTERN 0% 04/18/25 N/A N/A 15560.26000000 NS USD 14150.11000000 0.031643635009 Long LON CORP US N 2 2025-04-18 Fixed 0.00000000 N N N N N N FNMA 30YR TBA 4.5% JAN 21 N/A 01F042616 650000.00000000 NS USD 704437.50000000 1.575320837598 Long ABS-MBS USGA US N 2 2051-01-01 Fixed 4.50000000 N N N N N N FREMF 2019-K88 C V/R 04/25/29 N/A 302971AT3 75000.00000000 NS USD 82325.33000000 0.184102646169 Long ABS-CBDO CORP US Y 2 2052-02-25 Variable 4.37955800 N N N N N N GENERAL MOTORS C 6.6% 04/01/36 54930070NSV60J38I987 37045VAK6 152000.00000000 NS USD 205791.58000000 0.460207987474 Long DBT CORP US N 2 2036-04-01 Fixed 6.60000000 N N N N N N GNR 2019-117 SB V/R 09/20/49 N/A 38381YRH9 326721.12000000 NS USD 26275.70000000 0.058759872568 Long ABS-CBDO CORP US N 2 2049-09-20 Variable 3.26837000 N N N N N N BRAVO 2020-RPL2 V/R 05/25/59 N/A 10569BAA5 97343.46000000 NS USD 100254.85000000 0.224198107391 Long ABS-CBDO CORP US Y 2 2059-05-25 Variable 2.00000000 N N N N N N STATE OF QATAR 3.4% 04/16/25 N/A 74727PBC4 200000.00000000 NS USD 220500.00000000 0.493100161037 Long DBT USGA QA Y 2 2025-04-16 Fixed 3.40000000 N N N N N N PBF HOLDING CO 9.25% 05/15/25 N/A 69318FAK4 30000.00000000 NS USD 29577.00000000 0.066142510036 Long DBT CORP US Y 2 2025-05-15 Fixed 9.25000000 N N N N N N NATIONSTAR MTG HLD 6% 01/15/27 N/A 63861CAA7 10000.00000000 NS USD 10612.50000000 0.023732541764 Long DBT CORP US Y 2 2027-01-15 Fixed 6.00000000 N N N N N N GNMA P#621696 4.5% 09/15/33 N/A 36290YUV8 3961.90000000 NS USD 4420.82000000 0.009886199791 Long ABS-MBS USGSE US N 2 2033-09-15 Fixed 4.50000000 N N N N N N VISTRA CORP 4.3% 07/15/29 N/A 92840VAE2 19000.00000000 NS USD 21565.44000000 0.048226403341 Long DBT CORP US Y 2 2029-07-15 Fixed 4.30000000 N N N N N N CHC 2019-CHC E V/R 06/15/21 N/A 162665AN3 99570.34000000 NS USD 86486.86000000 0.193409000424 Long ABS-CBDO CORP US Y 2 2034-06-15 Variable 2.50900000 N N N N N N STACR 2019-HRP1 V/R 02/25/49 N/A 35564RCB8 60000.00000000 NS USD 57012.17000000 0.127495284390 Long ABS-CBDO CORP US Y 2 2049-02-25 Variable 4.19800000 N N N N N N TPMT 2018-3 M1 V/R 05/25/58 N/A 89175MAE3 100000.00000000 NS USD 107694.89000000 0.240836134248 Long ABS-CBDO CORP US Y 2 2058-05-25 Variable 3.87500000 N N N N N N ROYAL CARIBBEAN 11.5% 06/01/25 K2NEH8QNVW44JIWK7Z55 780153AZ5 29000.00000000 NS USD 33902.45000000 0.075815435621 Long DBT CORP US Y 2 2025-06-01 Fixed 11.50000000 N N N N N N NATIONWIDE MUTU 4.35% 04/30/50 Z7LVXXWM8HZPKF5T2355 638671AN7 105000.00000000 NS USD 123345.82000000 0.275836025874 Long DBT CORP US Y 2 2050-04-30 Fixed 4.35000000 N N N N N N MSC 2018-MP A V/R 07/11/28 N/A 61691DAA5 100000.00000000 NS USD 108902.81000000 0.243537383892 Long ABS-CBDO CORP US Y 2 2040-07-11 Variable 4.27600000 N N N N N N EQT CORP 5% 01/15/29 4NT01YGM4X7ZX86ISY52 26884LAL3 10000.00000000 NS USD 10543.20000000 0.023577567427 Long DBT CORP US N 2 2029-01-15 Fixed 5.00000000 N N N N N N CALL EUR/PUT USD MAY 17 2021 1.2397 EUR-USD N/A N/A -350000.00000000 NC -4799.11000000 -0.01073216287 N/A DFE CORP US N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Call Purchased CALL EUR/PUT USD MAY 17 2021 1.2397 EUR-USD 0 -350000.00000000 EUR 1.23970000 EUR 2021-05-17 XXXX -2527.67000000 N N N CALL USD/PUT JPY FEBRUARY 03 2021 107.94 USD-JPY N/A N/A -440000.00000000 NC USD -52.80000000 -0.00011807568 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 4550.48000000 N N N PCT 2016-PLSD 2.712% 04/13/21 N/A 69640GAA3 75000.00000000 NS USD 63375.00000000 0.141724366012 Long ABS-CBDO CORP US Y 2 2033-04-13 Fixed 2.71298000 N N N N N N UMBS P#SB8083 1.5% 01/01/36 N/A 3132D56U1 67000.00000000 NS USD 68963.73000000 0.154222341808 Long ABS-MBS USGA US N 2 2036-01-01 Fixed 1.50000000 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 877.80000000 0.001963008260 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 -3725.48000000 N N N EMLT 2003-1 IF1 S/UP 12/25/32 N/A 29445FAA6 22983.92000000 NS USD 23572.75000000 0.052715314381 Long ABS-CBDO CORP US N 2 2032-12-25 Variable 4.01000000 N N N N N N QVC INC 4.375% 09/01/28 N/A 747262AZ6 105000.00000000 NS USD 108795.75000000 0.243297967551 Long DBT CORP US N 2 2028-09-01 Fixed 4.37500000 N N N N N N NRG ENERGY INC 3.625% 02/15/31 5E2UPK5SW04M13XY7I38 629377CR1 20000.00000000 NS USD 20576.00000000 0.046013736569 Long DBT CORP US Y 2 2031-02-15 Fixed 3.62500000 N N N N N N VICI PROPERTIE 4.125% 08/15/30 N/A 92564RAE5 8000.00000000 NS USD 8445.04000000 0.018885490176 Long DBT CORP US Y 2 2030-08-15 Fixed 4.12500000 N N N N N N UMBS P#CA4160 3.5% 09/01/49 N/A 3140QBTS7 0.00000000 NS USD 0.00000000 0.000000 Long ABS-MBS USGSE US N N/A 2049-09-01 Fixed 0.00000000 N N N N N N T/L USI HOLDINGS 0% 05/16/2024 N/A 90351NAE5 96750.00000000 NS USD 95530.56000000 0.213633263129 Long LON CORP US N 2 2024-05-16 Fixed 0.00000000 N N N N N N GNR 2019-128 ID 3.5% 10/20/49 N/A 38382AFH3 791596.41000000 NS USD 57963.70000000 0.129623173715 Long ABS-CBDO CORP US N 2 2049-10-20 Fixed 3.50000000 N N N N N N GNMA P#784078 4% 06/15/45 N/A 3622A2Q70 26582.44000000 NS USD 28758.97000000 0.064313164345 Long ABS-MBS USGSE US N 2 2045-06-15 Fixed 4.00000000 N N N N N N F/C US 2YR NOTE (CBT) MAR21 N/A N/A 1.00000000 NC USD 220976.56000000 0.494165883543 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Long F/C US 2YR NOTE (CBT) MAR21 US 2YR NOTE (CBT) MAR21 2021-03-31 220765.63000000 USD 210.93000000 N N N ASBURY AUTOMOTIV 4.5% 03/01/28 549300JH4DTA7U42GL91 043436AU8 15000.00000000 NS USD 15637.50000000 0.034969858359 Long DBT CORP US N 2 2028-03-01 Fixed 4.50000000 N N N N N N US TIPS 1% 02/15/48 N/A 912810SB5 501566.75000000 NS USD 697928.83000000 1.560765616623 Long DBT UST US N 2 2048-02-15 Fixed 1.00000000 N N N N N N MEG ENERGY COR 7.125% 02/01/27 5493002WXPTG5ZC1T326 552704AE8 30000.00000000 NS USD 30975.00000000 0.069268832145 Long DBT CORP CA Y 2 2027-02-01 Fixed 7.12500000 N N N N N N T/L ALLIANCE HEAL 0% 10/24/23 N/A N/A 35382.24000000 NS USD 32103.86000000 0.071793281342 Long LON CORP US N 2 2023-10-24 Fixed 0.00000000 N N N N N N MINERVA LUXEMB 5.875% 01/19/28 N/A 603374AE9 200000.00000000 NS USD 215752.00000000 0.482482294530 Long DBT CORP LU Y 2 2028-01-19 Fixed 5.87500000 N N N N N N T/L STONEPEAK LON 0% 10/19/26 N/A 86184NAC0 0.01000000 NS USD 0.01000000 0.000000022362 Long LON CORP US N 2 2026-10-19 Fixed 0.00000000 N N N N N N GOODYEAR TIRE & 9.5% 05/31/25 5493002BI0S2ZQUY3437 382550BH3 24000.00000000 NS USD 27127.20000000 0.060664066614 Long DBT CORP US N 2 2025-05-31 Fixed 9.50000000 N N N N N N GNMA P#544003 7% 03/15/31 N/A 36212UKQ3 42.71000000 NS USD 43.90000000 0.000098172775 Long ABS-MBS USGSE US N 2 2031-03-15 Fixed 7.00000000 N N N N N N UMBS P#BD2425 3.5% 01/01/47 N/A 3140F9VT9 71207.89000000 NS USD 77194.43000000 0.172628507320 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N UMBS P#SB8079 2% 12/01/35 N/A 3132D56Q0 115293.74000000 NS USD 120571.36000000 0.269631551167 Long ABS-MBS USGA US N 2 2035-12-01 Fixed 2.00000000 N N N N N N UMBS P#AE7731 4.5% 11/01/40 N/A 31419JSV1 41893.29000000 NS USD 46843.66000000 0.104755629431 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.50000000 N N N N N N SMITHFIELD FOOD 2.65% 10/03/21 N/A 832248BA5 25000.00000000 NS USD 25220.97000000 0.056401198950 Long DBT CORP US Y 2 2021-10-03 Fixed 2.65000000 N N N N N N STACR 2020-HQA5 V/R 11/25/50 N/A 35565TBE8 80000.00000000 NS USD 87187.22000000 0.194975202822 Long ABS-CBDO CORP US Y 2 2050-11-25 Variable 7.48167000 N N N N N N GNMA II P#MA4197 4% 01/20/47 N/A 36179SUW5 36244.35000000 NS USD 39282.94000000 0.087847728072 Long ABS-MBS USGSE US N 2 2047-01-20 Fixed 4.00000000 N N N N N N GNMA II P#3530 5.5% 03/20/34 N/A 36202D4P3 2233.23000000 NS USD 2608.49000000 0.005833318998 Long ABS-MBS USGSE US N 2 2034-03-20 Fixed 5.50000000 N N N N N N CREDIT SUISSE GROUP V/R /PERP/ 549300506SI9CRFV9Z86 225401AN8 400000.00000000 NS USD 416000.00000000 0.930293274337 Long DBT CORP CH Y 2 2169-07-24 Variable 5.10000000 N N N N N N BEACON ROOFING 4.875% 11/01/25 549300HDXQWWCBOYXP31 073685AD1 81000.00000000 NS USD 82923.75000000 0.185440881990 Long DBT CORP US Y 2 2025-11-01 Fixed 4.87500000 N N N N N N MIDWEST CONNEC 4.625% 04/01/29 N/A 59833CAC6 38000.00000000 NS USD 39833.71000000 0.089079405059 Long DBT CORP US Y 2 2029-04-01 Fixed 4.62500000 N N N N N N CAS 2019-R02 1B1 V/R 08/25/31 N/A 20753KAF9 100000.00000000 NS USD 100125.22000000 0.223908218167 Long ABS-CBDO CORP US Y 2 2031-08-25 Variable 4.29800000 N N N N N N TPMT 2016-2 B2 V/R 10/25/32 N/A 89172PAF6 100000.00000000 NS USD 105513.31000000 0.235957506360 Long ABS-CBDO CORP US Y 2 2055-08-25 Variable 3.49002400 N N N N N N CONN 2019-B C 4.6% 11/15/21 N/A 20824LAC9 100000.00000000 NS USD 100249.52000000 0.224186188008 Long ABS-CBDO CORP US Y 2 2024-06-17 Fixed 4.60000000 N N N N N N QVC INC 4.75% 02/15/27 N/A 747262AY9 10000.00000000 NS USD 10725.00000000 0.023984123479 Long DBT CORP US N 2 2027-02-15 Fixed 4.75000000 N N N N N N REPUBLIC OF ARGE S/UP 07/09/35 N/A 040114HT0 145500.00000000 NS USD 53107.50000000 0.118763341506 Long DBT USGA AR N 2 2035-07-09 Variable 0.12500000 N N N N N N ALBERTSONS COS 4.875% 02/15/30 N/A 013092AE1 30000.00000000 NS USD 33056.40000000 0.073923429312 Long DBT CORP US Y 2 2030-02-15 Fixed 4.87500000 N N N N N N FREMF 2018-KW06 V/R 06/25/28 N/A 30306WAN7 76000.00000000 NS USD 79695.37000000 0.178221314199 Long ABS-CBDO CORP US Y 2 2028-06-25 Variable 4.22434500 N N N N N N YPF SOCIEDAD AN 6.95% 07/21/27 N/A 984245AQ3 30000.00000000 NS USD 21600.00000000 0.048303689244 Long DBT CORP AR Y 2 2027-07-21 Fixed 6.95000000 N N N N N N GNMA P#569703 6.5% 02/15/32 N/A 36200Q3L6 220.27000000 NS USD 253.31000000 0.000566472570 Long ABS-MBS USGSE US N 2 2032-02-15 Fixed 6.50000000 N N N N N N BELDEN IN 2.875% 09/15/25/EUR/ 68BKYO1JC791TTJHUE82 U07461AL7 100000.00000000 NS 123025.82000000 0.275120415663 Long DBT CORP US Y 2 2025-09-15 Fixed 2.87500000 N N N N N N NY STATE ELECTRI 3.3% 09/15/49 N/A 649840CR4 47000.00000000 NS USD 50730.36000000 0.113447386328 Long DBT CORP US Y 2 2049-09-15 Fixed 3.30000000 N N N N N N HPA 2017-1 D V/R 07/17/22 N/A 43730TAG8 100000.00000000 NS USD 99874.67000000 0.223347917734 Long ABS-CBDO CORP US Y 2 2034-07-17 Variable 2.05300000 N N N N N N USA COM PART/U 6.875% 09/01/27 N/A 91740PAF5 18000.00000000 NS USD 19216.44000000 0.042973377136 Long DBT CORP US N 2 2027-09-01 Fixed 6.87500000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 4733.05000000 0.010584434091 N/A DFE N/A N 1 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 -208861.03000000 EUR 2136507.00000000 SEK 2021-03-03 4733.05000000 N N N T/L GRUPO AEROMEXIC 0% 8/19/22 N/A N/A 8149.52000000 NS USD 8363.44000000 0.018703009572 Long LON CORP MX N 2 2022-08-19 Fixed 0.00000000 N N N N N N TPMT 2015-6 M1 V/R 07/25/26 N/A 89172RAC9 70000.00000000 NS USD 75476.27000000 0.168786217194 Long ABS-CBDO CORP US Y 2 2055-04-25 Variable 3.75000000 N N N N N N STACR 2020-DNA6 V/R 12/25/50 N/A 35566CBD6 50000.00000000 NS USD 49999.81000000 0.111813670579 Long ABS-CBDO CORP US Y 2 2050-12-25 Variable 3.07734000 N N N N N N UMBS TBA 30YR 1.5% DEC 21 N/A 01F012627 50000.00000000 NS USD 50461.16000000 0.112845379238 Long ABS-MBS USGA US N 2 2051-02-01 Fixed 1.50000000 N N N N N N PRECISION DRIL 7.125% 01/15/26 549300WF2OE8T5BP4B84 740212AL9 25000.00000000 NS USD 21750.00000000 0.048639131530 Long DBT CORP CA Y 2 2026-01-15 Fixed 7.12500000 N N N N N N TPMT 2019-4 M1 V/R 11/25/33 N/A 89178BAC8 150000.00000000 NS USD 161138.04000000 0.360350083778 Long ABS-CBDO CORP US Y 2 2059-10-25 Variable 3.50000000 N N N N N N SCIENTIFIC GAMES I 7% 05/15/28 N/A 80874YBC3 15000.00000000 NS USD 16128.15000000 0.036067090078 Long DBT CORP US Y 2 2028-05-15 Fixed 7.00000000 N N N N N N CITY OF BUENOS A 7.5% 06/01/27 N/A 11942GAD4 250000.00000000 NS USD 206877.50000000 0.462636410725 Long DBT USGA AR Y 2 2027-06-01 Fixed 7.50000000 N N N N N N US T BILL ZCP 01/26/21 N/A 912796A82 1000000.00000000 PA USD 999970.97000000 2.236216990201 Long STIV UST US N 2 2021-01-26 Fixed 0.00000000 N N N N N N SINCLAIR TELEV 4.125% 12/01/30 N/A 829259BA7 20000.00000000 NS USD 20464.60000000 0.045764614764 Long DBT CORP US Y 2 2030-12-01 Fixed 4.12500000 N N N N N N PRIME SECSRVC B 5.75% 04/15/26 N/A 74166MAC0 35000.00000000 NS USD 38325.00000000 0.085705504180 Long DBT CORP US Y 2 2026-04-15 Fixed 5.75000000 N N N N N N CAS 2020-SBT1 2M V/R 02/25/40 N/A 20753VCZ9 50000.00000000 NS USD 50248.71000000 0.112370281146 Long ABS-CBDO CORP US Y 2 2040-02-25 Variable 3.79800000 N N N N N N IAMGOLD CORP 5.75% 10/15/28 254900E7II30XAB9LA72 450913AF5 47000.00000000 NS USD 47705.00000000 0.106681828491 Long DBT CORP CA Y 2 2028-10-15 Fixed 5.75000000 N N N N N N ENERGY TRANSFE 5.875% 01/15/24 N/A 29278NAM5 30000.00000000 NS USD 33722.56000000 0.075413150868 Long DBT CORP US N 2 2024-01-15 Fixed 5.87500000 N N N N N N UMBS P#MA4206 2% 12/01/35 N/A 31418DU83 133271.80000000 NS USD 139398.74000000 0.311734880464 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 2.00000000 N N N N N N STACR 2020-DNA2 V/R 02/25/50 N/A 35565KBD9 30000.00000000 NS USD 29380.87000000 0.065703908065 Long ABS-CBDO CORP US Y 2 2050-02-25 Variable 2.64800000 N N N N N N COVANTA HOLDING CO 5% 09/01/30 40XIFLS8XDQGGHGPGC04 22282EAJ1 45000.00000000 NS USD 48147.19000000 0.107670689988 Long DBT CORP US N 2 2030-09-01 Fixed 5.00000000 N N N N N N ENLINK MIDSTREA 5.05% 04/01/45 N/A 29336UAD9 9000.00000000 NS USD 7172.01000000 0.016038636217 Long DBT CORP US N 2 2045-04-01 Fixed 5.05000000 N N N N N N MSC 2016-UBS9 D 3% 02/15/26 N/A 61766CAV1 15000.00000000 NS USD 12180.18000000 0.027238316188 Long ABS-CBDO CORP US Y 2 2049-03-15 Fixed 3.00000000 N N N N N N LEAR CORP 549300UPNBTXA1SYTQ33 521865204 22.00000000 NS USD 3498.66000000 0.007823990065 Long EC CORP US N 1 N N N ISTAR INC 4.75% 10/01/24 QFFLKWYYS3UPWD86E794 45031UCF6 30000.00000000 NS USD 30375.00000000 0.067927063000 Long DBT CORP US N 2 2024-10-01 Fixed 4.75000000 N N N N N N PUT EUR/CALL USD MAY 17 2021 1.15 EUR-USD N/A N/A 350000.00000000 NC 657.32000000 0.001469952824 N/A DFE CORP US N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Put Written PUT EUR/CALL USD MAY 17 2021 1.15 EUR-USD 0 350000.00000000 EUR 1.15000000 EUR 2021-05-17 XXXX -1614.12000000 N N N F/C US LONG BOND(CBT) MAR21 N/A N/A -6.00000000 NC USD -1039125.00000000 -2.32377643917 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Short F/C US LONG BOND(CBT) MAR21 US LONG BOND(CBT) MAR21 2021-03-22 1049187.50000000 USD 10062.50000000 N N N CALL EUR/PUT USD 29JAN2021 1.2455 EUR-USD N/A N/A -350000.00000000 NC -995.38000000 -0.00222595028 N/A DFE CORP US N 2 goldman sachs international N/A Call Purchased CALL EUR/PUT USD 29JAN2021 1.2455 EUR-USD 0 -350000.00000000 EUR 1.24550000 EUR 2021-01-29 XXXX 562.63000000 N N N LORENZ RE 2018 0.0% 07/01/21 N/A N/A 40000.00000000 NS USD 476.00000000 0.001064470188 Long DBT CORP BM N 3 2021-07-01 Fixed 0.00000000 N N N N N N CAS 2020-SBT1 1M V/R 02/25/40 N/A 20753VBE7 30000.00000000 NS USD 30107.41000000 0.067328656323 Long ABS-CBDO CORP US Y 2 2040-02-25 Variable 3.79800000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 1608.59000000 0.003597260716 N/A DFE N/A N 1 BANK OF AMERICA, N.A. N/A -225133.32000000 USD 299729.00000000 SGD 2021-03-04 1608.59000000 N N N GARDA WORLD SE 4.625% 02/15/27 N/A 36485MAK5 35000.00000000 NS USD 35350.00000000 0.079052565499 Long DBT CORP CA Y 2 2027-02-15 Fixed 4.62500000 N N N N N N CENTENE CORP 4.25% 12/15/27 549300Z7JJ4TQSQGT333 15135BAR2 20000.00000000 NS USD 21200.00000000 0.047409176480 Long DBT CORP US N 2 2027-12-15 Fixed 4.25000000 N N N N N N BOMFT 2017-RT5 B V/R 05/28/69 N/A 07333AAD2 85000.00000000 NS USD 92337.63000000 0.206492971531 Long ABS-CBDO CORP US Y 2 2069-05-28 Variable 4.00000000 N N N N N N NOVA CHEMICALS 5.25% 06/01/27 N/A 66977WAR0 28000.00000000 NS USD 29834.56000000 0.066718486804 Long DBT CORP CA Y 2 2027-06-01 Fixed 5.25000000 N N N N N N SBA TOWER TRUS 3.869% 10/08/24 N/A 78403DAH3 150000.00000000 NS USD 160394.01000000 0.358686222949 Long DBT CORP US Y 2 2049-10-15 Fixed 3.86900000 N N N N N N BRINK'S CO/THE 5.5% 07/15/25 XFP140TFNOQMIVFTVQ13 109696AB0 45000.00000000 NS USD 48037.50000000 0.107425392225 Long DBT CORP US Y 2 2025-07-15 Fixed 5.50000000 N N N N N N BANCO DE LA V/R 12/05/22/ARS/ 579100JKDKKIJDDJC094 P10215AV6 1000000.00000000 NS 11573.53000000 0.025881675767 Long DBT CORP AR N 2 2022-12-05 Variable 38.15045300 N N N N N N NATIONSTAR MTG H 5.5% 08/15/28 N/A 63861CAC3 35000.00000000 NS USD 36750.00000000 0.082183360172 Long DBT CORP US Y 2 2028-08-15 Fixed 5.50000000 N N N N N N TERVITA CORP 11% 12/01/25 N/A 88159EAA1 30000.00000000 NS USD 32281.20000000 0.072189863575 Long DBT CORP CA Y 2 2025-12-01 Fixed 11.00000000 N N N N N N MCMLT 2019-GS1 M V/R 07/25/59 N/A 59981BAG9 100000.00000000 NS USD 106604.14000000 0.238396909756 Long ABS-CBDO CORP US Y 2 2059-07-25 Variable 3.00000000 N N N N N N UMBS P#AY5580 3.5% 06/01/45 N/A 3138YKFW8 40665.14000000 NS USD 44106.45000000 0.098634456225 Long ABS-MBS USGSE US N 2 2045-06-01 Fixed 3.50000000 N N N N N N FREMF 2018-KW07 V/R 10/25/31 N/A 30297NAE8 25000.00000000 NS USD 25787.54000000 0.057668209191 Long ABS-CBDO CORP US Y 2 2031-10-25 Variable 4.08131000 N N N N N N FGLMC P#Q46050 3% 02/01/47 N/A 3132WKWL8 47292.95000000 NS USD 49767.87000000 0.111294987353 Long ABS-MBS USGA US N 2 2047-02-01 Fixed 3.00000000 N N N N N N UBSCM 2018-C9 XB V/R 03/15/51 N/A 90291JAY3 1000000.00000000 NS USD 25216.70000000 0.056391650026 Long ABS-CBDO CORP US N 2 2051-03-15 Variable 0.32617200 N N N N N N GNMA P#612658 5.5% 06/15/35 N/A 36202XTP2 4002.40000000 NS USD 4443.20000000 0.009936247780 Long ABS-MBS USGSE US N 2 2035-06-15 Fixed 5.50000000 N N N N N N AMHERST COLLEG 3.794% 11/01/42 549300AS419G4Y35BP63 898361AM2 10000.00000000 NS USD 11417.97000000 0.025533799753 Long DBT CORP US N 2 2042-11-01 Fixed 3.79400000 N N N N N N JPMCC 2019-BKWD V/R 09/15/22 N/A 46591JAN6 100000.00000000 NS USD 95234.47000000 0.212971122418 Long ABS-CBDO CORP US Y 2 2029-09-15 Variable 2.75900000 N N N N N N UMBS P#995245 5% 01/01/39 N/A 31416BTA6 17281.70000000 NS USD 20073.50000000 0.044890004909 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.00000000 N N N N N N T/L 1011778 B C 0% 11/19/26 N/A N/A 70494.20000000 NS USD 69486.34000000 0.155391045096 Long LON CORP CA N 2 2026-11-19 Fixed 0.00000000 N N N N N N GNMA P#613880 6% 09/15/33 N/A 36290N6R8 153.90000000 NS USD 172.88000000 0.000386608416 Long ABS-MBS USGSE US N 2 2033-09-15 Fixed 6.00000000 N N N N N N TPMT 2015-2 1B3 V/R 10/25/31 N/A 89171YAG6 100000.00000000 NS USD 100926.13000000 0.225699278711 Long ABS-CBDO CORP US Y 2 2060-11-25 Variable 3.33791100 N N N N N N STACR 2020-DNA6 V/R 12/25/50 N/A 35566CBE4 50000.00000000 NS USD 50734.81000000 0.113457337783 Long ABS-CBDO CORP US Y 2 2050-12-25 Variable 5.72734000 N N N N N N AIR CANADA 201 5.375% 05/15/21 N/A 009089AB9 23111.11000000 NS USD 23164.76000000 0.051802933725 Long DBT CORP CA Y 2 2021-05-15 Fixed 5.37500000 N N N N N N PUERTO RICO CMWLTH 8% 07/01/35 549300X44HXPLJU48U63 74514LE86 100000.00000000 NS USD 68000.00000000 0.152067169843 Long DBT MUN PR N 2 2035-07-01 Fixed 8.00000000 Y N N N N N JETBLUE AIRWAYS CO 4% 11/15/32 N/A 477164AA5 21000.00000000 NS USD 22666.41000000 0.050688482635 Long DBT CORP US N 2 2032-11-15 Fixed 4.00000000 N N N N N N FREMF 2017-K66 B V/R 07/25/27 N/A 35708QAU7 30000.00000000 NS USD 33666.03000000 0.075286733852 Long ABS-CBDO CORP US N 2 2027-07-25 Variable 4.03494500 N N N N N N MCMLT 2019-GS2 M V/R 08/25/59 N/A 59981TAL9 100000.00000000 NS USD 103960.77000000 0.232485589245 Long ABS-CBDO CORP US Y 2 2059-08-25 Variable 3.25000000 N N N N N N JPMCC 2015-JP1 C V/R 12/15/25 N/A 46590KAK0 50000.00000000 NS USD 55428.57000000 0.123953908358 Long ABS-CBDO CORP US N 2 2049-01-15 Variable 4.72233200 N N N N N N REPUBLIC OF PHILIP 5% 01/13/37 N/A 718286BW6 200000.00000000 NS USD 263800.00000000 0.589931167716 Long DBT USGA PH N 2 2037-01-13 Fixed 5.00000000 N N N N N N HOWMET AEROSPA 6.875% 05/01/25 549300HO5WFZUT5N2T22 443201AA6 45000.00000000 NS USD 52650.00000000 0.117740242533 Long DBT CORP US N 2 2025-05-01 Fixed 6.87500000 N N N N N N DOMINICAN REPU 4.875% 09/23/32 N/A 25714PEF1 150000.00000000 NS USD 166126.50000000 0.371505686632 Long DBT USGA DO Y 2 2032-09-23 Fixed 4.87500000 N N N N N N FGLMC P#Q43953 3% 10/01/46 N/A 3132WHMB8 0.00000000 NS USD 0.00000000 0.000000 Long ABS-MBS USGA US N N/A 2046-10-01 Fixed 0.00000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -59.68000000 -0.00013346130 N/A DFE N/A N 1 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 -49830.33000000 USD 795790.35000000 EGP 2021-03-02 -59.68000000 N N N UMBS P#MA0384 5% 04/01/30 N/A 31417YNA1 20300.50000000 NS USD 23031.64000000 0.051505239877 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 5.00000000 N N N N N N CHARLES SCHWAB CORP V/R /PERP/ 549300VSGCJ7E698NM85 808513BJ3 140000.00000000 NS USD 147350.00000000 0.329516139359 Long DBT CORP US N 2 2169-03-01 Variable 4.00000000 N N N N N N CVS PASS-THROU 8.353% 07/10/31 N/A 126659AA9 17220.02000000 NS USD 22773.39000000 0.050927720074 Long DBT CORP US Y 2 2031-07-10 Fixed 8.35300000 N N N N N N ALLIED UNIVERS 6.625% 07/15/26 N/A 019576AA5 45000.00000000 NS USD 47983.50000000 0.107304633002 Long DBT CORP US Y 2 2026-07-15 Fixed 6.62500000 N N N N N N PUT EUR/CALL USD 29JAN2021 1.208 EUR-USD N/A N/A 350000.00000000 NC 1321.47000000 0.002955179454 N/A DFE CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written PUT EUR/CALL USD 29JAN2021 1.208 EUR-USD 0 350000.00000000 EUR 1.20800000 EUR 2021-01-29 XXXX -236.54000000 N N N CMLTI 2018-RP2 A V/R 02/25/58 N/A 17326UAA2 74262.18000000 NS USD 78385.75000000 0.175292634684 Long ABS-CBDO CORP US Y 2 2058-02-25 Variable 3.50000000 N N N N N N MSC 2014-150E 4.012% 09/09/24 N/A 61764BAG8 100000.00000000 NS USD 105784.54000000 0.236564053103 Long ABS-CBDO CORP US Y 2 2032-09-09 Fixed 4.01200000 N N N N N N POWERTEAM SERV 9.033% 12/04/25 N/A 73939VAA2 75000.00000000 NS USD 83445.75000000 0.186608221146 Long DBT CORP US Y 2 2025-12-04 Fixed 9.03300000 N N N N N N FGLMC P#G60045 5.5% 06/01/41 N/A 31335ABN7 7963.68000000 NS USD 9358.91000000 0.020929161125 Long ABS-MBS USGA US N 2 2041-06-01 Fixed 5.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 2946.87000000 0.006590032070 N/A DFE N/A N 1 STATE STREET BANK AND TRUST CO N/A -215459.20000000 USD 16000000.00000000 INR 2021-01-29 2946.87000000 N N N GNMA P#558809 6% 10/15/33 N/A 36213MYE2 1077.68000000 NS USD 1265.00000000 0.002828896615 Long ABS-MBS USGSE US N 2 2033-10-15 Fixed 6.00000000 N N N N N N ENERGY TRANSFER OP 6% 06/15/48 N/A 29278NAE3 35000.00000000 NS USD 41241.63000000 0.092227911085 Long DBT CORP US N 2 2048-06-15 Fixed 6.00000000 N N N N N N DESARROLLADORA HOMEX SAB /MXN/ N/A P35054108 15463.00000000 NS 31.86000000 0.000071247941 Long EC CORP MX N 1 N N N N/A N/A N/A 1.00000000 NC N/A -330.19000000 -0.00073839792 N/A DFE N/A N 1 BROWN BROTHERS HARRIMAN AND CO 5493006KMX1VFTPYPW14 -40000.00000000 EUR 48571.12000000 USD 2021-02-25 -330.19000000 N N N STACR 2018-HQA2 V/R 10/25/48 N/A 35563XAH5 100000.00000000 NS USD 98988.41000000 0.221365990529 Long ABS-CBDO CORP US Y 2 2048-10-25 Variable 2.44800000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -10093.94000000 -0.02257289541 N/A DFE N/A N 1 STATE STREET BANK AND TRUST CO N/A -3595300.32000000 MXN 170099.86000000 USD 2021-01-27 -10093.94000000 N N N TPMT 2017-6 M1 V/R 10/25/57 N/A 89175JAC4 155000.00000000 NS USD 166528.92000000 0.372405611198 Long ABS-CBDO CORP US Y 2 2057-10-25 Variable 3.25000000 N N N N N N UMBS P#BE2316 3.5% 01/01/47 N/A 3140FMSE7 42155.88000000 NS USD 44978.50000000 0.100584605864 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N NYU HOSPITALS 4.428% 07/01/42 N/A 62952EAA5 50000.00000000 NS USD 56202.80000000 0.125685304901 Long DBT CORP US N 2 2042-07-01 Fixed 4.42800000 N N N N N N UMBS P#AS1091 4% 11/01/43 N/A 3138WAF93 21576.87000000 NS USD 23941.87000000 0.053540770759 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4.00000000 N N N N N N FNR 2018-43 SM V/R 06/25/48 N/A 3136B1Z98 50168.46000000 NS USD 7407.98000000 0.016566331659 Long ABS-CBDO CORP US N 2 2048-06-25 Variable 6.05200000 N N N N N N GNMA P#770470 4.5% 07/15/41 N/A 36176MW74 11868.28000000 NS USD 13283.49000000 0.029705628381 Long ABS-MBS USGSE US N 2 2041-07-15 Fixed 4.50000000 N N N N N N GFL ENVIRONMENTAL 4% 08/01/28 549300FYK4MBXWIVZU26 36168QAL8 15000.00000000 NS USD 15112.50000000 0.033795810356 Long DBT CORP CA Y 2 2028-08-01 Fixed 4.00000000 N N N N N N UMBS P#AU8807 4% 11/01/43 N/A 3138X8YD7 27383.51000000 NS USD 30182.65000000 0.067496914174 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4.00000000 N N N N N N FNMA 30YR TBA 3.5% JAN 21 N/A 01F032617 401000.00000000 NS USD 423869.53000000 0.947891761912 Long ABS-MBS USGA US N 2 2051-01-01 Fixed 3.50000000 N N N N N N TPMT 2017-6 A2 V/R 10/25/57 N/A 89175JAB6 165000.00000000 NS USD 175622.90000000 0.392742314157 Long ABS-CBDO CORP US Y 2 2057-10-25 Variable 3.00000000 N N N N N N FGLMC P#Q45370 3% 12/01/46 N/A 3132WJ6G1 14631.40000000 NS USD 15405.13000000 0.034450213531 Long ABS-MBS USGA US N 2 2046-12-01 Fixed 3.00000000 N N N N N N TRICIDA INC 3.5% 05/15/27 549300QVPFFJC8SZXG25 89610FAA9 75000.00000000 NS USD 37604.84000000 0.084095023400 Long DBT CORP US Y 2 2027-05-15 Fixed 3.50000000 N N N N N TRICIDA INC USD XXXX N N N N/A N/A N/A 1.00000000 NC N/A 27616.76000000 0.061758860786 N/A DFE N/A N 1 THE BANK OF NEW YORK MELLON HPFHU0OQ28E4N0NFVK49 -313615.35000000 USD 2930100.41000000 NOK 2021-02-02 27616.76000000 N N N CARNIVAL CORP 7.625% 03/01/26 F1OF2ZSX47CR0BCWA982 143658BL5 15000.00000000 NS USD 16342.35000000 0.036546101663 Long DBT CORP US Y 2 2026-03-01 Fixed 7.62500000 N N N N N N BAUSCH HEALTH AM 8.5% 01/31/27 N/A 91911XAW4 7000.00000000 NS USD 7785.19000000 0.017409879558 Long DBT CORP US Y 2 2027-01-31 Fixed 8.50000000 N N N N N N GENERAL ELECTRI 4.25% 05/01/40 3C7474T6CDKPR9K6YT90 369604BX0 50000.00000000 NS USD 59110.28000000 0.132187249827 Long DBT CORP US N 2 2040-05-01 Fixed 4.25000000 N N N N N N SUMMIT MATERIAL 5.25% 01/15/29 N/A 86614RAN7 5000.00000000 NS USD 5250.00000000 0.011740480024 Long DBT CORP US Y 2 2029-01-15 Fixed 5.25000000 N N N N N N WILLIAMS COMPANI 7.5% 01/15/31 D71FAKCBLFS2O0RBPG08 969457BB5 95000.00000000 NS USD 129143.27000000 0.288800758430 Long DBT CORP US N 2 2031-01-15 Fixed 7.50000000 N N N N N N UMBS P#BH1439 4% 04/01/47 N/A 3140GPS58 19830.65000000 NS USD 21642.15000000 0.048397948526 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N GSMS 2020-DUNE G V/R 12/15/21 N/A 36258BAW8 100000.00000000 NS USD 82622.84000000 0.184767962400 Long ABS-CBDO CORP US Y 2 2036-12-15 Variable 4.15863000 N N N N N N GNMA II P#AL9912 3.5% 04/20/45 N/A 36184JAM2 8575.18000000 NS USD 9486.42000000 0.021214309431 Long ABS-MBS USGSE US N 2 2045-04-20 Fixed 3.50000000 N N N N N N UMBS TBA 30YR 2% FEB 21 N/A 01F020620 130000.00000000 NS USD 134814.63000000 0.301483518200 Long ABS-MBS USGA US N 2 2051-02-01 Fixed 2.00000000 N N N N N N MPT OPER PARTNER 3.5% 03/15/31 N/A 55342UAM6 65000.00000000 NS USD 67112.50000000 0.150082469648 Long DBT CORP US N 2 2031-03-15 Fixed 3.50000000 N N N N N N EMIR 2019-1 B1 V/R 04/25/29 N/A 269822AD4 150000.00000000 NS USD 147172.65000000 0.329119534763 Long ABS-CBDO CORP US Y 2 2029-04-25 Variable 4.64800000 N N N N N N F/C US 10YR NOTE (CBT)MAR21 N/A N/A -4.00000000 NC USD -552312.50000000 -1.23512645212 N/A DIR CORP US N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Short F/C US 10YR NOTE (CBT)MAR21 US 10YR NOTE (CBT)MAR21 2021-03-22 551585.94000000 USD -726.56000000 N N N GNMA P#796211 4% 04/15/42 N/A 36177Q3V3 101550.26000000 NS USD 108137.91000000 0.241826851860 Long ABS-MBS USGSE US N 2 2042-04-15 Fixed 4.00000000 N N N N N N UMBS P#MA4237 2% 01/01/51 N/A 31418DV74 770000.00000000 NS USD 799940.85000000 1.788893251497 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.00000000 N N N N N N CCO HLDGS LLC/C 4.75% 03/01/30 N/A 1248EPCD3 50000.00000000 NS USD 53950.00000000 0.120647409015 Long DBT CORP US Y 2 2030-03-01 Fixed 4.75000000 N N N N N N BANCO DE CREDITO V/R 09/16/26 N/A 05954TAH4 43000.00000000 NS USD 44827.93000000 0.100247888897 Long DBT CORP PA Y 2 2026-09-16 Variable 6.87500000 N N N N N N NRG ENERGY INC 3.375% 02/15/29 5E2UPK5SW04M13XY7I38 629377CQ3 15000.00000000 NS USD 15357.00000000 0.034342581283 Long DBT CORP US Y 2 2029-02-15 Fixed 3.37500000 N N N N N N FREMF 2020-K106 V/R 02/25/30 N/A 30313WAE8 50000.00000000 NS USD 55202.13000000 0.123447524682 Long ABS-CBDO CORP US Y 2 2053-03-25 Variable 3.58464700 N N N N N N NRZT 2019-RPL2 A V/R 02/25/59 N/A 64830HAA2 81755.35000000 NS USD 86634.74000000 0.193739701793 Long ABS-CBDO CORP US Y 2 2059-02-25 Variable 3.25000000 N N N N N N GNR 2019-121 SA V/R 10/20/49 N/A 38382AAB1 325750.68000000 NS USD 28992.49000000 0.064835380897 Long ABS-CBDO CORP US N 2 2049-10-20 Variable 3.19837000 N N N N N N LEXINGTON REALTY 2.7% 09/15/30 549300S4MH2ICXDBFV43 529043AE1 40000.00000000 NS USD 41639.18000000 0.093116944958 Long DBT CORP US N 2 2030-09-15 Fixed 2.70000000 N N N N N N PUT EUR/CALL USD 04JUNE2021 1.11 EUR-USD N/A N/A 175000.00000000 NC 120.52000000 0.000269516695 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 -2775.63000000 N N N UMBS P#CA3805 3% 07/01/49 N/A 3140QBGP7 4161.86000000 NS USD 4528.41000000 0.010126801361 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 3.00000000 N N N N N N LOGMEIN INC 5.5% 09/01/27 N/A 541056AA5 45000.00000000 NS USD 47137.50000000 0.105412738507 Long DBT CORP US Y 2 2027-09-01 Fixed 5.50000000 N N N N N N INSMED INC 1.75% 01/15/25 529900Q55QAG41CCAC11 457669AA7 54000.00000000 NS USD 60599.42000000 0.135517386670 Long DBT CORP US N 2 2025-01-15 Fixed 1.75000000 N N N N N INSMED INC USD XXXX N N N UBS GROUP AG V/R /PERP/ 549300SZJ9VS8SGXAN81 90352JAF0 200000.00000000 NS USD 219250.00000000 0.490304808650 Long DBT CORP CH Y 2 2169-07-31 Variable 7.00000000 N N N N N N GNMA P#594118 6% 09/15/33 N/A 36201VAT9 637.76000000 NS USD 716.30000000 0.001601848731 Long ABS-MBS USGSE US N 2 2033-09-15 Fixed 6.00000000 N N N N N N ALTA WIND HOLD 7% 06/30/35 N/A 021345AA1 46723.66000000 NS USD 54908.45000000 0.122790773411 Long DBT CORP US Y 2 2035-06-30 Fixed 7.00000000 N N N N N N NRG ENERGY INC 4.45% 06/15/29 5E2UPK5SW04M13XY7I38 629377CL4 200000.00000000 NS USD 231929.72000000 0.518660237103 Long DBT CORP US Y 2 2029-06-15 Fixed 4.45000000 N N N N N N DANSKE BANK A/S V/R /PERP/ MAES062Z21O4RZ2U7M96 K222736J8 210000.00000000 NS USD 221812.50000000 0.496035281043 Long DBT CORP DK N 2 2168-09-28 Variable 6.12500000 N N N N N N CENOVUS ENERGY 6.75% 11/15/39 549300EIRQ0Z2B9C1W06 15135UAF6 275000.00000000 NS USD 363575.98000000 0.813058386790 Long DBT CORP CA N 2 2039-11-15 Fixed 6.75000000 N N N N N N DCP MIDSTREAM OP 5.6% 04/01/44 N/A 23311VAF4 16000.00000000 NS USD 16499.52000000 0.036897578090 Long DBT CORP US N 2 2044-04-01 Fixed 5.60000000 N N N N N N FNMA 30YR TBA 4.0% JAN 21 N/A 01F040610 290000.00000000 NS USD 309710.94000000 0.692600972285 Long ABS-MBS USGA US N 2 2051-01-01 Fixed 4.00000000 N N N N N N KCM 2019-S2 A 3.469% 02/15/29 N/A 49307XAC8 50000.00000000 NS USD 54187.95000000 0.121179532296 Long ABS-CBDO CORP US Y 2 2052-06-15 Fixed 3.46930000 N N N N N N ENLINK MIDSTREAM 5.6% 04/01/44 N/A 29336UAC1 34000.00000000 NS USD 27285.00000000 0.061016951899 Long DBT CORP US N 2 2044-04-01 Fixed 5.60000000 N N N N N N CALL EUR/PUT USD MAR21 1.198 N/A N/A -330000.00000000 NC USD -8472.42000000 -0.01894671957 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 -3332.45000000 N N N T/L KUEHG CORP 0% 02/21/25 N/A 48244EAJ3 71484.30000000 NS USD 68196.02000000 0.152505525823 Long LON CORP US N 2 2025-02-21 Fixed 0.00000000 N N N N N N YPF SOCIED 16.5% 05/09/22/ARS/ N/A 984245AP5 175000.00000000 NS 1456.86000000 0.003257949662 Long DBT CORP AR Y 2 2022-05-09 Fixed 16.50000000 N N N N N N UMBS P#BM1057 4% 04/01/47 N/A 3140J5E70 29381.03000000 NS USD 32143.42000000 0.071881748654 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N GNMA II P#MA2224 4% 09/20/44 N/A 36179QPH8 24491.93000000 NS USD 27028.45000000 0.060443233775 Long ABS-MBS USGSE US N 2 2044-09-20 Fixed 4.00000000 N N N N N N SEMT 2013-5 A2 V/R 05/25/43 N/A 81745AAB3 96347.28000000 NS USD 97878.80000000 0.218884589760 Long ABS-CBDO CORP US Y 2 2043-05-25 Variable 3.00000000 N N N N N N GOL LINHAS AEREAS 8% 6/30/26 N/A 36254VAC2 110000.00000000 NS USD 108487.50000000 0.242608633653 Long DBT CORP LU N 2 2026-06-30 Fixed 8.00000000 N N N N N N GARDA WORLD SECU 9.5% 11/01/27 N/A 36257BAA7 38000.00000000 NS USD 42085.00000000 0.094113924159 Long DBT CORP CA Y 2 2027-11-01 Fixed 9.50000000 N N N N N N FREEPORT-MCMORA 5.45% 03/15/43 549300IRDTHJQ1PVET45 35671DBC8 168000.00000000 NS USD 209160.00000000 0.467740724183 Long DBT CORP US N 2 2043-03-15 Fixed 5.45000000 N N N N N N MOLINA HEALTHC 4.375% 06/15/28 549300NQQCEQ46YHZ591 60855RAJ9 15000.00000000 NS USD 15787.50000000 0.035305300645 Long DBT CORP US Y 2 2028-06-15 Fixed 4.37500000 N N N N N N PENSKE AUTOMOTIV 3.5% 09/01/25 549300W7UTQ0M4C7LB15 70959WAJ2 30000.00000000 NS USD 30487.50000000 0.068178644714 Long DBT CORP US N 2 2025-09-01 Fixed 3.50000000 N N N N N N VALERO ENERGY 6.625% 06/15/37 549300XTO5VR8SKV1V74 91913YAL4 79000.00000000 NS USD 105084.77000000 0.234999170111 Long DBT CORP US N 2 2037-06-15 Fixed 6.62500000 N N N N N N ENERGIZER HOLDI 4.75% 06/15/28 5493000D6NN0V57UME20 29272WAC3 25000.00000000 NS USD 26312.50000000 0.058842167742 Long DBT CORP US Y 2 2028-06-15 Fixed 4.75000000 N N N N N N ENERGY TRANSFER 6.5% 02/01/42 N/A 29273RAR0 21000.00000000 NS USD 25619.70000000 0.057292871635 Long DBT CORP US N 2 2042-02-01 Fixed 6.50000000 N N N N N N MARRIOTT INTERNA 3.5% 10/15/32 225YDZ14ZO8E1TXUSU86 571903BF9 180000.00000000 NS USD 196845.15000000 0.440201247910 Long DBT CORP US N 2 2032-10-15 Fixed 3.50000000 N N N N N N LUMEN TECHNOLOGI 4.5% 01/15/29 8M3THTGWLTYZVE6BBY25 156700BD7 45000.00000000 NS USD 45787.50000000 0.102393757929 Long DBT CORP US Y 2 2029-01-15 Fixed 4.50000000 N N N N N N GNR 2020-9 SA V/R 01/20/50 N/A 38382CAZ4 254279.87000000 NS USD 21817.90000000 0.048790975072 Long ABS-CBDO CORP US N 2 2050-01-20 Variable 3.19837000 N N N N N N PLAINS ALL AMER 4.9% 02/15/45 N/A 72650RBH4 45000.00000000 NS USD 47758.27000000 0.106800955228 Long DBT CORP US N 2 2045-02-15 Fixed 4.90000000 N N N N N N GENERAL MOTORS FINL V/R /PERP/ N/A 37045XDB9 20000.00000000 NS USD 22050.00000000 0.049310016103 Long DBT CORP US N 2 2169-03-30 Variable 5.70000000 N N N N N N REGIONALCARE/LI 9.75% 12/01/26 N/A 53219LAR0 13000.00000000 NS USD 14300.00000000 0.031978831305 Long DBT CORP US Y 2 2026-12-01 Fixed 9.75000000 N N N N N N HILTON DOMESTIC OP 4% 05/01/31 N/A 432833AL5 40000.00000000 NS USD 42204.40000000 0.094380936219 Long DBT CORP US Y 2 2031-05-01 Fixed 4.00000000 N N N N N N UMBS P#AE0625 4% 12/01/40 N/A 31419AVT1 6413.36000000 NS USD 7250.55000000 0.016214273798 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.00000000 N N N N N N GNMA P#604476 6% 07/15/33 N/A 36200MQ55 961.14000000 NS USD 1132.05000000 0.002531582935 Long ABS-MBS USGSE US N 2 2033-07-15 Fixed 6.00000000 N N N N N N ENABLE MIDSTREAM 4.4% 03/15/27 N/A 292480AK6 70000.00000000 NS USD 70637.97000000 0.157966414432 Long DBT CORP US N 2 2027-03-15 Fixed 4.40000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A -2089.93000000 -0.00467367265 N/A DFE N/A N 1 BROWN BROTHERS HARRIMAN AND CO 5493006KMX1VFTPYPW14 -93696.23000000 EUR 420000.00000000 PLN 2021-02-23 -2089.93000000 N N N COMM 2012-CR4 3.251% 10/15/22 N/A 12624QAT0 25000.00000000 NS USD 25221.21000000 0.056401735657 Long ABS-CBDO CORP US N 2 2045-10-15 Fixed 3.25100000 N N N N N N REPUBLIC OF PE 2.783% 01/23/31 N/A 715638DF6 20000.00000000 NS USD 21930.20000000 0.049042109530 Long DBT USGA PE N 2 2031-01-23 Fixed 2.78300000 N N N N N N US TIPS 1% 02/15/49 N/A 912810SG4 383903.38000000 NS USD 540324.01000000 1.208316808812 Long DBT UST US N 2 2049-02-15 Fixed 1.00000000 N N N N N N SUNOCO LOGISTICS 6.1% 02/15/42 N/A 86765BAK5 19000.00000000 NS USD 21984.88000000 0.049164389425 Long DBT CORP US N 2 2042-02-15 Fixed 6.10000000 N N N N N N STACR 2020-DNA3 V/R 06/25/50 N/A 35565WBD3 80000.00000000 NS USD 83103.98000000 0.185843927078 Long ABS-CBDO CORP US Y 2 2050-06-25 Variable 5.24800000 N N N N N N COMM 2015-CR24 D V/R 08/10/25 N/A 12593JBL9 100000.00000000 NS USD 88779.44000000 0.198535855604 Long ABS-CBDO CORP US N 2 2048-08-10 Variable 3.46300000 N N N N N N TPMT 2017-2 M2 V/R 04/25/57 N/A 89173HAD8 100000.00000000 NS USD 109733.49000000 0.245395018549 Long ABS-CBDO CORP US Y 2 2057-04-25 Variable 3.75000000 N N N N N N DELTA AIR LINES 20 2% 06/10/28 N/A 247361ZV3 10671.13000000 NS USD 10648.45000000 0.023812936098 Long DBT CORP US N 2 2028-06-10 Fixed 2.00000000 N N N N N N FINANCE AMER 2.0% 09/25/69 N/A 31739LAA4 138429.29000000 NS USD 146274.04000000 0.327109989476 Long ABS-CBDO CORP US Y 2 2069-09-25 Fixed 2.00000000 N N N N N N BMARK 2020-IG3 B V/R 04/15/30 N/A 08162QAN9 100000.00000000 NS USD 108685.55000000 0.243051529285 Long ABS-CBDO CORP US Y 2 2048-09-15 Variable 3.38741600 N N N N N N JPMCC 2020-LOOP V/R 12/05/26 N/A 46651WAL8 100000.00000000 NS USD 78027.05000000 0.174490480363 Long ABS-CBDO CORP US Y 2 2038-12-05 Variable 3.86147000 N N N N N N STACR 2020-DNA4 V/R 08/25/50 N/A 35565XBD1 70000.00000000 NS USD 74281.07000000 0.166113413056 Long ABS-CBDO CORP US Y 2 2050-08-25 Variable 6.14800000 N N N N N N CMLTI 2020-EXP2 2.5% 08/25/50 N/A 17328PAQ6 108486.50000000 NS USD 112088.59000000 0.250661686074 Long ABS-CBDO CORP US Y 2 2050-08-25 Fixed 2.50000000 N N N N N N UNITED MEXICAN STA 5% 04/27/51 N/A 91087BAL4 200000.00000000 NS USD 249000.00000000 0.556834195456 Long DBT USGA MX N 2 2051-04-27 Fixed 5.00000000 N N N N N N PROG 2018-SFR 5.368% 10/17/23 N/A 74331MAF3 100000.00000000 NS USD 102182.54000000 0.228508965665 Long ABS-CBDO CORP US Y 2 2035-10-17 Fixed 5.36800000 N N N N N N CD&R SMOKEY BUY 6.75% 07/15/25 N/A 12510CAA9 5000.00000000 NS USD 5343.75000000 0.011950131453 Long DBT CORP US Y 2 2025-07-15 Fixed 6.75000000 N N N N N N JPMCC 2018-WP 4.548% 07/05/23 N/A 46645WBA0 50000.00000000 NS USD 52060.96000000 0.116422983037 Long ABS-CBDO CORP US Y 2 2033-07-05 Fixed 4.54870000 N N N N N N UMBS P#AZ3804 3% 05/01/46 N/A 3138YVGN3 0.00000000 NS USD 0.00000000 0.000000 Long ABS-MBS USGSE US N N/A 2046-05-01 Fixed 0.00000000 N N N N N N GNR 2012-130 PA 3% 04/20/41 N/A 38378GJK5 5700.57000000 NS USD 5823.11000000 0.013022115549 Long ABS-CBDO CORP US N 2 2041-04-20 Fixed 3.00000000 N N N N N N GNMA P#AA8385 4% 03/15/44 N/A 36178GJ62 5255.51000000 NS USD 5679.68000000 0.012701365635 Long ABS-MBS USGSE US N 2 2044-03-15 Fixed 4.00000000 N N N N N N GNMA II P#784449 V/R 09/20/44 N/A 3622A25J7 21446.24000000 NS USD 22732.96000000 0.050837307196 Long ABS-MBS USGSE US N 2 2044-09-20 Fixed 4.50000000 N N N N N N BRITISH AIR 19- 3.35% 06/15/29 N/A 11043XAB9 23790.63000000 NS USD 22546.09000000 0.050419413196 Long DBT CORP GB Y 2 2029-06-15 Fixed 3.35000000 N N N N N N BANK OF AMERICA CORP PREFERRED N/A 060505682 106.00000000 NS USD 160969.48000000 0.359973136100 Long EP CORP US N 1 N N N VISTRA CORP 3.7% 01/30/27 N/A 92840VAG7 150000.00000000 NS USD 165402.94000000 0.369887602494 Long DBT CORP US Y 2 2027-01-30 Fixed 3.70000000 N N N N N N FARMERS INS EXCH V/R 11/01/57 549300UWG2TLX1GZVT44 309601AE2 120000.00000000 NS USD 128357.18000000 0.287042839583 Long DBT CORP US Y 2 2057-11-01 Variable 4.74700000 N N N N N N FNR 2019-41 PS V/R 08/25/49 N/A 3136B5SU0 58288.94000000 NS USD 7406.61000000 0.016563267953 Long ABS-CBDO CORP US N 2 2049-08-25 Variable 5.90200000 N N N N N N T/L STAPLES INC 0% 09/12/24 N/A 855031AR1 14775.00000000 NS USD 14541.07000000 0.032517931785 Long LON CORP US N 2 2024-09-12 Fixed 0.00000000 N N N N N N COMM 2015-DC1 B V/R 01/10/25 N/A 12629NAJ4 75000.00000000 NS USD 78672.17000000 0.175933150549 Long ABS-CBDO CORP US N 2 2048-02-10 Variable 4.03500000 N N N N N N GNMA P#615243 6% 06/15/33 N/A 36290RP49 1053.33000000 NS USD 1238.07000000 0.002768673543 Long ABS-MBS USGSE US N 2 2033-06-15 Fixed 6.00000000 N N N N N N HIGHWOODS REAL 4.125% 03/15/28 N/A 431282AQ5 45000.00000000 NS USD 50614.59000000 0.113188491971 Long DBT CORP US N 2 2028-03-15 Fixed 4.12500000 N N N N N N STACR 2018-HQA2 V/R 10/25/48 N/A 35563XBD3 150000.00000000 NS USD 153369.62000000 0.342977706667 Long ABS-CBDO CORP US Y 2 2048-10-25 Variable 4.39800000 N N N N N N BOEING CO 3.75% 02/01/50 RVHJWBXLJ1RFUBSY1F30 097023CQ6 237000.00000000 NS USD 249226.79000000 0.557341361831 Long DBT CORP US N 2 2050-02-01 Fixed 3.75000000 N N N N N N SIMON PROPERTY 3.25% 09/13/49 N/A 828807DH7 40000.00000000 NS USD 40966.55000000 0.091612754658 Long DBT CORP US N 2 2049-09-13 Fixed 3.25000000 N N N N N N PAR PHARMACEUTIC 7.5% 04/01/27 N/A 69888XAA7 31000.00000000 NS USD 33635.00000000 0.075217342024 Long DBT CORP US Y 2 2027-04-01 Fixed 7.50000000 N N N N N N IVORY COA 5.875% 10/17/31/EUR/ N/A N/A 100000.00000000 NS 134823.11000000 0.301502481870 Long DBT USGA CI Y 2 2031-10-17 Fixed 5.87500000 N N N N N N UMBS P#AL5543 4.5% 06/01/44 N/A 3138ENER6 55336.79000000 NS USD 61926.12000000 0.138484261879 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 4.50000000 N N N N N N STICHTING AK RA 0% /PERP//EUR/ DG3RU1DBUFHT4ZF9WN62 N22634XZ2 283676.00000000 NS 458109.71000000 1.024462457023 Long DBT CORP NL N 2 2169-03-29 Variable 6.50000000 N N N N N N EDGEWELL PERSONA 5.5% 06/01/28 549300CY8QZDL4Z3RU59 28035QAA0 55000.00000000 NS USD 59108.50000000 0.132183269245 Long DBT CORP US Y 2 2028-06-01 Fixed 5.50000000 N N N N N N N/A N/A N/A 1.00000000 NC N/A 9053.37000000 0.020245887550 N/A DFE N/A N 1 THE BANK OF NEW YORK MELLON HPFHU0OQ28E4N0NFVK49 -170109.73000000 EUR 1861465.00000000 NOK 2021-01-07 9053.37000000 N N N FNR 2012-14 SP V/R 08/25/41 N/A 3136A4WQ8 61646.70000000 NS USD 8123.72000000 0.018166928073 Long ABS-CBDO CORP US N 2 2041-08-25 Variable 6.40200000 N N N N N N GNMA P#796299 3.5% 10/15/42 N/A 36177Q7M9 8372.02000000 NS USD 8924.78000000 0.019958324059 Long ABS-MBS USGSE US N 2 2042-10-15 Fixed 3.50000000 N N N N N N GNMA P#771507 4% 12/15/41 N/A 36176N3Q2 3425.69000000 NS USD 3687.14000000 0.008245484479 Long ABS-MBS USGSE US N 2 2041-12-15 Fixed 4.00000000 N N N N N N SUNOCO LOGISTICS 5.4% 10/01/47 N/A 86765BAV1 38000.00000000 NS USD 42458.71000000 0.094949645072 Long DBT CORP US N 2 2047-10-01 Fixed 5.40000000 N N N N N N WESTERN GLOBA 10.375% 08/15/25 N/A 958278AA1 60000.00000000 NS USD 66900.00000000 0.149607259743 Long DBT CORP US Y 2 2025-08-15 Fixed 10.37500000 N N N N N N CLEVELAND-CLIFF 6.75% 03/15/26 549300TM2WLI2BJMDD86 185899AG6 20000.00000000 NS USD 21600.00000000 0.048303689244 Long DBT CORP US Y 2 2026-03-15 Fixed 6.75000000 N N N N N N TEVA PHARMACEUT 3.15% 10/01/26 N/A 88167AAE1 142000.00000000 NS USD 136498.92000000 0.305250065457 Long DBT CORP NL N 2 2026-10-01 Fixed 3.15000000 N N N N N N CSAIL 2015-C4 D V/R 11/15/25 N/A 12635RBE7 25000.00000000 NS USD 23870.88000000 0.053382017107 Long ABS-CBDO CORP US N 2 2048-11-15 Variable 3.56289700 N N N N N N SCRIPPS ESCROW 3.875% 01/15/29 N/A 81105DAA3 10000.00000000 NS USD 10392.65000000 0.023240895186 Long DBT CORP US Y 2 2029-01-15 Fixed 3.87500000 N N N N N N JBS USA/FOOD/FIN 5.5% 01/15/30 N/A 46590XAB2 39000.00000000 NS USD 44801.64000000 0.100189097046 Long DBT CORP US Y 2 2030-01-15 Fixed 5.50000000 N N N N N N JPMMT 2018-LTV1 V/R 04/25/49 N/A 465964AC8 43408.99000000 NS USD 44181.22000000 0.098801663024 Long ABS-CBDO CORP US Y 2 2049-04-25 Variable 4.50000000 N N N N N N STACR 2020-HQA5 V/R 11/25/50 N/A 35565TBD0 100000.00000000 NS USD 101745.30000000 0.227531173763 Long ABS-CBDO CORP US Y 2 2050-11-25 Variable 4.08167000 N N N N N N FNR 2009-36 HX 4.5% 06/25/29 N/A 31397NR31 3112.34000000 NS USD 3277.60000000 0.007329637586 Long ABS-MBS USGSE US N 2 2029-06-25 Fixed 4.50000000 N N N N N N CVS HEALTH CORP AMRTZ 6.036%28 N/A 126650BP4 51610.06000000 NS USD 59959.44000000 0.134086210973 Long DBT CORP US N 2 2028-12-10 Fixed 6.03600000 N N N N N N FGLMC P#A89784 5% 11/01/39 N/A 3129362R7 15982.58000000 NS USD 18590.83000000 0.041574336810 Long ABS-MBS USGA US N 2 2039-11-01 Fixed 5.00000000 N N N N N N CLEVELAND-CLIF 9.875% 10/17/25 549300TM2WLI2BJMDD86 185899AJ0 10000.00000000 NS USD 11762.50000000 0.026304265960 Long DBT CORP US Y 2 2025-10-17 Fixed 9.87500000 N N N N N N FNR 2019-33 S V/R 07/25/49 N/A 3136B47J1 69449.52000000 NS USD 12215.39000000 0.027317055674 Long ABS-CBDO CORP US N 2 2049-07-25 Variable 5.90200000 N N N N N N NCR CORP 5.25% 10/01/30 549300YKTY8JX1DV2R67 62886EAZ1 10000.00000000 NS USD 10725.00000000 0.023984123479 Long DBT CORP US Y 2 2030-10-01 Fixed 5.25000000 N N N N N N SMITHFIELD FOODS 5.2% 04/01/29 N/A 832248BB3 7000.00000000 NS USD 8334.04000000 0.018637262884 Long DBT CORP US Y 2 2029-04-01 Fixed 5.20000000 N N N N N N PATTERN ENERGY O 4.5% 08/15/28 N/A 70339PAA7 10000.00000000 NS USD 10550.00000000 0.023592774144 Long DBT CORP US Y 2 2028-08-15 Fixed 4.50000000 N N N N N N CAESARS ENTERTA 6.25% 07/01/25 549300FA4CTCW903Y781 28470RAH5 40000.00000000 NS USD 42600.00000000 0.095265609343 Long DBT CORP US Y 2 2025-07-01 Fixed 6.25000000 N N N N N N GNR 2019-159 CI 3.5% 12/20/49 N/A 38382BHB2 235317.94000000 NS USD 25676.11000000 0.057419020298 Long ABS-CBDO CORP US N 2 2049-12-20 Fixed 3.50000000 N N N N N N PHILLIPS 66 PAR 3.75% 03/01/28 N/A 718549AF5 125000.00000000 NS USD 135612.14000000 0.303266975385 Long DBT CORP US N 2 2028-03-01 Fixed 3.75000000 N N N N N N STANDARD INDUS 4.375% 07/15/30 N/A 853496AG2 68000.00000000 NS USD 72741.64000000 0.162670813596 Long DBT CORP US Y 2 2030-07-15 Fixed 4.37500000 N N N N N N UMBS P#FM1637 4.5% 05/01/49 N/A 3140X4ZB5 128881.14000000 NS USD 142168.11000000 0.317927972495 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.50000000 N N N N N N UMBS P#AS1626 4.5% 02/01/44 N/A 3138WAYY7 0.00000000 NS USD 0.00000000 0.000000 Long ABS-MBS USGSE US N N/A 2044-02-01 Fixed 0.00000000 N N N N N N T/L REGIONALCARE H 0% 11/16/25 N/A 75915TAD4 46883.23000000 NS USD 46851.11000000 0.104772289731 Long LON CORP US N 2 2025-11-16 Fixed 0.00000000 N N N N N N FNMA TBA 30YR TBA 3% FEB21 N/A 01F030629 200000.00000000 NS USD 209726.56000000 0.469007712062 Long ABS-MBS USGA US N 2 2051-02-01 Fixed 3.00000000 N N N N N N ENLINK MIDSTRE 5.375% 06/01/29 54930000GY1H533OBE23 29336TAA8 4000.00000000 NS USD 3890.00000000 0.008699136627 Long DBT CORP US N 2 2029-06-01 Fixed 5.37500000 N N N N N N GNMA P#AI8459 4% 09/15/44 N/A 36198VMG9 12391.43000000 NS USD 13391.68000000 0.029947571721 Long ABS-MBS USGSE US N 2 2044-09-15 Fixed 4.00000000 N N N N N N EXPEDIA GROUP I 3.25% 02/15/30 N/A 30212PAR6 121000.00000000 NS USD 125929.66000000 0.281614220523 Long DBT CORP US N 2 2030-02-15 Fixed 3.25000000 N N N N N N JBS USA LUX/JBS 6.75% 02/15/28 N/A 472141AA8 50000.00000000 NS USD 56175.00000000 0.125623136264 Long DBT CORP US Y 2 2028-02-15 Fixed 6.75000000 N N N N N N INDONESIA 6.125% 05/15/28/IDR/ N/A Y39814HQ7 1784000000.00000000 NS 128663.86000000 0.287728662519 Long DBT USGA ID N 2 2028-05-15 Fixed 6.12500000 N N N N N N BACARDI LTD 5.3% 05/15/48 549300R32WTQNHNN5055 067316AH2 200000.00000000 NS USD 277431.11000000 0.620414172415 Long DBT CORP BM Y 2 2048-05-15 Fixed 5.30000000 N N N N N N TPMT 2017-3 M2 V/R 07/25/57 N/A 89169DAD3 150000.00000000 NS USD 162557.85000000 0.363525179196 Long ABS-CBDO CORP US Y 2 2057-07-25 Variable 3.75000000 N N N N N N TPMT 2020-2 M1B V/R 04/25/60 N/A 89176UAV6 100000.00000000 NS USD 103874.06000000 0.232291681240 Long ABS-CBDO CORP US Y 2 2060-04-25 Variable 3.00000000 N N N N N N TPMT 2017-4 B1 V/R 06/25/57 N/A 89173UAE7 175000.00000000 NS USD 184746.40000000 0.413145032158 Long ABS-CBDO CORP US Y 2 2057-06-25 Variable 3.51890000 N N N N N N CSMC 2015-1 B4 V/R 12/25/35 N/A 12649NAV3 35303.48000000 NS USD 36687.06000000 0.082042608589 Long ABS-CBDO CORP US Y 2 2045-01-25 Variable 3.94206900 N N N N N N CHARLES SCHWAB CORP V/R /PERP/ 549300VSGCJ7E698NM85 808513BD6 43000.00000000 NS USD 47891.25000000 0.107098335996 Long DBT CORP US N 2 2169-09-01 Variable 5.37500000 N N N N N N STACR 2020-DNA4 V/R 08/25/50 N/A 35565XBE9 40000.00000000 NS USD 48039.36000000 0.107429551710 Long ABS-CBDO CORP US Y 2 2050-08-25 Variable 10.14800000 N N N N N N CENTENE CORP 4.625% 12/15/29 549300Z7JJ4TQSQGT333 15135BAT8 35000.00000000 NS USD 38857.35000000 0.086895988854 Long DBT CORP US N 2 2029-12-15 Fixed 4.62500000 N N N N N N HCA INC 3.5% 09/01/30 N/A 404119CA5 76000.00000000 NS USD 80755.79000000 0.180592712261 Long DBT CORP US N 2 2030-09-01 Fixed 3.50000000 N N N N N N LEGACY LIFEPOIN 6.75% 04/15/25 N/A 53219LAT6 20000.00000000 NS USD 21476.20000000 0.048026837544 Long DBT CORP US Y 2 2025-04-15 Fixed 6.75000000 N N N N N N CFCRE 2016-C3 3.597% 11/10/25 N/A 12531WBA9 40000.00000000 NS USD 44288.06000000 0.099040587383 Long ABS-CBDO CORP US N 2 2048-01-10 Fixed 3.59700000 N N N N N N KB HOME 6.875% 06/15/27 549300LGUCWQURMWLG09 48666KAX7 9000.00000000 NS USD 10552.50000000 0.023598364849 Long DBT CORP US N 2 2027-06-15 Fixed 6.87500000 N N N N N N GNMA P#604946 5.5% 01/15/34 N/A 36200NBP5 2887.64000000 NS USD 3331.70000000 0.007450620437 Long ABS-MBS USGSE US N 2 2034-01-15 Fixed 5.50000000 N N N N N N F/C EURO-BOBL FUTURE MAR21 N/A N/A -9.00000000 NC -1485614.64000000 -3.32225314386 N/A DIR CORP DE N 1 CITIGROUP GLOBAL MARKETS LIMIT XKZZ2JZF41MRHTR1V493 Short F/C EURO-BOBL FUTURE MAR21 EURO-BOBL FUTURE MAR21 /EUR/ 2021-03-08 1483746.36000000 EUR -1868.28000000 N N N BALL CORP 2.875% 08/15/30 0BGI85ALH27ZJP15DY16 058498AW6 100000.00000000 NS USD 99750.00000000 0.223069120469 Long DBT CORP US N 2 2030-08-15 Fixed 2.87500000 N N N N N N MPT OPER PARTN 4.625% 08/01/29 N/A 55342UAJ3 86000.00000000 NS USD 91912.50000000 0.205542261003 Long DBT CORP US N 2 2029-08-01 Fixed 4.62500000 N N N N N N AVOLON HOLDINGS 3.95% 07/01/24 N/A 05401AAF8 10000.00000000 NS USD 10561.63000000 0.023618782103 Long DBT CORP IE Y 2 2024-07-01 Fixed 3.95000000 N N N N N N MCAS 2019-01 M10 V/R 10/15/49 N/A 62547NAB5 100000.00000000 NS USD 93163.12000000 0.208338999885 Long ABS-CBDO CORP US Y 2 2049-10-15 Variable 3.39800000 N N N N N N TRUIST FINANCIAL CO V/R /PERP/ 549300DRQQI75D2JP341 89832QAF6 115000.00000000 NS USD 131388.65000000 0.293822061104 Long DBT CORP US N 2 2169-03-01 Variable 5.10000000 N N N N N N FGLMC P#Q47579 4% 04/01/47 N/A 3132WMM50 13370.15000000 NS USD 14594.66000000 0.032637774132 Long ABS-MBS USGA US N 2 2047-04-01 Fixed 4.00000000 N N N N N N NEXTERA ENERGY O 4.5% 09/15/27 N/A 65342QAB8 17000.00000000 NS USD 19027.59000000 0.042551055297 Long DBT CORP US Y 2 2027-09-15 Fixed 4.50000000 N N N N N N US RENAL CARE 10.625% 07/15/27 N/A 07335BAA4 31000.00000000 NS USD 34255.00000000 0.076603836808 Long DBT CORP US Y 2 2027-07-15 Fixed 10.62500000 N N N N N N TPMT 2017-1 B2 V/R 07/25/29 N/A 89173FAF7 150000.00000000 NS USD 160471.62000000 0.358859780788 Long ABS-CBDO CORP US Y 2 2056-10-25 Variable 3.86611000 N N N N N N BRITISH AIR 19-1 3.3% 12/15/32 N/A 11043XAA1 54306.21000000 NS USD 54176.29000000 0.121153457248 Long DBT CORP GB Y 2 2032-12-15 Fixed 3.30000000 N N N N N N CSAIL 2015-C1 C V/R 02/15/25 N/A 126281BF0 100000.00000000 NS USD 91213.43000000 0.203978943409 Long ABS-CBDO CORP US N 2 2050-04-15 Variable 4.26425300 N N N N N N FORD MOTOR COM 4.346% 12/08/26 20S05OYHG0MQM4VUIC57 345370CR9 135000.00000000 NS USD 143775.00000000 0.321521431533 Long DBT CORP US N 2 2026-12-08 Fixed 4.34600000 N N N N N N BOMFT 2017-SPL5 V/R 06/28/57 N/A 07331UAD0 40000.00000000 NS USD 43129.07000000 0.096448759013 Long ABS-CBDO CORP US Y 2 2057-06-28 Variable 4.00000000 N N N N N N ISTAR INC 4.25% 08/01/25 QFFLKWYYS3UPWD86E794 45031UCG4 120000.00000000 NS USD 118500.00000000 0.264999406271 Long DBT CORP US N 2 2025-08-01 Fixed 4.25000000 N N N N N N COSTAR GROUP INC 2.8% 07/15/30 N/A 22160NAA7 35000.00000000 NS USD 36366.26000000 0.081325209352 Long DBT CORP US Y 2 2030-07-15 Fixed 2.80000000 N N N N N N T/L ELECTRICAL COM 0% 06/14/25 N/A 29279EAB8 12561.20000000 NS USD 12192.21000000 0.027265218659 Long LON CORP US N 2 2025-06-14 Fixed 0.00000000 N N N N N N JPMMT 2014-1 B4 V/R 03/25/39 N/A 46641CBR1 19981.91000000 NS USD 20527.66000000 0.045905634701 Long ABS-CBDO CORP US Y 2 2044-01-25 Variable 3.70626700 N N N N N N QNB FINANSBANK 4.875% 05/19/22 N/A 31772DAC6 200000.00000000 NS USD 203970.40000000 0.456135315586 Long DBT CORP TR Y 2 2022-05-19 Fixed 4.87500000 N N N N N N GENERAL ELECTRI 4.35% 05/01/50 3C7474T6CDKPR9K6YT90 369604BY8 55000.00000000 NS USD 66888.16000000 0.149580782165 Long DBT CORP US N 2 2050-05-01 Fixed 4.35000000 N N N N N N AIR LEASE CORP 3.125% 12/01/30 5493004NW4M4P8TMMK63 00914AAK8 70000.00000000 NS USD 72868.56000000 0.162954642496 Long DBT CORP US N 2 2030-12-01 Fixed 3.12500000 N N N N N N SMITHFIELD FOODS I 3% 10/15/30 N/A 832248BC1 70000.00000000 NS USD 74065.38000000 0.165631069411 Long DBT CORP US Y 2 2030-10-15 Fixed 3.00000000 N N N N N N FGLMC P#A22366 5% 05/01/34 N/A 31296YTX1 173.38000000 NS USD 201.47000000 0.000450543716 Long ABS-MBS USGA US N 2 2034-05-01 Fixed 5.00000000 N N N N N N EUROPEAN B 6.45% 12/13/22/IDR/ 549300HTGDOVDU6OGK19 G315BBHV3 1997800000.00000000 NS 147623.91000000 0.330128679337 Long DBT CORP GB N 2 2022-12-13 Fixed 6.45000000 N N N N N N FREEDOM MORTGAG 8.25% 04/15/25 549300LYRWPSYPK6S325 35640YAB3 32000.00000000 NS USD 33440.00000000 0.074781267052 Long DBT CORP US Y 2 2025-04-15 Fixed 8.25000000 N N N N N N UMBS P#SD8120 1.5% 01/01/51 N/A 3132DWAV5 240000.00000000 NS USD 242564.57000000 0.542442759768 Long ABS-MBS USGA US N 2 2051-01-01 Fixed 1.50000000 N N N N N N UMBS P#BH6459 4% 07/01/47 N/A 3140GVE92 15872.12000000 NS USD 17195.27000000 0.038453471229 Long ABS-MBS USGSE US N 2 2047-07-01 Fixed 4.00000000 N N N N N N ENABLE MIDSTREA 4.15% 09/15/29 N/A 292480AM2 30000.00000000 NS USD 29766.35000000 0.066565950015 Long DBT CORP US N 2 2029-09-15 Fixed 4.15000000 N N N N N N UMBS P#MA2796 3% 10/01/46 N/A 31418CDA9 1608.49000000 NS USD 1744.64000000 0.003901506870 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 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 GNMA P#520471 6.5% 01/15/30 N/A 36211RFL8 967.41000000 NS USD 1074.44000000 0.002402750734 Long ABS-MBS USGSE US N 2 2030-01-15 Fixed 6.50000000 N N N N N N NATIONSTAR MTG 5.125% 12/15/30 N/A 63861CAD1 30000.00000000 NS USD 31356.60000000 0.070122197322 Long DBT CORP US Y 2 2030-12-15 Fixed 5.12500000 N N N N N N TEVA PHARM FIN 0.25% 02/01/26 N/A 88163VAE9 31000.00000000 NS USD 30845.00000000 0.068978115497 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 FREMF 2017-KW03 V/R 07/25/27 N/A 30302YAN7 50000.00000000 NS USD 50630.14000000 0.113223266155 Long ABS-CBDO CORP US Y 2 2027-07-25 Variable 4.05919700 N N N N N N TPMT 2016-4 B1 V/R 04/25/27 N/A 89172UAE8 125000.00000000 NS USD 134550.38000000 0.300892580705 Long ABS-CBDO CORP US Y 2 2056-07-25 Variable 3.88301300 N N N N N N TPMT 2016-1 B1 V/R 02/25/55 N/A 89172EAJ3 150000.00000000 NS USD 160261.41000000 0.358389691968 Long ABS-CBDO CORP US Y 2 2055-02-25 Variable 3.94328200 N N N N N N AXA 8.6% 12/15/30 F5WCUMTUM4RKZ1MAIE39 054536AA5 85000.00000000 NS USD 132442.76000000 0.296179348227 Long DBT CORP FR N 2 2030-12-15 Fixed 8.60000000 N N N N N N NCR CORP 8.125% 04/15/25 549300YKTY8JX1DV2R67 62886EAX6 5000.00000000 NS USD 5568.20000000 0.012452064928 Long DBT CORP US Y 2 2025-04-15 Fixed 8.12500000 N N N N N N CALPINE CORP 4.625% 02/01/29 N/A 131347CP9 15000.00000000 NS USD 15424.20000000 0.034492859427 Long DBT CORP US Y 2 2029-02-01 Fixed 4.62500000 N N N N N N CNO FINANCIAL G 5.25% 05/30/29 11XPYHB76MPM4Y4P2897 12621EAL7 132000.00000000 NS USD 159356.44000000 0.356365923928 Long DBT CORP US N 2 2029-05-30 Fixed 5.25000000 N N N N N N PETROLEOS MEXI 6.875% 10/16/25 N/A 71654QDG4 25000.00000000 NS USD 27372.50000000 0.061212626566 Long DBT CORP MX Y 2 2025-10-16 Fixed 6.87500000 N N N N N N HESS MIDSTREAM 5.125% 06/15/28 N/A 428104AA1 30000.00000000 NS USD 31359.30000000 0.070128235283 Long DBT CORP US Y 2 2028-06-15 Fixed 5.12500000 N N N N N N GNR 2019-128 IB 3.5% 10/20/49 N/A 38382AFF7 500533.90000000 NS USD 53516.08000000 0.119677041569 Long ABS-CBDO CORP US N 2 2049-10-20 Fixed 3.50000000 N N N N N N GNMA II P#BG7415 4% 04/20/48 N/A 3617GSGY9 20114.65000000 NS USD 22333.08000000 0.049943062786 Long ABS-MBS USGSE US N 2 2048-04-20 Fixed 4.00000000 N N N N N N FREMF 2018-KW04 V/R 09/25/28 N/A 30296MAE1 50000.00000000 NS USD 50659.97000000 0.113289974445 Long ABS-CBDO CORP US Y 2 2028-09-25 Variable 3.91072400 N N N N N N GNR 2009-83 EB 4.5% 09/20/39 N/A 38376CAG4 22135.72000000 NS USD 24991.28000000 0.055887547358 Long ABS-MBS USGSE US N 2 2039-09-20 Fixed 4.50000000 N N N N N N GNR 2019-110 PI 3.5% 09/20/49 N/A 38381YWF7 318970.50000000 NS USD 23340.25000000 0.052195378837 Long ABS-CBDO CORP US N 2 2049-09-20 Fixed 3.50000000 N N N N N N FGLMC P#Q37291 3.5% 11/01/45 N/A 3132QUC50 38750.65000000 NS USD 41981.19000000 0.093881775734 Long ABS-MBS USGA US N 2 2045-11-01 Fixed 3.50000000 N N N N N N MEG ENERGY CORP 7% 03/31/24 5493002WXPTG5ZC1T326 552704AC2 27000.00000000 NS USD 27270.00000000 0.060983407671 Long DBT CORP CA Y 2 2024-03-31 Fixed 7.00000000 N N N N N N CMLTI 2018-RP1 M V/R 09/25/64 N/A 17326QAB9 135000.00000000 NS USD 144522.43000000 0.323192895720 Long ABS-CBDO CORP US Y 2 2064-09-25 Variable 3.00000000 N N N N N N 2021-01-29 Pioneer Variable Contracts Trust /MA/ Mark E. Bradley Mark E. Bradley Treasurer and Chief Accounting and Financial Officer