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Form NPORT-P NORTHWESTERN MUTUAL SERI For: Mar 31

May 24, 2022 1:40 PM EDT

  
    NPORT-P
    false
    
      
      
        
          0000742212
          XXXXXXXX
        
      
      
      
      
        S000018235
        C000050283
      
      
      
    
  
  
    
      NORTHWESTERN MUTUAL SERIES FUND INC
      811-03990
      0000742212
      549300T1UBX7MDSNZA55
      720 E WISCONSIN AVE
      MILWAUKEE
      
      53202
      414-271-1444
      Multi-Sector Bond Portfolio
      S000018235
      P0C14V6IL3O47L1ZG636
      2022-12-31
      2022-03-31
      N
    
    
      1243752796.00
      21552416.36
      1222200379.64
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      6556802.26000000
      0.00000000
      0.00000000
      12831015.53000000
      
        
          CAD
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0JVO0 CDS EUR R F  5.00000 1 CCPCORPORATE / Short: SWPC0JVO0 CDS EUR P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        1600000.00000000
        OU
        Notional Amount
        
        323244.45000000
        0.026447745834
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                GLENCORE FINANCE EUROPE
                GLENCORE FINANCE EUROPE
                
                  
                
              
            
            Y
            
            sell protection
            2027-12-20
            311996.53000000
            EUR
            0.00000000
            EUR
            1600000.00000000
            EUR
            -58909.71000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley ABS Capital I Inc Trust 2007-HE5
        61753KAD8
        
          
        
        57642.60000000
        PA
        USD
        29362.71000000
        0.002402446480
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-25
          Floating
          0.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        000000000
        
          
        
        600000.00000000
        PA
        
        630602.19000000
        0.051595646712
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2028-02-21
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCL5
        
          
        
        800000.00000000
        PA
        USD
        718000.00000000
        0.058746504416
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Paraguay
        529900UXKJTJPCU0HK83
        Paraguay Government International Bond
        000000000
        
          
        
        300000.00000000
        PA
        USD
        331803.00000000
        0.027148003349
        Long
        DBT
        NUSS
        PY
        N
        
        2
        
          2044-08-11
          Fixed
          6.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SWU01CCZ0 IRS EUR R F   .25000 SWU01CCZ0 CCPVANILLA / Short: SWU01CCZ0 IRS EUR P V 06MEURIB SWUV1CCZ2 CCPVANILLA
        000000000
        
          
        
        15300000.00000000
        OU
        Notional Amount
        
        -1669318.18000000
        -0.13658301926
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-09-21
            0.00000000
            EUR
            -1333033.23000000
            EUR
            15300000.00000000
            EUR
            -204247.83000000
          
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397XL2
        
          
        
        200000.00000000
        PA
        USD
        199775.00000000
        0.016345519386
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-04
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0JJ14 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0JJ14 CDS USD P V 03MEVENT 2 CCPCDX
        000000000
        
          
        
        29600000.00000000
        OU
        Notional Amount
        USD
        -2569807.47000000
        -0.21026073243
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.EM.S34
                2I65BZDZ2
              
            
            Y
            
            sell protection
            2025-12-20
            0.00000000
            USD
            -826178.55000000
            USD
            29600000.00000000
            USD
            -1743628.92000000
          
        
        
          N
          N
          N
        
      
      
        NOBLE FINANCE CO
        5493003DTPH8AMMK4P51
        Noble Finance Co
        65505JAA9
        
          
        
        32532.00000000
        PA
        USD
        36435.84000000
        0.002981167458
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-02-15
          Fixed
          11.00000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        Renaissance Home Equity Loan Trust
        N/A
        Renaissance Home Equity Loan Trust 2006-4
        75970HAJ9
        
          
        
        1524360.26000000
        PA
        USD
        671463.32000000
        0.054938889824
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-25
          Variable
          5.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Colombia
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325CU7
        
          
        
        6000000.00000000
        PA
        USD
        5049660.00000000
        0.413161383691
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2045-06-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PORT AUTH OF NEW YORK & NEW JE
        54930006MR4KZ4W74Z83
        Port Authority of New York & New Jersey
        73358WEK6
        
          
        
        200000.00000000
        PA
        USD
        239849.80000000
        0.019624425257
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2051-10-01
          Fixed
          4.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Ghana
        213800PP4399SNNXZ126
        Ghana Government International Bond
        000000000
        
          
        
        200000.00000000
        PA
        USD
        139100.00000000
        0.011381112485
        Long
        DBT
        NUSS
        GH
        N
        
        2
        
          2051-03-26
          Fixed
          8.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        000000000
        
          
        
        500000.00000000
        PA
        
        636609.05000000
        0.052087125859
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-01-15
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CGG SA
        969500FCVQ5SLAAUJV59
        CGG SA
        000000000
        
          
        
        200000.00000000
        PA
        
        223127.04000000
        0.018256174987
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-04-01
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KN0
        
          
        
        400000.00000000
        PA
        USD
        403095.32000000
        0.032981115594
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AA Bond Co Ltd
        2138002EPF6QVRZBMC58
        AA Bond Co Ltd
        000000000
        
          
        
        100000.00000000
        PA
        
        130051.31000000
        0.010640751890
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2023-07-31
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MMK INTL CAPITAL DAC
        635400CNBLB2PNXXQI80
        MMK International Capital DAC
        553142AA8
        
          
        
        1400000.00000000
        PA
        USD
        280000.00000000
        0.022909500329
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2024-06-13
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI INTERNATIONAL BOND
        635400FMICXSM3SI3H65
        Saudi Government International Bond
        000000000
        
          
        
        3900000.00000000
        PA
        USD
        4046250.00000000
        0.331062734671
        Long
        DBT
        NUSS
        SA
        N
        
        2
        
          2025-04-17
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)JUN22
        000000000
        
          
        
        1167.00000000
        NC
        USD
        -4368754.36000000
        -0.35744992660
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 10 Year US Treasury Note
                TYM2 COMDTY
              
            
            2022-06-21
            147763879.36000000
            USD
            -4368754.36000000
          
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599EB7
        
          
        
        700000.00000000
        PA
        USD
        743536.50000000
        0.060835891756
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-01
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF SERBIA
        254900W94OCY91V32O78
        Serbia International Bond
        000000000
        
          
        
        700000.00000000
        PA
        
        605483.68000000
        0.049540459165
        Long
        DBT
        NUSS
        RS
        N
        
        2
        
          2033-03-03
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: SWPC0IOF9 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IOF9 CDS EUR P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        400000.00000000
        OU
        Notional Amount
        
        27262.02000000
        0.002230568772
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                INTRUM AB
                INTRUM AB
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            22339.54000000
            EUR
            0.00000000
            EUR
            400000.00000000
            EUR
            3342.29000000
          
        
        
          N
          N
          N
        
      
      
        VIRGIN MONEY UK PLC
        213800ZK9VGCYYR6O495
        Virgin Money UK PLC
        000000000
        
          
        
        100000.00000000
        PA
        
        131392.28000000
        0.010750469578
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-06-22
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ODEBRECHT DRILL VIII/IX
        549300YNW6BY570L6488
        Odebrecht Drilling Norbe VIII/IX Ltd
        G67106AC1
        
          
        
        1689812.00000000
        PA
        USD
        937862.56000000
        0.076735580811
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-12-01
          Fixed
          7.35000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Securities Trust
        N/A
        Wells Fargo Mortgage Backed Securities 2007-AR8 Trust
        94985YAA5
        
          
        
        22342.61000000
        PA
        USD
        21938.50000000
        0.001795000260
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-11-25
          Variable
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
        
        600000.00000000
        PA
        
        272137.44000000
        0.022266188469
        Long
        DBT
        NUSS
        UA
        N
        
        3
        
          2026-06-20
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        -125.86000000
        -0.00001029782
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            6980634100.00000000
            IDR
            485000.00000000
            USD
            2022-05-20
            -125.86000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        317U550I7 PIMCO
        000000000
        
          
        
        -7100000.00000000
        NC
        USD
        -132095.50000000
        -0.01080800678
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    7100000.00000000
                    OU
                    Notional Amount
                    N/A
                    -132095.50000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7100000.00000000
                  USD
                
              
            
            1.00000000
            1.94750000
            USD
            2022-04-18
            XXXX
            -82484.25000000
          
        
        
          N
          N
          N
        
      
      
        CHENIERE ENERGY PARTNERS
        5493005UEC8AZ34LDV29
        Cheniere Energy Partners LP
        16411QAK7
        
          
        
        1400000.00000000
        PA
        USD
        1357146.00000000
        0.111041202621
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asset Backed Securities Corp Home Equity Ln Trst
        N/A
        Asset Backed Securities Corp Home Equity Loan Trust Series WMC 2005-HE5
        04541GSL7
        
          
        
        117024.06000000
        PA
        USD
        116884.72000000
        0.009563466183
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-25
          Floating
          1.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397XU2
        
          
        
        800000.00000000
        PA
        USD
        797928.00000000
        0.065286184924
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-08
          Fixed
          4.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corporation
        N/A
        Structured Asset Securities Corp Mortgage Loan Trust 2007-WF1
        86358BAT9
        
          
        
        63089.23000000
        PA
        USD
        61702.70000000
        0.005048492949
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-02-25
          Floating
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PERU
        254900STKLK2DBJJZ530
        Peruvian Government International Bond
        715638DS8
        
          
        
        2700000.00000000
        PA
        USD
        2451276.00000000
        0.200562529748
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2041-03-11
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Cash Management Bill
        912796X20
        
          
        
        20800000.00000000
        PA
        USD
        20757490.00000000
        1.698370442833
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-07-19
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Federal Republic of Nigeria
        549300GSBZD84TNEQ285
        Nigeria Government International Bond
        000000000
        
          
        
        700000.00000000
        PA
        USD
        581630.00000000
        0.047588759559
        Long
        DBT
        NUSS
        NG
        N
        
        2
        
          2047-11-28
          Fixed
          7.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0KSB9 CDS EUR R F  5.00000 1 CCPITRAXX / Short: SWPC0KSB9 CDS EUR P V 03MEVENT 2 CCPITRAXX
        000000000
        
          
        
        44700000.00000000
        OU
        Notional Amount
        
        3605514.35000000
        0.295001900675
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe Crossover S27
                2I667KJP4
              
            
            Y
            
            sell protection
            2027-06-20
            2762202.23000000
            EUR
            0.00000000
            EUR
            44700000.00000000
            EUR
            560052.83000000
          
        
        
          N
          N
          N
        
      
      
        Madison Park Euro Funding
        635400XLHN7OVUSEV112
        Madison Park Euro Funding XIV DAC
        000000000
        
          
        
        300000.00000000
        PA
        
        327832.79000000
        0.026823162180
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2032-07-15
          Floating
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0K144 CDS EUR R F  5.00000 1 CCPCORPORATE / Short: SWPC0K144 CDS EUR P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        600000.00000000
        OU
        Notional Amount
        
        -41373.63000000
        -0.00338517567
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CASINO GUICHARD PERRACHO
                CASINO GUICHARD PERRACHO
                
                  
                
              
            
            Y
            
            sell protection
            2023-06-20
            12308.30000000
            EUR
            0.00000000
            EUR
            600000.00000000
            EUR
            -55907.84000000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RMN9
        
          
        
        115000.00000000
        PA
        USD
        104919.10000000
        0.008584443414
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2057-12-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust Inc
        N/A
        Citigroup Mortgage Loan Trust 2007-AR4
        17311WAF4
        
          
        
        288703.50000000
        PA
        USD
        260712.17000000
        0.021331376944
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-25
          Variable
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CPI PROPERTY GROUP SA
        222100CO2ZOTEPGJO223
        CPI Property Group SA
        000000000
        
          
        
        700000.00000000
        PA
        
        712226.60000000
        0.058274126883
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2027-04-23
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIBERTY MUTUAL FIN EU
        254900GTNATA5DHR0920
        Liberty Mutual Finance Europe DAC
        000000000
        
          
        
        100000.00000000
        PA
        
        112287.89000000
        0.009187355189
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2024-03-27
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMSCOPE INC
        549300Z6K4JXMFE8QY54
        CommScope Inc
        203372AX5
        
          
        
        5700000.00000000
        PA
        USD
        5249757.00000000
        0.429533249003
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-09-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Investment Loan Trust
        N/A
        Structured Asset Investment Loan Trust 2006-BNC3
        86361KAC1
        
          
        
        8746.39000000
        PA
        USD
        8571.07000000
        0.000701281896
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-09-25
          Floating
          0.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAQ6
        
          
        
        200000.00000000
        PA
        USD
        196751.71000000
        0.016098154875
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308HW0
        
          
        
        500000.00000000
        PA
        USD
        471675.49000000
        0.038592320691
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FirstEnergy Corp
        549300SVYJS666PQJH88
        FirstEnergy Corp
        337932AC1
        
          
        
        400000.00000000
        PA
        USD
        493344.00000000
        0.040365230466
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-11-15
          Fixed
          7.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: SWPC0IO36 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IO36 CDS EUR P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        400000.00000000
        OU
        Notional Amount
        
        27262.02000000
        0.002230568772
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                INTRUM AB
                INTRUM AB
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            22330.02000000
            EUR
            0.00000000
            EUR
            400000.00000000
            EUR
            3217.27000000
          
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certificates
        N/A
        CWABS Asset-Backed Certificates Trust 2007-13
        126698AA7
        
          
        
        1350278.72000000
        PA
        USD
        1312578.67000000
        0.107394719545
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2047-10-25
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corporation
        N/A
        Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4
        86359RAD8
        
          
        
        169665.31000000
        PA
        USD
        166627.86000000
        0.013633432191
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sprint Corp
        549300ZTTY7CXOLJ6539
        Sprint Corp
        85207UAH8
        
          
        
        100000.00000000
        PA
        USD
        107255.00000000
        0.008775565920
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          7.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certificates
        N/A
        Countrywide Asset-Backed Certificates
        126670TG3
        
          
        
        97308.31000000
        PA
        USD
        91215.58000000
        0.007463226285
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-07-25
          Variable
          4.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Investment Loan Trust
        N/A
        Structured Asset Investment Loan Trust 2005-7
        86358EWD4
        
          
        
        340872.50000000
        PA
        USD
        335001.31000000
        0.027409687935
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-08-25
          Floating
          1.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSI Asset Securitization Corporation Trust
        N/A
        HSI Asset Securitization Corp Trust 2006-NC1
        40430HER5
        
          
        
        875256.06000000
        PA
        USD
        828562.64000000
        0.067792700264
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Floating
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO DE SABADELL SA
        SI5RG2M0WQQLZCXKRM20
        Banco de Sabadell SA
        000000000
        
          
        
        900000.00000000
        PA
        
        991019.02000000
        0.081084823447
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2024-05-10
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FannieMae Whole Loan
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Trust 2003-W6
        31393BX75
        
          
        
        16690.75000000
        PA
        USD
        16613.94000000
        0.001359346656
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-09-25
          Floating
          0.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTESA SANPAOLO SPA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        46115HBL0
        
          
        
        200000.00000000
        PA
        USD
        194286.92000000
        0.015896486634
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2029-09-23
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UniCredit SpA
        549300TRUWO2CD2G5692
        UniCredit SpA
        904678AQ2
        
          
        
        5700000.00000000
        PA
        USD
        6037347.60000000
        0.493973631539
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2034-04-02
          Fixed
          7.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CD9
        
          
        
        1300000.00000000
        PA
        USD
        1225878.38000000
        0.100300932680
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2031-09-18
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2007-QA1 Trust
        74923GAA1
        
          
        
        7179.18000000
        PA
        USD
        7233.07000000
        0.000591807212
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-25
          Floating
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Equity Loan Trust
        N/A
        Home Equity Loan Trust
        43710XAE8
        
          
        
        500000.00000000
        PA
        USD
        458956.00000000
        0.037551616547
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAMP Trust
        N/A
        GSAMP Trust 2004-WF
        36242DKL6
        
          
        
        14664.06000000
        PA
        USD
        14638.10000000
        0.001197684131
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-10-25
          Floating
          2.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        Bear Stearns Asset Backed Securities I Trust 2007-HE6
        07387YAA1
        
          
        
        67533.48000000
        PA
        USD
        67287.41000000
        0.005505431934
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-08-25
          Floating
          1.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828W71
        
          
        
        3970000.00000000
        PA
        USD
        3953406.63000000
        0.323466323187
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-03-31
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        000000000
        
          
        
        100000.00000000
        PA
        
        131228.87000000
        0.010737099430
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-06
          Fixed
          4.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        25714PEF1
        
          
        
        550000.00000000
        PA
        USD
        497755.50000000
        0.040726177825
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2032-09-23
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Weyerhaeuser Co
        08IRJODWFYBI7QWRGS31
        Weyerhaeuser Co
        962166BR4
        
          
        
        424000.00000000
        PA
        USD
        540524.10000000
        0.044225489453
        Long
        DBT
        
        US
        N
        
        2
        
          2032-03-15
          Fixed
          7.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dominican Republic
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        P3579EBK2
        
          
        
        500000.00000000
        PA
        USD
        531255.00000000
        0.043467094991
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2026-01-29
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALASKA AIRLINES 2020 TR
        N/A
        Alaska Airlines 2020-1 Class A Pass Through Trust
        01166VAA7
        
          
        
        176483.54000000
        PA
        USD
        180460.79000000
        0.014765237599
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS DE VENEZUELA S
        549300YWR8TN1OFD4P06
        Petroleos de Venezuela SA
        000000000
        
          
        
        4300000.00000000
        PA
        USD
        263375.00000000
        0.021549248747
        Long
        DBT
        CORP
        VE
        N
        
        2
        
          2037-04-12
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HLDGS
        549300F5XIFGNNW4CF72
        Santander UK Group Holdings PLC
        000000000
        
          
        
        1390000.00000000
        PA
        
        1882326.13000000
        0.154011253911
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-06-24
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AKER BP ASA
        549300NFTY73920OYK69
        Aker BP ASA
        00973RAF0
        
          
        
        400000.00000000
        PA
        USD
        391405.81000000
        0.032024684046
        Long
        DBT
        CORP
        NO
        N
        
        2
        
          2030-01-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VMWARE INC
        549300BUDHS3LRWBE814
        VMware Inc
        928563AF2
        
          
        
        100000.00000000
        PA
        USD
        105759.50000000
        0.008653204643
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-OA2
        126694R75
        
          
        
        313746.92000000
        PA
        USD
        278969.11000000
        0.022825153276
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-05-20
          Floating
          0.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GROWTHPOINT PROPERTIES L
        378900C761245FC57265
        Growthpoint Properties International Pty Ltd
        40009VAA6
        
          
        
        300000.00000000
        PA
        USD
        303276.00000000
        0.024813934363
        Long
        DBT
        
        ZA
        N
        
        2
        
          2023-05-02
          Fixed
          5.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO DE SABADELL SA
        SI5RG2M0WQQLZCXKRM20
        Banco de Sabadell SA
        000000000
        
          
        
        200000.00000000
        PA
        
        215078.85000000
        0.017597674946
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2027-03-11
          Fixed
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF BELARUS
        635400CVCOWYLHF4ZB08
        Republic of Belarus International Bond
        07737JAE3
        
          
        
        600000.00000000
        PA
        USD
        90000.00000000
        0.007363767963
        Long
        DBT
        NUSS
        BY
        N
        
        2
        
          2026-02-24
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1460.05000000
        -0.00011946077
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            17817.00000000
            USD
            1393378.49000000
            RUB
            2022-04-21
            -1460.05000000
          
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
        
        1700000.00000000
        PA
        
        794563.89000000
        0.065010934641
        Long
        DBT
        NUSS
        UA
        N
        
        3
        
          2030-01-27
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fremont Home Loan Trust
        N/A
        Fremont Home Loan Trust 2005-2
        35729PLP3
        
          
        
        300000.00000000
        PA
        USD
        289957.02000000
        0.023724180161
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-06-25
          Floating
          1.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QDD1
        
          
        
        1880000.00000000
        PA
        USD
        1642650.00000000
        0.134401038271
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2050-01-23
          Fixed
          7.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796H44
        
          
        
        1400000.00000000
        PA
        USD
        1399534.89000000
        0.114509446512
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-05-19
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Euro Galaxy CLO DAC
        635400H1W7SGWXGQOB43
        Euro-Galaxy III CLO DAC
        000000000
        
          
        
        300000.00000000
        PA
        
        327618.96000000
        0.026805666685
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2034-04-24
          Floating
          0.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAR2
        
          
        
        200000.00000000
        PA
        USD
        200750.00000000
        0.016425293539
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATLANTIA SPA
        8156008DEC771409C487
        Atlantia SpA
        000000000
        
          
        
        1200000.00000000
        PA
        
        1306299.54000000
        0.106880963364
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2025-02-03
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ILIAD HOLDING SAS
        9695009PXA7OI9NXN582
        Iliad Holding SASU
        449691AA2
        
          
        
        2700000.00000000
        PA
        USD
        2707290.00000000
        0.221509504096
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-10-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINGDOM OF JORDAN
        5493000JZ4MYPVMBVN50
        Jordan Government International Bond
        418097AL5
        
          
        
        400000.00000000
        PA
        USD
        372224.00000000
        0.030455235180
        Long
        DBT
        NUSS
        JO
        N
        
        2
        
          2030-07-07
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MELCO RESORTS FINANCE
        N/A
        Melco Resorts Finance Ltd
        58547DAA7
        
          
        
        5700000.00000000
        PA
        USD
        5222625.00000000
        0.427313318421
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-06-06
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Numericable Group SA
        5493001ZMCICV4N02J21
        Numericable Group SA USD Term Loan B11
        67053NAK0
        
          
        
        193893.09000000
        PA
        USD
        189126.62000000
        0.015474272725
        Long
        LON
        CORP
        FR
        N
        
        2
        
          2025-07-31
          Floating
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-45T1
        02149JAN6
        
          
        
        108730.35000000
        PA
        USD
        54353.50000000
        0.004447184021
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNAC CHINA HOLDINGS LTD
        549300OLARYHDXP3WK18
        Sunac China Holdings Ltd
        000000000
        
          
        
        600000.00000000
        PA
        USD
        153300.00000000
        0.012542951430
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-08-03
          Fixed
          6.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ESC CB144A INTELSAT JA
        N/A
        ESC CB144A INTELSAT JA
        458ESCAB6
        
          
        
        200000.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        DBT
        CORP
        LU
        N
        
        3
        
          2024-10-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kaisa Group Holdings Ltd
        254900N8L3L7NRJT0120
        Kaisa Group Holdings Ltd
        000000000
        
          
        
        400000.00000000
        PA
        USD
        76200.00000000
        0.006234656875
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-06-30
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Turkey
        5493000PCHOG3B6S3Q85
        Turkey Government International Bond
        900123CB4
        
          
        
        1900000.00000000
        PA
        USD
        1345960.00000000
        0.110125968083
        Long
        DBT
        NUSS
        TR
        N
        
        2
        
          2043-04-16
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dominican Republic
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        25714PDW5
        
          
        
        2800000.00000000
        PA
        USD
        2660028.00000000
        0.217642544079
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2048-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: SWPC0IPK7 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IPK7 CDS EUR P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        300000.00000000
        OU
        Notional Amount
        
        20446.51000000
        0.001672926169
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                INTRUM AB
                INTRUM AB
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            15936.66000000
            EUR
            0.00000000
            EUR
            300000.00000000
            EUR
            3225.97000000
          
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Certificates
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust
        92925VAH3
        
          
        
        2742.26000000
        PA
        USD
        2686.12000000
        0.000219777382
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-25
          Variable
          3.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLG Euro CLO
        N/A
        Man GLG Euro CLO
        000000000
        
          
        
        300000.00000000
        PA
        
        331166.27000000
        0.027095906327
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2032-10-15
          Floating
          0.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Pass-Through Trust
        549300EJG376EN5NQE29
        CVS Pass-Through Trust
        126650BY5
        
          
        
        622139.03000000
        PA
        USD
        687930.76000000
        0.056286249903
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-01-10
          Fixed
          5.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HLDGS
        549300F5XIFGNNW4CF72
        Santander UK Group Holdings PLC
        80281LAP0
        
          
        
        800000.00000000
        PA
        USD
        723804.64000000
        0.059221437994
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2032-03-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMER AIRLINE 17-2 AA PTT
        N/A
        American Airlines 2017-2 Class AA Pass Through Trust
        02376AAA7
        
          
        
        162114.43000000
        PA
        USD
        155363.09000000
        0.012711752719
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-15
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Mortgage Loan Trust 2007-10
        17313QAR9
        
          
        
        22777.78000000
        PA
        USD
        22518.98000000
        0.001842494927
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-25
          Variable
          3.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTICE FINANCING SA
        549300DIYGW8HVDF7Q17
        Altice Financing SA
        000000000
        
          
        
        2300000.00000000
        PA
        
        2265633.13000000
        0.185373296207
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2029-08-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wellfleet CLO Ltd
        2549003PA4N7YYXOW035
        Wellfleet CLO 2017-1 Ltd
        94950GAL1
        
          
        
        3810697.40000000
        PA
        USD
        3805130.35000000
        0.311334410738
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-20
          Floating
          1.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397YT4
        
          
        
        300000.00000000
        PA
        USD
        284250.00000000
        0.023257233816
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-02
          Fixed
          3.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sculptor CLO XXV, Ltd.
        N/A
        Sculptor CLO XXV Ltd
        811244AC6
        
          
        
        2100000.00000000
        PA
        USD
        2089401.03000000
        0.170954048518
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-15
          Floating
          1.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-5T2
        12668BMU4
        
          
        
        360581.04000000
        PA
        USD
        112845.78000000
        0.009233001550
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-04-25
          Floating
          0.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796R43
        
          
        
        18900000.00000000
        PA
        USD
        18879683.07000000
        1.544728948256
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-06-23
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEASEPLAN CORPORATION NV
        724500C60L930FVHS484
        LeasePlan Corp NV
        52206AAD2
        
          
        
        300000.00000000
        PA
        USD
        293050.73000000
        0.023977306412
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2024-10-24
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        000000000
        
          
        
        300000.00000000
        PA
        
        331883.56000000
        0.027154594739
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-26
          Floating
          0.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        YANLORD LAND HK CO LTD
        549300O56H3950RDWG19
        Yanlord Land HK Co Ltd
        000000000
        
          
        
        1900000.00000000
        PA
        USD
        1681500.00000000
        0.137579731442
        Long
        DBT
        CORP
        HK
        
        N
        
        2
        
          2026-05-20
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -18964.96000000
        -0.00155170627
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            4646161.09000000
            USD
            6181480.00000000
            AUD
            2022-05-03
            -18964.96000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128285P1
        
          
        
        4230000.00000000
        PA
        USD
        4274282.81000000
        0.349720298013
        Long
        DBT
        UST
        US
        N
        
        2
        
          2023-11-30
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQT CORP
        4NT01YGM4X7ZX86ISY52
        EQT Corp
        26884LAH2
        
          
        
        5500000.00000000
        PA
        USD
        5809457.50000000
        0.475327744678
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNAC CHINA HOLDINGS LTD
        549300OLARYHDXP3WK18
        Sunac China Holdings Ltd
        000000000
        
          
        
        2000000.00000000
        PA
        USD
        498000.00000000
        0.040746182728
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-04-26
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF VENEZUELA
        529900XM8PJTJK5OJI77
        Venezuela Government International Bond
        P97475AG5
        
          
        
        32000.00000000
        PA
        USD
        2624.00000000
        0.000214694745
        Long
        DBT
        NUSS
        VE
        N
        
        2
        
          2020-12-09
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAMP Trust
        N/A
        GSAMP Trust 2007-FM2
        3622MHAC0
        
          
        
        163687.98000000
        PA
        USD
        114793.77000000
        0.009392385398
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-01-25
          Floating
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ESC GCB INTELSAT JACKS
        N/A
        ESC GCB INTELSAT JACKS
        458ESCAA8
        
          
        
        700000.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        DBT
        CORP
        LU
        N
        
        3
        
          2023-08-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KKR Financial CLO Ltd
        549300C6QY0XRSC8FH09
        KKR CLO 9 Ltd
        48250LAW9
        
          
        
        2200000.00000000
        PA
        USD
        2170879.99000000
        0.177620628021
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-15
          Floating
          1.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAE FUNDING LLC
        635400SZTPQL3Y1P2C76
        DAE Funding LLC
        23371DAJ3
        
          
        
        1700000.00000000
        PA
        USD
        1605656.73000000
        0.131374262088
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-08-01
          Fixed
          1.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AA Bond Co Ltd
        2138002EPF6QVRZBMC58
        AA Bond Co Ltd
        000000000
        
          
        
        1200000.00000000
        PA
        
        1604202.63000000
        0.131255288144
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2024-07-31
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATLAS LUXCO 4 / ALL UNI
        N/A
        Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl
        000000000
        
          
        
        1400000.00000000
        PA
        
        1413234.07000000
        0.115630308543
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2028-06-01
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT JUN22
        000000000
        
          
        
        101.00000000
        NC
        USD
        -447538.78000000
        -0.03661746367
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                Ultra 10-Year US Treasury Note Futures
                UXYM2 COMDTY
              
            
            2022-06-21
            14129882.53000000
            USD
            -447538.78000000
          
        
        
          N
          N
          N
        
      
      
        LENOVO GROUP LTD
        254900VUZRGD5U73RE46
        Lenovo Group Ltd
        526250AB1
        
          
        
        400000.00000000
        PA
        USD
        370275.47000000
        0.030295807149
        Long
        DBT
        CORP
        HK
        
        N
        
        2
        
          2030-11-02
          Fixed
          3.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397ZQ9
        
          
        
        600000.00000000
        PA
        USD
        617118.00000000
        0.050492375086
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-18
          Fixed
          5.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599CH6
        
          
        
        500000.00000000
        PA
        USD
        496875.00000000
        0.040654135629
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Securitization Trust
        N/A
        Residential Asset Securitization Trust 2007-A2
        761120AL8
        
          
        
        3300486.72000000
        PA
        USD
        1293478.90000000
        0.105831983163
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Qatar
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        000000000
        
          
        
        800000.00000000
        PA
        USD
        947888.00000000
        0.077555858743
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2049-03-14
          Fixed
          4.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        4169438.37000000
        0.341141963253
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            226692412.00000000
            EUR
            254947864.29000000
            USD
            2022-04-04
            4169438.37000000
          
        
        
          N
          N
          N
        
      
      
        PROVINCIA DE BUENOS AIRE
        549300L6AYROPOTQ4L07
        Provincia de Buenos Aires/Government Bonds
        000000000
        
          
        
        740000.00000000
        PA
        
        4039.28000000
        0.000330492451
        Long
        DBT
        NUSS
        AR
        N
        
        2
        
          2025-04-12
          Fixed
          42.03000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Republic of Paraguay
        529900UXKJTJPCU0HK83
        Paraguay Government International Bond
        000000000
        
          
        
        600000.00000000
        PA
        USD
        615000.00000000
        0.050319081080
        Long
        DBT
        NUSS
        PY
        N
        
        2
        
          2048-03-13
          Fixed
          5.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        REVERSE REPO MORGAN STANLEY
        000000000
        
          
        
        -2719920.00000000
        PA
        
        -3008910.84000000
        -0.24618801385
        Short
        RA
        CORP
        LU
        N
        
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          -1.50000000
          2024-03-22
          
            
              3000000.00000000
              USD
              3009541.41000000
              USD
              CDS
            
          
        
        
          N
          N
          N
        
      
      
        Securitized Asset Backed Receivables LLC Trust
        213800LBQA1Y9L22JB70
        Securitized Asset Backed Receivables LLC Trust 2005-FR4
        81375WFJ0
        
          
        
        42614.20000000
        PA
        USD
        39836.09000000
        0.003259374703
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-01-25
          Floating
          1.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MANITOWOC COMPANY INC
        2RTSLGQ89VMY18RHX631
        Manitowoc Co Inc/The
        563571AL2
        
          
        
        6200000.00000000
        PA
        USD
        6464678.00000000
        0.528937652752
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Funding
        635400655NWVVZHH1395
        Towd Point Mortgage Funding 2019 - Granite4 PLC
        000000000
        
          
        
        1576996.22000000
        PA
        
        2078746.84000000
        0.170082326484
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2051-10-20
          Floating
          1.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2005-22
        126694LW6
        
          
        
        9319.91000000
        PA
        USD
        8125.61000000
        0.000664834517
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Variable
          2.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Laurelin BV
        5493000IP0JWCUCF6H56
        Laurelin 2016-1 DAC
        000000000
        
          
        
        400000.00000000
        PA
        
        436910.78000000
        0.035747884494
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2031-10-20
          Floating
          0.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSI Asset Securitization Corporation Trust
        N/A
        HSI Asset Securitization Corp Trust 2005-I1
        40430HCN6
        
          
        
        175315.10000000
        PA
        USD
        173137.04000000
        0.014166010981
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-11-25
          Floating
          1.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2007-AL1
        02150NAA1
        
          
        
        3805812.80000000
        PA
        USD
        3271874.39000000
        0.267703597912
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-06-25
          Floating
          0.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sands China Ltd
        549300EVO6UZDGY05787
        Sands China Ltd
        80007RAE5
        
          
        
        3200000.00000000
        PA
        USD
        3136704.00000000
        0.256644004719
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-08-08
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALBION FINANCING 3 SARL
        N/A
        Albion Financing 3 SARL EUR Term Loan
        000000000
        
          
        
        1400000.00000000
        PA
        
        1544103.41000000
        0.126337991357
        Long
        LON
        CORP
        GB
        N
        
        2
        
          2026-07-31
          Floating
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FAIRFAX FINL HLDGS LTD
        GLS7OQD0WOEDI8YAP031
        Fairfax Financial Holdings Ltd
        000000000
        
          
        
        500000.00000000
        PA
        
        555872.80000000
        0.045481314624
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2028-03-29
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        1263229.88000000
        0.103357019114
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            44382000.00000000
            GBP
            59565626.77000000
            USD
            2022-04-04
            1263229.88000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        11243.85000000
        0.000919967804
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            4255000.00000000
            NOK
            494555.13000000
            USD
            2022-04-04
            11243.85000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796R35
        
          
        
        4600000.00000000
        PA
        USD
        4596693.75000000
        0.376099846356
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-06-09
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Asset Backed Securities
        N/A
        Mastr Asset Backed Securities Trust 2006-HE3
        57645JAB5
        
          
        
        2026619.01000000
        PA
        USD
        741173.08000000
        0.060642517572
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-25
          Floating
          0.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLUE RACER MID LLC/FINAN
        N/A
        Blue Racer Midstream LLC / Blue Racer Finance Corp
        095796AE8
        
          
        
        100000.00000000
        PA
        USD
        101570.00000000
        0.008310421244
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-15
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        25160PAG2
        
          
        
        300000.00000000
        PA
        USD
        265140.08000000
        0.021693666964
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2033-01-07
          Fixed
          3.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
        
        300000.00000000
        PA
        USD
        123750.00000000
        0.010125180949
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2032-09-25
          Fixed
          7.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BWU01CD06 IRS EUR R V 06MEURIB SWUV1CD08 CCPVANILLA / Short: BWU01CD06 IRS EUR P F   .50000 SWU01CD06 CCPVANILLA
        000000000
        
          
        
        4500000.00000000
        OU
        Notional Amount
        
        684267.03000000
        0.055986484818
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2052-09-21
            495773.63000000
            EUR
            0.00000000
            EUR
            4500000.00000000
            EUR
            140091.74000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAG8
        
          
        
        100000.00000000
        PA
        USD
        106710.66000000
        0.008731028215
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        03846JAC4
        
          
        
        1900000.00000000
        PA
        USD
        1505750.00000000
        0.123199929003
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2061-02-16
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurosail Plc
        724500VX65TCSYFLOA51
        Eurosail-NL 2007-2 BV
        000000000
        
          
        
        43943.28000000
        PA
        
        48612.24000000
        0.003977436172
        Long
        ABS-MBS
        CORP
        NL
        N
        
        2
        
          2040-10-17
          Floating
          0.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Certificates
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust
        93362FAF0
        
          
        
        7115.12000000
        PA
        USD
        6764.82000000
        0.000553495164
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-25
          Variable
          2.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -149668.05000000
        -0.01224578657
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            22566000.00000000
            EUR
            24813963.99000000
            USD
            2022-04-04
            -149668.05000000
          
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397ZC0
        
          
        
        600000.00000000
        PA
        USD
        595365.91000000
        0.048712626826
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-15
          Floating
          1.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE TELEKOM INT FIN
        529900ERDFHS6C1M4U58
        Deutsche Telekom International Finance BV
        25156PAC7
        
          
        
        475000.00000000
        PA
        USD
        636708.03000000
        0.052095224367
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-06-15
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MITCHELLS & BUTLERS FIN
        213800E7QA1U8BF34219
        Mitchells & Butlers Finance PLC
        000000000
        
          
        
        1022758.00000000
        PA
        
        1256215.18000000
        0.102783078857
        Long
        SN
        CORP
        GB
        N
        
        2
        
          2030-12-15
          Floating
          1.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BQ3
        
          
        
        500000.00000000
        PA
        USD
        510575.00000000
        0.041775064752
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-12-29
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-HY10
        12668BUH4
        
          
        
        7211.55000000
        PA
        USD
        6675.45000000
        0.000546182942
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-25
          Variable
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Altice Financing SA
        549300DIYGW8HVDF7Q17
        Altice Financing SA USD 2017 1st Lien Term Loan
        000000000
        
          
        
        1169465.60000000
        PA
        USD
        1127560.14000000
        0.092256569281
        Long
        LON
        CORP
        LU
        N
        
        2
        
          2026-01-31
          Floating
          2.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6898.48000000
        -0.00056443117
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            2168510.51000000
            USD
            1954000.00000000
            EUR
            2022-04-04
            -6898.48000000
          
        
        
          N
          N
          N
        
      
      
        ABERTIS INFRAESTRUCTURAS
        549300GKFVWI02JQ5332
        Abertis Infraestructuras SA
        000000000
        
          
        
        600000.00000000
        PA
        
        639252.18000000
        0.052303385815
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2032-03-26
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Valeant Pharmaceuticals International, Inc.
        B3BS7ACMDUWISF18KY76
        Valeant Pharmaceuticals International Inc 2018 Term Loan B
        C9413PAZ6
        
          
        
        250734.97000000
        PA
        USD
        248305.85000000
        0.020316296258
        Long
        LON
        CORP
        CA
        
        N
        
        2
        
          2025-06-02
          Floating
          3.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRY GARDEN HLDGS
        549300MGHLPT1EFHGF84
        Country Garden Holdings Co Ltd
        000000000
        
          
        
        600000.00000000
        PA
        USD
        492000.00000000
        0.040255264864
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-04-08
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marble Point CLO X LTD
        549300PJ1FVY9B16K017
        Marble Point Clo X Ltd
        566061AL1
        
          
        
        5200000.00000000
        PA
        USD
        5169294.83000000
        0.422949862895
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-10-15
          Floating
          1.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: SWPC0KAW2 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0KAW2 CDS EUR P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        1800000.00000000
        OU
        Notional Amount
        
        349427.56000000
        0.028590038574
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                HOCHTIEF AG
                HOCHTIEF AG
                
                  
                
              
            
            Y
            
            sell protection
            2026-12-20
            327882.94000000
            EUR
            0.00000000
            EUR
            1800000.00000000
            EUR
            -39314.53000000
          
        
        
          N
          N
          N
        
      
      
        ALTICE FRANCE SA
        5493001ZMCICV4N02J21
        Altice France SA/France
        000000000
        
          
        
        1400000.00000000
        PA
        
        1391938.76000000
        0.113887933859
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2029-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        National Fuel Gas Co
        8JB38FFW1Y3C1HM8E841
        National Fuel Gas Co
        636180BM2
        
          
        
        300000.00000000
        PA
        USD
        312077.58000000
        0.025534076506
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KENNEDY-WILSON INC
        5EA4464UK7FM5QNNKL62
        Kennedy-Wilson Inc
        489399AN5
        
          
        
        1800000.00000000
        PA
        USD
        1711638.00000000
        0.140045611874
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -57960.95000000
        -0.00474234429
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            2798000.00000000
            AUD
            2035783.11000000
            USD
            2022-04-04
            -57960.95000000
          
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES/SKYMILES
        N/A
        Delta Air Lines Inc / SkyMiles IP Ltd
        830867AA5
        
          
        
        300000.00000000
        PA
        USD
        301742.86000000
        0.024688493394
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2025-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PINNACLE BIDCO PLC
        2138006Z5V8OBL2A2Q06
        Pinnacle Bidco PLC
        000000000
        
          
        
        100000.00000000
        PA
        
        110871.67000000
        0.009071480572
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COTY INC
        549300BO9IWPF3S48F93
        Coty Inc
        000000000
        
          
        
        1880000.00000000
        PA
        
        2077149.86000000
        0.169951662149
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CGG SA
        969500FCVQ5SLAAUJV59
        CGG SA
        12531TAF6
        
          
        
        3400000.00000000
        PA
        USD
        3408500.00000000
        0.278882256688
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-04-01
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VMED O2 UK FINAN
        213800MRR46ECNGZ7L69
        Vmed O2 UK Financing I PLC
        000000000
        
          
        
        500000.00000000
        PA
        
        600502.08000000
        0.049132866427
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-01-31
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Connect Finco Sarl
        2594001KNYIQ456J2792
        Connect Finco Sarl 2021 Term Loan B
        000000000
        
          
        
        1176000.22000000
        PA
        USD
        1164484.83000000
        0.095277734273
        Long
        LON
        CORP
        LU
        
        N
        
        2
        
          2026-12-11
          Floating
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JB4
        
          
        
        200000.00000000
        PA
        USD
        201944.17000000
        0.016523000104
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Washington Mutual Mortgage Pass-Through CTFS
        N/A
        Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA3 Trust
        939355BR3
        
          
        
        262651.12000000
        PA
        USD
        228896.33000000
        0.018728216241
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-04-25
          Floating
          0.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCA MONTE DEI PASCHI S
        J4CP7MHCXR8DAQMKIL78
        Banca Monte dei Paschi di Siena SpA
        000000000
        
          
        
        500000.00000000
        PA
        
        371976.48000000
        0.030434983182
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2030-01-22
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AJ5
        
          
        
        800000.00000000
        PA
        USD
        837310.39000000
        0.068508438055
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freedom Mortgage Corp
        549300LYRWPSYPK6S325
        Freedom Mortgage Corp
        35640YAB3
        
          
        
        782000.00000000
        PA
        USD
        779638.36000000
        0.063789733090
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          8.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANDS CHINA LTD
        549300EVO6UZDGY05787
        Sands China Ltd
        80007RAM7
        
          
        
        400000.00000000
        PA
        USD
        347400.00000000
        0.028424144337
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-03-08
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-OA17
        12668PAA0
        
          
        
        23406.10000000
        PA
        USD
        20416.10000000
        0.001670438034
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-12-20
          Floating
          0.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AV8
        
          
        
        400000.00000000
        PA
        USD
        432430.19000000
        0.035381284215
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-30
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIRGIN MONEY UK PLC
        213800ZK9VGCYYR6O495
        Virgin Money UK PLC
        000000000
        
          
        
        200000.00000000
        PA
        
        267667.14000000
        0.021900430114
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-09-03
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hilton Worldwide Finance, LLC
        549300406TN7EY0NPH20
        Hilton Worldwide Finance, LLC 2019 Term Loan B2
        43289DAH6
        
          
        
        1120295.33000000
        PA
        USD
        1106291.64000000
        0.090516388182
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-06-22
          Floating
          2.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Asset-Backed Certificates
        N/A
        WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust
        933631AA1
        
          
        
        119085.31000000
        PA
        USD
        108700.14000000
        0.008893806761
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-01-25
          Floating
          0.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -76441.32000000
        -0.00625440159
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            7277020.99000000
            USD
            6509000.00000000
            EUR
            2022-04-04
            -76441.32000000
          
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YDM8
        
          
        
        400000.00000000
        PA
        
        449707.34000000
        0.036794894478
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BMW FINANCE NV
        5299006ZHG3IXU0PNJ56
        BMW Finance NV
        05600LAA4
        
          
        
        400000.00000000
        PA
        USD
        400865.90000000
        0.032798705243
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2022-08-12
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sound Point CLO LTD
        549300ZK5CJ7PM7YBH85
        Sound Point Clo XVI Ltd
        83610KAJ2
        
          
        
        5200000.00000000
        PA
        USD
        5200465.09000000
        0.425500202473
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-25
          Floating
          1.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IMPERIAL BRANDS FIN PLC
        2138008L3B3MCG1DFS50
        Imperial Brands Finance PLC
        45262BAB9
        
          
        
        200000.00000000
        PA
        USD
        195624.79000000
        0.016005950681
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-07-26
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BA7
        
          
        
        200000.00000000
        PA
        USD
        200000.00000000
        0.016363928806
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-04-02
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISH DBS CORP
        N/A
        DISH DBS Corp
        25470XBF1
        
          
        
        5200000.00000000
        PA
        USD
        4920500.00000000
        0.402593558467
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wynn Macau Ltd
        254900NMDQ8ENTHU1I31
        Wynn Macau Ltd
        98313RAD8
        
          
        
        200000.00000000
        PA
        USD
        173000.00000000
        0.014154798417
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: SWPC0IMR5 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IMR5 CDS EUR P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        500000.00000000
        OU
        Notional Amount
        
        34077.54000000
        0.002788212192
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                INTRUM AB
                INTRUM AB
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            21552.00000000
            EUR
            0.00000000
            EUR
            500000.00000000
            EUR
            11523.09000000
          
        
        
          N
          N
          N
        
      
      
        LAS VEGAS SANDS CORP
        549300DUOO1KXOHPM605
        Las Vegas Sands Corp
        517834AE7
        
          
        
        100000.00000000
        PA
        USD
        94208.38000000
        0.007708096116
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-18
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2L7
        
          
        
        200000.00000000
        PA
        USD
        190181.18000000
        0.015560556449
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-09
          Fixed
          2.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0JOR1 CDS EUR R F  1.00000 1 CCPCORPORATE / Short: SWPC0JOR1 CDS EUR P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        300000.00000000
        OU
        Notional Amount
        
        -1406.75000000
        -0.00011509978
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                ATLANTIA SPA
                ATLANTIA SPA
                
                  
                
              
            
            Y
            
            sell protection
            2025-12-20
            0.00000000
            EUR
            -8595.38000000
            EUR
            300000.00000000
            EUR
            9109.72000000
          
        
        
          N
          N
          N
        
      
      
        Long Beach Mortgage Loan Trust
        N/A
        Long Beach Mortgage Loan Trust 2006-1
        542514RM8
        
          
        
        55925.26000000
        PA
        USD
        51323.60000000
        0.004199278682
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-02-25
          Floating
          1.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796R50
        
          
        
        29700000.00000000
        PA
        USD
        29662039.54000000
        2.426937516476
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-06-30
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VMED O2 UK FINAN
        213800MRR46ECNGZ7L69
        Vmed O2 UK Financing I PLC
        000000000
        
          
        
        1200000.00000000
        PA
        
        1221299.73000000
        0.099926309167
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2031-01-31
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        654744AD3
        
          
        
        500000.00000000
        PA
        USD
        495677.58000000
        0.040556163151
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2030-09-17
          Fixed
          4.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NuStar Logistics LP
        N62BF2PKP51FIIOIUN20
        NuStar Logistics LP
        67059TAF2
        
          
        
        200000.00000000
        PA
        USD
        202249.00000000
        0.016547941186
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certificates
        N/A
        Countrywide Asset-Backed Certificates
        126670YH5
        
          
        
        18447.69000000
        PA
        USD
        18387.11000000
        0.001504426795
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-08-25
          Floating
          1.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280AW9
        
          
        
        3000000.00000000
        PA
        USD
        3078225.00000000
        0.251859273755
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-08
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71643VAB1
        
          
        
        4536000.00000000
        PA
        USD
        4309200.00000000
        0.352577210070
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2032-02-16
          Fixed
          6.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        000000000
        
          
        
        900000.00000000
        PA
        
        1005509.35000000
        0.082270417089
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-06
          Fixed
          3.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ares European CLO
        635400SFL7VSI4HNPI68
        Ares European CLO X DAC
        000000000
        
          
        
        1100000.00000000
        PA
        
        1209504.25000000
        0.098961207192
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2031-10-15
          Floating
          0.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIRGIN MEDIA SECURED FIN
        213800X3RLP4NOTPY579
        Virgin Media Secured Finance PLC
        000000000
        
          
        
        3200000.00000000
        PA
        
        3851620.65000000
        0.315138230535
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-01-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of South Africa
        378900AAFB4F17004C49
        Republic of South Africa Government International Bond
        836205AV6
        
          
        
        500000.00000000
        PA
        USD
        413750.00000000
        0.033852877718
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2046-10-12
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DAZ8
        
          
        
        100000.00000000
        PA
        USD
        99963.39000000
        0.008178968986
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-08-15
          Fixed
          3.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -3580.82000000
        -0.00029298141
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            1192546.80000000
            BRL
            244896.25000000
            USD
            2022-05-03
            -3580.82000000
          
        
        
          N
          N
          N
        
      
      
        JOHN LEWIS PLC
        213800JSUFNZLZLCVJ25
        John Lewis PLC
        000000000
        
          
        
        1000000.00000000
        PA
        
        1190035.18000000
        0.097368254815
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2034-12-18
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAE FUNDING LLC
        635400SZTPQL3Y1P2C76
        DAE Funding LLC
        23371DAG9
        
          
        
        700000.00000000
        PA
        USD
        654500.00000000
        0.053550957020
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-03-20
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397B77
        
          
        
        1800000.00000000
        PA
        USD
        1674018.00000000
        0.136967556866
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-10
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: SWPC0K045 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0K045 CDS EUR P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        100000.00000000
        OU
        Notional Amount
        
        -3483.49000000
        -0.00028501791
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                CASINO GUICHARD PERRACHO
                CASINO GUICHARD PERRACHO
                
                  
                
              
            
            Y
            
            sell protection
            2022-12-20
            1458.79000000
            EUR
            0.00000000
            EUR
            100000.00000000
            EUR
            -5244.52000000
          
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404121AF2
        
          
        
        2655000.00000000
        PA
        USD
        2721279.74000000
        0.222654139642
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MUNI ELEC AUTH OF GEORGIA
        JA0WNILDDF2KUPS83B16
        Municipal Electric Authority of Georgia
        626207YM0
        
          
        
        97000.00000000
        PA
        USD
        131441.15000000
        0.010754468104
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2057-04-01
          Fixed
          6.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAK1
        
          
        
        1200000.00000000
        PA
        USD
        1216211.11000000
        0.099509960090
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2024-01-16
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCA MONTE DEI PASCHI S
        J4CP7MHCXR8DAQMKIL78
        Banca Monte dei Paschi di Siena SpA
        000000000
        
          
        
        3800000.00000000
        PA
        
        4056617.86000000
        0.331911029285
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2024-09-24
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Venture CDO Ltd
        549300NQPL9XHZ20E278
        Venture 33 CLO Ltd
        92330YAN3
        
          
        
        1000000.00000000
        PA
        USD
        992705.27000000
        0.081222791821
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-15
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INEOS Finance PLC
        2138002D68XDR4LZCG32
        INEOS Finance PLC
        000000000
        
          
        
        2700000.00000000
        PA
        
        2838414.74000000
        0.232238083646
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2026-05-01
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        1400000.00000000
        PA
        
        1242685.75000000
        0.101676105710
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2033-04-14
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PARK AEROSPACE HOLDINGS
        635400CPI3EOIFF6OC33
        Park Aerospace Holdings Ltd
        70014LAC4
        
          
        
        3900000.00000000
        PA
        USD
        3927724.09000000
        0.321364986906
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-03-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Accredited Mortgage Loan Trust
        N/A
        Accredited Mortgage Loan Trust 2005-3
        004375DW8
        
          
        
        174797.97000000
        PA
        USD
        173836.27000000
        0.014223221731
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Floating
          1.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Specialty Underwriting & Residential Finance
        N/A
        Specialty Underwriting & Residential Finance Trust Series 2005-BC2
        84751PFW4
        
          
        
        145644.60000000
        PA
        USD
        144211.88000000
        0.011799364687
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-12-25
          Floating
          1.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BJ9
        
          
        
        200000.00000000
        PA
        USD
        203011.94000000
        0.016610364665
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-06-25
          Fixed
          4.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        1900000.00000000
        PA
        
        2272630.83000000
        0.185945845530
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2028-06-14
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cairn CLO BV
        549300SJJA6F0HPES196
        Cairn CLO X DAC
        000000000
        
          
        
        700000.00000000
        PA
        
        764644.89000000
        0.062562972711
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2031-10-15
          Floating
          0.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Mortgage Investments Inc
        N/A
        Structured Asset Mortgage Investments II Trust 2005-AR8
        86359LRY7
        
          
        
        391812.21000000
        PA
        USD
        384586.29000000
        0.031466713348
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Floating
          1.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO BTG PACTUAL/CAYMAN
        ZXLTQRYIK6IJH3R0IK66
        Banco BTG Pactual SA/Cayman Islands
        05971AAE1
        
          
        
        500000.00000000
        PA
        USD
        496255.00000000
        0.040603407449
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2025-01-10
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0HEJ4 CDS USD R F  5.00000 1 CCPCORPORATE / Short: SWPC0HEJ4 CDS USD P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        700000.00000000
        OU
        Notional Amount
        USD
        42162.37000000
        0.003449710105
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                FORD MOTOR COMPANY
                FORD MOTOR COMPANY
                
                  
                  
                
              
            
            Y
            
            sell protection
            2023-12-20
            35261.09000000
            USD
            0.00000000
            USD
            700000.00000000
            USD
            6901.28000000
          
        
        
          N
          N
          N
        
      
      
        LOXAM SAS
        969500BNA2YRNE1R5K91
        Loxam SAS
        000000000
        
          
        
        900000.00000000
        PA
        
        978967.98000000
        0.080098811643
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-14
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADANI ELECTRICITY MUMBAI
        335800AIC1B5EBFVUC38
        Adani Electricity Mumbai Ltd
        00654GAA1
        
          
        
        300000.00000000
        PA
        USD
        270854.39000000
        0.022161209774
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2030-02-12
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JF5
        
          
        
        100000.00000000
        PA
        USD
        89854.11000000
        0.007351831295
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-01
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Novastar Home Equity Loan
        N/A
        NovaStar Mortgage Funding Trust Series 2007-2
        66989EAC9
        
          
        
        228396.73000000
        PA
        USD
        225323.72000000
        0.018435906562
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-25
          Floating
          0.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arab Republic of Egypt
        529900GFIVH4086NMH82
        Egypt Government International Bond
        000000000
        
          
        
        1550000.00000000
        PA
        
        1439479.84000000
        0.117777728102
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2030-04-16
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOBACCO SETTLEMENT FING CORP V
        N/A
        Tobacco Settlement Financing Corp/VA
        88880NAT6
        
          
        
        3125000.00000000
        PA
        USD
        3169295.00000000
        0.259310588737
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2046-06-01
          Fixed
          6.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Trust
        N/A
        IndyMac INDX Mortgage Loan Trust 2004-AR6
        45660NX83
        
          
        
        15400.60000000
        PA
        USD
        15440.63000000
        0.001263346850
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Variable
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEVA PHARM FNC NL II
        549300HSQCIKJAOYIT23
        Teva Pharmaceutical Finance Netherlands II BV
        000000000
        
          
        
        800000.00000000
        PA
        
        890221.31000000
        0.072837590695
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2025-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHUBB INA HOLDINGS INC
        CZCBJZWDMLTHWJDXU843
        Chubb INA Holdings Inc
        171239AC0
        
          
        
        200000.00000000
        PA
        
        213080.52000000
        0.017434172296
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-15
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG
        ANGGYXNX0JLX3X63JN86
        Credit Suisse AG
        22546DAA4
        
          
        
        7400000.00000000
        PA
        USD
        7585000.00000000
        0.620601999995
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-08-08
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Loxam SAS
        969500BNA2YRNE1R5K91
        Loxam SAS
        000000000
        
          
        
        100000.00000000
        PA
        
        106199.98000000
        0.008689244559
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-04-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NN Group NV
        724500OHYNDT9OY6Q215
        NN Group NV
        000000000
        
          
        
        2600000.00000000
        PA
        
        3066800.89000000
        0.250924557142
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-01-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CP2
        
          
        
        200000.00000000
        PA
        USD
        189600.00000000
        0.015513004508
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-09
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAE SUKUK DIFC LTD
        635400AMGMPG1J5EQD94
        DAE Sukuk Difc Ltd
        23302JAA3
        
          
        
        1000000.00000000
        PA
        USD
        973750.00000000
        0.079671878377
        Long
        DBT
        CORP
        AE
        N
        
        2
        
          2026-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GE CAPITAL UK FUNDING UN
        BR7Z6BPTFF652NNO9651
        GE Capital UK Funding Unlimited Co
        000000000
        
          
        
        800000.00000000
        PA
        
        1276394.50000000
        0.104434143636
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2033-01-18
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HLDGS
        549300F5XIFGNNW4CF72
        Santander UK Group Holdings PLC
        80281LAG0
        
          
        
        4000000.00000000
        PA
        USD
        3933247.04000000
        0.321816872709
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-11-03
          Fixed
          3.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0K1S1 CDS EUR R F  1.00000 1 CCPCORPORATE / Short: SWPC0K1S1 CDS EUR P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        100000.00000000
        OU
        Notional Amount
        
        -7002.42000000
        -0.00057293551
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                MARKS & SPENCER PLC
                MARKS & SPENCER PLC
                
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            EUR
            -6212.51000000
            EUR
            100000.00000000
            EUR
            402.26000000
          
        
        
          N
          N
          N
        
      
      
        Transocean Poseidon Ltd
        N/A
        Transocean Poseidon Ltd
        89383JAA6
        
          
        
        187500.00000000
        PA
        USD
        185625.00000000
        0.015187771423
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-02-01
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SAUDI INTERNATIONAL BOND
        635400FMICXSM3SI3H65
        Saudi Government International Bond
        000000000
        
          
        
        9300000.00000000
        PA
        USD
        9784269.60000000
        0.800545455801
        Long
        DBT
        NUSS
        SA
        N
        
        2
        
          2046-10-26
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        12422.62000000
        0.001016414346
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            2215739.00000000
            USD
            32061743330.00000000
            IDR
            2022-05-20
            12422.62000000
          
        
        
          N
          N
          N
        
      
      
        Casino Guichard-Perrachon SA
        969500VHL8F83GBL6L29
        Casino Guichard-Perrachon SA 2021 EUR Term Loan B
        000000000
        
          
        
        1300000.00000000
        PA
        
        1394980.94000000
        0.114136843944
        Long
        LON
        CORP
        FR
        N
        
        2
        
          2025-08-31
          Floating
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certificates
        N/A
        Countrywide Asset-Backed Certificates
        12670FAA8
        
          
        
        804202.01000000
        PA
        USD
        740100.52000000
        0.060554761095
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2047-06-25
          Floating
          0.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZF FINANCE GMBH
        5493001N9T6QDCCXB426
        ZF Finance GmbH
        000000000
        
          
        
        2000000.00000000
        PA
        
        2099108.92000000
        0.171748344622
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2028-09-21
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT JUN22
        000000000
        
          
        
        293.00000000
        NC
        USD
        -2026003.45000000
        -0.16576688109
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CME Ultra Long Term US Treasury Bond Future
                WNM2 COMDTY
              
            
            2022-06-21
            53923628.45000000
            USD
            -2026003.45000000
          
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        83367TBV0
        
          
        
        300000.00000000
        PA
        USD
        305925.00000000
        0.025030674601
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-10-04
          Fixed
          7.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Asset Backed Securities
        N/A
        Mastr Asset Backed Securities Trust 2006-WMC4
        57645MAE2
        
          
        
        867736.54000000
        PA
        USD
        341170.23000000
        0.027914426773
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-25
          Floating
          0.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0KJ52 CDS EUR R F  1.00000 1 CCPCORPORATE / Short: SWPC0KJ52 CDS EUR P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        500000.00000000
        OU
        Notional Amount
        
        -55937.29000000
        -0.00457676915
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                MARKS & SPENCER PLC
                MARKS & SPENCER PLC
                
                  
                
              
            
            Y
            
            sell protection
            2028-12-20
            0.00000000
            EUR
            -31311.99000000
            EUR
            500000.00000000
            EUR
            -20060.21000000
          
        
        
          N
          N
          N
        
      
      
        GLP CAPITAL LP / FIN II
        5493006GWRDBCZYWTM57
        GLP Capital LP / GLP Financing II Inc
        361841AK5
        
          
        
        400000.00000000
        PA
        USD
        430509.32000000
        0.035224119315
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Colombia
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325DQ5
        
          
        
        200000.00000000
        PA
        USD
        170454.00000000
        0.013946485604
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2049-05-15
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cantor Fitzgerald LP
        549300RLUEEVQEMX0450
        Cantor Fitzgerald LP
        138616AC1
        
          
        
        200000.00000000
        PA
        USD
        201734.72000000
        0.016505862979
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-17
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Georgia-Pacific LLC
        L2EVHWFHVAQK72TMH265
        Georgia-Pacific LLC
        373298BU1
        
          
        
        200000.00000000
        PA
        USD
        279406.52000000
        0.022860942007
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-15
          Fixed
          8.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2005-59
        12668AEV3
        
          
        
        4457.76000000
        PA
        USD
        4214.80000000
        0.000344853435
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-20
          Floating
          1.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Time Warner Cable LLC
        549300U5NFR7S6E3GM41
        Time Warner Cable LLC
        88732JAU2
        
          
        
        200000.00000000
        PA
        USD
        231890.74000000
        0.018973217801
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-06-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYAL BK SCOTLND GRP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BG5
        
          
        
        3700000.00000000
        PA
        USD
        3846059.02000000
        0.314683179949
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-05-18
          Fixed
          4.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTELSAT EMERGENCE SA
        N/A
        INTELSAT EMERGENCE SA
        000000000
        
          
        
        9427.00000000
        NS
        USD
        280453.25000000
        0.022946585083
        Long
        EC
        CORP
        LU
        N
        
        3
        
          N
          N
          N
        
      
      
        FED REPUBLIC OF BRAZIL
        254900ZFY40OYEADAP90
        Brazilian Government International Bond
        105756BW9
        
          
        
        1000000.00000000
        PA
        USD
        889010.00000000
        0.072738481742
        Long
        DBT
        NUSS
        BR
        N
        
        2
        
          2045-01-27
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRIBOROUGH NY BRIDGE & TUNNEL
        54930020ZN4LQF7K3456
        Triborough Bridge & Tunnel Authority
        89602NVM3
        
          
        
        800000.00000000
        PA
        USD
        960208.16000000
        0.078563889849
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-11-15
          Fixed
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANDS CHINA LTD
        549300EVO6UZDGY05787
        Sands China Ltd
        80007RAR6
        
          
        
        1100000.00000000
        PA
        USD
        896500.00000000
        0.073351310876
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2031-08-08
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOLL BROS FINANCE CORP
        N/A
        Toll Brothers Finance Corp
        88947EAT7
        
          
        
        100000.00000000
        PA
        USD
        100468.50000000
        0.008220296906
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNICREDIT SPA
        549300TRUWO2CD2G5692
        UniCredit SpA
        904678AU3
        
          
        
        2900000.00000000
        PA
        USD
        2679312.73000000
        0.219220413823
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2026-09-22
          Fixed
          2.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS PASS-THROUGH TRUST
        549300EJG376EN5NQE29
        CVS Pass-Through Trust Series 2013
        12665UAA2
        
          
        
        370851.93000000
        PA
        USD
        387418.20000000
        0.031698419216
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-01-10
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397C27
        
          
        
        600000.00000000
        PA
        USD
        610080.00000000
        0.049916528432
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-28
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SMBC AVIATION CAPITAL FI
        549300OD7VKRVNWB2J98
        SMBC Aviation Capital Finance DAC
        78448TAF9
        
          
        
        200000.00000000
        PA
        USD
        177241.35000000
        0.014501824165
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2028-06-15
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNIQUE PUB FINANCE CO
        213800FOMWLKHQTI5562
        Unique Pub Finance Co PLC/The
        000000000
        
          
        
        276160.00000000
        PA
        
        376718.57000000
        0.030822979298
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-03-28
          Fixed
          7.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0IIT6 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0IIT6 CDS USD P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        400000.00000000
        OU
        Notional Amount
        USD
        5403.98000000
        0.000442151719
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                GENERAL ELECTRIC CO
                GENERAL ELECTRIC CO
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            0.00000000
            USD
            -3286.27000000
            USD
            400000.00000000
            USD
            8690.25000000
          
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        000000000
        
          
        
        100000.00000000
        PA
        
        111452.67000000
        0.009119017786
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2026-03-17
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Securities LLC
        1V8Y6QCX6YMJ2OELII46
        REVERSE REPO CREDIT SUISSE FR
        000000000
        
          
        
        -923184.00000000
        PA
        
        -1021272.08000000
        -0.08356011804
        Short
        RA
        CORP
        FR
        N
        
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          -1.75000000
          2024-03-21
          
            
              1000000.00000000
              USD
              994241.97000000
              USD
              CDS
            
          
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2019-2 A PTT
        N/A
        United Airlines 2019-2 Class A Pass Through Trust
        90932MAA3
        
          
        
        93008.34000000
        PA
        USD
        84378.30000000
        0.006903802470
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-01
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Global Advisors
        549300BZ5TGIFZUZDZ37
        State Street Institutional US Government Money Market Fund
        857492706
        
          
        
        5689610.30000000
        NS
        USD
        5689610.30000000
        0.465521889436
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Carlyle Global Market Strategies Euro
        635400GXUD5SKWFXE966
        Carlyle Euro CLO 2021-2 DAC
        000000000
        
          
        
        900000.00000000
        PA
        
        986166.35000000
        0.080687779715
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2031-01-15
          Floating
          0.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STYROLUTION
        5299003M4PGUGL48LS74
        INEOS Styrolution Group GmbH
        000000000
        
          
        
        3200000.00000000
        PA
        
        3210177.50000000
        0.262655580334
        Long
        DBT
        CORP
        DE
        
        N
        
        2
        
          2027-01-16
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Q-PARK HOLDING BV
        2549003839B7HE3NDP48
        Q-Park Holding I BV
        000000000
        
          
        
        2000000.00000000
        PA
        
        2016140.18000000
        0.164959871849
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2027-03-01
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Federal Republic of Nigeria
        549300GSBZD84TNEQ285
        Nigeria Government International Bond
        000000000
        
          
        
        2800000.00000000
        PA
        USD
        2646840.00000000
        0.216563506614
        Long
        DBT
        NUSS
        NG
        N
        
        2
        
          2032-02-16
          Fixed
          7.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        71647NBD0
        
          
        
        300000.00000000
        PA
        USD
        298044.00000000
        0.024385853986
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2049-03-19
          Fixed
          6.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vonovia Finance BV
        5299009XLZLD9TALOZ03
        Vonovia Finance BV
        25155FAB2
        
          
        
        300000.00000000
        PA
        USD
        306380.49000000
        0.025067942630
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-10-02
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOBLE CORP
        N/A
        NOBLE CORP
        65500J106
        
          
        
        2440.00000000
        NS
        USD
        85522.00000000
        0.006997379597
        Long
        EC
        CORP
        KY
        N
        
        3
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        000000000
        
          
        
        1700000.00000000
        PA
        USD
        1489336.00000000
        0.121856941366
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-01-21
          Fixed
          3.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUMMER (BC) BIDC
        213800CCW2O2WZ7YV169
        Summer BC Bidco B LLC
        865632AA1
        
          
        
        400000.00000000
        PA
        USD
        385032.00000000
        0.031503181181
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2005-1CB
        12667F2Q7
        
          
        
        266762.96000000
        PA
        USD
        162794.82000000
        0.013319814222
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADLER REAL ESTATE AG
        529900Y6QFNN3D363B76
        ADLER Real Estate AG
        000000000
        
          
        
        4900000.00000000
        PA
        
        4960467.06000000
        0.405863649090
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2024-02-06
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TESCO PROPERTY FIN 3 PLC
        213800HCQGDQGFP75D78
        Tesco Property Finance 3 PLC
        000000000
        
          
        
        93530.97000000
        PA
        
        145195.71000000
        0.011879861307
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2040-04-13
          Fixed
          5.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QBX9
        
          
        
        378000.00000000
        PA
        USD
        284921.28000000
        0.023312157707
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2046-01-23
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certificates
        N/A
        Countrywide Asset-Backed Certificates
        23242HAF9
        
          
        
        900000.00000000
        PA
        USD
        826795.53000000
        0.067648115953
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-02-25
          Floating
          0.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MET GOVT NASHVILLE & DAVIDSON
        549300GW8FVQJ3DU6O10
        Metropolitan Government of Nashville & Davidson County TN Water & Sewer Revenue
        592098G50
        
          
        
        100000.00000000
        PA
        USD
        130971.59000000
        0.010716048872
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2037-07-01
          Fixed
          6.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLIS ACQUISITION CO PL
        259400CYE2267UB4A481
        Bellis Acquisition Co PLC
        000000000
        
          
        
        4000000.00000000
        PA
        
        4848218.30000000
        0.396679495503
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-02-16
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INEOS FINANCE PLC
        2138002D68XDR4LZCG32
        INEOS Finance PLC
        000000000
        
          
        
        3400000.00000000
        PA
        
        3574300.05000000
        0.292447957760
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2026-05-01
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRITISH AIR 21-1 A PPT
        N/A
        British Airways 2021-1 Class A Pass Through Trust
        11042CAA8
        
          
        
        399733.49000000
        PA
        USD
        367274.13000000
        0.030050238579
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2035-03-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCA MONTE DEI PASCHI S
        J4CP7MHCXR8DAQMKIL78
        Banca Monte dei Paschi di Siena SpA
        000000000
        
          
        
        7100000.00000000
        PA
        
        5132330.26000000
        0.419925434936
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2028-01-18
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAT8
        
          
        
        500000.00000000
        PA
        USD
        504045.00000000
        0.041240782476
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PORT AUTH OF NEW YORK & NEW JE
        54930006MR4KZ4W74Z83
        Port Authority of New York & New Jersey
        73358WCX0
        
          
        
        1100000.00000000
        PA
        USD
        1342056.98000000
        0.109806624376
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-11-01
          Fixed
          5.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINGDOM OF MOROCCO
        529900F3MBW9XY5K1X07
        Morocco Government International Bond
        617726AM6
        
          
        
        500000.00000000
        PA
        USD
        399850.00000000
        0.032715584666
        Long
        DBT
        NUSS
        MA
        N
        
        2
        
          2050-12-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Volkswagen Leasing GmbH
        5299004GLEUX88BSNB74
        Volkswagen Leasing GmbH
        000000000
        
          
        
        1800000.00000000
        PA
        
        2056363.43000000
        0.168250923846
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2024-01-15
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2G8
        
          
        
        5800000.00000000
        PA
        USD
        5921808.00000000
        0.484520222595
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-10
          Fixed
          4.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAA4
        
          
        
        293000.00000000
        PA
        USD
        301831.86000000
        0.024695775343
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RIVERSIDE CA ELEC REVENUE
        549300FG48YQF1N4C302
        City of Riverside CA Electric Revenue
        768874SG5
        
          
        
        200000.00000000
        PA
        USD
        293427.92000000
        0.024008167963
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-10-01
          Fixed
          7.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JM0
        
          
        
        500000.00000000
        PA
        USD
        496102.87000000
        0.040590960227
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-01
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ace Securities Corp.
        N/A
        ACE Securities Corp Home Equity Loan Trust Series 2006-FM1
        00441VAD0
        
          
        
        7249221.21000000
        PA
        USD
        2381638.84000000
        0.194864842105
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-25
          Floating
          0.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDI
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397B69
        
          
        
        2900000.00000000
        PA
        USD
        2619497.50000000
        0.214326352997
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-17
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: SWPC0IO28 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IO28 CDS EUR P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        300000.00000000
        OU
        Notional Amount
        
        20446.51000000
        0.001672926169
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                INTRUM AB
                INTRUM AB
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            16747.51000000
            EUR
            0.00000000
            EUR
            300000.00000000
            EUR
            2412.86000000
          
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        000000000
        
          
        
        100000.00000000
        PA
        
        108456.73000000
        0.008873891041
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-25
          Fixed
          2.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nomura Asset Acceptance Corporation
        549300B3CEAHYG7K8164
        Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AR4
        65535VMX3
        
          
        
        2119.24000000
        PA
        USD
        2275.40000000
        0.000186172418
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-08-25
          Variable
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG
        000000000
        
          
        
        100000.00000000
        PA
        
        107613.54000000
        0.008804901536
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-01-20
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arab Republic of Egypt
        529900GFIVH4086NMH82
        Egypt Government International Bond
        000000000
        
          
        
        600000.00000000
        PA
        
        632497.86000000
        0.051750749757
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2025-04-11
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PINNACLE BIDCO PLC
        2138006Z5V8OBL2A2Q06
        Pinnacle Bidco PLC
        000000000
        
          
        
        400000.00000000
        PA
        
        524146.19000000
        0.042885454687
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-02-15
          Fixed
          6.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAAC Series
        N/A
        RAAC Series 2007-RP4 Trust
        74919LAD0
        
          
        
        193350.49000000
        PA
        USD
        186330.86000000
        0.015245524637
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-11-25
          Floating
          0.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2376.88000000
        0.000194475475
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            31384.00000000
            USD
            506467.07000000
            ZAR
            2022-11-08
            2376.88000000
          
        
        
          N
          N
          N
        
      
      
        CAESARS RESORT / FINCO
        N/A
        Caesars Resort Collection LLC / CRC Finco Inc
        12770RAA1
        
          
        
        7300000.00000000
        PA
        USD
        7450270.50000000
        0.609578480264
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Puget Energy Inc
        SYBSJ96YIDMIUY7WDR33
        Puget Energy Inc
        745310AF9
        
          
        
        200000.00000000
        PA
        USD
        200542.94000000
        0.016408351964
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-15
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        000000000
        
          
        
        400000.00000000
        PA
        
        440567.06000000
        0.036047040022
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-12-07
          Floating
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        000000000
        
          
        
        900000.00000000
        PA
        
        995668.59000000
        0.081465249609
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-21
          Floating
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCA MONTE DEI PASCHI S
        J4CP7MHCXR8DAQMKIL78
        Banca Monte dei Paschi di Siena SpA
        000000000
        
          
        
        300000.00000000
        PA
        
        300346.81000000
        0.024574269080
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2026-01-09
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certificates
        N/A
        Countrywide Asset-Backed Certificates
        126670YJ1
        
          
        
        1500000.00000000
        PA
        USD
        1464749.85000000
        0.119845311325
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-08-25
          Floating
          0.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONNECT FINCO SARL/CONNE
        N/A
        Connect Finco SARL / Connect US Finco LLC
        20752TAA2
        
          
        
        1800000.00000000
        PA
        USD
        1831302.00000000
        0.149836477758
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2026-10-01
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mortgage Loan Trust
        784F5XWPLTWKTBV3E584
        GSR Mortgage Loan Trust 2006-AR1
        3623414A4
        
          
        
        1120.58000000
        PA
        USD
        1141.66000000
        0.000093410214
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-25
          Variable
          2.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTOS FINANCE LTD
        213800BKUBSWG53XNS94
        Santos Finance Ltd
        803014AA7
        
          
        
        700000.00000000
        PA
        USD
        654094.98000000
        0.053517818427
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2031-04-29
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Investment Loan Trust
        N/A
        Structured Asset Investment Loan Trust
        86358EEM4
        
          
        
        32878.49000000
        PA
        USD
        32730.64000000
        0.002678009313
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-10-25
          Floating
          1.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VMWARE INC
        549300BUDHS3LRWBE814
        VMware Inc
        928563AE5
        
          
        
        1400000.00000000
        PA
        USD
        1466929.13000000
        0.120023619239
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Capital, Inc.
        G5GSEF7VJP5I7OUK5573
        Long: SWPC0K1X0 CDS USD R F  1.00000 FIX SOVEREIGN / Short: SWPC0K1X0 CDS USD P V 03MEVENT FLO SOVEREIGN
        000000000
        
          
        
        5700000.00000000
        OU
        Notional Amount
        USD
        -187110.48000000
        -0.01530931286
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Barclays Capital, Inc.
              G5GSEF7VJP5I7OUK5573
            
            
              
                Indonesia Government International Bond
                Indonesia Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2031-06-20
            0.00000000
            USD
            -221631.60000000
            USD
            5700000.00000000
            USD
            34521.12000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0KDU3 CDS EUR R F  1.00000 1 CCPCORPORATE / Short: SWPC0KDU3 CDS EUR P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        3100000.00000000
        OU
        Notional Amount
        
        -7506.25000000
        -0.00061415870
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                VOLKSWAGEN INTL FIN NV
                VOLKSWAGEN INTL FIN NV
                
                  
                
              
            
            Y
            
            sell protection
            2026-12-20
            51595.99000000
            EUR
            0.00000000
            EUR
            3100000.00000000
            EUR
            -66467.66000000
          
        
        
          N
          N
          N
        
      
      
        Republic of Ghana
        213800PP4399SNNXZ126
        Ghana Government International Bond
        37443GAC5
        
          
        
        600000.00000000
        PA
        USD
        417300.00000000
        0.034143337455
        Long
        DBT
        NUSS
        GH
        N
        
        2
        
          2051-03-26
          Fixed
          8.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        83367TBF5
        
          
        
        200000.00000000
        PA
        USD
        209000.00000000
        0.017100305603
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-12-18
          Fixed
          7.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NuStar Logistics LP
        N62BF2PKP51FIIOIUN20
        NuStar Logistics LP
        67059TAE5
        
          
        
        1400000.00000000
        PA
        USD
        1369725.00000000
        0.112070411924
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-28
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        000000000
        
          
        
        400000.00000000
        PA
        
        534655.39000000
        0.043745313690
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-09-15
          Fixed
          7.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cantor Fitzgerald LP
        549300RLUEEVQEMX0450
        Cantor Fitzgerald LP
        138616AE7
        
          
        
        100000.00000000
        PA
        USD
        103080.02000000
        0.008433970543
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-05-01
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORGANON & CO/ORG
        N/A
        Organon & Co / Organon Foreign Debt Co-Issuer BV
        000000000
        
          
        
        3500000.00000000
        PA
        
        3683871.43000000
        0.301413049068
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-30
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corporation
        9DJT3UXIJIZJI4WXO774
        Banc of America Funding 2007-6 Trust
        059526AB9
        
          
        
        45444.21000000
        PA
        USD
        44723.63000000
        0.003659271486
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-07-25
          Floating
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONTINENTAL RESOURCES
        XXRTID9RYWOZ0UPIVR53
        Continental Resources Inc/OK
        212015AS0
        
          
        
        1400000.00000000
        PA
        USD
        1419320.00000000
        0.116128257169
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SERVICE PROPERTIES TRUST
        529900IS770AG1K9QG27
        Service Properties Trust
        44106MBA9
        
          
        
        4900000.00000000
        PA
        USD
        4483500.00000000
        0.366838374025
        Long
        DBT
        
        US
        N
        
        2
        
          2026-10-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADIENT GLOBAL HOLDINGS
        213800VA38VCKE6M8790
        Adient Global Holdings Ltd
        000000000
        
          
        
        400000.00000000
        PA
        
        433738.41000000
        0.035488322309
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2024-08-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        500000.00000000
        PA
        
        423144.96000000
        0.034621570001
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2042-04-13
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CenturyLink, Inc.
        8M3THTGWLTYZVE6BBY25
        CenturyLink, Inc. 2020 Term Loan B
        15669GAH7
        
          
        
        5271875.95000000
        PA
        USD
        5126076.95000000
        0.419413791338
        Long
        LON
        CORP
        US
        N
        
        2
        
          2027-03-15
          Floating
          2.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RKD3
        
          
        
        1800000.00000000
        PA
        USD
        1553919.08000000
        0.127141105982
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities
        549300506SI9CRFV9Z86
        Credit Suisse First Boston Mortgage Securities Corp
        22540A7A0
        
          
        
        2695.87000000
        PA
        USD
        2619.37000000
        0.000214315920
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2032-01-25
          Floating
          1.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WYNN RESORTS FINANCE LLC
        N/A
        Wynn Resorts Finance LLC / Wynn Resorts Capital Corp
        983133AA7
        
          
        
        800000.00000000
        PA
        USD
        753000.00000000
        0.061610191957
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OMEGA HLTHCARE INVESTORS
        549300OJ7ENK42CZ8E73
        Omega Healthcare Investors Inc
        681936BB5
        
          
        
        100000.00000000
        PA
        USD
        102181.45000000
        0.008360449865
        Long
        DBT
        
        US
        N
        
        2
        
          2024-04-01
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IVORY COAST
        254900ICW11T82O6H590
        Ivory Coast Government International Bond
        000000000
        
          
        
        800000.00000000
        PA
        
        770909.17000000
        0.063075513871
        Long
        DBT
        NUSS
        CI
        N
        
        2
        
          2048-03-22
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599EE1
        
          
        
        4300000.00000000
        PA
        USD
        4524890.00000000
        0.370224889091
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: SWPC0JYM1 CDS EUR R F  1.00000 FIX CORPORATE / Short: SWPC0JYM1 CDS EUR P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        200000.00000000
        OU
        Notional Amount
        
        -1846.65000000
        -0.00015109224
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                ATLANTIA SPA
                ATLANTIA SPA
                
                  
                
              
            
            Y
            
            sell protection
            2026-06-20
            0.00000000
            EUR
            -5478.56000000
            EUR
            200000.00000000
            EUR
            4717.74000000
          
        
        
          N
          N
          N
        
      
      
        ROYAL CARIBBEAN CRUISES
        K2NEH8QNVW44JIWK7Z55
        Royal Caribbean Cruises Ltd
        780153BC5
        
          
        
        1100000.00000000
        PA
        USD
        1145375.00000000
        0.093714174785
        Long
        DBT
        CORP
        LR
        
        N
        
        2
        
          2023-06-15
          Fixed
          9.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ALBANIA
        254900EDM43U3SGRND29
        Albania Government International Bond
        000000000
        
          
        
        1400000.00000000
        PA
        
        1499558.27000000
        0.122693323859
        Long
        DBT
        NUSS
        AL
        N
        
        2
        
          2027-06-16
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRY GARDEN HLDGS
        549300MGHLPT1EFHGF84
        Country Garden Holdings Co Ltd
        000000000
        
          
        
        4600000.00000000
        PA
        USD
        3392500.00000000
        0.277573142384
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-10-22
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBB0
        
          
        
        500000.00000000
        PA
        USD
        486624.90000000
        0.039815476095
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2027-08-15
          Fixed
          3.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF SRI LANKA
        254900HXCCIOHM74FA02
        Sri Lanka Government International Bond
        000000000
        
          
        
        1600000.00000000
        PA
        USD
        744000.00000000
        0.060873815161
        Long
        DBT
        NUSS
        LK
        N
        
        2
        
          2030-03-28
          Fixed
          7.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        397369.09000000
        0.032512597493
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            6194000.00000000
            USD
            31381837.82000000
            BRL
            2022-04-04
            397369.09000000
          
        
        
          N
          N
          N
        
      
      
        SANDS CHINA LTD
        549300EVO6UZDGY05787
        Sands China Ltd
        80007RAK1
        
          
        
        1700000.00000000
        PA
        USD
        1608625.00000000
        0.131617124883
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-01-08
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTICE FINANCING SA
        549300DIYGW8HVDF7Q17
        Altice Financing SA
        02154CAH6
        
          
        
        5400000.00000000
        PA
        USD
        4909059.00000000
        0.401657459920
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2029-08-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER PARTNERS
        5493008K8W3OKZE54J59
        Energy Transfer LP
        29273RAJ8
        
          
        
        1700000.00000000
        PA
        USD
        2094979.04000000
        0.171410439310
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-07-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYNGENTA FINANCE NV
        54930042S3BYCEGOCN86
        Syngenta Finance NV
        87164KAC8
        
          
        
        2800000.00000000
        PA
        USD
        2891246.79000000
        0.236560783171
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-04-24
          Fixed
          5.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rolls-Royce PLC
        X57JK1U580XATGR67572
        Rolls-Royce PLC
        000000000
        
          
        
        5300000.00000000
        PA
        
        5734170.17000000
        0.469167762138
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-05-09
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0JXJ9 CDS EUR R F  1.00000 1 CCPCORPORATE / Short: SWPC0JXJ9 CDS EUR P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        800000.00000000
        OU
        Notional Amount
        
        15887.57000000
        0.001299915321
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                TELEFONICA EMISIONES SAU
                TELEFONICA EMISIONES SAU
                
                  
                
              
            
            Y
            
            sell protection
            2026-06-20
            9743.95000000
            EUR
            0.00000000
            EUR
            800000.00000000
            EUR
            4642.61000000
          
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE II
        549300BHVD63HE2GHX17
        Huarong Finance II Co Ltd
        000000000
        
          
        
        400000.00000000
        PA
        USD
        399000.00000000
        0.032646037969
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2025-11-19
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING Groep NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        000000000
        
          
        
        200000.00000000
        PA
        USD
        200264.40000000
        0.016385561920
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2022-04-16
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        1700000.00000000
        PA
        
        1774369.30000000
        0.145178264510
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2027-02-14
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBU8
        
          
        
        2100000.00000000
        PA
        USD
        1949597.20000000
        0.159515348913
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-11-24
          Fixed
          2.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NGPL PipeCo LLC
        549300K3NT1HSQFEM073
        NGPL PipeCo LLC
        62912XAC8
        
          
        
        3900000.00000000
        PA
        USD
        4894604.29000000
        0.400474780693
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-12-15
          Fixed
          7.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2019
        549300M6T6OW4AGYHK10
        Huarong Finance 2019 Co Ltd
        000000000
        
          
        
        800000.00000000
        PA
        USD
        789000.00000000
        0.064555699142
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2023-02-24
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lincoln Financing SARL
        222100831I4WRVCLV609
        Lincoln Financing SARL
        000000000
        
          
        
        6000000.00000000
        PA
        
        6620904.80000000
        0.541720073917
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2024-04-01
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERUSAHAAN LISTRIK NEGAR
        254900OYVDRYS9J51J61
        Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
        71568PAN9
        
          
        
        1500000.00000000
        PA
        USD
        1366500.00000000
        0.111806543572
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2030-06-30
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Soundview Home Equity Loan Trust
        N/A
        Soundview Home Loan Trust 2006-OPT2
        83611MML9
        
          
        
        136867.86000000
        PA
        USD
        134466.72000000
        0.011002019164
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-25
          Floating
          1.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATHORA NETHERLANDS
        724500MKKXKEVWMN9E13
        Athora Netherlands NV
        000000000
        
          
        
        200000.00000000
        PA
        
        235078.07000000
        0.019234004007
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2025-06-19
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certificates
        N/A
        Countrywide Asset-Backed Certificates
        12668HAA8
        
          
        
        403317.15000000
        PA
        USD
        378469.83000000
        0.030966266768
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-06-25
          Floating
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128283J7
        
          
        
        3400000.00000000
        PA
        USD
        3366796.89000000
        0.275470123073
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-11-30
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IHO Verwaltungs GmbH
        529900JL0HDVGZMUJF32
        IHO Verwaltungs GmbH
        000000000
        
          
        
        5100000.00000000
        PA
        
        5471489.18000000
        0.447675297041
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-09-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intesa Sanpaolo SpA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        46115HAT4
        
          
        
        2700000.00000000
        PA
        USD
        2721177.07000000
        0.222645739220
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2024-06-26
          Fixed
          5.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Adjustable Rate Mortgage Trust
        N/A
        Bear Stearns ARM Trust 2007-4
        07401CAV5
        
          
        
        64460.63000000
        PA
        USD
        63267.88000000
        0.005176555420
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-06-25
          Variable
          3.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ace Securities Corp.
        N/A
        ACE Securities Corp Home Equity Loan Trust Series 2004-RM2
        004421JX2
        
          
        
        39216.95000000
        PA
        USD
        37823.16000000
        0.003094677487
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-01-25
          Floating
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -3705.16000000
        -0.00030315487
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            4920000.00000000
            MXN
            243052.60000000
            USD
            2022-04-18
            -3705.16000000
          
        
        
          N
          N
          N
        
      
      
        VALARIS LTD
        N/A
        Valaris Ltd
        000000000
        
          
        
        10000.00000000
        PA
        USD
        10363.00000000
        0.000847896971
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2028-04-30
          Fixed
          8.25000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        MARSH & MCLENNAN COS INC
        549300XMP3KDCKJXIU47
        Marsh & McLennan Cos Inc
        571748BL5
        
          
        
        100000.00000000
        PA
        
        109731.13000000
        0.008978161996
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-21
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corporation
        9DJT3UXIJIZJI4WXO774
        Banc of America Funding 2005-H Trust
        05946XJ38
        
          
        
        109683.24000000
        PA
        USD
        100482.88000000
        0.008221473473
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-20
          Variable
          2.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman XS Trust
        549300FDK6ZP3YIHRJ47
        Lehman XS Trust Series 2005-4
        525221CA3
        
          
        
        3447.12000000
        PA
        USD
        3447.12000000
        0.000282042131
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-10-25
          Floating
          1.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley ABS Capital I Inc Trust 2006-HE8
        61750SAE2
        
          
        
        57091.24000000
        PA
        USD
        31104.34000000
        0.002544946026
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-25
          Floating
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ODEBRECHT OIL & FINANCE
        N/A
        Odebrecht Oil & Gas Finance Ltd
        G6712EAB4
        
          
        
        782000.00000000
        PA
        USD
        5865.00000000
        0.000479872212
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2022-05-02
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTL LEASE FINANCE CORP
        549300SZYINBBLJQU475
        International Lease Finance Corp
        459745GN9
        
          
        
        400000.00000000
        PA
        USD
        404883.66000000
        0.033127436936
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        654744AC5
        
          
        
        6400000.00000000
        PA
        USD
        6306415.62000000
        0.515988681156
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2027-09-17
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Mortgage Investments Inc
        N/A
        Structured Asset Mortgage Investments II Trust 2006-AR6
        86360UAA4
        
          
        
        176315.03000000
        PA
        USD
        154607.23000000
        0.012649908523
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-07-25
          Floating
          0.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Suntrust Alternative Loan Trust
        7E1PDLW1JL6TS0BS1G03
        Suntrust Alternative Loan Trust Series 2005-1F
        86789MAA5
        
          
        
        8401.68000000
        PA
        USD
        7202.33000000
        0.000589292076
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Floating
          1.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAL9
        
          
        
        900000.00000000
        PA
        USD
        909021.55000000
        0.074375819639
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2026-04-03
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF VENEZUELA
        529900XM8PJTJK5OJI77
        Venezuela Government International Bond
        P97475AJ9
        
          
        
        204000.00000000
        PA
        USD
        16728.00000000
        0.001368679005
        Long
        DBT
        NUSS
        VE
        N
        
        2
        
          2038-03-31
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRCASTLE LTD
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAS0
        
          
        
        300000.00000000
        PA
        USD
        295142.11000000
        0.024148422379
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2026-06-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTICE FRANCE SA
        5493001ZMCICV4N02J21
        Altice France SA/France
        000000000
        
          
        
        1850000.00000000
        PA
        
        1839347.64000000
        0.150494769159
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2029-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2181661.80000000
        -0.17850279187
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            261155185.92000000
            USD
            234100412.00000000
            EUR
            2022-04-04
            -2181661.80000000
          
        
        
          N
          N
          N
        
      
      
        MIDWEST CONNECTOR CAPIT
        N/A
        Midwest Connector Capital Co LLC
        59833CAA0
        
          
        
        200000.00000000
        PA
        USD
        200626.76000000
        0.016415210086
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2979.71000000
        -0.00024379881
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            1080466.97000000
            USD
            974000.00000000
            EUR
            2022-04-04
            -2979.71000000
          
        
        
          N
          N
          N
        
      
      
        Oak Hill European Credit Partners PLC
        5493002IYTC83ODTTK84
        OAK Hill European Credit Partners VII DAC
        000000000
        
          
        
        1200000.00000000
        PA
        
        1314209.98000000
        0.107528192749
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2031-10-20
          Floating
          0.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW METRO GLOBAL LTD
        549300HJRNTCANEH0D47
        New Metro Global Ltd
        000000000
        
          
        
        1700000.00000000
        PA
        USD
        1020000.00000000
        0.083456036914
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2026-05-02
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796T90
        
          
        
        9900000.00000000
        PA
        USD
        9899313.14000000
        0.809958277292
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-04-19
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2005-HYB8
        126694QE1
        
          
        
        3277.46000000
        PA
        USD
        3129.96000000
        0.000256092213
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-20
          Variable
          2.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Securities Corporation
        N/A
        RASC Series 2007-KS1 Trust
        74924SAC0
        
          
        
        16125.80000000
        PA
        USD
        16096.93000000
        0.001317045082
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-01-25
          Floating
          0.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Transocean Guardian Ltd
        N/A
        Transocean Guardian Ltd
        893800AA0
        
          
        
        1243114.20000000
        PA
        USD
        1190281.85000000
        0.097388437266
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-01-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER PARTNERS
        5493008K8W3OKZE54J59
        Energy Transfer LP
        29273RAS8
        
          
        
        100000.00000000
        PA
        USD
        100576.22000000
        0.008229110518
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JH1
        
          
        
        2700000.00000000
        PA
        USD
        2209698.52000000
        0.180796746328
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-08-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        000000000
        
          
        
        200000.00000000
        PA
        
        262902.80000000
        0.021510613511
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-10-06
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN ENER PART
        549300PDHUGWPWGOT525
        Kinder Morgan Energy Partners LP
        494550BF2
        
          
        
        2382000.00000000
        PA
        USD
        2848359.68000000
        0.233051775097
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-09-15
          Fixed
          6.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -135.73000000
        -0.00001110538
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            1406.00000000
            USD
            108208.57000000
            RUB
            2022-04-21
            -135.73000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828D56
        
          
        
        3700000.00000000
        PA
        USD
        3691472.65000000
        0.302034978183
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -62.00000000
        -0.00000507281
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            21069.00000000
            USD
            133866.11000000
            CNY
            2022-05-20
            -62.00000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0KBE1 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0KBE1 CDS USD P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        400000.00000000
        OU
        Notional Amount
        USD
        3711.65000000
        0.000303685881
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                GENERAL ELECTRIC CO
                GENERAL ELECTRIC CO
                
                  
                  
                
              
            
            Y
            
            sell protection
            2026-12-20
            4183.66000000
            USD
            0.00000000
            USD
            400000.00000000
            USD
            -472.01000000
          
        
        
          N
          N
          N
        
      
      
        INEOS Styrolution US Holding LLC
        N/A
        INEOS Styrolution US Holding LLC 2021 USD Term Loan B
        000000000
        
          
        
        3374500.00000000
        PA
        USD
        3305602.83000000
        0.270463246867
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-01-29
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL ELECTRIC CO
        3C7474T6CDKPR9K6YT90
        General Electric Co
        000000000
        
          
        
        500000.00000000
        PA
        
        654428.59000000
        0.053545114279
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-09-19
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sound Point CLO LTD
        549300TT7IR66ASPWY89
        Sound Point Clo XIV Ltd
        83609NAN0
        
          
        
        526913.83000000
        PA
        USD
        524933.56000000
        0.042949877020
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-01-23
          Floating
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        000000000
        
          
        
        1500000.00000000
        PA
        
        1612935.38000000
        0.131969798640
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-02
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -1744.68000000
        -0.00014274909
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            174000.00000000
            CAD
            137437.85000000
            USD
            2022-04-04
            -1744.68000000
          
        
        
          N
          N
          N
        
      
      
        MELCO RESORTS FINANCE
        N/A
        Melco Resorts Finance Ltd
        58547DAD1
        
          
        
        700000.00000000
        PA
        USD
        593250.00000000
        0.048539503822
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2029-12-04
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Barclays Bank PLC
        06740L8C2
        
          
        
        488000.00000000
        PA
        USD
        500186.39000000
        0.040925072380
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2022-11-21
          Fixed
          7.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796N47
        
          
        
        3400000.00000000
        PA
        USD
        3399917.82000000
        0.278180065776
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-04-07
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ARGENTINA
        549300KPBYGYF7HCHO27
        Argentine Republic Government International Bond
        040114HX1
        
          
        
        405455.00000000
        PA
        USD
        138462.88000000
        0.011328983553
        Long
        DBT
        NUSS
        AR
        N
        
        2
        
          2029-07-09
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CC1
        
          
        
        4900000.00000000
        PA
        USD
        4901983.42000000
        0.401078538483
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-05-22
          Fixed
          3.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0JPK5 CDS EUR R F  5.00000 1 CCPCORPORATE / Short: SWPC0JPK5 CDS EUR P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        2700000.00000000
        OU
        Notional Amount
        
        428271.13000000
        0.035040991406
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                GLENCORE FINANCE EUROPE
                GLENCORE FINANCE EUROPE
                
                  
                
              
            
            Y
            
            sell protection
            2025-12-20
            384799.05000000
            EUR
            0.00000000
            EUR
            2700000.00000000
            EUR
            -43561.45000000
          
        
        
          N
          N
          N
        
      
      
        Bain Capital Euro CLO
        635400CJJQJHYAMATG34
        Bain Capital Euro Clo 2018-2 DAC
        000000000
        
          
        
        300000.00000000
        PA
        
        328819.55000000
        0.026903898532
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2032-01-20
          Floating
          0.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIRGIN MEDIA SECURED FIN
        213800X3RLP4NOTPY579
        Virgin Media Secured Finance PLC
        000000000
        
          
        
        1200000.00000000
        PA
        
        1438446.32000000
        0.117693165863
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-08-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MITCHELLS & BUTLERS FINA
        213800E7QA1U8BF34219
        Mitchells & Butlers Finance PLC
        000000000
        
          
        
        200000.00000000
        PA
        
        280674.36000000
        0.022964676224
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-09-15
          Fixed
          6.47000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALROSA Finance SA
        254900MMZQESKBV0DI36
        ALROSA Finance SA
        02109TAD4
        
          
        
        500000.00000000
        PA
        USD
        125000.00000000
        0.010227455504
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2024-04-09
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JG3
        
          
        
        100000.00000000
        PA
        USD
        86253.77000000
        0.007057252757
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF SOUTH AFRICA
        378900AAFB4F17004C49
        Republic of South Africa Government International Bond
        836205BB9
        
          
        
        4500000.00000000
        PA
        USD
        3926250.00000000
        0.321244377387
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2049-09-30
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Dean Witter Capital I Trust
        N/A
        Morgan Stanley Dean Witter Capital I Inc Trust 2003-NC2
        61746WA75
        
          
        
        18827.60000000
        PA
        USD
        18685.86000000
        0.001528870413
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-02-25
          Floating
          1.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO DO BRASIL (CAYMAN)
        QE0Q0253K88YAGNPE356
        Banco do Brasil SA/Cayman
        05959LAF0
        
          
        
        1100000.00000000
        PA
        USD
        1118920.00000000
        0.091549636102
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2025-01-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TESCO PROPERTY FIN 6 PLC
        213800FORYFOB97FHO66
        Tesco Property Finance 6 PLC
        000000000
        
          
        
        2590000.29000000
        PA
        
        3916566.28000000
        0.320452058863
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2044-07-13
          Fixed
          5.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0J5H4 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0J5H4 CDS USD P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        100000.00000000
        OU
        Notional Amount
        USD
        997.70000000
        0.000081631458
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                AT&T INC
                AT&T INC
                
                  
                  
                
              
            
            Y
            
            sell protection
            2025-06-20
            0.00000000
            USD
            -2541.08000000
            USD
            100000.00000000
            USD
            3538.78000000
          
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        000000000
        
          
        
        1000000.00000000
        PA
        
        792340.33000000
        0.064829003754
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2051-10-25
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599CR4
        
          
        
        400000.00000000
        PA
        USD
        393000.00000000
        0.032155120105
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asset Backed Funding Certificates
        N/A
        ABFC 2007-WMC1 Trust
        04545EAA1
        
          
        
        636355.46000000
        PA
        USD
        505280.04000000
        0.041341833010
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-06-25
          Floating
          1.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SERVICE PROPERTIES TRUST
        529900IS770AG1K9QG27
        Service Properties Trust
        44106MAZ5
        
          
        
        200000.00000000
        PA
        USD
        192500.00000000
        0.015750281476
        Long
        DBT
        
        US
        N
        
        2
        
          2024-10-01
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        0J0XRGZE3PBRFEZ7MV65
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BM5
        
          
        
        100000.00000000
        PA
        USD
        102716.49000000
        0.008404226648
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-04-01
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -1484.44000000
        -0.00012145635
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            206000.00000000
            CAD
            163294.88000000
            USD
            2022-04-04
            -1484.44000000
          
        
        
          N
          N
          N
        
      
      
        BANCA MONTE DEI PASCHI S
        J4CP7MHCXR8DAQMKIL78
        Banca Monte dei Paschi di Siena SpA
        000000000
        
          
        
        800000.00000000
        PA
        
        613304.87000000
        0.050180386147
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2030-09-10
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG
        000000000
        
          
        
        2500000.00000000
        PA
        
        2472169.52000000
        0.202272030117
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2032-02-17
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Popular ABS Mortgage Pass-Through Trust
        N/A
        Popular ABS Mortgage Pass-Through Trust 2006-A
        73316PJW1
        
          
        
        59291.26000000
        PA
        USD
        58948.75000000
        0.004823165741
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-02-25
          Floating
          1.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NIELSEN FINANCE LLC/CO
        N/A
        Nielsen Finance LLC / Nielsen Finance Co
        65409QBK7
        
          
        
        900000.00000000
        PA
        USD
        898875.00000000
        0.073545632530
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-07-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -137.34000000
        -0.00001123710
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            1406.00000000
            USD
            108071.49000000
            RUB
            2022-04-21
            -137.34000000
          
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2006-QA7 Trust
        751152AA7
        
          
        
        5406.85000000
        PA
        USD
        5379.24000000
        0.000440127501
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-25
          Floating
          0.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENRGY TRANS PT/REG FIN
        5493008K8W3OKZE54J59
        Energy Transfer LP / Regency Energy Finance Corp
        75886AAJ7
        
          
        
        300000.00000000
        PA
        USD
        304554.78000000
        0.024918563688
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATLANTIA SPA
        8156008DEC771409C487
        Atlantia SpA
        000000000
        
          
        
        5500000.00000000
        PA
        
        5750341.55000000
        0.470490898693
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2028-02-12
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAE FUNDING LLC
        635400SZTPQL3Y1P2C76
        DAE Funding LLC
        23371DAF1
        
          
        
        500000.00000000
        PA
        USD
        474400.00000000
        0.038815239129
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-03-20
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: SWPC0IZX8 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IZX8 CDS EUR P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        200000.00000000
        OU
        Notional Amount
        
        13631.01000000
        0.001115284386
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                INTRUM AB
                INTRUM AB
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            10416.80000000
            EUR
            0.00000000
            EUR
            200000.00000000
            EUR
            2828.88000000
          
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QCL4
        
          
        
        100000.00000000
        PA
        USD
        78610.00000000
        0.006431842217
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2048-02-12
          Fixed
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GROWTHPOINT PROPERTIES L
        378900C761245FC57265
        Growthpoint Properties International Pty Ltd
        000000000
        
          
        
        5800000.00000000
        PA
        USD
        5863336.00000000
        0.479736064369
        Long
        DBT
        
        ZA
        N
        
        2
        
          2023-05-02
          Fixed
          5.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNICREDIT SPA
        549300TRUWO2CD2G5692
        UniCredit SpA
        000000000
        
          
        
        300000.00000000
        PA
        
        329163.51000000
        0.026932041217
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2027-07-22
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Trust
        N/A
        IndyMac INDX Mortgage Loan Trust 2005-AR12
        45660LMG1
        
          
        
        1315.84000000
        PA
        USD
        1271.54000000
        0.000104036950
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-25
          Floating
          0.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bombardier Inc
        W7L3VLU8EHQY34Z36697
        Bombardier Inc
        097751BR1
        
          
        
        160000.00000000
        PA
        USD
        165200.00000000
        0.013516605194
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-12-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Soundview Home Equity Loan Trust
        N/A
        Soundview Home Loan Trust 2006-2
        83611MNJ3
        
          
        
        219922.02000000
        PA
        USD
        218448.19000000
        0.017873353145
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-25
          Floating
          0.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COUNTRY GARDEN HLDGS
        549300MGHLPT1EFHGF84
        Country Garden Holdings Co Ltd
        000000000
        
          
        
        1200000.00000000
        PA
        USD
        1104000.00000000
        0.090328887013
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-01-17
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5028.71000000
        0.000411447262
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            1007189.82000000
            USD
            915000.00000000
            EUR
            2022-04-04
            5028.71000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHD4
        
          
        
        973000.00000000
        PA
        USD
        963167.10000000
        0.078805989266
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-20
          Fixed
          3.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828B66
        
          
        
        8700000.00000000
        PA
        USD
        8766609.38000000
        0.717280858854
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-02-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0HWO3 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0HWO3 CDS USD P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        200000.00000000
        OU
        Notional Amount
        USD
        1704.20000000
        0.000139437037
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                AT&T INC
                AT&T INC
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            0.00000000
            USD
            -444.65000000
            USD
            200000.00000000
            USD
            2148.85000000
          
        
        
          N
          N
          N
        
      
      
        EMPRESA DE TRANSPORTE ME
        959800T4M5QUPYMSCH69
        Empresa de Transporte de Pasajeros Metro SA
        000000000
        
          
        
        1400000.00000000
        PA
        USD
        1413468.00000000
        0.115649448613
        Long
        DBT
        CORP
        CL
        N
        
        2
        
          2050-05-07
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SWU00S6N0 IRS CAD R F  2.50000  CCPVANILLA / Short: SWU00S6N0 IRS CAD P V 03MCDOR CCPVANILLA
        000000000
        
          
        
        8000000.00000000
        OU
        Notional Amount
        
        -135396.87000000
        -0.01107812370
        N/A
        DIR
        
        CA
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2029-06-19
            171178.49000000
            CAD
            0.00000000
            CAD
            8000000.00000000
            CAD
            -263149.03000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        144.16000000
        0.000011795119
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            253000.00000000
            CAD
            202518.76000000
            USD
            2022-04-04
            144.16000000
          
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN INTL FIN NV
        5299004PWNHKYTR23649
        Volkswagen International Finance NV
        000000000
        
          
        
        2100000.00000000
        PA
        
        2285373.72000000
        0.186988464254
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2029-06-17
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        000000000
        
          
        
        200000.00000000
        PA
        
        271465.69000000
        0.022211226123
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2026-12-14
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RAR3
        
          
        
        277000.00000000
        PA
        USD
        314255.27000000
        0.025712254327
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-01-15
          Fixed
          6.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Panama
        549300SHS4T08CL0LP14
        Panama Government International Bond
        698299AW4
        
          
        
        1900000.00000000
        PA
        USD
        2338463.00000000
        0.191332210245
        Long
        DBT
        NUSS
        PA
        N
        
        2
        
          2036-01-26
          Fixed
          6.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAE FUNDING LLC
        635400SZTPQL3Y1P2C76
        DAE Funding LLC
        000000000
        
          
        
        200000.00000000
        PA
        USD
        187000.00000000
        0.015300273434
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-03-20
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        292480AL4
        
          
        
        1200000.00000000
        PA
        USD
        1242778.57000000
        0.101683700210
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CaixaBank SA
        7CUNS533WID6K7DGFI87
        CaixaBank SA
        000000000
        
          
        
        200000.00000000
        PA
        
        232865.57000000
        0.019052978045
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2024-06-13
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIDWEST CONNECTOR CAPIT
        N/A
        Midwest Connector Capital Co LLC
        59833CAB8
        
          
        
        300000.00000000
        PA
        USD
        300000.00000000
        0.024545893210
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-04-01
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JS7
        
          
        
        1600000.00000000
        PA
        USD
        1571823.86000000
        0.128606068708
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-10
          Fixed
          1.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SWU01CCY3 IRS EUR R F   .00000 SWU01CCY3 CCPVANILLA -0.25 / Short: SWU01CCY3 IRS EUR P V 06MEURIB SWUV1CCY5 CCPVANILLA
        000000000
        
          
        
        11800000.00000000
        OU
        Notional Amount
        
        -885264.66000000
        -0.07243203935
        N/A
        DIR
        
        FR
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-09-21
            0.00000000
            EUR
            -644811.33000000
            EUR
            11800000.00000000
            EUR
            -181784.86000000
          
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        000000000
        
          
        
        500000.00000000
        PA
        
        469403.16000000
        0.038406399459
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2034-01-19
          Fixed
          2.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128285Z9
        
          
        
        10590000.00000000
        PA
        USD
        10625575.83000000
        0.869380832063
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-01-31
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTICE FINANCING SA
        549300DIYGW8HVDF7Q17
        Altice Financing SA
        000000000
        
          
        
        200000.00000000
        PA
        
        194722.08000000
        0.015932091271
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2028-01-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sunac China Holdings Ltd
        549300OLARYHDXP3WK18
        Sunac China Holdings Ltd
        000000000
        
          
        
        1600000.00000000
        PA
        USD
        464800.00000000
        0.038029770546
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-04-19
          Fixed
          8.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mortgage Loan Trust
        784F5XWPLTWKTBV3E584
        GSR Mortgage Loan Trust 2007-AR1
        362290AC2
        
          
        
        7152.12000000
        PA
        USD
        5336.17000000
        0.000436603529
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-03-25
          Variable
          2.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO VOTORANTIM
        X2EUTZGMHS8RBQFIUS93
        Banco Votorantim SA
        000000000
        
          
        
        200000.00000000
        PA
        USD
        203349.00000000
        0.016637942794
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2024-09-24
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BofA Securities, Inc.
        549300HN4UKV1E2R3U73
        Long: SWU01DQL4 IRS CAD R F  2.05000 SWU01DQL4 CCPVANILLA / Short: SWU01DQL4 IRS CAD P V 03MCDOR SWUV1DQL6 CCPVANILLA
        000000000
        
          
        
        33800000.00000000
        OU
        Notional Amount
        
        -275150.36000000
        -0.02251270451
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BofA Securities, Inc.
              549300HN4UKV1E2R3U73
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-11-16
            0.00000000
            CAD
            -13102.42000000
            CAD
            33800000.00000000
            CAD
            -264833.28000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Cash Management Bill
        912796X38
        
          
        
        18800000.00000000
        PA
        USD
        18755475.40000000
        1.534566320910
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-07-26
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Ghana
        213800PP4399SNNXZ126
        Ghana Government International Bond
        37443GAA9
        
          
        
        600000.00000000
        PA
        USD
        465055.20000000
        0.038050650920
        Long
        DBT
        NUSS
        GH
        N
        
        2
        
          2027-03-26
          Fixed
          7.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BS2
        
          
        
        3300000.00000000
        PA
        USD
        3273858.26000000
        0.267865917449
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-07-01
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS DE VENEZUELA S
        549300YWR8TN1OFD4P06
        Petroleos de Venezuela SA
        000000000
        
          
        
        6500000.00000000
        PA
        USD
        430625.00000000
        0.035233584212
        Long
        DBT
        CORP
        VE
        N
        
        2
        
          2027-04-12
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        ALROSA FINANCE SA
        254900MMZQESKBV0DI36
        ALROSA Finance SA
        02109TAE2
        
          
        
        8500000.00000000
        PA
        USD
        2125000.00000000
        0.173866743571
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2027-06-25
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dominican Republic
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        000000000
        
          
        
        2800000.00000000
        PA
        USD
        2660028.00000000
        0.217642544079
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2048-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        19167.31000000
        0.001568262481
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            6181480.00000000
            AUD
            4644770.25000000
            USD
            2022-04-04
            19167.31000000
          
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        Bear Stearns Asset Backed Securities I Trust 2006-HE10
        07389RAB2
        
          
        
        2917.08000000
        PA
        USD
        2911.74000000
        0.000238237530
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          0.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HarborView Mortgage Loan Trust
        N/A
        HarborView Mortgage Loan Trust 2005-3
        41161PMG5
        
          
        
        12180.33000000
        PA
        USD
        12124.98000000
        0.000992061547
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-19
          Floating
          0.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIRGIN MONEY UK PLC
        213800ZK9VGCYYR6O495
        Virgin Money UK PLC
        000000000
        
          
        
        500000.00000000
        PA
        
        667395.74000000
        0.054606081876
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-09-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONSTELLATION OIL SA
        5493005YJTU769NW5I10
        Constellation Oil Services Holding SA
        21038MAA1
        
          
        
        220975.00000000
        PA
        USD
        81760.75000000
        0.006689635460
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2024-11-09
          Fixed
          10.00000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        1900000.00000000
        PA
        
        1911965.97000000
        0.156436375069
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2031-10-30
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG STAMFORD CT
        BFM8T61CT2L1QCEMIK50
        UBS AG/Stamford CT
        90261AAB8
        
          
        
        2400000.00000000
        PA
        USD
        2435823.86000000
        0.199298241153
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2022-08-17
          Fixed
          7.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Securities Trust
        N/A
        Wells Fargo Mortgage Backed Securities 2006-AR5 Trust
        94983RAD6
        
          
        
        28581.21000000
        PA
        USD
        28126.80000000
        0.002301324763
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-04-25
          Variable
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        15972.91000000
        0.001306897810
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            3070463.91000000
            USD
            2790000.00000000
            EUR
            2022-04-04
            15972.91000000
          
        
        
          N
          N
          N
        
      
      
        Logicor Financing Sarl
        254900IS16Q1A2TQFN22
        Logicor Financing Sarl
        000000000
        
          
        
        600000.00000000
        PA
        
        684640.72000000
        0.056017060001
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2028-11-13
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EL PASO NATURAL GAS
        549300WR7IX8XE0TBO16
        El Paso Natural Gas Co LLC
        283695BK9
        
          
        
        200000.00000000
        PA
        USD
        259649.36000000
        0.021244418208
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-06-15
          Fixed
          8.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Russian Federation
        5493004EHVGF71PDBU58
        Russian Foreign Bond - Eurobond
        000000000
        
          
        
        2000000.00000000
        PA
        USD
        660000.00000000
        0.054000965062
        Long
        DBT
        NUSS
        RU
        N
        
        2
        
          2042-04-04
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Adjustable Rate Mortgage Loan Trust
        N/A
        Structured Adjustable Rate Mortgage Loan Trust Series 2005-19XS
        863579YR3
        
          
        
        40370.29000000
        PA
        USD
        39562.20000000
        0.003236965121
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Floating
          0.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        Long: SWPC0K9N4 CDS USD R F  1.00000 FIX SOVEREIGN / Short: SWPC0K9N4 CDS USD P V 03MEVENT FLO SOVEREIGN
        000000000
        
          
        
        300000.00000000
        OU
        Notional Amount
        USD
        1218.35000000
        0.000099684963
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            
              
                UNITED MEXICAN STATES
                UNITED MEXICAN STATES
                
                  
                  
                
              
            
            Y
            
            sell protection
            2026-12-20
            572.02000000
            USD
            0.00000000
            USD
            300000.00000000
            USD
            646.33000000
          
        
        
          N
          N
          N
        
      
      
        American Home Mortgage Investment Trust
        N/A
        American Home Mortgage Investment Trust 2005-2
        02660TEQ2
        
          
        
        163.16000000
        PA
        USD
        163.06000000
        0.000013341511
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-09-25
          Floating
          2.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTH MACEDONIA
        635400RD1N6RVNCE4958
        North Macedonia Government International Bond
        000000000
        
          
        
        500000.00000000
        PA
        
        551786.32000000
        0.045146960285
        Long
        DBT
        NUSS
        MK
        N
        
        2
        
          2026-06-03
          Fixed
          3.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Man GLG Euro CLO
        635400MYXY3VFWZIIW08
        Man GLG Euro Clo III DAC
        000000000
        
          
        
        399842.49000000
        PA
        
        438123.57000000
        0.035847114540
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2030-10-15
          Floating
          0.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ARGENTINA
        549300KPBYGYF7HCHO27
        Argentine Republic Government International Bond
        040114HT0
        
          
        
        5922164.00000000
        PA
        USD
        1803298.94000000
        0.147545277357
        Long
        DBT
        NUSS
        AR
        N
        
        2
        
          2035-07-09
          Variable
          1.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0KSK9 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0KSK9 CDS USD P V 03MEVENT 2 CCPCDX
        000000000
        
          
        
        52800000.00000000
        OU
        Notional Amount
        USD
        847674.96000000
        0.069356463483
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.IG.S38
                2I65BYEA9
              
            
            Y
            
            sell protection
            2027-06-20
            752815.74000000
            USD
            0.00000000
            USD
            52800000.00000000
            USD
            94859.22000000
          
        
        
          N
          N
          N
        
      
      
        VMED O2 UK FINAN
        213800MRR46ECNGZ7L69
        Vmed O2 UK Financing I PLC
        92858RAB6
        
          
        
        1100000.00000000
        PA
        USD
        1036750.00000000
        0.084826515951
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2031-07-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        700000.00000000
        PA
        
        758964.77000000
        0.062098227315
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2026-09-18
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        2700000.00000000
        PA
        USD
        2817179.16000000
        0.230500596050
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2043-04-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ellington Loan Acquisition Trust
        N/A
        Ellington Loan Acquisition Trust 2007-2
        288547AA0
        
          
        
        220309.83000000
        PA
        USD
        218607.14000000
        0.017886358378
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-05-25
          Floating
          1.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAR6
        
          
        
        500000.00000000
        PA
        USD
        509754.61000000
        0.041707940734
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2027-10-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEL ENERGY VI SARL
        254900H2U8PBIY32VI94
        FEL Energy VI Sarl
        000000000
        
          
        
        3183882.10000000
        PA
        USD
        2857566.02000000
        0.233805034559
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2040-12-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTESA SANPAOLO SPA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        000000000
        
          
        
        4050000.00000000
        PA
        
        4435508.40000000
        0.362911718396
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2028-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        000000000
        
          
        
        1100000.00000000
        PA
        
        1075600.44000000
        0.088005245123
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2027-04-21
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROLLS-ROYCE PLC
        X57JK1U580XATGR67572
        Rolls-Royce PLC
        000000000
        
          
        
        100000.00000000
        PA
        
        136803.47000000
        0.011193211217
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-10-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Noble Corp
        N/A
        Noble Corp
        000000000
        
          
        
        20347.00000000
        NS
        USD
        713162.35000000
        0.058350689615
        Long
        EC
        CORP
        KY
        
        Y
        
        1
        
          N
          N
          N
        
      
      
        KAISA GROUP HOLDINGS LTD
        254900N8L3L7NRJT0120
        Kaisa Group Holdings Ltd
        000000000
        
          
        
        1100000.00000000
        PA
        USD
        196900.00000000
        0.016110287910
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-01-15
          None
          0.00000000
          Y
          Y
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certificates
        N/A
        Countrywide Asset-Backed Certificates
        126670KN7
        
          
        
        83354.11000000
        PA
        USD
        75982.05000000
        0.006216824283
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-03-25
          Floating
          1.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2005-J11
        12668AJM8
        
          
        
        159637.37000000
        PA
        USD
        114145.97000000
        0.009339382633
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYAL BK SCOTLND GRP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BA8
        
          
        
        2800000.00000000
        PA
        USD
        2894664.72000000
        0.236840436987
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-04-05
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JETBLUE AIRWAYS CORP
        N/A
        JetBlue 2020-1 Class A Pass Through Trust
        477164AA5
        
          
        
        841106.72000000
        PA
        USD
        840486.57000000
        0.068768311972
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLFLEET CLO LTD
        254900DLL625KV2D0Z30
        Wellfleet CLO 2015-1 Ltd
        949496BJ1
        
          
        
        1702789.47000000
        PA
        USD
        1690579.24000000
        0.138322591627
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-07-20
          Floating
          1.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Summer (BC) Holdco B S.a r.l
        984500NRF59D5DB9B654
        Summer (BC) Holdco B S.a r.l 2021 USD Term Loan B2
        000000000
        
          
        
        995000.00000000
        PA
        USD
        986915.63000000
        0.080749085537
        Long
        LON
        CORP
        LU
        N
        
        2
        
          2026-12-04
          Floating
          5.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -9.16000000
        -0.00000074946
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            33327.00000000
            USD
            212316.32000000
            CNY
            2022-05-20
            -9.16000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: SWPC0ILP0 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0ILP0 CDS EUR P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        800000.00000000
        OU
        Notional Amount
        
        54524.05000000
        0.004461138362
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                INTRUM AB
                INTRUM AB
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            35084.07000000
            EUR
            0.00000000
            EUR
            800000.00000000
            EUR
            18308.92000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -258001.22000000
        -0.02110956798
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            31381837.82000000
            BRL
            6333367.87000000
            USD
            2022-04-04
            -258001.22000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAP8
        
          
        
        100000.00000000
        PA
        USD
        97815.14000000
        0.008003199935
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397ZX4
        
          
        
        3200000.00000000
        PA
        USD
        3190368.00000000
        0.261034774096
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-01
          Fixed
          4.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HLDGS
        549300F5XIFGNNW4CF72
        Santander UK Group Holdings PLC
        000000000
        
          
        
        400000.00000000
        PA
        
        444184.94000000
        0.036343053675
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-03-27
          Floating
          0.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CommScope, Inc.
        549300Z6K4JXMFE8QY54
        CommScope, Inc. 2019 Term Loan B
        20337EAQ4
        
          
        
        487500.00000000
        PA
        USD
        474551.03000000
        0.038827596350
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-04-06
          Floating
          3.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2993.08000000
        0.000244892740
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            737088.01000000
            USD
            669000.00000000
            EUR
            2022-04-04
            2993.08000000
          
        
        
          N
          N
          N
        
      
      
        BOARDWALK PIPELINES LP
        549300W6AQ2GHHCGL606
        Boardwalk Pipelines LP
        096630AH1
        
          
        
        200000.00000000
        PA
        USD
        189147.53000000
        0.015475983574
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FAIRFAX FINL HLDGS LTD
        GLS7OQD0WOEDI8YAP031
        Fairfax Financial Holdings Ltd
        000000000
        
          
        
        1200000.00000000
        PA
        
        1334094.73000000
        0.109155155915
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2028-03-29
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2M5
        
          
        
        1700000.00000000
        PA
        USD
        1521654.97000000
        0.124501267987
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-09-30
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JL2
        
          
        
        300000.00000000
        PA
        USD
        292634.91000000
        0.023943284168
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Time Warner Cable LLC
        549300U5NFR7S6E3GM41
        Time Warner Cable LLC
        88732JAY4
        
          
        
        300000.00000000
        PA
        USD
        322412.92000000
        0.026379710346
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-11-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF QATAR
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        74727PBE0
        
          
        
        1200000.00000000
        PA
        USD
        1348653.60000000
        0.110346357476
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2050-04-16
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US AIRWAYS 2012-1A PTT
        N/A
        US Airways 2012-1 Class A Pass Through Trust
        90345WAA2
        
          
        
        683206.36000000
        PA
        USD
        705906.16000000
        0.057756990732
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          5.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FUNDING LLC
        N/A
        NXP BV / NXP Funding LLC
        62947QAX6
        
          
        
        1600000.00000000
        PA
        USD
        1684065.76000000
        0.137789661012
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2026-03-01
          Fixed
          5.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BB4
        
          
        
        2600000.00000000
        PA
        USD
        2624875.03000000
        0.214766340587
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-05-25
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OMEGA HLTHCARE INVESTORS
        549300OJ7ENK42CZ8E73
        Omega Healthcare Investors Inc
        681936BD1
        
          
        
        100000.00000000
        PA
        USD
        101647.55000000
        0.008316766357
        Long
        DBT
        
        US
        N
        
        2
        
          2025-01-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OVINTIV EXPLORATION INC
        T8W3X1PFLPW2YE0UIP44
        Ovintiv Exploration Inc
        651290AQ1
        
          
        
        2100000.00000000
        PA
        USD
        2207860.64000000
        0.180646371640
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-01
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308GZ4
        
          
        
        300000.00000000
        PA
        USD
        265801.60000000
        0.021747792295
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-04-15
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ARGENTINA
        549300KPBYGYF7HCHO27
        Argentine Republic Government International Bond
        040114HS2
        
          
        
        866857.00000000
        PA
        USD
        290397.10000000
        0.023760187350
        Long
        DBT
        NUSS
        AR
        N
        
        2
        
          2030-07-09
          Variable
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ILLINOIS ST
        54930048FV8RWPR02D67
        State of Illinois
        452152FA4
        
          
        
        95000.00000000
        PA
        USD
        107738.02000000
        0.008815086445
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-04-01
          Fixed
          6.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BofA Securities, Inc.
        549300HN4UKV1E2R3U73
        Long: BWU01CD22 IRS GBP R V 12MSONIA SWUV1CD24 CCPOIS / Short: BWU01CD22 IRS GBP P F   .50000 SWU01CD22 CCPOIS
        000000000
        
          
        
        6500000.00000000
        OU
        Notional Amount
        
        566418.89000000
        0.046344191953
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BofA Securities, Inc.
              549300HN4UKV1E2R3U73
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-09-21
            402696.89000000
            GBP
            0.00000000
            GBP
            6500000.00000000
            GBP
            40450.92000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        715.29000000
        0.000058524773
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            488000.00000000
            AUD
            365885.81000000
            USD
            2022-04-04
            715.29000000
          
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        903724BW1
        
          
        
        1000000.00000000
        PA
        USD
        440000.00000000
        0.036000643374
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2024-02-01
          Fixed
          8.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPRINT SPECTRUM / SPEC I
        N/A
        Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
        85208NAE0
        
          
        
        1300000.00000000
        PA
        USD
        1368891.81000000
        0.112002240614
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-20
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2007-A4
        46631JAL2
        
          
        
        35742.06000000
        PA
        USD
        28887.29000000
        0.002363547784
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-06-25
          Variable
          2.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAR2
        
          
        
        2173000.00000000
        PA
        USD
        1919526.94000000
        0.157055010943
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-11-18
          Fixed
          2.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) JUN22
        000000000
        
          
        
        502.00000000
        NC
        USD
        -1388771.58000000
        -0.11362879631
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 2 Year US Treasury Note Future
                TUM2 COMDTY
              
            
            2022-06-30
            107773553.33000000
            USD
            -1388771.58000000
          
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAH4
        
          
        
        1000000.00000000
        PA
        USD
        1029244.16000000
        0.084212390794
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JE8
        
          
        
        800000.00000000
        PA
        USD
        799091.51000000
        0.065381382898
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-16
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors Trust
        9DJT3UXIJIZJI4WXO774
        Merrill Lynch Mortgage Investors Trust Series 2005-A9
        59020UW68
        
          
        
        83872.22000000
        PA
        USD
        68086.55000000
        0.005570817284
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Variable
          2.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -7479.79000000
        -0.00061199375
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            1192546.80000000
            BRL
            243000.00000000
            USD
            2022-04-04
            -7479.79000000
          
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        706451BG5
        
          
        
        4200000.00000000
        PA
        USD
        3764292.00000000
        0.307993031478
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2035-06-15
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        000000000
        
          
        
        700000.00000000
        PA
        
        889956.10000000
        0.072815891307
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-14
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-OA12
        23243AAB2
        
          
        
        9193.36000000
        PA
        USD
        8909.22000000
        0.000728949209
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-09-20
          Floating
          0.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERRY GLOBAL INC
        549300AP2Q7ERHX6RI89
        Berry Global Inc
        08576PAH4
        
          
        
        100000.00000000
        PA
        USD
        93157.83000000
        0.007622140489
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          1.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAN0
        
          
        
        5400000.00000000
        PA
        USD
        4364874.00000000
        0.357132436931
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2061-05-24
          Fixed
          3.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE LONDON
        969500TJ5KRTCJQWXH05
        Credit Agricole SA/London
        22535WAG2
        
          
        
        500000.00000000
        PA
        USD
        471979.89000000
        0.038617226590
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-16
          Fixed
          1.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-OA9
        02146YAC0
        
          
        
        7822.94000000
        PA
        USD
        5997.27000000
        0.000490694496
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-07-20
          Floating
          0.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OMAN GOV INTERNTL BOND
        549300SZ20F0QTKNQC75
        Oman Government International Bond
        68205LAS2
        
          
        
        2300000.00000000
        PA
        USD
        2434182.00000000
        0.199163904753
        Long
        DBT
        NUSS
        OM
        N
        
        2
        
          2031-01-25
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lloyds Banking Group PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        53944YAF0
        
          
        
        2800000.00000000
        PA
        USD
        2869437.23000000
        0.234776332735
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-05-08
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINGDOM OF JORDAN
        5493000JZ4MYPVMBVN50
        Jordan Government International Bond
        418097AK7
        
          
        
        300000.00000000
        PA
        USD
        298548.00000000
        0.024427091086
        Long
        DBT
        NUSS
        JO
        N
        
        2
        
          2025-07-07
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIMA METRO LINE 2 FIN LT
        5493009BVQNQT1UKQ352
        Lima Metro Line 2 Finance Ltd
        532522AA7
        
          
        
        296204.98000000
        PA
        USD
        316939.33000000
        0.025931863160
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2034-07-05
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        000000000
        
          
        
        300000.00000000
        PA
        
        393779.61000000
        0.032218907517
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2034-01-16
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Capital, Inc.
        G5GSEF7VJP5I7OUK5573
        Long: SWPC0ILZ8 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0ILZ8 CDS EUR P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        100000.00000000
        OU
        Notional Amount
        
        6815.50000000
        0.000557641783
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Barclays Capital, Inc.
              G5GSEF7VJP5I7OUK5573
            
            
              
                INTRUM AB
                INTRUM AB
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            4516.49000000
            EUR
            0.00000000
            EUR
            100000.00000000
            EUR
            2121.39000000
          
        
        
          N
          N
          N
        
      
      
        Valaris Ltd
        N/A
        Valaris Ltd
        000000000
        
          
        
        1429.00000000
        NS
        USD
        74265.13000000
        0.006076346500
        Long
        EC
        CORP
        BM
        
        N
        
        1
        
          N
          N
          N
        
      
      
        First Franklin Mtg Loan Asset
        N/A
        First Franklin Mortgage Loan Trust 2006-FF5
        32027EAG6
        
          
        
        71270.15000000
        PA
        USD
        70815.43000000
        0.005794093274
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-04-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nakilat Inc
        2549006RMTDJWLLWF072
        Nakilat Inc
        62983PAB1
        
          
        
        478100.00000000
        PA
        USD
        574293.72000000
        0.046988507741
        Long
        DBT
        CORP
        MH
        
        N
        
        2
        
          2033-12-31
          Fixed
          6.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796T82
        
          
        
        18400000.00000000
        PA
        USD
        18399212.85000000
        1.505417045887
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-04-12
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAB1
        
          
        
        500000.00000000
        PA
        USD
        484459.57000000
        0.039638309566
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2027-07-21
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Dean Witter Capital I Trust
        N/A
        Morgan Stanley Dean Witter Capital I Inc Trust 2003-NC1
        61746WYU8
        
          
        
        20275.47000000
        PA
        USD
        20220.16000000
        0.001654406293
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-11-25
          Floating
          2.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2005-76
        12668BDC4
        
          
        
        12127.92000000
        PA
        USD
        12020.81000000
        0.000983538395
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-25
          Floating
          1.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CG2
        
          
        
        200000.00000000
        PA
        USD
        190194.72000000
        0.015561664287
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-06-04
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC LIFE GF II
        6354003EUPCHXTWUU869
        Pacific Life Global Funding II
        6944PL2B4
        
          
        
        200000.00000000
        PA
        USD
        187212.52000000
        0.015317661745
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-24
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        000000000
        
          
        
        900000.00000000
        PA
        USD
        706608.00000000
        0.057814415031
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2070-09-02
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAS VEGAS SANDS CORP
        549300DUOO1KXOHPM605
        Las Vegas Sands Corp
        517834AF4
        
          
        
        100000.00000000
        PA
        USD
        91700.18000000
        0.007502876085
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-08
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Truman Capital Mortgage Loan Trust
        N/A
        Truman Capital Mortgage Loan Trust
        89789KAA3
        
          
        
        616585.88000000
        PA
        USD
        608791.80000000
        0.049811128366
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-25
          Floating
          0.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN MUNI PWR-OHIO INC OHR
        EARKGGZJJEMVD66XQ486
        American Municipal Power Inc
        02765UEJ9
        
          
        
        100000.00000000
        PA
        USD
        146834.30000000
        0.012013930157
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2041-02-15
          Fixed
          7.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRCASTLE LTD
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAU5
        
          
        
        600000.00000000
        PA
        USD
        538982.79000000
        0.044099380018
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2028-01-26
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADLER GROUP SA
        391200OYYFJ3DWAMEC69
        ADLER Group SA
        000000000
        
          
        
        1100000.00000000
        PA
        
        1007547.94000000
        0.082437213797
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2026-01-14
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EAE5
        
          
        
        3100000.00000000
        PA
        USD
        3105739.19000000
        0.254110474987
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-16
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Pass-Through Trust
        549300EJG376EN5NQE29
        CVS Pass-Through Trust
        126650BS8
        
          
        
        62887.08000000
        PA
        USD
        73171.94000000
        0.005986902084
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-01-10
          Fixed
          7.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR COMPANY
        20S05OYHG0MQM4VUIC57
        Ford Motor Co
        345370DA5
        
          
        
        400000.00000000
        PA
        USD
        357252.00000000
        0.029230231470
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-12
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Mortgage Loan Trust 2007-10
        17313QAL2
        
          
        
        7421.19000000
        PA
        USD
        6994.44000000
        0.000572282591
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-25
          Variable
          3.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAA Home Equity Trust
        N/A
        GSAA Home Equity Trust 2006-17
        362257AA5
        
          
        
        48795.70000000
        PA
        USD
        16390.43000000
        0.001341059148
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Floating
          0.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities
        549300506SI9CRFV9Z86
        Credit Suisse First Boston Mortgage Securities Corp
        22541NX20
        
          
        
        367.63000000
        PA
        USD
        366.56000000
        0.000029991808
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2033-04-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2019
        549300M6T6OW4AGYHK10
        Huarong Finance 2019 Co Ltd
        000000000
        
          
        
        3800000.00000000
        PA
        USD
        3724000.00000000
        0.304696354381
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2023-02-24
          Floating
          1.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) JUN22
        000000000
        
          
        
        189.00000000
        NC
        USD
        -582401.60000000
        -0.04765189159
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 5 Year US Treasury Note
                FVM2 COMDTY
              
            
            2022-06-30
            22258339.10000000
            USD
            -582401.60000000
          
        
        
          N
          N
          N
        
      
      
        Soundview Home Equity Loan Trust
        N/A
        Soundview Home Loan Trust 2006-OPT3
        83611MPK8
        
          
        
        6646381.71000000
        PA
        USD
        6564894.41000000
        0.537137323745
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-06-25
          Floating
          0.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2006-9
        126694W20
        
          
        
        101757.05000000
        PA
        USD
        65936.34000000
        0.005394887867
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBH4
        
          
        
        1100000.00000000
        PA
        USD
        1054597.89000000
        0.086286823958
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-02-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAJ5
        
          
        
        162000.00000000
        PA
        USD
        213028.20000000
        0.017429891493
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-07-15
          Fixed
          8.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        Long: SWPC0IO44 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IO44 CDS EUR P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        200000.00000000
        OU
        Notional Amount
        
        13631.01000000
        0.001115284386
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            
              
                INTRUM AB
                INTRUM AB
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            10894.01000000
            EUR
            0.00000000
            EUR
            200000.00000000
            EUR
            1900.38000000
          
        
        
          N
          N
          N
        
      
      
        SASOL Financing USA LLC
        549300XRB1PFMESFEL85
        Sasol Financing USA LLC
        80386WAA3
        
          
        
        500000.00000000
        PA
        USD
        506650.00000000
        0.041453922649
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-27
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        53944YAR4
        
          
        
        200000.00000000
        PA
        USD
        199019.86000000
        0.016283734100
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-18
          Fixed
          3.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Asset Backed Securities
        N/A
        Mastr Asset Backed Securities Trust 2006-FRE2
        57643GAA5
        
          
        
        9632188.69000000
        PA
        USD
        8837842.32000000
        0.723109112648
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-25
          Floating
          0.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of South Africa
        378900AAFB4F17004C49
        Republic of South Africa Government International Bond
        836205AT1
        
          
        
        600000.00000000
        PA
        USD
        610800.00000000
        0.049975438575
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2026-04-14
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN INC/DELAWA
        549300WR7IX8XE0TBO16
        Kinder Morgan Inc
        28368EAE6
        
          
        
        1216000.00000000
        PA
        USD
        1567052.94000000
        0.128215713732
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-01-15
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO BRADESCO (CAYMAN)
        N/A
        Banco Bradesco SA/Cayman Islands
        05947KAY6
        
          
        
        600000.00000000
        PA
        USD
        602154.00000000
        0.049268025933
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2023-01-27
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IRVINE RANCH CA WTR DIST
        2ZRS7W19IBMY48SFBI68
        Irvine Ranch Water District
        4636324P1
        
          
        
        100000.00000000
        PA
        USD
        137594.23000000
        0.011257910919
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-05-01
          Fixed
          6.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Securities LLC
        ZBUT11V806EZRVTWT807
        REVERSE REPO JPM CHASE
        000000000
        
          
        
        -90712.00000000
        PA
        USD
        -87892.59000000
        -0.00719134042
        Short
        RA
        CORP
        US
        N
        
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          0.12000000
          2023-09-28
          
            
              100000.00000000
              USD
              96891.90000000
              USD
              CDS
            
          
        
        
          N
          N
          N
        
      
      
        TUNISIAN REPUBLIC
        254900B5LFB16S9T2T11
        Tunisian Republic
        000000000
        
          
        
        300000.00000000
        PA
        
        224745.70000000
        0.018388613172
        Long
        DBT
        NUSS
        TN
        N
        
        2
        
          2024-02-17
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTICE FRANCE SA
        5493001ZMCICV4N02J21
        Altice France SA/France
        02156LAA9
        
          
        
        3200000.00000000
        PA
        USD
        3299616.00000000
        0.269973406567
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-02-01
          Fixed
          8.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABERTIS INFRAESTRUCTURAS
        549300GKFVWI02JQ5332
        Abertis Infraestructuras SA
        000000000
        
          
        
        2100000.00000000
        PA
        
        2798019.28000000
        0.228932941489
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2026-11-27
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF MINAS GERAIS
        N/A
        Brazil Minas SPE via State of Minas Gerais
        000000000
        
          
        
        120000.00000000
        PA
        USD
        121201.20000000
        0.009916639040
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-02-15
          Fixed
          5.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill - WI Post Auction
        912796V30
        
          
        
        2700000.00000000
        PA
        USD
        2698481.25000000
        0.220788775306
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-05-31
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Homebanc Mortgage Trust
        N/A
        HomeBanc Mortgage Trust 2005-1
        43739EAP2
        
          
        
        3878.21000000
        PA
        USD
        3420.56000000
        0.000279869001
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-25
          Floating
          0.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0EOD3 CDS USD R F  5.00000 1 CCPCORPORATE / Short: SWPC0EOD3 CDS USD P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        200000.00000000
        OU
        Notional Amount
        USD
        12046.39000000
        0.000985631341
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                FORD MOTOR COMPANY
                FORD MOTOR COMPANY
                
                  
                  
                
              
            
            Y
            
            sell protection
            2023-12-20
            12746.98000000
            USD
            0.00000000
            USD
            200000.00000000
            USD
            -700.59000000
          
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        0J0XRGZE3PBRFEZ7MV65
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BK9
        
          
        
        1700000.00000000
        PA
        USD
        1717865.50000000
        0.140555143707
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        19792.71000000
        0.001619432486
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            2418381.76000000
            USD
            2204000.00000000
            EUR
            2022-04-04
            19792.71000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        Long: SWPC0IMF1 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IMF1 CDS EUR P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        100000.00000000
        OU
        Notional Amount
        
        6815.50000000
        0.000557641783
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            
              
                INTRUM AB
                INTRUM AB
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            4599.32000000
            EUR
            0.00000000
            EUR
            100000.00000000
            EUR
            2013.30000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ECUADOR
        5299003Y2U5XK0A35H71
        Ecuador Government International Bond
        000000000
        
          
        
        2674620.00000000
        PA
        USD
        1749228.23000000
        0.143121231112
        Long
        DBT
        NUSS
        EC
        N
        
        2
        
          2035-07-31
          Variable
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABERTIS INFRAESTRUCTURAS
        549300GKFVWI02JQ5332
        Abertis Infraestructuras SA
        000000000
        
          
        
        600000.00000000
        PA
        
        706641.37000000
        0.057817145352
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2031-03-27
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLP CAPITAL LP / FIN II
        N/A
        GLP Capital LP / GLP Financing II Inc
        361841AN9
        
          
        
        100000.00000000
        PA
        USD
        99383.50000000
        0.008131522592
        Long
        DBT
        
        US
        N
        
        2
        
          2024-09-01
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468C6
        
          
        
        3600000.00000000
        PA
        USD
        3684730.39000000
        0.301483328869
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lloyds Banking Group PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        000000000
        
          
        
        1400000.00000000
        PA
        
        1808591.27000000
        0.147978293913
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-10-16
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Venture CDO Ltd
        54930010DKR017G3JK24
        Venture XXVIII CLO Ltd
        92331AAU8
        
          
        
        200000.00000000
        PA
        USD
        199798.18000000
        0.016347415966
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-20
          Floating
          1.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arab Republic of Egypt
        529900GFIVH4086NMH82
        Egypt Government International Bond
        000000000
        
          
        
        2500000.00000000
        PA
        
        2362506.98000000
        0.193299480130
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2031-04-11
          Fixed
          6.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADLER GROUP SA
        391200OYYFJ3DWAMEC69
        ADLER Group SA
        000000000
        
          
        
        1400000.00000000
        PA
        
        1291957.67000000
        0.105707516666
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2026-11-13
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON TLB BORROWER 1 (US) LLC
        635400O84AGITYFZQB55
        Avolon TLB Borrower 1 (US) LLC 2021 Term Loan B5
        05400KAH3
        
          
        
        1188000.00000000
        PA
        USD
        1174338.00000000
        0.096083917135
        Long
        LON
        CORP
        US
        
        N
        
        2
        
          2027-12-01
          Floating
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Capital Markets LP
        KD3XUN7C6T14HNAYLU02
        317U894I2 PIMCO
        000000000
        
          
        
        -14200000.00000000
        NC
        USD
        -177714.42000000
        -0.01454053058
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Capital Markets LP
              KD3XUN7C6T14HNAYLU02
            
            Put
            Written
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                    IRS Swap
                    N/A
                    
                      
                    
                    14200000.00000000
                    OU
                    Notional Amount
                    N/A
                    -177714.42000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-05-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  14200000.00000000
                  USD
                
              
            
            1.00000000
            2.15300000
            USD
            2022-05-16
            XXXX
            -62694.42000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF IRELAND GROUP
        635400C8EK6DRI12LJ39
        Bank of Ireland Group PLC
        000000000
        
          
        
        1700000.00000000
        PA
        
        2042283.08000000
        0.167098874621
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2025-05-19
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IVORY COAST
        254900ICW11T82O6H590
        Ivory Coast Government International Bond
        000000000
        
          
        
        300000.00000000
        PA
        
        306957.76000000
        0.025115174656
        Long
        DBT
        NUSS
        CI
        N
        
        2
        
          2031-10-17
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2020-1 A PTT
        N/A
        United Airlines 2020-1 Class A Pass Through Trust
        90931GAA7
        
          
        
        2537705.42000000
        PA
        USD
        2626743.86000000
        0.214919247592
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZF EUROPE FINANCE BV
        549300RI533US2G6G542
        ZF Europe Finance BV
        000000000
        
          
        
        2000000.00000000
        PA
        
        2075457.30000000
        0.169813177493
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2026-02-23
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WYNN MACAU LTD
        254900NMDQ8ENTHU1I31
        Wynn Macau Ltd
        98313RAG1
        
          
        
        200000.00000000
        PA
        USD
        182000.00000000
        0.014891175214
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Saxon Asset Securities Trust
        N/A
        Saxon Asset Securities Trust 2006-1
        80556UAF0
        
          
        
        222003.63000000
        PA
        USD
        219890.44000000
        0.017991357527
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-03-25
          Floating
          0.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ARGENTINA
        549300KPBYGYF7HCHO27
        Argentine Republic Government International Bond
        040114HV5
        
          
        
        13420196.00000000
        PA
        USD
        4730619.09000000
        0.387057570002
        Long
        DBT
        NUSS
        AR
        N
        
        2
        
          2041-07-09
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ameriquest Mortgage Securities Inc.
        N/A
        Asset-Backed Pass-Through Certificates Series 2004-R5
        03072SRX5
        
          
        
        14868.58000000
        PA
        USD
        14780.00000000
        0.001209294338
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-07-25
          Floating
          1.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHWESTERN ENERGY CO
        EFWMP121W54QV9MGOP87
        Southwestern Energy Co
        845467AR0
        
          
        
        100000.00000000
        PA
        USD
        101250.00000000
        0.008284238958
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wynn Macau Ltd
        254900NMDQ8ENTHU1I31
        Wynn Macau Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        173000.00000000
        0.014154798417
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF VENEZUELA
        529900XM8PJTJK5OJI77
        Venezuela Government International Bond
        P97475AP5
        
          
        
        156000.00000000
        PA
        USD
        12792.00000000
        0.001046636886
        Long
        DBT
        NUSS
        VE
        N
        
        2
        
          2024-10-13
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AX4
        
          
        
        700000.00000000
        PA
        USD
        732037.26000000
        0.059895028032
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        1289.13000000
        0.000105476157
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            7457520.00000000
            AUD
            5581753.11000000
            USD
            2022-04-04
            1289.13000000
          
        
        
          N
          N
          N
        
      
      
        ILLINOIS ST
        54930048FV8RWPR02D67
        State of Illinois
        452152BM2
        
          
        
        245000.00000000
        PA
        USD
        274940.15000000
        0.022495505203
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-02-01
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF VENEZUELA
        529900XM8PJTJK5OJI77
        Venezuela Government International Bond
        P17625AA5
        
          
        
        32000.00000000
        PA
        USD
        2624.00000000
        0.000214694745
        Long
        DBT
        NUSS
        VE
        N
        
        2
        
          2023-05-07
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        VMWARE INC
        549300BUDHS3LRWBE814
        VMware Inc
        928563AD7
        
          
        
        300000.00000000
        PA
        USD
        309028.13000000
        0.025284571593
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF NIGERIA
        549300GSBZD84TNEQ285
        Nigeria Government International Bond
        000000000
        
          
        
        600000.00000000
        PA
        USD
        523500.00000000
        0.042832583651
        Long
        DBT
        NUSS
        NG
        N
        
        2
        
          2038-02-23
          Fixed
          7.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH COS INC
        B3BS7ACMDUWISF18KY76
        Bausch Health Cos Inc
        071734AN7
        
          
        
        300000.00000000
        PA
        USD
        287250.00000000
        0.023502692748
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2028-06-01
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marks & Spencer PLC
        213800CN1RI3UCIZWB95
        Marks & Spencer PLC
        000000000
        
          
        
        1000000.00000000
        PA
        
        1369372.00000000
        0.112041529589
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-06-12
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RLJ LODGING TRUST LP
        549300RX5I8Z6I6LDZ74
        RLJ Lodging Trust LP
        74965LAA9
        
          
        
        200000.00000000
        PA
        USD
        190000.00000000
        0.015545732366
        Long
        DBT
        
        US
        N
        
        2
        
          2026-07-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63861VAC1
        
          
        
        4500000.00000000
        PA
        USD
        4569214.37000000
        0.373851493267
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-08-01
          Fixed
          4.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corporation
        9DJT3UXIJIZJI4WXO774
        Banc of America Funding 2006 J Trust
        05951EAM9
        
          
        
        31232.30000000
        PA
        USD
        30225.06000000
        0.002473003650
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-01-20
          Variable
          3.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harvest CLO
        635400EXPHDZLGQCVU09
        Harvest Clo XX DAC
        000000000
        
          
        
        600000.00000000
        PA
        
        656012.99000000
        0.053674749323
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2031-10-20
          Floating
          0.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HarborView Mortgage Loan Trust
        N/A
        HarborView Mortgage Loan Trust 2005-10
        41161PTN3
        
          
        
        7631.45000000
        PA
        USD
        6512.28000000
        0.000532832431
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-19
          Floating
          1.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828G38
        
          
        
        15910000.00000000
        PA
        USD
        15811183.94000000
        1.293665441722
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-11-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308HC4
        
          
        
        100000.00000000
        PA
        USD
        99819.42000000
        0.008167189412
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PATTERSON-UTI ENERGY INC
        254900XGFBKIXD6G0697
        Patterson-UTI Energy Inc
        703481AC5
        
          
        
        600000.00000000
        PA
        USD
        585295.81000000
        0.047888694828
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-11-15
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certificates
        N/A
        Countrywide Asset-Backed Certificates
        23248AAA9
        
          
        
        1258113.00000000
        PA
        USD
        1057530.28000000
        0.086526751064
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2047-05-25
          Floating
          1.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0KBW1 CDS EUR R F  5.00000 1 CCPITRAXX / Short: SWPC0KBW1 CDS EUR P V 03MEVENT 2 CCPITRAXX
        000000000
        
          
        
        39100000.00000000
        OU
        Notional Amount
        
        3437635.51000000
        0.281266113745
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe Crossover S36
                2I667KJO7
              
            
            Y
            
            sell protection
            2026-12-20
            3509874.06000000
            EUR
            0.00000000
            EUR
            39100000.00000000
            EUR
            -577593.48000000
          
        
        
          N
          N
          N
        
      
      
        SEAZEN GROUP LTD
        5493006M8GRAQRCSCD67
        Seazen Group Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        126000.00000000
        0.010309275148
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-08-12
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBALWORTH REAL ESTATE
        213800R3E823B1UBIA81
        Globalworth Real Estate Investments Ltd
        000000000
        
          
        
        3900000.00000000
        PA
        
        4371574.03000000
        0.357680631001
        Long
        DBT
        
        GG
        
        N
        
        2
        
          2025-03-29
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: SWPC0IM04 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IM04 CDS EUR P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        200000.00000000
        OU
        Notional Amount
        
        13631.01000000
        0.001115284386
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                INTRUM AB
                INTRUM AB
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            9296.76000000
            EUR
            0.00000000
            EUR
            200000.00000000
            EUR
            3968.71000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF VENEZUELA
        529900XM8PJTJK5OJI77
        Venezuela Government International Bond
        922646BL7
        
          
        
        1400000.00000000
        PA
        USD
        114800.00000000
        0.009392895135
        Long
        DBT
        NUSS
        VE
        N
        
        2
        
          2034-01-13
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RKJ0
        
          
        
        237000.00000000
        PA
        USD
        207954.24000000
        0.017014741892
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2053-09-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COTY INC
        549300BO9IWPF3S48F93
        Coty Inc
        222070AE4
        
          
        
        2900000.00000000
        PA
        USD
        2823875.00000000
        0.231048447295
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROLLS-ROYCE PLC
        X57JK1U580XATGR67572
        Rolls-Royce PLC
        000000000
        
          
        
        1600000.00000000
        PA
        
        1858499.59000000
        0.152061774890
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-02-16
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARKS & SPENCER PLC
        213800CN1RI3UCIZWB95
        Marks & Spencer PLC
        000000000
        
          
        
        300000.00000000
        PA
        
        385870.91000000
        0.031571820499
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-07-10
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sprint Corp
        549300ZTTY7CXOLJ6539
        Sprint Corp
        85207UAF2
        
          
        
        6400000.00000000
        PA
        USD
        6800000.00000000
        0.556373579429
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-15
          Fixed
          7.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD INDUSTRIES INC
        54930064UHXCIUWVI755
        Standard Industries Inc/NJ
        000000000
        
          
        
        1300000.00000000
        PA
        
        1342800.03000000
        0.109867420463
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-21
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: SWPC0KBH4 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0KBH4 CDS EUR P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        1000000.00000000
        OU
        Notional Amount
        
        194126.42000000
        0.015883354581
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                HOCHTIEF AG
                HOCHTIEF AG
                
                  
                
              
            
            Y
            
            sell protection
            2026-12-20
            180327.32000000
            EUR
            0.00000000
            EUR
            1000000.00000000
            EUR
            -18939.22000000
          
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FUNDING LLC
        N/A
        NXP BV / NXP Funding LLC
        62947QAZ1
        
          
        
        1700000.00000000
        PA
        USD
        1746807.85000000
        0.142923196482
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2024-03-01
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Venture CDO Ltd
        549300A6M3BR8FZNXO79
        Venture Xxv Clo Ltd
        92329VAS1
        
          
        
        3183117.75000000
        PA
        USD
        3183113.04000000
        0.260441175851
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-20
          Floating
          1.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALBION FINANCING 1SARL /
        N/A
        Albion Financing 1 SARL / Aggreko Holdings Inc
        013304AA8
        
          
        
        300000.00000000
        PA
        USD
        289500.00000000
        0.023686786947
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2026-10-15
          Fixed
          6.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYNGENTA FINANCE NV
        54930042S3BYCEGOCN86
        Syngenta Finance NV
        87164KAH7
        
          
        
        200000.00000000
        PA
        USD
        202662.21000000
        0.016581749881
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-04-24
          Fixed
          4.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES INC
        Q2CCMS6R0AS67HJMBN42
        Delta Air Lines Inc
        247361ZX9
        
          
        
        877000.00000000
        PA
        USD
        939367.90000000
        0.076858747194
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        000000000
        
          
        
        200000.00000000
        PA
        
        234481.58000000
        0.019185199408
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-27
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Qatar
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        000000000
        
          
        
        1100000.00000000
        PA
        USD
        1199000.00000000
        0.098101753196
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2028-04-23
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        000000000
        
          
        
        3500000.00000000
        PA
        
        3582257.97000000
        0.293099071942
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2029-02-26
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wynn Macau Ltd
        254900NMDQ8ENTHU1I31
        Wynn Macau Ltd
        98313RAC0
        
          
        
        4100000.00000000
        PA
        USD
        3840593.00000000
        0.314235952138
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-10-01
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397ZU0
        
          
        
        1400000.00000000
        PA
        USD
        1403220.00000000
        0.114810960900
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-01
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley ABS Capital I Inc Trust 2005-WMC5
        61744CRV0
        
          
        
        170218.92000000
        PA
        USD
        169576.91000000
        0.013874722412
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-06-25
          Floating
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Acquisition Corp
        N/A
        JP Morgan Mortgage Acquisition Trust 2007-CH3
        46630XAG3
        
          
        
        400000.00000000
        PA
        USD
        384628.52000000
        0.031470168591
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-03-25
          Floating
          0.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SIGMA BIDCO B.V. 2018 EUR TERM LOAN B
        2549002VGA888UKFKS25
        SIGMA BIDCO B.V. 2018 EUR TERM LOAN B
        000000000
        
          
        
        1600000.00000000
        PA
        
        1651354.77000000
        0.135113259454
        Long
        LON
        CORP
        NL
        N
        
        2
        
          2025-07-02
          Floating
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMF-NL Bv
        724500YACYYG8XY5LM10
        EMF-NL Prime 2008-A BV
        000000000
        
          
        
        99487.50000000
        PA
        
        109871.93000000
        0.008989682201
        Long
        ABS-MBS
        CORP
        NL
        N
        
        2
        
          2041-04-17
          Floating
          0.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        1500000.00000000
        PA
        
        1551050.66000000
        0.126906412879
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2039-03-11
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        000000000
        
          
        
        300000.00000000
        PA
        
        336235.76000000
        0.027510690194
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTESA SANPAOLO SPA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        000000000
        
          
        
        900000.00000000
        PA
        
        985130.90000000
        0.080603059564
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2031-09-01
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rio Oil Finance Trust
        N/A
        Rio Oil Finance Trust Series 2014-3
        U76673AB5
        
          
        
        342443.20000000
        PA
        USD
        376687.52000000
        0.030820438798
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2027-01-06
          Fixed
          9.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Q-PARK HOLDING BV
        2549003839B7HE3NDP48
        Q-Park Holding I BV
        000000000
        
          
        
        1200000.00000000
        PA
        
        1244345.13000000
        0.101811875591
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2025-03-01
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUSTRALIAN GOVERNMENT
        213800J6B7JSBDETCB42
        Australia Government Bond
        000000000
        
          
        
        2400000.00000000
        PA
        
        1914521.54000000
        0.156645470897
        Long
        DBT
        NUSS
        AU
        N
        
        2
        
          2026-04-21
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0IU21 CDS EUR R F  5.00000 1 CCPCORPORATE / Short: SWPC0IU21 CDS EUR P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        700000.00000000
        OU
        Notional Amount
        
        128668.99000000
        0.010527650959
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Glencore International AG
                Glencore International AG
                
                  
                
              
            
            Y
            
            sell protection
            2026-12-20
            124654.08000000
            EUR
            0.00000000
            EUR
            700000.00000000
            EUR
            -14216.76000000
          
        
        
          N
          N
          N
        
      
      
        ROYAL BK SCOTLND GRP PLC
        2138005O9XJIJN4JPN90
        NatWest Group PLC
        000000000
        
          
        
        100000.00000000
        PA
        
        113336.96000000
        0.009273189723
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-03-22
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KAISA GROUP HOLDINGS LTD
        254900N8L3L7NRJT0120
        Kaisa Group Holdings Ltd
        000000000
        
          
        
        600000.00000000
        PA
        USD
        108000.00000000
        0.008836521555
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-09-28
          None
          0.00000000
          Y
          Y
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        Y20722AN7
        
          
        
        800000.00000000
        PA
        
        932501.29000000
        0.076296923608
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2025-07-30
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: SWPC0IMP9 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IMP9 CDS EUR P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        200000.00000000
        OU
        Notional Amount
        
        13631.01000000
        0.001115284386
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                INTRUM AB
                INTRUM AB
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            8418.26000000
            EUR
            0.00000000
            EUR
            200000.00000000
            EUR
            4809.07000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0KBZ4 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0KBZ4 CDS USD P V 03MEVENT 2 CCPCDX
        000000000
        
          
        
        38600000.00000000
        OU
        Notional Amount
        USD
        661116.48000000
        0.054092315058
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.IG.S37
                2I65BYDZ5
              
            
            Y
            
            sell protection
            2026-12-20
            599325.22000000
            USD
            0.00000000
            USD
            38600000.00000000
            USD
            61791.26000000
          
        
        
          N
          N
          N
        
      
      
        FORTRESS TRANS & INFRAST
        529900E7PUVK6BC8PE80
        Fortress Transportation and Infrastructure Investors LLC
        34960PAD3
        
          
        
        400000.00000000
        PA
        USD
        363660.00000000
        0.029754531749
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Adjustable Rate Mortgage Trust
        N/A
        Bear Stearns ARM Trust 2004-3
        07384MR20
        
          
        
        1302.00000000
        PA
        USD
        1332.96000000
        0.000109062312
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-07-25
          Variable
          2.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAY AREA CA TOLL AUTH TOLL BRI
        5493001FUZGUQMIP5D78
        Bay Area Toll Authority
        072024NU2
        
          
        
        200000.00000000
        PA
        USD
        274013.30000000
        0.022419670666
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-04-01
          Fixed
          6.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WYNN MACAU LTD
        254900NMDQ8ENTHU1I31
        Wynn Macau Ltd
        98313RAE6
        
          
        
        1100000.00000000
        PA
        USD
        932250.00000000
        0.076276363150
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2029-12-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors Trust
        9DJT3UXIJIZJI4WXO774
        Merrill Lynch Mortgage Investors Trust Series 2006-A3
        59023CAK8
        
          
        
        9119.29000000
        PA
        USD
        8567.72000000
        0.000701007800
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-25
          Variable
          2.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MATTEL INC
        549300VELLG24KHTJ564
        Mattel Inc
        577081BE1
        
          
        
        100000.00000000
        PA
        USD
        97908.50000000
        0.008010838617
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        000000000
        
          
        
        500000.00000000
        PA
        
        555715.72000000
        0.045468462394
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2028-09-17
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EDISON INTERNATIONAL
        549300I7ROF15MAEVP56
        Edison International
        281020AN7
        
          
        
        100000.00000000
        PA
        USD
        107153.95000000
        0.008767298045
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        197603.36000000
        0.016167836575
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            12467378.13000000
            USD
            16925000.00000000
            AUD
            2022-04-04
            197603.36000000
          
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Trust
        N/A
        IndyMac INDX Mortgage Loan Trust 2005-AR14
        45660LRX9
        
          
        
        8781.59000000
        PA
        USD
        7916.57000000
        0.000647730939
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-25
          Floating
          1.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KAISA GROUP HOLDINGS LTD
        254900N8L3L7NRJT0120
        Kaisa Group Holdings Ltd
        000000000
        
          
        
        1000000.00000000
        PA
        USD
        190000.00000000
        0.015545732366
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-06-01
          None
          0.00000000
          Y
          Y
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QDE9
        
          
        
        4300000.00000000
        PA
        USD
        3968943.00000000
        0.324737503450
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2031-01-28
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0I305 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0I305 CDS USD P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        900000.00000000
        OU
        Notional Amount
        USD
        11686.52000000
        0.000956186906
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                GENERAL ELECTRIC CO
                GENERAL ELECTRIC CO
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            0.00000000
            USD
            -3826.16000000
            USD
            900000.00000000
            USD
            15512.68000000
          
        
        
          N
          N
          N
        
      
      
        UniCredit SpA
        549300TRUWO2CD2G5692
        UniCredit SpA
        904678AG4
        
          
        
        5650000.00000000
        PA
        USD
        5996684.00000000
        0.490646550262
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2023-12-04
          Fixed
          7.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAG3
        
          
        
        500000.00000000
        PA
        USD
        456781.84000000
        0.037373727549
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-01-19
          Fixed
          3.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3677.89000000
        0.000300923650
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            246801.90000000
            USD
            1192546.80000000
            BRL
            2022-04-04
            3677.89000000
          
        
        
          N
          N
          N
        
      
      
        WYNN MACAU LTD
        254900NMDQ8ENTHU1I31
        Wynn Macau Ltd
        98313RAH9
        
          
        
        300000.00000000
        PA
        USD
        260628.00000000
        0.021324490185
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-08-26
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTICE FRANCE HOLDING SA
        5299000JVHXKJPOE6H40
        Altice France Holding SA
        02156TAA2
        
          
        
        1700000.00000000
        PA
        USD
        1466250.00000000
        0.119968053064
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2028-02-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOBLE FINANCE CO
        5493003DTPH8AMMK4P51
        Noble Finance Co
        65505JAC5
        
          
        
        45537.00000000
        PA
        USD
        51001.44000000
        0.004172919666
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-02-15
          Fixed
          11.00000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        SYNGENTA FINANCE NV
        54930042S3BYCEGOCN86
        Syngenta Finance NV
        87164KAG9
        
          
        
        5900000.00000000
        PA
        USD
        6005790.25000000
        0.491391620396
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2025-04-24
          Fixed
          4.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308HP5
        
          
        
        100000.00000000
        PA
        USD
        95023.23000000
        0.007774766853
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATHORA NETHERLANDS
        724500MKKXKEVWMN9E13
        Athora Netherlands NV
        000000000
        
          
        
        700000.00000000
        PA
        
        781622.12000000
        0.063952043627
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2024-05-17
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marathon CLO LTD
        5493008SBRQGMZFP2M89
        Marathon CLO IX Ltd
        56577PAL3
        
          
        
        1526940.29000000
        PA
        USD
        1519513.36000000
        0.124326042219
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-15
          Floating
          1.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        676.37000000
        0.000055340352
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            682985.98000000
            USD
            618000.00000000
            EUR
            2022-04-04
            676.37000000
          
        
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        000000000
        
          
        
        800000.00000000
        PA
        USD
        634000.00000000
        0.051873654317
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2061-02-16
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTELSAT JACKSON HOLDINGS S A
        N/A
        INTELSAT JACKSON HOLDINGS S A
        000000000
        
          
        
        986.00000000
        NS
        USD
        4437.00000000
        0.000363033760
        N/A
        DE
        
        LU
        N
        
        3
        
          
            
              N/A
              N/A
            
            
              
                INTELSAT EMERGENCE SA
                INTELSAT EMERGENCE SA
                
                  
                
              
            
            2025-12-05
            
              
            
            XXXX
            4437.00000000
          
        
        
          N
          N
          N
        
      
      
        DAVITA INC
        M2XHYMU3TZNEZURC6H66
        DaVita Inc
        23918KAS7
        
          
        
        1900000.00000000
        PA
        USD
        1774220.00000000
        0.145166048837
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATRIUM EUROPEAN REAL EST
        213800OJ67K27RCO2J56
        Atrium European Real Estate Ltd
        000000000
        
          
        
        3439000.00000000
        PA
        
        3728913.76000000
        0.305098396475
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2025-09-11
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOS ANGELES CNTY CA PUBLIC WKS
        N/A
        Los Angeles County Public Works Financing Authority
        54473ENS9
        
          
        
        200000.00000000
        PA
        USD
        297421.62000000
        0.024334931076
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-08-01
          Fixed
          7.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Turkey
        5493000PCHOG3B6S3Q85
        Turkey Government International Bond
        900123CM0
        
          
        
        4400000.00000000
        PA
        USD
        3270960.00000000
        0.267628782848
        Long
        DBT
        NUSS
        TR
        N
        
        2
        
          2047-05-11
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        000000000
        
          
        
        1700000.00000000
        PA
        USD
        1538517.00000000
        0.125880913279
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2032-09-23
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        317U090O1 PIMCO
        000000000
        
          
        
        -6900000.00000000
        NC
        USD
        -8993.46000000
        -0.00073584169
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            Call
            Written
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                    IRS Swap
                    N/A
                    
                      
                    
                    6900000.00000000
                    OU
                    Notional Amount
                    N/A
                    -8993.46000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-06-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  6900000.00000000
                  USD
                
              
            
            1.00000000
            1.44350000
            USD
            2022-06-08
            XXXX
            65871.54000000
          
        
        
          N
          N
          N
        
      
      
        Republic of Ghana
        213800PP4399SNNXZ126
        Ghana Government International Bond
        37443GAB7
        
          
        
        400000.00000000
        PA
        USD
        288000.00000000
        0.023564057481
        Long
        DBT
        NUSS
        GH
        N
        
        2
        
          2032-03-26
          Fixed
          8.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAG1
        
          
        
        4300000.00000000
        PA
        USD
        4683774.14000000
        0.383224732869
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mortgage Loan Trust
        784F5XWPLTWKTBV3E584
        GSR Mortgage Loan Trust 2005-AR6
        362341RT8
        
          
        
        1596.71000000
        PA
        USD
        1603.41000000
        0.000131190435
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-25
          Variable
          2.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IVORY COAST
        254900ICW11T82O6H590
        Ivory Coast Government International Bond
        000000000
        
          
        
        400000.00000000
        PA
        
        401435.91000000
        0.032845343258
        Long
        DBT
        NUSS
        CI
        N
        
        2
        
          2040-10-17
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0IR09 CDS EUR R F  5.00000 1 CCPCORPORATE / Short: SWPC0IR09 CDS EUR P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        1700000.00000000
        OU
        Notional Amount
        
        -59219.27000000
        -0.00484529959
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CASINO GUICHARD PERRACHO
                CASINO GUICHARD PERRACHO
                
                  
                
              
            
            Y
            
            sell protection
            2022-12-20
            0.00000000
            EUR
            -22595.80000000
            EUR
            1700000.00000000
            EUR
            -33673.75000000
          
        
        
          N
          N
          N
        
      
      
        IndyMac Residential Asset Backed Trust
        N/A
        Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-B
        43710EAD2
        
          
        
        332626.68000000
        PA
        USD
        209639.93000000
        0.017152664447
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-07-25
          Floating
          0.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2007-HYB1
        22239EAG1
        
          
        
        7123.55000000
        PA
        USD
        6585.85000000
        0.000538851902
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-25
          Variable
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2006-16
        170257AC3
        
          
        
        15515.45000000
        PA
        USD
        8115.35000000
        0.000663995048
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0JZ99 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0JZ99 CDS USD P V 03MEVENT 2 CCPCDX
        000000000
        
          
        
        800000.00000000
        OU
        Notional Amount
        USD
        14514.53000000
        0.001187573677
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.IG.S36
                2I65BYDY8
              
            
            Y
            
            sell protection
            2026-06-20
            16781.82000000
            USD
            0.00000000
            USD
            800000.00000000
            USD
            -2267.29000000
          
        
        
          N
          N
          N
        
      
      
        Venture CDO Ltd
        5493002O60L75PP6F022
        Venture XIV CLO Ltd
        92328GBA3
        
          
        
        5406100.30000000
        PA
        USD
        5398906.29000000
        0.441736590819
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-08-28
          Floating
          1.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JK4
        
          
        
        100000.00000000
        PA
        USD
        95702.35000000
        0.007830332210
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308HN0
        
          
        
        100000.00000000
        PA
        USD
        86459.64000000
        0.007074096968
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-03-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        000000000
        
          
        
        1300000.00000000
        PA
        
        1379521.10000000
        0.112871925338
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-01
          Floating
          0.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREEDOM MORTGAGE CORP
        549300LYRWPSYPK6S325
        Freedom Mortgage Corp
        35640YAF4
        
          
        
        2100000.00000000
        PA
        USD
        2005500.00000000
        0.164089296109
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-01
          Fixed
          7.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        2478.89000000
        0.000202821897
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            138000.00000000
            GBP
            183762.54000000
            USD
            2022-04-04
            2478.89000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ECUADOR
        5299003Y2U5XK0A35H71
        Ecuador Government International Bond
        000000000
        
          
        
        1225800.00000000
        PA
        USD
        698718.26000000
        0.057168879313
        Long
        DBT
        NUSS
        EC
        N
        
        2
        
          2040-07-31
          Variable
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2005-79CB
        12668BAC7
        
          
        
        123756.98000000
        PA
        USD
        93211.44000000
        0.007626526840
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTICE FRANCE HOLDING SA
        5299000JVHXKJPOE6H40
        Altice France Holding SA
        000000000
        
          
        
        1000000.00000000
        PA
        
        1141926.31000000
        0.093432004196
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2027-05-15
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Travis Perkins PLC
        2138001I27OUBAF22K83
        Travis Perkins PLC
        000000000
        
          
        
        1900000.00000000
        PA
        
        2520893.60000000
        0.206258616998
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-09-07
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCK7
        
          
        
        2500000.00000000
        PA
        USD
        2268750.00000000
        0.185628317401
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOLL BROS FINANCE CORP
        N/A
        Toll Brothers Finance Corp
        88947EAS9
        
          
        
        1200000.00000000
        PA
        USD
        1239807.34000000
        0.101440595229
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ILLINOIS ST
        54930048FV8RWPR02D67
        State of Illinois
        452152GS4
        
          
        
        200000.00000000
        PA
        USD
        232588.28000000
        0.019030290276
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-07-01
          Fixed
          7.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2007-OA3
        02150TAA8
        
          
        
        28845.96000000
        PA
        USD
        25960.90000000
        0.002124111596
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-04-25
          Floating
          0.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10216.60000000
        -0.00083591857
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            2133804.00000000
            USD
            30556990816.00000000
            IDR
            2022-05-20
            -10216.60000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley ABS Capital I Inc Trust 2005-NC1
        61744CML7
        
          
        
        162120.21000000
        PA
        USD
        156122.56000000
        0.012773892284
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-01-25
          Floating
          1.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aurium CLO
        213800O4RL6TWVR6MP81
        Aurium CLO I DAC
        000000000
        
          
        
        250000.00000000
        PA
        
        274569.03000000
        0.022465140297
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2032-03-23
          Floating
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CF4
        
          
        
        1500000.00000000
        PA
        USD
        1337921.73000000
        0.109468279693
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2032-01-14
          Fixed
          3.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        27704.17000000
        0.002266745327
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            1899382.91000000
            USD
            1742000.00000000
            EUR
            2022-04-04
            27704.17000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Services LLC
        I7331LVCZKQKX5T7XV54
        Long: SWPC0ILQ8 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0ILQ8 CDS EUR P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        100000.00000000
        OU
        Notional Amount
        
        6815.50000000
        0.000557641783
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley Capital Services LLC
              I7331LVCZKQKX5T7XV54
            
            
              
                INTRUM AB
                INTRUM AB
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            4701.29000000
            EUR
            0.00000000
            EUR
            100000.00000000
            EUR
            1929.30000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF VENEZUELA
        529900XM8PJTJK5OJI77
        Venezuela Government International Bond
        P17625AB3
        
          
        
        1241000.00000000
        PA
        USD
        101762.00000000
        0.008326130616
        Long
        DBT
        NUSS
        VE
        N
        
        2
        
          2028-05-07
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Charter Communications Operating, LLC
        549300TPZNMN50BJ3745
        Charter Communications Operating, LLC 2019 Term Loan B2
        16117LBX6
        
          
        
        3381171.78000000
        PA
        USD
        3348945.83000000
        0.274009555698
        Long
        LON
        CORP
        US
        N
        
        2
        
          2027-02-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2005-J1
        12667FU29
        
          
        
        866.04000000
        PA
        USD
        868.54000000
        0.000071063633
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-08-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAE FUNDING LLC
        635400SZTPQL3Y1P2C76
        DAE Funding LLC
        23371DAH7
        
          
        
        1000000.00000000
        PA
        USD
        951910.44000000
        0.077884973352
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-02-15
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLY FINANCIAL INC
        549300JBN1OSM8YNAI90
        Ally Financial Inc
        02005NBK5
        
          
        
        400000.00000000
        PA
        USD
        401460.28000000
        0.032847337203
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-05
          Fixed
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ECUADOR
        5299003Y2U5XK0A35H71
        Ecuador Government International Bond
        000000000
        
          
        
        323958.00000000
        PA
        USD
        179799.93000000
        0.014711166269
        Long
        DBT
        NUSS
        EC
        N
        
        2
        
          2030-07-31
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEMAIN FINANCE CORP
        5493008I795YYBFWFU90
        OneMain Finance Corp
        85172FAM1
        
          
        
        1900000.00000000
        PA
        USD
        1997888.00000000
        0.163466484979
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JEFFERIES FIN LLC / JFIN
        N/A
        Jefferies Finance LLC / JFIN Co-Issuer Corp
        47232MAF9
        
          
        
        1500000.00000000
        PA
        USD
        1436220.00000000
        0.117511009154
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Impac Secured Assets Corp.
        N/A
        Impac Secured Assets Trust 2007-1
        452559AB3
        
          
        
        9356.84000000
        PA
        USD
        9300.32000000
        0.000760948871
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-25
          Floating
          0.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bacardi Ltd
        549300R32WTQNHNN5055
        Bacardi Ltd
        067316AF6
        
          
        
        2900000.00000000
        PA
        USD
        3016852.14000000
        0.246837768197
        Long
        DBT
        CORP
        BM
        N
        
        2
        
          2028-05-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0K0C7 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0K0C7 CDS USD P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        100000.00000000
        OU
        Notional Amount
        USD
        1025.03000000
        0.000083867589
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                AT&T INC
                AT&T INC
                
                  
                  
                
              
            
            Y
            
            sell protection
            2026-06-20
            1601.09000000
            USD
            0.00000000
            USD
            100000.00000000
            USD
            -576.06000000
          
        
        
          N
          N
          N
        
      
      
        NEXI SPA
        5493000P70CQRQG8SN85
        Nexi SpA
        000000000
        
          
        
        3700000.00000000
        PA
        
        3714837.57000000
        0.303946687620
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2029-04-30
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0JYY5 CDS USD R F  1.00000 FIX CORPORATE / Short: SWPC0JYY5 CDS USD P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        3800000.00000000
        OU
        Notional Amount
        USD
        45182.65000000
        0.003696828339
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                GENERAL ELECTRIC CO
                GENERAL ELECTRIC CO
                
                  
                  
                
              
            
            Y
            
            sell protection
            2026-06-20
            35703.91000000
            USD
            0.00000000
            USD
            3800000.00000000
            USD
            9478.74000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF TURKEY
        5493000PCHOG3B6S3Q85
        Turkey Government International Bond
        900123CX6
        
          
        
        1200000.00000000
        PA
        USD
        1118040.00000000
        0.091477634815
        Long
        DBT
        NUSS
        TR
        N
        
        2
        
          2025-03-13
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMER AIRLN 15-1 A PTT
        N/A
        American Airlines 2015-1 Class A Pass Through Trust
        023770AA8
        
          
        
        338186.21000000
        PA
        USD
        325106.99000000
        0.026600138194
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-01
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALBION FINANCING 1SARL /
        N/A
        Albion Financing 1 SARL / Aggreko Holdings Inc
        000000000
        
          
        
        1600000.00000000
        PA
        
        1741187.56000000
        0.142463346355
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2026-10-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORGANON & CO/ORG
        N/A
        Organon & Co / Organon Foreign Debt Co-Issuer BV
        68622TAA9
        
          
        
        1100000.00000000
        PA
        USD
        1047975.50000000
        0.085744982366
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-30
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Certificates
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2006-AR2 Trust
        92925CDQ2
        
          
        
        100576.14000000
        PA
        USD
        100186.03000000
        0.008197185311
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-25
          Variable
          3.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STENA INTERNATIONAL SA
        213800A4LTGG4W55QP46
        Stena International SA
        85858EAB9
        
          
        
        400000.00000000
        PA
        USD
        400000.00000000
        0.032727857613
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2025-02-01
          Fixed
          6.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CJ6
        
          
        
        200000.00000000
        PA
        USD
        188192.12000000
        0.015397812268
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-04-18
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IHO Verwaltungs GmbH
        529900JL0HDVGZMUJF32
        IHO Verwaltungs GmbH
        000000000
        
          
        
        800000.00000000
        PA
        
        874025.81000000
        0.071512480650
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2025-05-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF VENEZUELA
        529900XM8PJTJK5OJI77
        Venezuela Government International Bond
        000000000
        
          
        
        1955000.00000000
        PA
        USD
        160310.00000000
        0.013116507135
        Long
        DBT
        NUSS
        VE
        N
        
        2
        
          2025-04-21
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        GREENKO SOLAR MAURITIUS
        2138007S1PL541B3KP92
        Greenko Solar Mauritius Ltd
        39530VAA6
        
          
        
        1000000.00000000
        PA
        USD
        1005500.00000000
        0.082269652075
        Long
        DBT
        CORP
        MU
        
        N
        
        2
        
          2025-01-29
          Fixed
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        000000000
        
          
        
        1200000.00000000
        PA
        
        1363392.65000000
        0.111552301301
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-30
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2007-A1
        46630GAX3
        
          
        
        4624.33000000
        PA
        USD
        4681.42000000
        0.000383032117
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-25
          Variable
          2.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERRIGO FINANCE UNLIMITE
        549300E86RB6YCTMRM83
        Perrigo Finance Unlimited Co
        71429MAC9
        
          
        
        200000.00000000
        PA
        USD
        187981.28000000
        0.015380561414
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2030-06-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aegis Asset Backed Securities
        N/A
        Aegis Asset Backed Securities Trust 2004-6
        00764MDY0
        
          
        
        89189.57000000
        PA
        USD
        87068.58000000
        0.007123920222
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-25
          Floating
          1.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0IRF6 CDS EUR R F  1.00000 1 CCPCORPORATE / Short: SWPC0IRF6 CDS EUR P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        2900000.00000000
        OU
        Notional Amount
        
        -19354.68000000
        -0.00158359302
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                MARKS & SPENCER PLC
                MARKS & SPENCER PLC
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            0.00000000
            EUR
            -69821.00000000
            EUR
            2900000.00000000
            EUR
            55084.16000000
          
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN FIN SERV AG
        529900USFSZYPS075O24
        Volkswagen Financial Services AG
        000000000
        
          
        
        200000.00000000
        PA
        
        222223.45000000
        0.018182243574
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2023-04-12
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG
        000000000
        
          
        
        4500000.00000000
        PA
        
        5361797.88000000
        0.438700393922
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2031-05-19
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCA MONTE DEI PASCHI S
        J4CP7MHCXR8DAQMKIL78
        Banca Monte dei Paschi di Siena SpA
        000000000
        
          
        
        3300000.00000000
        PA
        
        3431586.75000000
        0.280771206355
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2025-04-28
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTICE FRANCE SA
        5493001ZMCICV4N02J21
        Altice France SA/France
        02156LAH4
        
          
        
        800000.00000000
        PA
        USD
        717824.00000000
        0.058732104158
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2029-10-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toro European CLO
        635400B4VLIGNRNR9O61
        Toro European CLO 7 DAC
        000000000
        
          
        
        250000.00000000
        PA
        
        275179.63000000
        0.022515099371
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2034-02-15
          Floating
          0.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Qatar
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        000000000
        
          
        
        1200000.00000000
        PA
        USD
        1467225.60000000
        0.120047876309
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2048-04-23
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Long Beach Mortgage Loan Trust
        N/A
        Long Beach Mortgage Loan Trust 2006-4
        54251MAA2
        
          
        
        1102345.85000000
        PA
        USD
        710728.45000000
        0.058151548783
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2036-05-25
          Floating
          0.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan Trust
        N/A
        New Residential Mortgage Loan Trust 2021-NQM1R
        64828BAC5
        
          
        
        1035024.01000000
        PA
        USD
        1005328.65000000
        0.082255632279
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2055-07-25
          Variable
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ace Securities Corp.
        N/A
        ACE Securities Corp Home Equity Loan Trust Series 2005-HE4
        004421PT4
        
          
        
        33116.92000000
        PA
        USD
        33031.18000000
        0.002702599389
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-25
          Floating
          1.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308HM2
        
          
        
        1500000.00000000
        PA
        USD
        1463603.28000000
        0.119751499376
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIRGIN MONEY UK PLC
        213800ZK9VGCYYR6O495
        Virgin Money UK PLC
        000000000
        
          
        
        100000.00000000
        PA
        
        130775.82000000
        0.010700031040
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-04-24
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCAR TURKEY ENERJI AS
        789000J4L7UFTRMDR776
        SOCAR Turkey Enerji AS EUR Term Loan
        000000000
        
          
        
        5800000.00000000
        PA
        
        6079395.55000000
        0.497413979841
        Long
        LON
        CORP
        TR
        
        N
        
        2
        
          2026-08-11
          Floating
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPORT-IMPORT BK INDIA
        335800OFZ8YEIVN1QI11
        Export-Import Bank of India
        30216KAA0
        
          
        
        600000.00000000
        PA
        USD
        585983.56000000
        0.047944966288
        Long
        DBT
        NUSS
        IN
        N
        
        2
        
          2026-08-05
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Capital Markets LP
        KD3XUN7C6T14HNAYLU02
        317U627I6 PIMCO
        000000000
        
          
        
        -7100000.00000000
        NC
        USD
        -226247.89000000
        -0.01851152182
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Capital Markets LP
              KD3XUN7C6T14HNAYLU02
            
            Put
            Written
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                    IRS Swap
                    N/A
                    
                      
                    
                    7100000.00000000
                    OU
                    Notional Amount
                    N/A
                    -226247.89000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7100000.00000000
                  USD
                
              
            
            1.00000000
            1.78650000
            USD
            2022-04-25
            XXXX
            -167850.39000000
          
        
        
          N
          N
          N
        
      
      
        ITAU UNIBANCO HLDG SA/KY
        5493002W2IVG62O3ZJ94
        Itau Unibanco Holding SA/Cayman Island
        46556JAA7
        
          
        
        200000.00000000
        PA
        USD
        200600.00000000
        0.016413020593
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2023-01-24
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        207790.95000000
        0.017001381562
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            12300941.03000000
            USD
            110125000.00000000
            NOK
            2022-04-04
            207790.95000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796Q36
        
          
        
        3800000.00000000
        PA
        USD
        3798330.89000000
        0.310778081342
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-05-26
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ESC CB144A INTELSAT JA
        N/A
        ESC CB144A INTELSAT JA
        458ESCAC4
        
          
        
        100000.00000000
        PA
        USD
        0.00000000
        0.000000
        Long
        DBT
        CORP
        LU
        N
        
        3
        
          2025-07-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IVORY COAST
        254900ICW11T82O6H590
        Ivory Coast Government International Bond
        000000000
        
          
        
        900000.00000000
        PA
        
        867272.82000000
        0.070959953412
        Long
        DBT
        NUSS
        CI
        N
        
        2
        
          2048-03-22
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR CANADA 2020-2A PTT
        N/A
        Air Canada 2020-2 Class A Pass Through Trust
        00909DAA1
        
          
        
        874296.76000000
        PA
        USD
        902304.86000000
        0.073826262455
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2029-04-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0JZA6 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0JZA6 CDS USD P V 03MEVENT 2 CCPCDX
        000000000
        
          
        
        200000.00000000
        OU
        Notional Amount
        USD
        -15080.28000000
        -0.00123386314
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.EM.S35
                2I65BZEA6
              
            
            Y
            
            sell protection
            2026-06-20
            0.00000000
            USD
            -5961.01000000
            USD
            200000.00000000
            USD
            -9119.27000000
          
        
        
          N
          N
          N
        
      
      
        OMAN GOV INTERNTL BOND
        549300SZ20F0QTKNQC75
        Oman Government International Bond
        000000000
        
          
        
        4800000.00000000
        PA
        USD
        4788576.00000000
        0.391799583748
        Long
        DBT
        NUSS
        OM
        N
        
        2
        
          2048-01-17
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        060505FL3
        
          
        
        4500000.00000000
        PA
        USD
        4544100.00000000
        0.371796644453
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Asset Backed Securities Trust
        N/A
        Mastr Asset Backed Securities Trust 2004-OPT1
        57643LCH7
        
          
        
        799332.97000000
        PA
        USD
        772902.39000000
        0.063238598422
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-02-25
          Floating
          1.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kingdom of Morocco
        529900F3MBW9XY5K1X07
        Morocco Government International Bond
        000000000
        
          
        
        800000.00000000
        PA
        USD
        784032.00000000
        0.064149219151
        Long
        DBT
        NUSS
        MA
        N
        
        2
        
          2042-12-11
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273RAR0
        
          
        
        300000.00000000
        PA
        USD
        344800.40000000
        0.028211445990
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-02-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128282U3
        
          
        
        7310000.00000000
        PA
        USD
        7208059.78000000
        0.589760885373
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-08-31
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORTUNE STAR BVI LTD
        2549008CU8NYQQRSNU62
        Fortune Star BVI Ltd
        000000000
        
          
        
        2000000.00000000
        PA
        USD
        1683200.00000000
        0.137718824837
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2027-01-27
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ziggo Financing Partnership
        N/A
        Ziggo Financing Partnership USD Term Loan I
        000000000
        
          
        
        1555228.00000000
        PA
        USD
        1528496.74000000
        0.125061059173
        Long
        LON
        CORP
        US
        
        N
        
        2
        
          2028-04-30
          Floating
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIDELITY NATL FINANCIAL
        549300CAZYIH39SYQ287
        Fidelity National Financial Inc
        31620RAJ4
        
          
        
        200000.00000000
        PA
        USD
        192599.64000000
        0.015758433985
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0JJ30 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0JJ30 CDS USD P V 03MEVENT 2 CCPCDX
        000000000
        
          
        
        200000.00000000
        OU
        Notional Amount
        USD
        3659.48000000
        0.000299417350
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.IG.S35
                2I65BYDX0
              
            
            Y
            
            sell protection
            2025-12-20
            3503.07000000
            USD
            0.00000000
            USD
            200000.00000000
            USD
            156.41000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        317U955I8 PIMCO
        000000000
        
          
        
        -6800000.00000000
        NC
        USD
        -130249.92000000
        -0.01065700208
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    6800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -130249.92000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-05-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  6800000.00000000
                  USD
                
              
            
            1.00000000
            2.04000000
            USD
            2022-05-23
            XXXX
            -74489.92000000
          
        
        
          N
          N
          N
        
      
      
        Republic of Sri Lanka
        254900HXCCIOHM74FA02
        Sri Lanka Government International Bond
        000000000
        
          
        
        500000.00000000
        PA
        USD
        237500.00000000
        0.019432165458
        Long
        DBT
        NUSS
        LK
        N
        
        2
        
          2029-03-14
          Fixed
          7.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTELSAT JACKSON HLDG
        8XJ8KF85PBKK1TLMFN29
        Intelsat Jackson Holdings SA
        45824TBC8
        
          
        
        703000.00000000
        PA
        USD
        701242.50000000
        0.057375411731
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2030-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RENAULT SA
        969500F7JLTX36OUI695
        Renault SA
        000000000
        
          
        
        4800000.00000000
        PA
        
        5002231.31000000
        0.409280785158
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-05-25
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABERTIS INFRAESTRUCTURAS
        549300GKFVWI02JQ5332
        Abertis Infraestructuras SA
        000000000
        
          
        
        500000.00000000
        PA
        
        540214.94000000
        0.044200194092
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2029-07-15
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QCC4
        
          
        
        2900000.00000000
        PA
        USD
        2357410.00000000
        0.192882447041
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2047-09-21
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TORO EUROPEAN CLO
        635400SBMZDOVHEFNA56
        Toro European CLO 6 DAC
        000000000
        
          
        
        500000.00000000
        PA
        
        545934.26000000
        0.044668146819
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2032-01-12
          Floating
          0.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certificates
        N/A
        CWABS Asset-Backed Certificates Trust 2005-4
        126673N99
        
          
        
        70.66000000
        PA
        USD
        70.82000000
        0.000005794467
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2035-10-25
          Variable
          4.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAQ8
        
          
        
        3600000.00000000
        PA
        USD
        3541960.76000000
        0.289801968564
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2024-02-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OMAN GOV INTERNTL BOND
        549300SZ20F0QTKNQC75
        Oman Government International Bond
        000000000
        
          
        
        500000.00000000
        PA
        USD
        489406.00000000
        0.040043024707
        Long
        DBT
        NUSS
        OM
        N
        
        2
        
          2047-03-08
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZF FINANCE GMBH
        5493001N9T6QDCCXB426
        ZF Finance GmbH
        000000000
        
          
        
        4300000.00000000
        PA
        
        4420182.42000000
        0.361657752168
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-05-25
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IVORY COAST
        254900ICW11T82O6H590
        Ivory Coast Government International Bond
        000000000
        
          
        
        100000.00000000
        PA
        
        100358.98000000
        0.008211336019
        Long
        DBT
        NUSS
        CI
        N
        
        2
        
          2040-10-17
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG
        000000000
        
          
        
        500000.00000000
        PA
        
        646545.50000000
        0.052900122661
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2024-12-16
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAD8
        
          
        
        400000.00000000
        PA
        USD
        433291.47000000
        0.035451753838
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          6.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEMAIN FINANCE CORP
        5493008I795YYBFWFU90
        OneMain Finance Corp
        85172FAP4
        
          
        
        2500000.00000000
        PA
        USD
        2562500.00000000
        0.209662837836
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          6.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors Trust
        9DJT3UXIJIZJI4WXO774
        Merrill Lynch Mortgage Investors Trust Series 2007-SD1
        590232AA2
        
          
        
        789682.33000000
        PA
        USD
        536026.26000000
        0.043857477785
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2047-02-25
          Floating
          0.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        13301.25000000
        0.001088303540
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            2188375.49000000
            USD
            1676000.00000000
            GBP
            2022-04-04
            13301.25000000
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2005-ALT1
        466247XG3
        
          
        
        7294.99000000
        PA
        USD
        6454.63000000
        0.000528115528
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Variable
          2.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FLEX LTD
        549300EAQH74YHD07T53
        Flex Ltd
        33938XAC9
        
          
        
        700000.00000000
        PA
        USD
        699914.47000000
        0.057266752789
        Long
        DBT
        CORP
        SG
        
        N
        
        2
        
          2026-02-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF SOUTH AFRICA
        378900AAFB4F17004C49
        Republic of South Africa Government International Bond
        836205BA1
        
          
        
        1200000.00000000
        PA
        USD
        1172347.20000000
        0.095921030587
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2029-09-30
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        7292.33000000
        0.000596655844
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            1075726.18000000
            USD
            979000.00000000
            EUR
            2022-04-04
            7292.33000000
          
        
        
          N
          N
          N
        
      
      
        ROLLS-ROYCE PLC
        X57JK1U580XATGR67572
        Rolls-Royce PLC
        77578JAC2
        
          
        
        200000.00000000
        PA
        USD
        205280.00000000
        0.016795936527
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-10-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAGUAR LAND ROVER AUTOMO
        529900L73GEWN1O5NH84
        Jaguar Land Rover Automotive PLC
        000000000
        
          
        
        200000.00000000
        PA
        
        199829.42000000
        0.016349972011
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-07-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Mortgage Loan Trust 2007-AHL1
        17311VAF6
        
          
        
        100000.00000000
        PA
        USD
        97973.69000000
        0.008016172440
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          0.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WYNN MACAU LTD
        254900NMDQ8ENTHU1I31
        Wynn Macau Ltd
        000000000
        
          
        
        500000.00000000
        PA
        USD
        455000.00000000
        0.037227938035
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: SWPC0IOW2 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IOW2 CDS EUR P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        600000.00000000
        OU
        Notional Amount
        
        40893.05000000
        0.003345854794
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                INTRUM AB
                INTRUM AB
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            33451.48000000
            EUR
            0.00000000
            EUR
            600000.00000000
            EUR
            5008.99000000
          
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AM8
        
          
        
        4900000.00000000
        PA
        USD
        5180762.50000000
        0.423888143573
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ace Securities Corp.
        N/A
        ACE Securities Corp Home Equity Loan Trust Series 2004-HE4
        004421JH7
        
          
        
        58871.58000000
        PA
        USD
        56854.09000000
        0.004651781405
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-12-25
          Floating
          1.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vodafone Group PLC
        213800TB53ELEUKM7Q61
        Vodafone Group PLC
        92857WBQ2
        
          
        
        1700000.00000000
        PA
        USD
        1877174.00000000
        0.153589708469
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2079-04-04
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEXAS ST PUBLIC FIN AUTH
        549300X9CH74QB747L76
        Texas Public Finance Authority
        8827562Q1
        
          
        
        100000.00000000
        PA
        USD
        100928.75000000
        0.008257954397
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-07-01
          Fixed
          8.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRITISH AIR 20-1 A PTT
        N/A
        British Airways 2020-1 Class A Pass Through Trust
        11044MAA4
        
          
        
        112988.39000000
        PA
        USD
        112873.53000000
        0.009235272045
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2032-11-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intelsat Jackson Holdings S.A.
        8XJ8KF85PBKK1TLMFN29
        Intelsat Jackson Holdings S.A. 2021 Exit Term Loan B
        000000000
        
          
        
        208097.98000000
        PA
        USD
        204543.04000000
        0.016735638722
        Long
        LON
        CORP
        LU
        N
        
        2
        
          2029-02-01
          Floating
          4.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MLCC Mortgage Investors Inc
        9DJT3UXIJIZJI4WXO774
        Merrill Lynch Mortgage Investors Trust Series MLCC 2006-1
        59020U4R3
        
          
        
        1206.23000000
        PA
        USD
        1171.87000000
        0.000095881986
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Variable
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        254067.25000000
        0.020787691955
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            6284600.39000000
            USD
            31381837.82000000
            BRL
            2022-05-03
            254067.25000000
          
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        000000000
        
          
        
        1800000.00000000
        PA
        
        2264075.10000000
        0.185245818747
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2029-10-01
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW YORK CITY NY TRANSITIONAL
        5493003476LG35QAKM08
        New York City Transitional Finance Authority Future Tax Secured Revenue
        64971M4P4
        
          
        
        300000.00000000
        PA
        USD
        358595.55000000
        0.029340160253
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2037-08-01
          Fixed
          5.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Securities Corporation
        N/A
        RASC Series 2007-KS3 Trust
        74924YAD5
        
          
        
        1599772.50000000
        PA
        USD
        1550367.53000000
        0.126850519426
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAH1
        
          
        
        500000.00000000
        PA
        USD
        439940.01000000
        0.035995735014
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2032-01-19
          Fixed
          4.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREEDOM MORTGAGE CORP
        549300LYRWPSYPK6S325
        Freedom Mortgage Corp
        35640YAG2
        
          
        
        500000.00000000
        PA
        USD
        463610.00000000
        0.037932405170
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORTRESS TRANS & INFRAST
        529900E7PUVK6BC8PE80
        Fortress Transportation and Infrastructure Investors LLC
        34960PAB7
        
          
        
        6300000.00000000
        PA
        USD
        6252750.00000000
        0.511597779231
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCR5
        
          
        
        1200000.00000000
        PA
        USD
        1240633.20000000
        0.101508166800
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-17
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG
        000000000
        
          
        
        6700000.00000000
        PA
        
        6934341.20000000
        0.567365328592
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2030-11-19
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley ABS Capital I Inc Trust 2006-HE7
        61750MAE5
        
          
        
        62718.72000000
        PA
        USD
        32476.07000000
        0.002657180487
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-09-25
          Floating
          0.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Certificates
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2006-AR12 Trust
        93363NAM7
        
          
        
        16455.68000000
        PA
        USD
        15797.85000000
        0.001292574463
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-25
          Variable
          3.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG
        ANGGYXNX0JLX3X63JN86
        Credit Suisse AG
        000000000
        
          
        
        1700000.00000000
        PA
        USD
        1742500.00000000
        0.142570729728
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-08-08
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CT4
        
          
        
        3300000.00000000
        PA
        USD
        2998510.22000000
        0.245337038831
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2032-05-24
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rio Oil Finance Trust
        549300V5D1W52HY8NO65
        Rio Oil Finance Trust Series 2014-1
        76716XAA0
        
          
        
        854739.17000000
        PA
        USD
        893202.43000000
        0.073081504872
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-07-06
          Fixed
          9.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Home Equity Loan Trust
        549300C5U61AIRK1S645
        Morgan Stanley Home Equity Loan Trust 2007-2
        61752UAC9
        
          
        
        3167675.46000000
        PA
        USD
        1976030.16000000
        0.161678084291
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VMED O2 UK FINAN
        213800MRR46ECNGZ7L69
        Vmed O2 UK Financing I PLC
        000000000
        
          
        
        2600000.00000000
        PA
        
        3122610.80000000
        0.255490904111
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-01-31
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NIELSEN FINANCE LLC/CO
        N/A
        Nielsen Finance LLC / Nielsen Finance Co
        65409QBH4
        
          
        
        600000.00000000
        PA
        USD
        598500.00000000
        0.048969056954
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1059.92000000
        -0.00008672227
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            5583445.97000000
            USD
            7457520.00000000
            AUD
            2022-05-03
            -1059.92000000
          
        
        
          N
          N
          N
        
      
      
        KAISA GROUP HOLDINGS LTD
        254900N8L3L7NRJT0120
        Kaisa Group Holdings Ltd
        000000000
        
          
        
        3500000.00000000
        PA
        USD
        622125.00000000
        0.050902046044
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-04-16
          None
          0.00000000
          Y
          Y
          N
        
        
          N
          N
          N
        
      
      
        Envision Healthcare Corporation
        549300OL60X0LPKY8N60
        Envision Healthcare Corporation 2018 1st Lien Term Loan
        29373UAC5
        
          
        
        483750.00000000
        PA
        USD
        322039.15000000
        0.026349128617
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-10-10
          Floating
          4.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        2187845.17000000
        0.179008713010
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            234100412.00000000
            EUR
            261382497.42000000
            USD
            2022-05-03
            2187845.17000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6610.79000000
        -0.00054089248
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            2247444.00000000
            USD
            32244079068.00000000
            IDR
            2022-05-20
            -6610.79000000
          
        
        
          N
          N
          N
        
      
      
        Citicorp Mortgage Securities,
        6SHGI4ZSSLCXXQSBB395
        Citicorp Mortgage Securities Trust Series 2007-8
        17312DAC2
        
          
        
        2081.32000000
        PA
        USD
        2078.12000000
        0.000170031038
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SA GLOBAL SUKUK LTD
        5493007DFAVKU7UOGR47
        SA Global Sukuk Ltd
        78397PAD3
        
          
        
        500000.00000000
        PA
        USD
        473081.00000000
        0.038707319019
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2031-06-17
          Fixed
          2.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Alt-A Securities INC
        5299003GGM6YEXXXJ012
        Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-6
        251510KH5
        
          
        
        332639.12000000
        PA
        USD
        319375.10000000
        0.026131156995
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Long Beach Mortgage Loan Trust
        N/A
        Long Beach Mortgage Loan Trust 2006-3
        542514UL6
        
          
        
        283868.91000000
        PA
        USD
        112129.81000000
        0.009174421139
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-05-25
          Floating
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2006-QA8 Trust
        74922QAA0
        
          
        
        15080.86000000
        PA
        USD
        15560.19000000
        0.001273129206
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-09-25
          Floating
          0.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vibrant CLO Ltd
        5493007DQ2IM8HOLV582
        Vibrant Clo VII Ltd
        92558BAJ7
        
          
        
        300000.00000000
        PA
        USD
        299102.35000000
        0.024472447806
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-09-15
          Floating
          1.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Certificates
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2002-AR19 Trust
        929227ZS8
        
          
        
        692.01000000
        PA
        USD
        715.85000000
        0.000058570592
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-02-25
          Variable
          2.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF QATAR
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        000000000
        
          
        
        2400000.00000000
        PA
        USD
        2697307.20000000
        0.220692714953
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2050-04-16
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAS LAFFAN LNG 3
        52990074F6OJOAXK4P65
        Ras Laffan Liquefied Natural Gas Co Ltd 3
        75405UAA4
        
          
        
        1996860.00000000
        PA
        USD
        2125278.07000000
        0.173889495160
        Long
        DBT
        CORP
        QA
        N
        
        2
        
          2027-09-30
          Fixed
          5.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CORESTATE CAPITAL HOLD
        529900GNB86RB7HRX793
        Corestate Capital Holding SA
        000000000
        
          
        
        5700000.00000000
        PA
        
        5378045.39000000
        0.440029759406
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2022-11-28
          Fixed
          1.38000000
          N
          N
          N
          N
          N
          
            
              Corestate Capital Holding SA
              Corestate Capital Holding SA
              EUR
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        TALLGRASS NRG PRTNR/FIN
        549300IQ3DN0F3VERF65
        Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
        87470LAD3
        
          
        
        8400000.00000000
        PA
        USD
        8127000.00000000
        0.664948247061
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        15841.62000000
        0.001296155709
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            448430.49000000
            USD
            9380000.00000000
            MXN
            2022-07-01
            15841.62000000
          
        
        
          N
          N
          N
        
      
      
        MITCHELLS & BUTLERS FINA
        213800E7QA1U8BF34219
        Mitchells & Butlers Finance PLC
        000000000
        
          
        
        185956.00000000
        PA
        USD
        171544.41000000
        0.014035702562
        Long
        SN
        CORP
        GB
        N
        
        2
        
          2030-12-15
          Floating
          1.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397ZT3
        
          
        
        100000.00000000
        PA
        
        108346.10000000
        0.008864839334
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-17
          Fixed
          2.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1001.82000000
        -0.00008196855
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            4196000.00000000
            EUR
            4640822.16000000
            USD
            2022-04-04
            -1001.82000000
          
        
        
          N
          N
          N
        
      
      
        ENRGY TRANS PT/REG FIN
        5493008K8W3OKZE54J59
        Energy Transfer LP / Regency Energy Finance Corp
        75886AAQ1
        
          
        
        1100000.00000000
        PA
        USD
        1108879.95000000
        0.090728162785
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Alt-A Trust
        8I5DZWZKVSZI1NUHU748
        Bear Stearns ALT-A Trust 2006-6
        073868AM3
        
          
        
        126809.04000000
        PA
        USD
        80125.23000000
        0.006555817796
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Variable
          3.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRAY OAK PIPELINE LLC
        N/A
        Gray Oak Pipeline LLC
        38937LAB7
        
          
        
        500000.00000000
        PA
        USD
        481572.43000000
        0.039402084799
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTESA SANPAOLO SPA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        46115HBJ5
        
          
        
        300000.00000000
        PA
        USD
        297031.90000000
        0.024303044324
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2024-09-23
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD INDUSTRIES INC
        54930064UHXCIUWVI755
        Standard Industries Inc/NJ
        000000000
        
          
        
        1300000.00000000
        PA
        
        1342800.03000000
        0.109867420463
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-21
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEMAIN FINANCE CORP
        5493008I795YYBFWFU90
        OneMain Finance Corp
        682691AB6
        
          
        
        1100000.00000000
        PA
        USD
        1017500.00000000
        0.083251487804
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TP ICAP LTD
        5493009UWRK48KKUD358
        TP ICAP Finance PLC
        000000000
        
          
        
        3700000.00000000
        PA
        
        4998882.08000000
        0.409006752352
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-01-26
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Setanta Aircraft Leasing Designated Activity Company
        N/A
        Setanta Aircraft Leasing Designated Activity Company Term Loan B
        000000000
        
          
        
        4000000.00000000
        PA
        USD
        3938572.00000000
        0.322252559041
        Long
        LON
        CORP
        IE
        N
        
        2
        
          2028-11-05
          Floating
          3.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUMEN TECHNOLOGIES INC
        8M3THTGWLTYZVE6BBY25
        Lumen Technologies Inc
        156700BC9
        
          
        
        100000.00000000
        PA
        USD
        93133.50000000
        0.007620149817
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRUST FIBRAUNO
        N/A
        Trust Fibra Uno
        898339AB2
        
          
        
        200000.00000000
        PA
        USD
        201758.00000000
        0.016507767740
        Long
        DBT
        
        MX
        N
        
        2
        
          2050-01-15
          Fixed
          6.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Turkey
        5493000PCHOG3B6S3Q85
        Turkey Government International Bond
        900123CP3
        
          
        
        4300000.00000000
        PA
        USD
        3773508.00000000
        0.308747081318
        Long
        DBT
        NUSS
        TR
        N
        
        2
        
          2028-02-17
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        706451BR1
        
          
        
        2000000.00000000
        PA
        USD
        1712000.00000000
        0.140075230585
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2038-06-15
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        000000000
        
          
        
        100000.00000000
        PA
        
        107992.77000000
        0.008835929999
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Floating
          0.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHWEST AIRLINES CO
        UDTZ87G0STFETI6HGH41
        Southwest Airlines Co
        844741BJ6
        
          
        
        1000000.00000000
        PA
        USD
        1050140.88000000
        0.085922152986
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-04
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAMP Trust
        N/A
        GSAMP Trust 2007-NC1
        3622MGAB4
        
          
        
        13067.84000000
        PA
        USD
        7787.96000000
        0.000637208114
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-12-25
          Floating
          0.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: SWPC0IM53 CDS EUR R F  5.00000 FIX CORPORATE / Short: SWPC0IM53 CDS EUR P V 03MEVENT FLO CORPORATE
        000000000
        
          
        
        600000.00000000
        OU
        Notional Amount
        
        40893.05000000
        0.003345854794
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                INTRUM AB
                INTRUM AB
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            29163.17000000
            EUR
            0.00000000
            EUR
            600000.00000000
            EUR
            10582.82000000
          
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2014-1 A PTT
        N/A
        United Airlines 2014-1 Class A Pass Through Trust
        90932PAA6
        
          
        
        642510.73000000
        PA
        USD
        644843.56000000
        0.052760870536
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-11
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RLV2
        
          
        
        6663000.00000000
        PA
        USD
        5843001.85000000
        0.478072331455
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2059-09-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796P29
        
          
        
        9700000.00000000
        PA
        USD
        9699505.20000000
        0.793610062767
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-04-14
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2019
        549300M6T6OW4AGYHK10
        Huarong Finance 2019 Co Ltd
        000000000
        
          
        
        1100000.00000000
        PA
        USD
        1064250.00000000
        0.087076556162
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2023-09-30
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CORESTATE CAPITAL HOLD
        529900GNB86RB7HRX793
        Corestate Capital Holding SA
        000000000
        
          
        
        700000.00000000
        PA
        
        542062.38000000
        0.044351350975
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2023-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2007-9T1
        02150JAU6
        
          
        
        219488.43000000
        PA
        USD
        135767.14000000
        0.011108419066
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-05-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEMAIN FINANCE CORP
        5493008I795YYBFWFU90
        OneMain Finance Corp
        85172FAN9
        
          
        
        1700000.00000000
        PA
        USD
        1817113.00000000
        0.148675538829
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          7.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -67.77000000
        -0.00000554491
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            20320.00000000
            USD
            129056.38000000
            CNY
            2022-05-20
            -67.77000000
          
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2006-OA4
        126694F29
        
          
        
        919247.55000000
        PA
        USD
        310996.89000000
        0.025445654835
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-04-25
          Floating
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0JIG2 CDS EUR R F  5.00000 1 CCPCORPORATE / Short: SWPC0JIG2 CDS EUR P V 03MEVENT 2 CCPCORPORATE
        000000000
        
          
        
        1500000.00000000
        OU
        Notional Amount
        
        -7788.08000000
        -0.00063721793
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CASINO GUICHARD PERRACHO
                CASINO GUICHARD PERRACHO
                
                  
                
              
            
            Y
            
            sell protection
            2022-06-20
            0.00000000
            EUR
            -14457.80000000
            EUR
            1500000.00000000
            EUR
            10220.04000000
          
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certificates
        N/A
        Countrywide Asset-Backed Certificates
        23245CAD2
        
          
        
        13614.29000000
        PA
        USD
        13372.63000000
        0.001094143826
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-07-25
          Floating
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STYROLUTION
        5299003M4PGUGL48LS74
        INEOS Styrolution Group GmbH
        000000000
        
          
        
        200000.00000000
        PA
        
        200636.09000000
        0.016415973464
        Long
        DBT
        CORP
        DE
        
        N
        
        2
        
          2027-01-16
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO BILBAO VIZCAYA ARG
        K8MS7FD7N5Z2WQ51AZ71
        Banco Bilbao Vizcaya Argentaria SA
        000000000
        
          
        
        1600000.00000000
        PA
        
        1827524.60000000
        0.149527412234
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2024-03-29
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANQUE OUEST AFRICAINE D
        529900LIZJABE4JJS826
        Banque Ouest Africaine de Developpement
        000000000
        
          
        
        500000.00000000
        PA
        
        510169.20000000
        0.041741862340
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2033-01-22
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GAZPROM PJSC (GAZ FN)
        213800UNP9N6BPNYMQ45
        Gazprom PJSC via Gaz Finance PLC
        000000000
        
          
        
        600000.00000000
        PA
        USD
        243000.00000000
        0.019882173500
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2031-07-14
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED GROUP BV
        213800PC85O8BJ7DU398
        United Group BV
        000000000
        
          
        
        1000000.00000000
        PA
        
        1033095.67000000
        0.084527519972
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2030-02-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Turkey
        5493000PCHOG3B6S3Q85
        Turkey Government International Bond
        900123CK4
        
          
        
        4000000.00000000
        PA
        USD
        3601440.00000000
        0.294668538808
        Long
        DBT
        NUSS
        TR
        N
        
        2
        
          2026-10-09
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTRAIS ELETRICAS BRASI
        254900I8KYDELP4B4Z08
        Centrais Eletricas Brasileiras SA
        15236FAB6
        
          
        
        300000.00000000
        PA
        USD
        280500.00000000
        0.022950410151
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2030-02-04
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PARK AEROSPACE HOLDINGS
        635400CPI3EOIFF6OC33
        Park Aerospace Holdings Ltd
        70014LAB6
        
          
        
        112000.00000000
        PA
        USD
        114630.56000000
        0.009379031614
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        000000000
        
          
        
        1200000.00000000
        PA
        
        1384303.42000000
        0.113263213059
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-04-02
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHENIERE CORP CHRISTI HD
        549300I7CIEWU1BBLQ53
        Cheniere Corpus Christi Holdings LLC
        16412XAG0
        
          
        
        100000.00000000
        PA
        USD
        106592.73000000
        0.008721379225
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-30
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SWPC0KC00 CDS USD R F  1.00000 1 CCPCDX / Short: SWPC0KC00 CDS USD P V 03MEVENT 2 CCPCDX
        000000000
        
          
        
        77700000.00000000
        OU
        Notional Amount
        USD
        -6403544.49000000
        -0.52393573072
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.EM.S36
                2I65BZEB4
              
            
            Y
            
            sell protection
            2026-12-20
            0.00000000
            USD
            -3276547.05000000
            USD
            77700000.00000000
            USD
            -3126997.44000000
          
        
        
          N
          N
          N
        
      
      
        ORGANON & CO/ORG
        N/A
        Organon & Co / Organon Foreign Debt Co-Issuer BV
        68622TAC5
        
          
        
        400000.00000000
        PA
        
        421013.88000000
        0.034447205794
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-30
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW YORK ST URBAN DEV CORP REV
        54930039Y2EMGXN6LM88
        New York State Urban Development Corp
        650035TD0
        
          
        
        100000.00000000
        PA
        USD
        114112.62000000
        0.009336653948
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2039-03-15
          Fixed
          5.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAG7
        
          
        
        200000.00000000
        PA
        USD
        192661.74000000
        0.015763514985
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-14
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Asset Backed Securities
        N/A
        Mastr Asset Backed Securities Trust 2004-WMC2
        57643LDJ2
        
          
        
        93286.18000000
        PA
        USD
        90393.78000000
        0.007395986902
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-04-25
          Floating
          1.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMER AIRLN 14-1 A PTT
        N/A
        American Airlines 2014-1 Class A Pass Through Trust
        02377AAA6
        
          
        
        187609.71000000
        PA
        USD
        181090.31000000
        0.014816744702
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBN4
        
          
        
        500000.00000000
        PA
        USD
        510625.00000000
        0.041779155734
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-12-15
          Fixed
          6.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETRORIO LUX TRAD SARL
        222100466T5WZDU1B498
        Petrorio Luxembourg Trading Sarl
        71677WAA0
        
          
        
        200000.00000000
        PA
        USD
        200044.00000000
        0.016367528871
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2026-06-09
          Fixed
          6.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMER AIRLINE 16-1 AA PTT
        N/A
        American Airlines 2016-1 Class AA Pass Through Trust
        02376UAA3
        
          
        
        811937.61000000
        PA
        USD
        771433.62000000
        0.063118424184
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTICE FRANCE SA
        5493001ZMCICV4N02J21
        Altice France SA/France
        000000000
        
          
        
        400000.00000000
        PA
        
        401015.54000000
        0.032810948734
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2029-10-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF TURKEY
        5493000PCHOG3B6S3Q85
        Turkey Government International Bond
        900123CW8
        
          
        
        400000.00000000
        PA
        USD
        388120.00000000
        0.031755840242
        Long
        DBT
        NUSS
        TR
        N
        
        2
        
          2024-11-14
          Fixed
          5.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -31373.00000000
        -0.00256692769
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            1603811.58000000
            USD
            1197000.00000000
            GBP
            2022-04-04
            -31373.00000000
          
        
        
          N
          N
          N
        
      
      
        SAUDI INTERNATIONAL BOND
        635400FMICXSM3SI3H65
        Saudi Government International Bond
        000000000
        
          
        
        300000.00000000
        PA
        USD
        302253.00000000
        0.024730232868
        Long
        DBT
        NUSS
        SA
        N
        
        2
        
          2025-10-22
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBH3
        
          
        
        700000.00000000
        PA
        USD
        624454.66000000
        0.051092657996
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONSTELLATION OIL SA
        5493005YJTU769NW5I10
        Constellation Oil Services Holding SA
        21038MAC7
        
          
        
        32273.00000000
        PA
        USD
        1936.38000000
        0.000158433922
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2024-11-09
          Fixed
          10.00000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        Saranac CLO LTD
        5493002U06KAOJIMH261
        Saranac Clo VI Ltd
        80317LAJ2
        
          
        
        2900000.00000000
        PA
        USD
        2886014.72000000
        0.236132697066
        Long
        ABS-CBDO
        CORP
        JE
        N
        
        2
        
          2031-08-13
          Floating
          1.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JP3
        
          
        
        1600000.00000000
        PA
        USD
        1540575.63000000
        0.126049349653
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KAISA GROUP HOLDINGS LTD
        254900N8L3L7NRJT0120
        Kaisa Group Holdings Ltd
        000000000
        
          
        
        400000.00000000
        PA
        USD
        76000.00000000
        0.006218292946
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-07-23
          None
          0.00000000
          Y
          Y
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BT0
        
          
        
        200000.00000000
        PA
        USD
        189981.89000000
        0.015544250612
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-01
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397XZ1
        
          
        
        500000.00000000
        PA
        USD
        499410.00000000
        0.040861548426
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-04
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR ACCEPTANCE
        7D6DIU2QXTUJRFNNJA49
        Nissan Motor Acceptance Co LLC
        654740BS7
        
          
        
        400000.00000000
        PA
        USD
        365922.86000000
        0.029939678148
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-09
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837AR4
        
          
        
        1800000.00000000
        PA
        USD
        1809900.00000000
        0.148085373736
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-11-16
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        317U025O1 PIMCO
        000000000
        
          
        
        -6900000.00000000
        NC
        USD
        -4527.09000000
        -0.00037040489
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    6900000.00000000
                    OU
                    Notional Amount
                    N/A
                    -4527.09000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-06-01
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  6900000.00000000
                  USD
                
              
            
            1.00000000
            1.30800000
            USD
            2022-06-01
            XXXX
            59021.91000000
          
        
        
          N
          N
          N
        
      
      
        SUNAC CHINA HOLDINGS LTD
        549300OLARYHDXP3WK18
        Sunac China Holdings Ltd
        000000000
        
          
        
        2800000.00000000
        PA
        USD
        1064000.00000000
        0.087056101251
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2022-06-14
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        71647NBJ7
        
          
        
        100000.00000000
        PA
        USD
        85810.00000000
        0.007020943654
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2051-06-10
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSR Mortgage Loan Trust
        784F5XWPLTWKTBV3E584
        GSR Mortgage Loan Trust 2006-2F
        362334BP8
        
          
        
        74173.15000000
        PA
        USD
        44884.86000000
        0.003672463267
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Adient US LLC
        213800SOTRCDGZUHL712
        Adient US LLC 2021 Term Loan B
        00687MAC5
        
          
        
        6649750.00000000
        PA
        USD
        6538918.62000000
        0.535011993853
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-04-10
          Floating
          3.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PAQ1
        
          
        
        200000.00000000
        PA
        USD
        201740.08000000
        0.016506301532
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-06
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BofA Securities, Inc.
        549300HN4UKV1E2R3U73
        Long: SWU018TU2 IRS CAD R F   .88000 SWU018TU2 CCPVANILLA / Short: SWU018TU2 IRS CAD P V 03MCDOR SWUV18TU4 CCPVANILLA
        000000000
        
          
        
        12600000.00000000
        OU
        Notional Amount
        
        -342304.96000000
        -0.02800726997
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              BofA Securities, Inc.
              549300HN4UKV1E2R3U73
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-03
            471.94000000
            CAD
            0.00000000
            CAD
            12600000.00000000
            CAD
            -342676.28000000
          
        
        
          N
          N
          N
        
      
      
        ANTARES HOLDINGS
        5493008EAIGV4283RM42
        Antares Holdings LP
        03666HAD3
        
          
        
        250000.00000000
        PA
        USD
        219722.07000000
        0.017977581553
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2027-01-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JU2
        
          
        
        100000.00000000
        PA
        USD
        86898.55000000
        0.007110008428
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RENAULT SA
        969500F7JLTX36OUI695
        Renault SA
        000000000
        
          
        
        900000.00000000
        PA
        
        923418.09000000
        0.075553739418
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-06-24
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING Groep NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        000000000
        
          
        
        900000.00000000
        PA
        USD
        927075.60000000
        0.075852995584
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2024-04-16
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        172694.09000000
        0.014129768970
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            6168486.07000000
            USD
            94864000.00000000
            ZAR
            2022-10-14
            172694.09000000
          
        
        
          N
          N
          N
        
      
      
        SITKA HOLDINGS L
        N/A
        Sitka Holdings LLC
        82987VAA4
        
          
        
        600000.00000000
        PA
        USD
        572253.23000000
        0.046821555575
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-07-06
          Floating
          5.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cairn CLO DAC
        549300VMYEUTDDTG7712
        Cairn CLO IV DAC
        000000000
        
          
        
        300000.00000000
        PA
        
        330032.89000000
        0.027003173579
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2031-04-30
          Floating
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CK3
        
          
        
        200000.00000000
        PA
        USD
        179729.00000000
        0.014705362802
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2032-05-28
          Fixed
          3.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OMAN GOV INTERNTL BOND
        549300SZ20F0QTKNQC75
        Oman Government International Bond
        000000000
        
          
        
        900000.00000000
        PA
        USD
        938061.00000000
        0.076751817101
        Long
        DBT
        NUSS
        OM
        N
        
        2
        
          2029-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        YANGO JUSTICE INTL
        3003007ELD2HAYCXPT77
        Yango Justice International Ltd
        000000000
        
          
        
        4200000.00000000
        PA
        USD
        294001.30000000
        0.024055081711
        Long
        DBT
        CORP
        HK
        
        N
        
        2
        
          2024-04-15
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        29135LAN0
        
          
        
        3700000.00000000
        PA
        USD
        2904944.00000000
        0.237681484017
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2070-09-02
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2005-J1
        12667F3U7
        
          
        
        102545.69000000
        PA
        USD
        100702.70000000
        0.008239459067
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-02-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        Long: SWPC0KQT2 CDS USD R F  1.00000 FIX SOVEREIGN / Short: SWPC0KQT2 CDS USD P V 03MEVENT FLO SOVEREIGN
        000000000
        
          
        
        500000.00000000
        OU
        Notional Amount
        USD
        -210.73000000
        -0.00001724185
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            
              
                United Mexican States
                United Mexican States
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            USD
            -1684.59000000
            USD
            500000.00000000
            USD
            1473.86000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273RAP4
        
          
        
        100000.00000000
        PA
        USD
        110993.37000000
        0.009081438023
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-06-01
          Fixed
          6.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certificates
        N/A
        CWABS Asset-Backed Certificates Trust 2004-9
        126673GS5
        
          
        
        95137.79000000
        PA
        USD
        94352.84000000
        0.007719915782
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-11-25
          Floating
          2.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        2200000.00000000
        PA
        
        2631467.27000000
        0.215305715317
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2028-06-14
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VMED O2 UK FINAN
        213800MRR46ECNGZ7L69
        Vmed O2 UK Financing I PLC
        000000000
        
          
        
        400000.00000000
        PA
        
        482240.77000000
        0.039456768139
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2031-07-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WP AP TELECOM HOLDINGS IV B V
        7245000O9YOLPPM9YB33
        WP AP TELECOM HOLDINGS IV B V
        000000000
        
          
        
        5800000.00000000
        PA
        
        6379586.15000000
        0.521975467875
        Long
        LON
        CORP
        NL
        N
        
        2
        
          2028-09-16
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        90372UAR5
        
          
        
        900000.00000000
        PA
        USD
        369000.00000000
        0.030191448648
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2029-05-21
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Capital Markets LP
        KD3XUN7C6T14HNAYLU02
        317U691I7 PIMCO
        000000000
        
          
        
        -7300000.00000000
        NC
        USD
        -195761.18000000
        -0.01601711006
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs Capital Markets LP
              KD3XUN7C6T14HNAYLU02
            
            Put
            Written
            
              
                
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                  
                  
                    Goldman Sachs Bank USA
                    KD3XUN7C6T14HNAYLU02
                    IRS Swap
                    N/A
                    
                      
                    
                    7300000.00000000
                    OU
                    Notional Amount
                    N/A
                    -195761.18000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-05-05
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7300000.00000000
                  USD
                
              
            
            1.00000000
            1.86750000
            USD
            2022-05-03
            XXXX
            -144478.68000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        25160PAE7
        
          
        
        400000.00000000
        PA
        USD
        414600.24000000
        0.033922444053
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2031-07-08
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
        
        1600000.00000000
        PA
        
        747824.84000000
        0.061186762208
        Long
        DBT
        NUSS
        UA
        N
        
        3
        
          2030-01-27
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SBERBANK (SB CAP SA)
        222100YFG9QVABDS2B03
        Sberbank of Russia Via SB Capital SA
        000000000
        
          
        
        4500000.00000000
        PA
        USD
        225000.00000000
        0.018409419907
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2023-05-23
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2006-OA4
        126694E95
        
          
        
        34688.59000000
        PA
        USD
        13008.19000000
        0.001064325475
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-04-25
          Floating
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273RAF6
        
          
        
        500000.00000000
        PA
        USD
        562622.56000000
        0.046033577584
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-10-15
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2004-28CB
        12667FYU3
        
          
        
        10979.69000000
        PA
        USD
        10867.09000000
        0.000889141435
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-01-25
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VBN9
        
          
        
        100000.00000000
        PA
        USD
        103276.55000000
        0.008450050558
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pertamina Persero PT
        254900NDAKGNZ2IBBL45
        Pertamina Persero PT
        69370PAC5
        
          
        
        3800000.00000000
        PA
        USD
        4513109.44000000
        0.369261007865
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2048-11-07
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAGUAR LAND ROVER AUTOMO
        529900L73GEWN1O5NH84
        Jaguar Land Rover Automotive PLC
        000000000
        
          
        
        2500000.00000000
        PA
        
        3248983.89000000
        0.265830705351
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-03-01
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397A52
        
          
        
        200000.00000000
        PA
        
        217195.32000000
        0.017770843768
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-19
          Fixed
          1.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BCAP LLC Trust
        213800LBQA1Y9L22JB70
        BCAP LLC 2009-RR5 Trust
        05531UAV2
        
          
        
        2122736.76000000
        PA
        USD
        1032839.65000000
        0.084506572506
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-26
          Variable
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IVORY COAST
        254900ICW11T82O6H590
        Ivory Coast Government International Bond
        000000000
        
          
        
        500000.00000000
        PA
        
        510047.51000000
        0.041731905708
        Long
        DBT
        NUSS
        CI
        N
        
        2
        
          2030-03-22
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nakilat Inc
        2549006RMTDJWLLWF072
        Nakilat Inc
        Y62014AA6
        
          
        
        947520.65000000
        PA
        USD
        1069750.81000000
        0.087526630478
        Long
        DBT
        CORP
        MH
        
        N
        
        2
        
          2033-12-31
          Fixed
          6.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ally Financial Inc
        549300JBN1OSM8YNAI90
        Ally Financial Inc
        36186CBY8
        
          
        
        1371000.00000000
        PA
        USD
        1719684.44000000
        0.140703968731
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-11-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freedom Mortgage Corp
        549300LYRWPSYPK6S325
        Freedom Mortgage Corp
        35640YAA5
        
          
        
        3690000.00000000
        PA
        USD
        3676162.50000000
        0.300782307160
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-15
          Fixed
          8.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONEMAIN FINANCE CORP
        5493008I795YYBFWFU90
        OneMain Finance Corp
        682691AA8
        
          
        
        700000.00000000
        PA
        USD
        617750.00000000
        0.050544085101
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley ABS Capital I Inc Trust 2005-NC1
        61744CMJ2
        
          
        
        784058.34000000
        PA
        USD
        774107.46000000
        0.063337196821
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-01-25
          Floating
          1.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTELSAT JACKSON HOLDINGS S A
        N/A
        INTELSAT JACKSON HOLDINGS S A
        000000000
        
          
        
        986.00000000
        NS
        USD
        4930.00000000
        0.000403370845
        N/A
        DE
        
        LU
        N
        
        3
        
          
            
              N/A
              N/A
            
            
              
                INTELSAT EMERGENCE SA
                INTELSAT EMERGENCE SA
                
                  
                
              
            
            2025-12-05
            
              
            
            XXXX
            4930.00000000
          
        
        
          N
          N
          N
        
      
      
        BCAP LLC Trust
        213800LBQA1Y9L22JB70
        BCAP LLC 2009-RR14 Trust
        05532LAD1
        
          
        
        18237.46000000
        PA
        USD
        16968.62000000
        0.001388366448
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-26
          Variable
          3.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TARGA RESOURCES PARTNERS
        N/A
        Targa Resources Partners LP / Targa Resources Partners Finance Corp
        87612BBQ4
        
          
        
        1200000.00000000
        PA
        USD
        1246248.00000000
        0.101967567737
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Regionalcare/Lifepoint
        N/A
        RegionalCare Hospital Partners Holdings Inc / LifePoint Health Inc
        53219LAR0
        
          
        
        500000.00000000
        PA
        USD
        523025.00000000
        0.042793719320
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-01
          Fixed
          9.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Turkey
        5493000PCHOG3B6S3Q85
        Turkey Government International Bond
        900123CQ1
        
          
        
        400000.00000000
        PA
        USD
        363712.00000000
        0.029758786370
        Long
        DBT
        NUSS
        TR
        N
        
        2
        
          2028-10-24
          Fixed
          6.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        YANGO JUSTICE INTL
        3003007ELD2HAYCXPT77
        Yango Justice International Ltd
        000000000
        
          
        
        600000.00000000
        PA
        USD
        42000.00000000
        0.003436425049
        Long
        DBT
        CORP
        HK
        
        N
        
        2
        
          2024-09-04
          Fixed
          7.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Electricite de France SA
        549300X3UK4GG3FNMO06
        Electricite de France SA
        268317AU8
        
          
        
        900000.00000000
        PA
        USD
        921419.09000000
        0.075390181949
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-09-21
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Cash Management Bill
        912796W39
        
          
        
        2500000.00000000
        PA
        USD
        2496834.45000000
        0.204290105910
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-06-28
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAGUAR LAND ROVER AUTOMO
        529900L73GEWN1O5NH84
        Jaguar Land Rover Automotive PLC
        000000000
        
          
        
        2300000.00000000
        PA
        
        2585084.43000000
        0.211510687859
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-11-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRCASTLE LTD
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAT8
        
          
        
        2400000.00000000
        PA
        USD
        2444941.78000000
        0.200044266122
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2025-08-11
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Panama
        549300SHS4T08CL0LP14
        Panama Government International Bond
        698299AT1
        
          
        
        100000.00000000
        PA
        USD
        138001.00000000
        0.011291192696
        Long
        DBT
        NUSS
        PA
        N
        
        2
        
          2034-04-28
          Fixed
          8.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Royal Bank of Canada
        ES7IP3U3RHIGC71XBU11
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -9049.21000000
        -0.00074040314
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Royal Bank of Canada
              ES7IP3U3RHIGC71XBU11
            
            8276000.00000000
            MXN
            401761.22000000
            USD
            2022-06-15
            -9049.21000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -12777.10000000
        -0.00104541777
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            1137000.00000000
            CAD
            896708.77000000
            USD
            2022-04-04
            -12777.10000000
          
        
        
          N
          N
          N
        
      
      
        First Horizon Mortgage Pass-Through Trust
        TF3RXI1ZB1TQ30H9JV10
        First Horizon Mortgage Pass-Through Trust 2007-2
        320520AE9
        
          
        
        166443.63000000
        PA
        USD
        93485.96000000
        0.007648987969
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-05-25
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        Y20721BM0
        
          
        
        1800000.00000000
        PA
        USD
        1990084.00000000
        0.162827964477
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2045-01-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958667AB3
        
          
        
        1200000.00000000
        PA
        USD
        1191882.00000000
        0.097519360970
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rio Oil Finance Trust
        549300V5D1W52HY8NO65
        Rio Oil Finance Trust Series 2014-1
        U76673AA7
        
          
        
        747896.77000000
        PA
        USD
        781552.12000000
        0.063946316252
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-07-06
          Fixed
          9.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF TURKEY
        5493000PCHOG3B6S3Q85
        Turkey Government International Bond
        900123DB3
        
          
        
        2200000.00000000
        PA
        USD
        2024000.00000000
        0.165602959524
        Long
        DBT
        NUSS
        TR
        N
        
        2
        
          2026-01-26
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cordatus CLO PLC
        6354003WWBLW5OLHF232
        CVC Cordatus Loan Fund XI DAC
        000000000
        
          
        
        800000.00000000
        PA
        
        873174.97000000
        0.071442865224
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2031-10-15
          Floating
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Atlantia SpA
        8156008DEC771409C487
        Atlantia SpA
        000000000
        
          
        
        400000.00000000
        PA
        
        420928.03000000
        0.034440181578
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2027-07-13
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAR4
        
          
        
        200000.00000000
        PA
        USD
        202367.81000000
        0.016557662178
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Industries Inc.
        54930064UHXCIUWVI755
        Standard Industries Inc. 2021 Term Loan B
        000000000
        
          
        
        1211725.00000000
        PA
        USD
        1203545.86000000
        0.098473693843
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-09-22
          Floating
          3.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308HS9
        
          
        
        200000.00000000
        PA
        USD
        191942.11000000
        0.015704635115
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCM Ltd Partnership
        549300HV40B88JRNJD93
        LCM XV LP
        50184NAR3
        
          
        
        1800000.00000000
        PA
        USD
        1777687.96000000
        0.145449796090
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-20
          Floating
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        29135LAJ9
        
          
        
        1500000.00000000
        PA
        USD
        1568313.00000000
        0.128318811393
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2050-04-16
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF VENEZUELA
        529900XM8PJTJK5OJI77
        Venezuela Government International Bond
        000000000
        
          
        
        200000.00000000
        PA
        USD
        16400.00000000
        0.001341842162
        Long
        DBT
        NUSS
        VE
        N
        
        2
        
          2024-10-13
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Bank USA
        KD3XUN7C6T14HNAYLU02
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        316469.76000000
        0.025893443110
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Goldman Sachs Bank USA
              KD3XUN7C6T14HNAYLU02
            
            6047212.92000000
            USD
            127560000.00000000
            MXN
            2022-05-18
            316469.76000000
          
        
        
          N
          N
          N
        
      
      
        Grifols, S.A.
        959800HSSNXWRKBK4N60
        Grifols, S.A. EUR 2019 Term Loan B
        39843PAH6
        
          
        
        1850815.17000000
        PA
        
        2005490.83000000
        0.164088545823
        Long
        LON
        CORP
        ES
        N
        
        2
        
          2027-11-15
          Floating
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Securities LLC
        ZBUT11V806EZRVTWT807
        JPM CHASE REVERSE REPO EUR
        000000000
        
          
        
        -209356.00000000
        PA
        
        -231600.02000000
        -0.01894943119
        Short
        RA
        CORP
        LU
        N
        
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          -1.25000000
          2024-01-17
          
            
              200000.00000000
              USD
              213084.05800000
              USD
              CDS
            
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        000000000
        
          
        
        200000.00000000
        PA
        
        220380.86000000
        0.018031483517
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-06
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS GROUP FUNDING SWITZE
        506700Q800G1L95S7805
        UBS Group AG
        90351DAB3
        
          
        
        700000.00000000
        PA
        USD
        713070.51000000
        0.058343175299
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-09-24
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UPC BROADBAND FINCO BV
        213800MNFBDEQRS6HZ22
        UPC Broadband Finco BV
        90320BAA7
        
          
        
        4800000.00000000
        PA
        USD
        4506576.00000000
        0.368726444130
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2031-07-15
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Alternative Loan Trust
        N/A
        Wells Fargo Alternative Loan 2007-PA4 Trust
        94984UAE6
        
          
        
        32689.41000000
        PA
        USD
        30095.75000000
        0.002462423551
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-07-25
          Variable
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
    
    
      2022-05-06
      NORTHWESTERN MUTUAL SERIES FUND INC
      Phillip Rinzel
      Phillip Rinzel
      Controller and Chief Accounting Officer
    
  
  XXXX



Multi-Sector Bond Portfolio

SCHEDULE OF INVESTMENTS

March 31, 2022 (unaudited)

 

Common Stocks (0.1%)    Shares/ Par +     

Value

$ (000’s)

 

Energy (0.1%)

     

Noble Corp. PLC *,d

     20,347        713  

Noble Finance Co. *,Æ

     2,440        86  

Valaris, Ltd. *

     1,429        74  
     

 

 

 

Total

        873  
     

 

 

 

Telecommunications (0.0%)

     

Intelsat Emergence SA *,Æ

     9,427        281  
     

 

 

 

Total

        281  
     

 

 

 

Total Common Stocks (Cost: $1,109)

        1,154  
     

 

 

 

Corporate Bonds (56.5%)

                 

Basic Materials (1.8%)

     

ALROSA Finance SA

     

3.100%, 6/25/27 144A

     8,500,000        2,125  

4.650%, 4/9/24 144A

     500,000        125  

Georgia-Pacific LLC
8.875%, 5/15/31

     200,000        279  

INEOS Finance PLC

     

2.875%, 5/1/26 144A EUR

     2,700,000        2,838  

2.875%, 5/1/26 EUR §,

     3,400,000        3,574  

INEOS Styrolution Group GmbH

     

2.250%, 1/16/27 144A EUR

     200,000        201  

2.250%, 1/16/27 EUR §,

     3,200,000        3,210  

MMK International Capital DAC
4.375%, 6/13/24 144A

     1,400,000        280  

Sasol Financing USA LLC
5.875%, 3/27/24

     500,000        507  

Syngenta Finance NV

     

4.441%, 4/24/23 144A

     200,000        203  

4.892%, 4/24/25 144A

     5,900,000        6,006  

5.182%, 4/24/28 144A

     2,800,000        2,891  
     

 

 

 

Total

        22,239  
     

 

 

 

Communications (6.6%)

     

Altice Financing SA

     

3.000%, 1/15/28 EUR §,

     200,000        195  

4.250%, 8/15/29 144A EUR

     2,300,000        2,266  

5.750%, 8/15/29 144A

     5,400,000        4,909  

Altice France Holding SA

     

6.000%, 2/15/28 144A

     1,700,000        1,466  

8.000%, 5/15/27 EUR §,

     1,000,000        1,142  

Altice France SA

     

4.000%, 7/15/29 144A EUR

     1,850,000        1,839  

4.000%, 7/15/29 EUR §,

     1,400,000        1,392  

4.250%, 10/15/29 144A EUR

     400,000        401  

5.500%, 10/15/29 144A

     800,000        718  

8.125%, 2/1/27 144A

     3,200,000        3,300  

AT&T, Inc.

     

3.100%, 2/1/43

     1,800,000        1,554  

3.500%, 9/15/53

     237,000        208  

3.650%, 9/15/59 b

     6,663,000        5,843  

3.800%, 12/1/57

     115,000        105  
Corporate Bonds (56.5%)    Shares/ Par +     

Value

$ (000’s)

 

Communications continued

     

CCO Holdings LLC / CCO Holdings Capital Corp.

     

4.250%, 2/1/31 144A

     2,500,000        2,269  

4.500%, 6/1/33 144A

     800,000        718  

Charter Communications Operating LLC / Charter Communications Operating Capital Corp.

     

4.200%, 3/15/28

     1,700,000        1,718  

4.800%, 3/1/50

     200,000        190  

5.125%, 7/1/49 b

     3,300,000        3,274  

5.375%, 4/1/38

     100,000        103  

CommScope, Inc.
4.750%, 9/1/29 144A

     5,700,000        5,250  

Connect Finco SARL / Connect US Finco LLC
6.750%, 10/1/26 144A

     1,800,000        1,831  

Deutsche Telekom International Finance
8.750%, 6/15/30

     475,000        637  

DISH DBS Corp.
5.750%, 12/1/28 144A

     5,200,000        4,920  

Iliad Holding SASU
6.500%, 10/15/26 144A

     2,700,000        2,707  

Intelsat Jackson Holdings SA
6.500%, 3/15/30 144A

     703,000        701  

Intelsat Jackson Holdings SA - Series A -
Contingent Value Rights *,Æ

     986        5  

Intelsat Jackson Holdings SA - Series B -
Contingent Value Rights *,Æ

     986        4  

Intelsat Jackson Holdings SA Escrow

     

5.500%, 8/1/23 *,Æ

     700,000         

8.500%, 10/15/24 *,Æ

     200,000         

9.750%, 7/15/25 *,Æ

     100,000         

Lumen Technologies, Inc.

     

4.000%, 2/15/27 144A

     100,000        93  

Prosus NV

     

2.778%, 1/19/34 144A EUR

     500,000        469  

3.257%, 1/19/27 144A

     500,000        457  

3.680%, 1/21/30 §

     1,700,000        1,489  

4.193%, 1/19/32 144A

     500,000        440  

Sprint Corp.

     

7.125%, 6/15/24

     100,000        107  

7.875%, 9/15/23 b

     6,400,000        6,800  

Sprint Spectrum Co. LLC / Sprint Spectrum
Co. II LLC / Sprint Spectrum Co. III LLC
5.152%, 3/20/28 144A

     1,300,000        1,369  

Summer (BC) Bidco B LLC
5.500%, 10/31/26 144A

     400,000        385  

Time Warner Cable LLC

     

5.875%, 11/15/40

     300,000        322  

6.750%, 6/15/39

     200,000        232  

United Group BV
5.250%, 2/1/30 144A EUR

     1,000,000        1,033  

UPC Broadband Finco BV
4.875%, 7/15/31 144A

     4,800,000        4,507  

Virgin Media Secured Finance PLC

     

4.125%, 8/15/30 GBP §,

     1,200,000        1,438  

4.250%, 1/15/30 GBP §,

     3,200,000        3,852  
 


Multi-Sector Bond Portfolio

 

Corporate Bonds (56.5%)    Shares/ Par +     

Value

$ (000’s)

 

Communications continued

     

VMED O2 UK Financing I PLC

     

3.250%, 1/31/31 EUR §,

     1,200,000        1,221  

4.000%, 1/31/29 144A GBP

     2,600,000        3,123  

4.000%, 1/31/29 GBP §,

     500,000        601  

4.500%, 7/15/31 144A GBP

     400,000        482  

4.750%, 7/15/31 144A

     1,100,000        1,037  

Vodafone Group PLC
7.000%, (USD 5 Year Swap Rate plus 4.873%), 4/4/79

     1,700,000        1,877  
     

 

 

 

Total

        80,999  
     

 

 

 

Consumer, Cyclical (8.8%)

     

Adient Global Holdings, Ltd.
3.500%, 8/15/24 EUR §,

     400,000        434  

Air Canada Pass-Through Trust, Series 2020-2, Class A
5.250%, 10/1/30 144A

     874,297        902  

Alaska Airlines Pass-Through Trust, Series 2020-1, Class A
4.800%, 2/15/29 144A

     176,484        181  

American Airlines Pass-Through Trust, Series 2014-1, Class A
3.700%, 4/1/28

     187,610        181  

American Airlines Pass-Through Trust, Series 2015-1, Class A
3.375%, 11/1/28

     338,186        325  

American Airlines Pass-Through Trust, Series 2016-1, Class AA
3.575%, 7/15/29

     811,938        771  

American Airlines Pass-Through Trust, Series 2017-2, Class AA
3.350%, 4/15/31

     162,114        155  

BMW Finance NV
2.250%, 8/12/22 144A

     400,000        401  

British Airways Pass-Through Trust, Series 2020-1, Class A

     

2.900%, 9/15/36 144A

     399,733        367  

4.250%, 5/15/34 144A

     112,988        113  

Caesars Entertainment, Inc.
5.750%, 7/1/25 144A

     7,300,000        7,450  

Delta Air Lines, Inc.
7.000%, 5/1/25 144A

     877,000        939  

Delta Air Lines, Inc./SkyMiles IP, Ltd.
4.500%, 10/20/25 144A

     300,000        302  

Ford Motor Co.
3.250%, 2/12/32

     400,000        357  

Ford Motor Credit Co. LLC

     

0.068%, (Euribor 3 Month ACT/360 plus 0.420%), 12/7/22 EUR 

     400,000        441  

0.172%, (Euribor 3 Month ACT/360 plus 0.700%), 12/1/24 EUR

     1,300,000        1,380  

0.207%, (Euribor 3 Month ACT/360 plus 0.730%), 11/15/23 EUR

     100,000        108  

1.741%, (ICE LIBOR USD 3 Month plus 1.235%), 2/15/23

     600,000        595  

1.744%, 7/19/24 EUR

     200,000        217  

2.330%, 11/25/25 EUR

     100,000        108  

2.386%, 2/17/26 EUR

     100,000        108  

2.700%, 8/10/26

     1,800,000        1,674  

2.748%, 6/14/24 GBP

     700,000        890  
Corporate Bonds (56.5%)    Shares/ Par +     

Value

$ (000’s)

 

Consumer, Cyclical continued

     

3.021%, 3/6/24 EUR

     900,000        1,006  

3.096%, 5/4/23

     500,000        499  

3.250%, 9/15/25 EUR

     300,000        336  

3.350%, 11/1/22

     1,400,000        1,403  

3.625%, 6/17/31

     2,900,000        2,620  

3.815%, 11/2/27

     300,000        284  

4.063%, 11/1/24 b

     3,200,000        3,190  

4.134%, 8/4/25

     200,000        200  

4.389%, 1/8/26

     800,000        798  

4.535%, 3/6/25 GBP

     100,000        131  

4.950%, 5/28/27

     600,000        610  

5.584%, 3/18/24

     600,000        617  

Fortune Star BVI, Ltd.
5.050%, 1/27/27 §

     2,000,000        1,683  

General Motors Financial Co., Inc.
5.100%, 1/17/24

     1,200,000        1,241  

IHO Verwaltungs GmbH

     

3.625%, 5/15/25 EUR §,

     800,000        874  

3.750%, 9/15/26 EUR §,

     5,100,000        5,472  

Jaguar Land Rover Automotive PLC

     

3.875%, 3/1/23 GBP §,

     2,500,000        3,249  

4.500%, 7/15/28 EUR §,

     200,000        200  

5.875%, 11/15/24 EUR §,

     2,300,000        2,585  

JetBlue Airways Corp.
4.000%, 5/15/34

     841,107        841  

John Lewis PLC
4.250%, 12/18/34 GBP §,

     1,000,000        1,190  

Las Vegas Sands Corp.

     

3.500%, 8/18/26

     100,000        94  

3.900%, 8/8/29

     100,000        92  

Marks & Spencer PLC

     

4.500%, 7/10/27 GBP §,

     300,000        386  

6.000%, 6/12/25 GBP §,

     1,000,000        1,369  

Mattel, Inc.
3.375%, 4/1/26 144A

     100,000        98  

Melco Resorts Finance, Ltd.

     

4.875%, 6/6/25 144A

     5,700,000        5,223  

5.375%, 12/4/29 144A

     700,000        593  

Mitchells & Butlers Finance PLC

     

1.188%, (SONIO plus 0.569%), 12/15/30 GBP §,

     1,022,758        1,256  

1.276%, (ICE LIBOR USD 3 Month plus 0.450%), 12/15/30 §

     185,956        172  

6.469%, 9/15/32 GBP §,

     200,000        281  

Nissan Motor Acceptance Corp.
2.000%, 3/9/26 144A

     400,000        366  

Nissan Motor Co., Ltd.

     

2.652%, 3/17/26 EUR §,

     100,000        111  

3.201%, 9/17/28 144A EUR

     500,000        556  

4.345%, 9/17/27 144A

     6,400,000        6,306  

4.810%, 9/17/30 144A

     500,000        496  

Pinnacle Bidco PLC

     

5.500%, 2/15/25 EUR §,

     100,000        111  

6.375%, 2/15/25 GBP §,

     400,000        524  

Renault SA

     

1.250%, 6/24/25 EUR §,

     900,000        923  

2.375%, 5/25/26 EUR §,

     4,800,000        5,002  

Royal Caribbean Cruises, Ltd.

     

9.125%, 6/15/23 144A

     1,100,000        1,145  
 


Multi-Sector Bond Portfolio

 

Corporate Bonds (56.5%)    Shares/ Par +     

Value

$ (000’s)

 

Consumer, Cyclical continued

     

Sands China, Ltd.

     

2.550%, 3/8/27 144A

     400,000        347  

3.250%, 8/8/31 144A

     1,100,000        897  

3.800%, 1/8/26

     1,700,000        1,609  

5.400%, 8/8/28 b

     3,200,000        3,137  

Southwest Airlines Co.
5.250%, 5/4/25

     1,000,000        1,050  

Toll Brothers Finance Corp.

     

4.350%, 2/15/28

     100,000        101  

4.875%, 3/15/27

     1,200,000        1,240  

Travis Perkins PLC
4.500%, 9/7/23 GBP §,

     1,900,000        2,521  

United Airlines Pass-Through Trust, Series 2014-1, Class A
4.000%, 10/11/27

     642,511        645  

United Airlines Pass-Through Trust, Series 2019-2, Class A
2.900%, 11/1/29

     93,008        84  

United Airlines Pass-Through Trust, Series 2020-1, Class A
5.875%, 4/15/29

     2,537,705        2,627  

US Airways Pass-Through Trust, Series 2012-1, Class A
5.900%, 4/1/26

     683,206        706  

Volkswagen Financial Services AG
0.875%, 4/12/23 EUR §,

     200,000        222  

Volkswagen International Finance NV
3.875%, (9 Year EUR Annual Swap Rateplus 3.958%), 6/17/29 EUR §,µ,

     2,100,000        2,285  

Volkswagen Leasing GmbH
2.625%, 1/15/24 EUR §,

     1,800,000        2,056  

Wynn Macau, Ltd.

     

4.875%, 10/1/24 144A

     4,100,000        3,841  

5.125%, 12/15/29 144A

     1,100,000        932  

5.500%, 1/15/26 144A

     200,000        182  

5.500%, 1/15/26 §

     500,000        455  

5.500%, 10/1/27 144A

     200,000        173  

5.500%, 10/1/27 §

     200,000        173  

5.625%, 8/26/28 144A

     300,000        261  

Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.
5.125%, 10/1/29 144A

     800,000        753  

ZF Europe Finance BV
2.000%, 2/23/26 EUR §,

     2,000,000        2,076  

ZF Finance GmbH

     

2.750%, 5/25/27 EUR §,

     4,300,000        4,420  

3.750%, 9/21/28 EUR §,

     2,000,000        2,099  
     

 

 

 

Total

        107,424  
     

 

 

 

Consumer, Non-cyclical (4.5%)

     

AA Bond Co., Ltd.

     

2.750%, 7/31/43 GBP §,

     100,000        130  

4.875%, 7/31/43 GBP §,

     1,200,000        1,604  

AbbVie, Inc.
1.500%, 11/15/23 EUR

     400,000        450  

Abertis Infraestructuras SA

     

1.625%, 7/15/29 EUR §,

     500,000        540  

1.875%, 3/26/32 EUR §,

     600,000        639  

3.000%, 3/27/31 EUR §,

     600,000        707  

3.375%, 11/27/26 GBP §,

     2,100,000        2,798  
Corporate Bonds (56.5%)    Shares/ Par +     

Value

$ (000’s)

 

Consumer, Non-cyclical continued

     

Albion Financing 1 SARL / Aggreko Holdings, Inc.

     

5.250%, 10/15/26 EUR §,

     1,600,000        1,741  

6.125%, 10/15/26 144A

     300,000        290  

Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas LuxCo 4 SARL 3.625%, 6/1/28 144A EUR

     1,400,000        1,413  

Atlantia SpA
1.625%, 2/3/25 EUR §,

     1,200,000        1,306  

1.875%, 7/13/27 EUR §,

     400,000        421  

1.875%, 2/12/28 EUR §,

     5,500,000        5,750  

Bacardi, Ltd.
4.700%, 5/15/28 144A

     2,900,000        3,017  

BAT Capital Corp.

     

3.222%, 8/15/24

     100,000        100  

3.557%, 8/15/27

     500,000        487  

Bausch Health Cos., Inc.
4.875%, (ICE LIBOR USD 3 Month plus 3.000%), 6/1/28 144A

     300,000        287  

Bellis Acquisition Co. PLC
3.250%, 2/16/26 GBP §,

     4,000,000        4,848  

Centene Corp.

     

4.250%, 12/15/27

     200,000        201  

4.625%, 12/15/29

     500,000        504  

Constellation Brands, Inc.
3.700%, 12/6/26

     200,000        202  

Coty, Inc.

     

4.000%, 4/15/23 EUR §,

     1,880,000        2,077  

5.000%, 4/15/26 144A

     2,900,000        2,824  

CVS Pass-Through Trust

     

4.704%, 1/10/36 144A

     370,852        388  

5.926%, 1/10/34 144A

     622,139        688  

7.507%, 1/10/32 144A

     62,887        73  

DaVita, Inc.
4.625%, 6/1/30 144A

     1,900,000        1,774  

HCA, Inc.
4.750%, 5/1/23

     2,655,000        2,721  

Imperial Brands Finance PLC
3.500%, 7/26/26 144A

     200,000        196  

Loxam SAS

     

2.875%, 4/15/26 EUR §,

     100,000        106  

3.250%, 1/14/25 EUR §,

     900,000        979  

Nexi SpA
2.125%, 4/30/29 EUR §,

     3,700,000        3,715  

Nielsen Finance LLC / Nielsen Finance Co.

     

4.500%, 7/15/29 144A

     600,000        599  

4.750%, 7/15/31 144A

     900,000        899  

Organon & Co. / Organon Foreign Debt Co- Issuer BV
2.875%, 4/30/28 EUR §,

     3,500,000        3,684  

Organon Finance 1 LLC

     

2.875%, 4/30/28 144A EUR

     400,000        421  

4.125%, 4/30/28 144A

     1,100,000        1,048  

Perrigo Finance Unlimited Co.
3.900%, 6/15/30

     200,000        188  

Q-Park Holding I BV

     

1.500%, 3/1/25 EUR §,

     1,200,000        1,244  

2.000%, 3/1/27 EUR §,

     2,000,000        2,016  
 


Multi-Sector Bond Portfolio

 

Corporate Bonds (56.5%)    Shares/ Par +     

Value

$ (000’s)

 

Consumer, Non-cyclical continued

     

RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc.
9.750%, 12/1/26 144A

     500,000        523  

Teva Pharmaceutical Finance Netherlands II BV
4.500%, 3/1/25 EUR

     800,000        890  
     

 

 

 

Total

        54,488  
     

 

 

 

Diversified (0.0%)

     

Stena International SA
6.125%, 2/1/25 144A

     400,000        400  
     

 

 

 

Total

        400  
     

 

 

 

Energy (8.3%)

     

Aker BP ASA
3.750%, 1/15/30 144A

     400,000        391  

Blue Racer Midstream LLC / Blue Racer Finance Corp.
6.625%, 7/15/26 144A

     100,000        102  

Boardwalk Pipelines LP
3.400%, 2/15/31

     200,000        189  

CGG SA

     

7.750%, 4/1/27 EUR §,

     200,000        223  

8.750%, 4/1/27 144A

     3,400,000        3,408  

Cheniere Corpus Christi Holdings LLC
5.125%, 6/30/27

     100,000        107  

Cheniere Energy Partners LP
4.000%, 3/1/31

     1,400,000        1,357  

Constellation Oil Services Holding SA
10.000%, 11/9/24 144A

     253,248        84  

Continental Resources, Inc.
4.375%, 1/15/28

     1,400,000        1,419  

El Paso Natural Gas Co. LLC
8.375%, 6/15/32

     200,000        260  

Energy Transfer LP

     

2.900%, 5/15/25

     100,000        98  

3.600%, 2/1/23

     100,000        101  

3.750%, 5/15/30

     200,000        197  

4.950%, 5/15/28

     1,200,000        1,243  

5.000%, 5/15/50

     200,000        202  

5.250%, 4/15/29

     100,000        107  

6.050%, 6/1/41

     100,000        111  

6.500%, 2/1/42

     300,000        345  

6.625%, 10/15/36

     500,000        563  

7.500%, 7/1/38

     1,700,000        2,095  

EQT Corp.
6.625%, 2/1/25 b

     5,500,000        5,809  

Gazprom PJSC via Gaz Finance PLC
3.500%, 7/14/31 §

     600,000        243  

Gray Oak Pipeline LLC
3.450%, 10/15/27 144A

     500,000        482  

Greenko Solar Mauritius, Ltd.
5.550%, 1/29/25 144A

     1,000,000        1,005  

Kinder Morgan Energy Partners LP
6.550%, 9/15/40

     2,382,000        2,848  

Kinder Morgan, Inc.
7.750%, 1/15/32

     1,216,000        1,567  

Midwest Connector Capital Co. LLC

     

3.625%, 4/1/22 144A

     300,000        300  

3.900%, 4/1/24 144A

     200,000        201  
Corporate Bonds (56.5%)    Shares/ Par +     

Value

$ (000’s)

 

Energy continued

     

MPLX LP
4.250%, 12/1/27

     100,000        103  

NGPL PipeCo LLC
7.768%, 12/15/37 144A

     3,900,000        4,895  

Noble Corp. PLC

     

11.000%, 2/15/28 144A

     32,532        36  

11.000%, 2/15/28

     45,537        51  

NuStar Logistics LP

     

5.625%, 4/28/27

     1,400,000        1,370  

6.000%, 6/1/26

     200,000        202  

Occidental Petroleum Corp.

     

3.200%, 8/15/26

     400,000        393  

3.400%, 4/15/26

     500,000        497  

5.500%, 12/1/25 b

     4,300,000        4,525  

5.875%, 9/1/25

     700,000        743  

Odebrecht Drilling Norbe VIII/IX, Ltd.
7.350%, 12/1/26 §,Þ

     1,689,812        938  

Odebrecht Oil & Gas Finance, Ltd.
0.000%, 5/5/22 §,µ

     782,000        6  

Ovintiv Exploration, Inc.
5.625%, 7/1/24

     2,100,000        2,208  

Patterson-UTI Energy, Inc.
5.150%, 11/15/29

     600,000        585  

Pertamina Persero PT
6.500%, 11/7/48 144A

     3,800,000        4,513  

Petrobras Global Finance BV

     

5.375%, 10/1/29 GBP

     1,800,000        2,264  

5.500%, 6/10/51

     100,000        86  

6.250%, 12/14/26 GBP

     200,000        271  

6.625%, 1/16/34 GBP

     300,000        394  

6.900%, 3/19/49

     300,000        298  

Petroleos de Venezuela SA

     

5.375%, 4/12/27 §,j

     6,500,000        431  

5.500%, 4/12/37 §,j

     4,300,000        263  

Petroleos Mexicanos

     

2.750%, 4/21/27 EUR §,

     1,100,000        1,076  

4.750%, 2/26/29 EUR §,

     3,500,000        3,582  

4.875%, 2/21/28 EUR §,

     600,000        631  

5.625%, 1/23/46

     378,000        285  

5.950%, 1/28/31 b

     4,300,000        3,969  

6.350%, 2/12/48

     100,000        79  

6.625%, 6/15/35 b

     4,200,000        3,764  

6.625%, 6/15/38

     2,000,000        1,712  

6.700%, 2/16/32 b

     4,536,000        4,309  

6.750%, 9/21/47

     2,900,000        2,357  

7.690%, 1/23/50

     1,880,000        1,643  

Petrorio Luxembourg SARL
6.125%, 6/9/26 144A

     200,000        200  

Plains All American Pipeline LP / PAA Finance Corp.

     

4.900%, 2/15/45

     1,100,000        1,055  

6.650%, 1/15/37

     277,000        314  

Ras Laffan Liquefied Natural Gas Co., Ltd. III
5.838%, 9/30/27 144A

     1,996,860        2,125  

Regency Energy Partners LP / Regency Energy Finance Corp.

     

4.500%, 11/1/23

     300,000        305  

5.000%, 10/1/22

     1,100,000        1,109  

Rio Oil Finance Trust, Series 2014-1
9.250%, 7/6/24 144A

     854,739        893  
 


Multi-Sector Bond Portfolio

 

Corporate Bonds (56.5%)    Shares/ Par +     

Value

$ (000’s)

 

Energy continued

     

9.250%, 7/6/24 §

     747,897        782  

Rio Oil Finance Trust, Series 2014-3
9.750%, 1/6/27 §

     342,443        377  

SA Global Sukuk, Ltd.
2.694%, 6/17/31 144A

     500,000        473  

Sabine Pass Liquefaction LLC

     

4.500%, 5/15/30

     700,000        732  

5.625%, 3/1/25 b

     4,900,000        5,181  

5.750%, 5/15/24

     800,000        837  

5.875%, 6/30/26

     400,000        432  

Santos Finance, Ltd.
3.649%, 4/29/31 144A

     700,000        654  

Southwestern Energy Co.
5.375%, 2/1/29

     100,000        101  

Tallgrass Energy Partners LP
5.500%, 1/15/28 144A

     8,400,000        8,127  

Targa Resources Partners LP / Targa Resources Partners Finance Corp.
5.500%, 3/1/30

     1,200,000        1,246  

Transocean Guardian, Ltd.
5.875%, 1/15/24 144A

     1,243,114        1,190  

Transocean Poseidon, Ltd.
6.875%, 2/1/27 144A

     187,500        186  

Valaris, Ltd.
8.250%, 4/30/28

     10,000        10  

Western Midstream Operating, LP
3.600%, 2/1/25

     1,200,000        1,192  
     

 

 

 

Total

        101,057  
     

 

 

 

Financial (21.4%)

     

ADLER Group SA

     

1.875%, 1/14/26 EUR §,

     1,100,000        1,008  

2.750%, 11/13/26 EUR §,

     1,400,000        1,292  

ADLER Real Estate AG
2.125%, 2/6/24 EUR §,

     4,900,000        4,960  

AerCap Ireland Capital DAC / AerCap Global Aviation Trust

     

3.150%, 2/15/24 b

     3,600,000        3,542  

3.650%, 7/21/27 b

     500,000        484  

4.450%, 4/3/26

     900,000        909  

4.625%, 10/15/27

     500,000        510  

4.875%, 1/16/24

     1,200,000        1,216  

Aircastle, Ltd.

     

2.850%, 1/26/28 144A

     600,000        539  

4.250%, 6/15/26

     300,000        295  

5.250%, 8/11/25 144A

     2,400,000        2,445  

Ally Financial, Inc.

     

3.050%, 6/5/23

     400,000        401  

8.000%, 11/1/31

     1,371,000        1,720  

Antares Holdings LP
2.750%, 1/15/27 144A

     250,000        220  

Athora Netherlands NV

     

2.375%, 5/17/24 EUR §,

     700,000        782  

7.000%, (5 Year EUR Annual Swap Rate plus 6.463%), 6/19/25 EUR §,µ,

     200,000        235  

Atrium European Real Estate, Ltd.
3.000%, 9/11/25 EUR §,

     3,439,000        3,729  

Aviation Capital Group LLC
5.500%, 12/15/24 144A

     1,000,000        1,029  
Corporate Bonds (56.5%)    Shares/ Par +     

Value

$ (000’s)

 

Financial continued

     

Avolon Holdings Funding, Ltd.
2.528%, 11/18/27 144A

     2,173,000        1,920  

Banca Monte dei Paschi di Siena SpA

     

1.875%, 1/9/26 EUR §,

     300,000        300  

2.625%, 4/28/25 EUR §,

     3,300,000        3,432  

3.625%, 9/24/24 EUR §,

     3,800,000        4,057  

5.375%, (5 Year EUR Annual Swap Rate plus 5.005%), 1/18/28 EUR §,

     7,100,000        5,132  

8.000%, (5 Year EUR Annual Swap Rate plus 8.149%), 1/22/30 EUR §,

     500,000        372  

8.500%, (5 Year EUR Annual Swap Rate plus 8.917%), 9/10/30 EUR §,

     800,000        613  

Banco Bilbao Vizcaya Argentaria SA
6.000%, (5 Year EUR Annual Swap Rate plus 6.039%), 3/29/24 EUR §,µ,

     1,600,000        1,828  

Banco Bradesco SA
2.850%, 1/27/23 144A

     600,000        602  

Banco BTG Pactual SA
4.500%, 1/10/25 144A

     500,000        496  

Banco de Sabadell SA

     

1.125%, (1 Year EUR Annual Swap Rate plus 1.550%), 3/11/27 EUR §,

     200,000        215  

1.750%, 5/10/24 EUR §,

     900,000        991  

Banco do Brasil SA
4.625%, 1/15/25 144A

     1,100,000        1,119  

Banco Votorantim SA
4.500%, 9/24/24 §

     200,000        203  

Bank of America Corp.

     

3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28

     973,000        963  

5.875%, (ICE LIBOR USD 3 Month plus 2.931%), 3/15/28 µ,b

     4,500,000        4,544  

Bank of Ireland Group PLC
7.500%, (5 Year EUR Annual Swap Rate plus 7.924%), 5/19/25 EUR §,µ,

     1,700,000        2,042  

Barclays Bank PLC
7.625%, 11/21/22

     488,000        500  

Barclays PLC

     

2.279%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.050%), 11/24/27

     2,100,000        1,950  

2.375%, (GBP Swap Semi-Annual 1 Year plus 1.597%), 10/6/23 GBP §,

     200,000        263  

3.375%, (1 Year EUR Annual Swap Rate plus 3.700%), 4/2/25 EUR §,

     1,200,000        1,384  

3.650%, 3/16/25 b

     3,100,000        3,106  

6.125%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus 5.867%), 12/15/25 µ

     500,000        511  

7.875%, (5 Year GBP Swap Rate plus 6.099%), 9/15/22 GBP §,µ,

     400,000        535  

BNP Paribas SA

     

1.904%, (US SOFR plus 1.609%), 9/30/28 144A

     1,700,000        1,522  

2.219%, (US SOFR plus 2.074%), 6/9/26 144A

     200,000        190  

4.705%, (ICE LIBOR USD 3 Month plus 2.235%), 1/10/25 144A

     5,800,000        5,922  

BPCE SA
2.375%, 1/14/25 144A

     200,000        193  
 


Multi-Sector Bond Portfolio

 

Corporate Bonds (56.5%)    Shares/ Par +     

Value

$ (000’s)

 

Financial continued

     

CaixaBank SA
6.750%, (5 Year EUR Annual Swap Rate
plus 6.498%), 6/13/24 EUR §,µ,

     200,000        233  

Cantor Fitzgerald LP

     

4.875%, 5/1/24 144A

     100,000        103  

6.500%, 6/17/22 144A

     200,000        202  

Chubb INA Holdings, Inc.
0.875%, 6/15/27 EUR

     200,000        213  

Citigroup, Inc.

     

1.250%, (Euribor 3 Month ACT/360 plus
1.660%), 7/6/26 EUR §,

     200,000        220  

3.400%, 5/1/26

     400,000        403  

Corestate Capital Holding SA
3.500%, 4/15/23 EUR §,

     700,000        542  

Country Garden Holdings Co., Ltd.

     

3.125%, 10/22/25 §

     4,600,000        3,392  

4.750%, 1/17/23 §

     1,200,000        1,104  

6.500%, 4/8/24 §

     600,000        492  

CPI Property Group SA
1.625%, 4/23/27 EUR §,

     700,000        712  

Credit Agricole SA

     

1.907%, (SOFR Index plus 1.676%), 6/16/26
144A

     500,000        472  

Credit Suisse AG

     

6.500%, 8/8/23 144A

     7,400,000        7,585  

6.500%, 8/8/23 §

     1,700,000        1,742  

DAE Sukuk (DIFC), Ltd.
3.750%, 2/15/26 144A

     1,000,000        974  

Deutsche Bank AG

     

1375%, (Euribor 3 Month ACT/360 plus
1.500%), 2/17/32 EUR §,

     2,500,000        2,472  

1.625%, 1/20/27 EUR §,

     100,000        108  

1.750%, (Euribor 3 Month ACT/360 plus
2.050%), 11/19/30 EUR §,

     6,700,000        6,934  

2.625%, 12/16/24 GBP §,

     500,000        647  

3.035%, (US SOFR plus 1.718%), 5/28/32

     200,000        180  

3.547%, (US SOFR plus 3.043%), 9/18/31

     1,300,000        1,226  

3.729%, (US SOFR plus 2.757%), 1/14/32

     1,500,000        1,338  

3.742%, (US SOFR plus 2.257%), 1/7/33

     300,000        265  

5.625%, (5 Year EUR Annual Swap Rate
plus 6.000%), 5/19/31 EUR §,

     4,500,000        5,362  

5.882%, (US SOFR plus 5.438%), 7/8/31

     400,000        415  

Fairfax Financial Holdings, Ltd.

     

2.750%, 3/29/28 144A EUR

     500,000        556  

2.750%, 3/29/28 EUR §,

     1,200,000        1,334  

Fidelity National Financial, Inc.
3.400%, 6/15/30

     200,000        193  

Freedom Mortgage Corp.

     

6.625%, 1/15/27 144A

     500,000        464  

7.625%, 5/1/26 144A

     2,100,000        2,005  

8.125%, 11/15/24 144A

     3,690,000        3,676  

8.250%, 4/15/25 144A

     782,000        780  

Globalworth Real Estate Investments, Ltd.
3.000%, 3/29/25 EUR §,

     3,900,000        4,372  

GLP Capital LP / GLP Financing II, Inc.

     

3.350%, 9/1/24

     100,000        99  

5.750%, 6/1/28

     400,000        431  

The Goldman Sachs Group, Inc.
0.002%, (Euribor 3 Month ACT/360 plus
0.550%), 4/21/23 EUR §,

     900,000        996  
Corporate Bonds (56.5%)    Shares/ Par +     

Value

$ (000’s)

 

Financial continued

     

0.030%, (Euribor 3 Month ACT/360 plus
0.620%), 9/26/23 EUR §,

     300,000        332  

2.125%, 9/30/24 EUR §,

     1,200,000        1,363  

3.375%, 3/27/25 EUR §,

     200,000        234  

Growthpoint Properties International Pty, Ltd.

     

5.872%, 5/2/23 144A

     300,000        303  

5.872%, 5/2/23 §

     5,800,000        5,863  

HSBC Holdings PLC

     

1.645%, (US SOFR plus 1.538%), 4/18/26

     200,000        188  

2.099%, (US SOFR plus 1.929%), 6/4/26

     200,000        190  

2.804%, (US SOFR plus 1.187%), 5/24/32 b

     3,300,000        2,999  

3.900%, 5/25/26

     2,600,000        2,625  

3.973%, (ICE LIBOR USD 3 Month plus
1.610%), 5/22/30 b

     4,900,000        4,902  

4.000%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year plus
3.222%), 3/9/26 µ

     200,000        190  

4.300%, 3/8/26 b

     3,000,000        3,078  

Huarong Finance 2019 Co., Ltd.

     

1.613%, (ICE LIBOR USD 3 Month plus
1.125%), 2/24/23 §

     3,800,000        3,724  

2.125%, 9/30/23 §

     1,100,000        1,064  

2.500%, 2/24/23 §

     800,000        789  

Huarong Finance II Co., Ltd.
5.000%, 11/19/25 §

     400,000        399  

ING Groep NV

     

5.750%, (US Treasury Yield Curve Rate
T Note Constant Maturity 5 Year plus
4.342%), 11/16/26 µ

     1,800,000        1,810  

6.750%, (5 Year ICE Swap Rate plus
4.204%), 4/16/24 §,µ

     900,000        927  

6.875%, (5 Year ICE Swap Rate plus
5.124%), 4/16/22 §,µ

     200,000        200  

International Lease Finance Corp.
5.875%, 8/15/22

     400,000        405  

Intesa Sanpaolo SpA

     

3.250%, 9/23/24 144A

     300,000        297  

4.000%, 9/23/29 144A

     200,000        194  

5.017%, 6/26/24 144A

     2,700,000        2,721  

5.500%, (5 Year EUR Annual Swap Rate
plus 5.848%), 3/1/28 EUR §,µ,

     4,050,000        4,435  

5.875%, (5 Year EUR Annual Swap Rate
plus 6.086%), 9/1/31 EUR §,µ,

     900,000        985  

Itau Unibanco Holding SA
2.900%, 1/24/23 144A

     200,000        201  

Jefferies Finance LLC / JFIN Co-Issuer Corp.
5.000%, 8/15/28 144A

     1,500,000        1,436  

Kaisa Group Holdings, Ltd.

     

9.375%, 6/30/24 §,j

     400,000        76  

9.750%, 9/28/23 §,j

     600,000        108  

10.500%, 1/15/25 §,j

     1,100,000        197  

10.875%, 7/23/23 §,j

     400,000        76  

11.250%, 4/16/25 §,j

     3,500,000        622  

11.650%, 6/1/26 §,j

     1,000,000        190  

Kennedy Wilson, Inc.
4.750%, 2/1/30

     1,800,000        1,712  

LeasePlan Corp. NV
2.875%, 10/24/24 144A

     300,000        293  

Liberty Mutual Finance Europe DAC
1.750%, 3/27/24 EUR §,

     100,000        112  
 


Multi-Sector Bond Portfolio

 

Corporate Bonds (56.5%)    Shares/ Par +     

Value

$ (000’s)

 

Financial continued

     

Lincoln Financing SARL
3.625%, 4/1/24 EUR §,

     6,000,000        6,621  

Lloyds Banking Group PLC

     

1.875%, (1 Year UK Gilts plus
1.300%), 1/15/26 GBP §,

     500,000        637  

2.250%, 10/16/24 GBP §,

     1,400,000        1,809  

3.511%, (US Treasury Yield Curve Rate
T Note Constant Maturity 1 Year plus
1.600%), 3/18/26

     200,000        199  

4.450%, 5/8/25 b

     2,800,000        2,869  

Logicor Financing SARL
3.250%, 11/13/28 EUR §,

     600,000        685  

Marsh & McLennan Cos., Inc.
1.349%, 9/21/26 EUR

     100,000        110  

Morgan Stanley
4.000%, 7/23/25 b

     3,600,000        3,685  

Nationwide Building Society
4.363%, (ICE LIBOR USD 3 Month plus 1.392%), 8/1/24 144A

     4,500,000        4,569  

NatWest Group PLC

     

2.500%, 3/22/23 EUR §,

     100,000        113  

4.519%, (ICE LIBOR USD 3 Month plus
1.550%), 6/25/24

     200,000        203  

4.800%, 4/5/26 b

     2,800,000        2,895  

4.892%, (ICE LIBOR USD 3 Month plus
1.754%), 5/18/29 b

     3,700,000        3,846  

6.000%, (US Treasury Yield Curve Rate
T Note Constant Maturity 5 Year plus
5.625%), 12/29/25 µ

     500,000        511  

New Metro Global, Ltd.
4.500%, 5/2/26 §

     1,700,000        1,020  

NN Group NV
4.500%, (Euribor 3 Month ACT/360 plus
4.000%), 1/15/26 EUR §,µ,

     2,600,000        3,067  

OMEGA Healthcare Investors,Inc.

     

4.500%, 1/15/25

     100,000        102  

4.950%, 4/1/24

     100,000        102  

OneMain Finance Corp.

     

3.500%, 1/15/27

     1,100,000        1,017  

4.000%, 9/15/30

     700,000        618  

6.125%, 3/15/24

     2,500,000        2,562  

6.875%, 3/15/25

     1,900,000        1,998  

7.125%, 3/15/26

     1,700,000        1,817  

Pacific Life Global Funding II
1.200%, 6/24/25 144A

     200,000        187  

Park Aerospace Holdings, Ltd.

     

4.500%, 3/15/23 144A

     3,900,000        3,928  

5.500%, 2/15/24 144A

     112,000        115  

RLJ Lodging Trust LP
3.750%, 7/1/26 144A

     200,000        190  

Santander UK Group Holdings PLC

     

0.262%, (Euribor 3 Month ACT/360 plus 0.850%), 3/27/24 EUR §,

     400,000        444  

2.896%, (US SOFR plus 1.475%), 3/15/32

     800,000        724  

3.823%, (ICE LIBOR USD 3 Month plus 1.400%), 11/3/28 b

     4,000,000        3,933  

6.750%, (GBP Swap Semi-Annual 5 Year plus 6.069%), 6/24/24 GBP §,µ,

     1,390,000        1,882  

Sberbank of Russia Via SB Capital SA
5.250%, 5/23/23 §

     4,500,000        225  
Corporate Bonds (56.5%)    Shares/ Par +     

Value

$ (000’s)

 

Financial continued

     

Seazen Group, Ltd.
6.000%, 8/12/24 §

     200,000        126  

Service Properties Trust

     

4.350%, 10/1/24

     200,000        192  

4.750%, 10/1/26 b

     4,900,000        4,483  

Sitka Holdings LLC
5.250%, (ICE LIBOR USD 3 Month plus 4.500%), 7/6/26 144A

     600,000        572  

Societe Generale SA

     

7.375%, (USD 5 Year Swap Rate plus 4.302%), 10/4/23 144A µ

     300,000        306  

7.875%, (USD 5 Year Swap Rate plus 4.979%), 12/18/23 144A µ

     200,000        209  

Standard Chartered PLC
7.500%, (USD 5 Year Swap Rate plus 6.301%), 4/2/22 144A µ

     200,000        200  

Sunac China Holdings, Ltd.

     

5.950%, 4/26/24 §

     2,000,000        498  

6.650%, 8/3/24 §

     600,000        153  

7.250%, 6/14/22 §

     2,800,000        1,064  

8.350%, 4/19/23 §

     1,600,000        465  

Tesco Property Finance 3 PLC
5.744%, 4/13/40 GBP §,

     93,531        145  

Tesco Property Finance 6 PLC
5.411%, 7/13/44 GBP §,

     2,590,000        3,917  

TP ICAP PLC
5.250%, 1/26/24 GBP §,

     3,700,000        4,999  

Trust Fibra Uno
6.390%, 1/15/50 144A

     200,000        202  

UBS AG
7.625%, 8/17/22

     2,400,000        2,436  

UBS Group Funding AG
4.125%, 9/24/25 144A

     700,000        713  

UniCredit SpA

     

2.200%, (Euribor 3 Month ACT/360 plus 2.550%), 7/22/27 EUR §,

     300,000        329  

2.569%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus
2.300%), 9/22/26 144A

     2,900,000        2,679  

7.296%, (USD 5 Year Swap Rate plus 4.914%), 4/2/34 144A

     5,700,000        6,037  

7.830%, 12/4/23 144A

     5,650,000        5,997  

The Unique Pub Finance Co. PLC
7.395%, 3/28/24 GBP §,

     276,160        377  

Virgin Money UK PLC

     

3.125%, (6 Month GBP-LIBOR plus 2.569%), 6/22/25 GBP §,

     100,000        131  

3.375%, (1 Year GBP Swap Rate plus 2.145%), 4/24/26 GBP §,

     100,000        131  

4.000%, (1 Year UK Gilts plus 2.800%), 9/25/26 GBP §,

     500,000        667  

4.000%, (1 Year UK Gilts plus 3.750%), 9/3/27 GBP §,

     200,000        268  

Vonovia Finance BV
5.000%, 10/2/23 144A

     300,000        306  

Wells Fargo & Co.
1.000%, 2/2/27 EUR §,

     1,500,000        1,613  

Weyerhaeuser Co.
7.375%, 3/15/32

     424,000        541  

Yango Justice International, Ltd.
7.500%, 4/15/24 §,j

     4,200,000        294  
 


Multi-Sector Bond Portfolio

 

Corporate Bonds (56.5%)    Shares/ Par +     

Value

$ (000’s)

 

Financial continued

     

7.875%, 9/4/24 §,j

     600,000        42  

Yanlord Land HK Co., Ltd.
5.125%, 5/20/26 §

     1,900,000        1,681  
     

 

 

 

Total

        262,159  
     

 

 

 

Industrial (2.6%)

     

Berry Global, Inc.
1.570%, 1/15/26

     100,000        93  

Bombardier, Inc.
7.500%, 12/1/24 144A

     160,000        165  

DAE Funding LLC

     

1.550%, 8/1/24 144A

     1,700,000        1,606  

1.625%, 2/15/24 144A

     1,000,000        952  

2.625%, 3/20/25 144A

     500,000        474  

3.375%, 3/20/28 144A

     700,000        655  

3.375%, 3/20/28 §

     200,000        187  

Empresa de Transporte de Pasajeros Metro SA
4.700%, 5/7/50 §

     1,400,000        1,413  

Flex, Ltd.
3.750%, 2/1/26

     700,000        700  

Fortress Transportation & Infrastructure

     

5.500%, 5/1/28 144A

     400,000        364  

6.500%, 10/1/25 144A

     6,300,000        6,253  

GE Capital UK Funding Unlimited Co.
5.875%, 1/18/33 GBP

     800,000        1,276  

General Electric Co.
4.125%, 9/19/35 EUR §,

     500,000        654  

Lima Metro Line 2 Finance, Ltd.
5.875%, 7/5/34 144A

     296,205        317  

The Manitowoc Co., Inc.
9.000%, 4/1/26 144A

     6,200,000        6,465  

Rolls-Royce PLC

     

0.875%, 5/9/24 EUR §,

     5,300,000        5,734  

4.625%, 2/16/26 EUR §,

     1,600,000        1,859  

5.750%, 10/15/27 144A

     200,000        205  

5.750%, 10/15/27 GBP §,

     100,000        137  

SMBC Aviation Capital Finance DAC
2.300%, 6/15/28 144A

     200,000        177  

Standard Industries, Inc.

     

2.250%, 11/21/26 144A EUR

     1,300,000        1,343  

2.250%, 11/21/26 EUR §,

     1,300,000        1,343  
     

 

 

 

Total

        32,372  
     

 

 

 

Technology (1.0%)

     

Broadcom, Inc.
2.450%, 2/15/31 144A

     700,000        624  

Dell International LLC / EMC Corp.

     

5.300%, 10/1/29 b

     4,300,000        4,684  

5.450%, 6/15/23

     293,000        302  

6.020%, 6/15/26

     400,000        433  

8.100%, 7/15/36

     162,000        213  

Lenovo Group, Ltd.
3.421%, 11/3/30 144A

     400,000        370  

NXP BV / NXP Funding LLC

     

4.875%, 3/1/24 144A

     1,700,000        1,747  

5.350%, 3/1/26 144A

     1,600,000        1,684  

VMware, Inc.

     

4.500%, 5/15/25

     300,000        309  

4.650%, 5/15/27

     1,400,000        1,467  
Corporate Bonds (56.5%)    Shares/ Par +     

Value

$ (000’s)

 

Technology continued

     

4.700%, 5/15/30

     100,000        106  
     

 

 

 

Total

        11,939  
     

 

 

 

Utilities (1.5%)

     

Adani Electricity Mumbai, Ltd.
3.949%, 2/12/30 144A

     300,000        271  

Centrais Eletricas Brasileiras SA
4.625%, 2/4/30 144A

     300,000        280  

Edison International
5.750%, 6/15/27

     100,000        107  

Electricite de France SA
4.500%, 9/21/28 144A

     900,000        921  

FEL Energy VI SARL
5.750%, 12/1/40 §

     3,183,882        2,858  

FirstEnergy Corp.
7.375%, 11/15/31

     400,000        493  

Nakilat, Inc.

     

6.067%, 12/31/33 §

     947,521        1,070  

6.267%, 12/31/33 144A

     478,100        574  

National Fuel Gas Co.
5.200%, 7/15/25

     300,000        312  

Pacific Gas & Electric Co.

     

1.367%, 3/10/23

     1,600,000        1,572  

2.100%, 8/1/27

     100,000        90  

2.500%, 2/1/31

     100,000        86  

2.950%, 3/1/26

     100,000        95  

3.150%, 1/1/26

     1,600,000        1,541  

3.250%, 6/15/23

     100,000        100  

3.300%, 3/15/27

     200,000        192  

3.300%, 12/1/27

     500,000        472  

3.300%, 8/1/40

     2,700,000        2,210  

3.450%, 7/1/25

     300,000        293  

3.500%, 6/15/25

     1,500,000        1,464  

3.750%, 7/1/28

     100,000        96  

4.200%, 6/1/41

     100,000        87  

4.250%, 8/1/23

     200,000        202  

4.250%, 3/15/46

     100,000        86  

4.450%, 4/15/42

     300,000        266  

4.550%, 7/1/30

     500,000        496  

Perusahaan Listrik Negara PT
3.000%, 6/30/30 144A

     1,500,000        1,366  

Puget Energy, Inc.
5.625%, 7/15/22

     200,000        200  
     

 

 

 

Total

        17,800  
     

 

 

 

Total Corporate Bonds (Cost: $758,156)

 

     690,877  
     

 

 

 

Convertible Corporate Bonds (0.4%)

 

Financial (0.4%)

     

Corestate Capital Holding SA
1.375%, 11/28/22 EUR §,

     5,700,000        5,378  
     

 

 

 

Total

        5,378  
     

 

 

 

Total Convertible Corporate Bonds (Cost: $6,303)

 

     5,378  
     

 

 

 
 


Multi-Sector Bond Portfolio

 

Governments (16.0%)    Shares/ Par +     

Value

$ (000’s)

 

Governments (16.0%)

     

Abu Dhabi Government International Bond

     

2.700%, 9/2/70 144A

     3,700,000        2,905  

2.700%, 9/2/70 §

     900,000        707  

3.875%, 4/16/50 144A

     1,500,000        1,568  

Albania Government International Bond
3.500%, 6/16/27 144A EUR

     1,400,000        1,500  

Arab Republic of Egypt

     

4.750%, 4/11/25 EUR §,

     600,000        632  

5.625%, 4/16/30 144A EUR

     1,550,000        1,439  

7.500%, 2/16/61 144A

     1,900,000        1,506  

Argentine Republic Government International Bond

     

0.500%, 7/9/30 Σ

     866,857        290  

1.000%, 7/9/29

     405,455        138  

1.125%, 7/9/35 Σ

     5,922,164        1,803  

2.500%, 7/9/41 Σ,b

     13,420,196        4,731  

Australian Government
4.250%, 4/21/26 AUD §,

     2,400,000        1,915  

Banque Centrale de Tunisie International Bond
5.625%, 2/17/24 EUR §,

     300,000        225  

Banque Ouest Africaine de Developpement
2.750%, 1/22/33 144A EUR

     500,000        510  

Brazilian Government International Bond
5.000%, 1/27/45

     1,000,000        889  

Colombia Government International Bond

     

5.000%, 6/15/45 b

     6,000,000        5,050  

5.200%, 5/15/49

     200,000        170  

Dominican Republic International Bond

     

4.875%, 9/23/32 144A

     550,000        498  

4.875%, 9/23/32 §

     1,700,000        1,539  

6.500%, 2/15/48 144A

     2,800,000        2,660  

6.500%, 2/15/48 §

     2,800,000        2,660  

6.875%, 1/29/26 §

     500,000        531  

Ecuador Government International Bond

     

0.010%, 7/31/30 144A

     323,958        180  

0.500%, 7/31/35 144A

     2,674,620        1,749  

0.500%, 7/31/40 144A

     1,225,800        699  

Egypt Government International Bond

     

6.375%, 4/11/31 EUR §,

     2,500,000        2,363  

7.500%, 2/16/61 §

     800,000        634  

Export-Import Bank of India
3.375%, 8/5/26 §

     600,000        586  

Federal Republic of Nigeria

     

7.625%, 11/28/47 §

     700,000        582  

7.696%, 2/23/38 §

     600,000        524  

7.875%, 2/16/32 §

     2,800,000        2,647  

Ghana Government International Bond

     

7.875%, 3/26/27 144A

     600,000        465  

8.125%, 3/26/32 144A

     400,000        288  

8.950%, 3/26/51 144A

     600,000        417  

8.950%, 3/26/51 §

     200,000        139  

Ivory Coast Government International Bond

     

5.250%, 3/22/30 EUR §,

     500,000        510  

5.875%, 10/17/31 144A EUR

     300,000        307  

6.625%, 3/22/48 144A EUR

     900,000        867  

6.625%, 3/22/48 EUR §,

     800,000        771  

6.875%, 10/17/40 144A EUR

     400,000        401  

6.875%, 10/17/40 EUR §,

     100,000        100  

Kingdom of Jordan
4.950%, 7/7/25 144A

     300,000        299  
Governments (16.0%)    Shares/ Par +     

Value

$ (000’s)

 

Governments continued

     

5.850%, 7/7/30 144A

     400,000        372  

Morocco Government International Bond

     

4.000%, 12/15/50 144A

     500,000        400  

5.500%, 12/11/42 §

     800,000        784  

North Macedonia
3.675%, 6/3/26 144A EUR

     500,000        552  

Oman Government International Bond

     

6.000%, 8/1/29 §

     900,000        938  

6.250%, 1/25/31 144A

     2,300,000        2,434  

6.500%, 3/8/47 §

     500,000        489  

6.750%, 1/17/48 §

     4,800,000        4,789  

Panama Government International Bond

     

6.700%, 1/26/36

     1,900,000        2,338  

8.125%, 4/28/34

     100,000        138  

Provincia de Buenos Aires

     

37.463%, (Argentina Private Banks Deposit Rates Index plus 3.750%), 4/12/25 144A ARS §,

     740,000        4  

Republic of Belarus Ministry of Finance
5.875%, 2/24/26 144A

     600,000        90  

Republic of Indonesia

     

0.900%, 2/14/27 EUR

     1,700,000        1,774  

1.400%, 10/30/31 EUR

     1,900,000        1,912  

1.450%, 9/18/26 EUR

     700,000        759  

3.375%, 7/30/25 144A EUR

     800,000        933  

3.750%, 6/14/28 144A EUR

     1,900,000        2,273  

3.750%, 6/14/28 EUR §,

     2,200,000        2,631  

4.625%, 4/15/43 §

     2,700,000        2,817  

5.125%, 1/15/45 §

     1,800,000        1,990  

Republic of Paraguay

     

5.600%, 3/13/48 §

     600,000        615  

6.100%, 8/11/44 §

     300,000        332  

Republic of Peru
3.300%, 3/11/41

     2,700,000        2,451  

Republic of Serbia
1.650%, 3/3/33 144A EUR

     700,000        605  

Republic of South Africa Government International Bond

     

4.850%, 9/30/29

     1,200,000        1,172  

4.875%, 4/14/26

     600,000        611  

5.000%, 10/12/46

     500,000        414  

5.750%, 9/30/49 b

     4,500,000        3,926  

Romanian Government International Bond

     

2.000%, 4/14/33 144A EUR

     1,400,000        1,243  

2.875%, 4/13/42 144A EUR

     500,000        423  

4.125%, 3/11/39 EUR §,

     1,500,000        1,551  

Russian Federation
5.625%, 4/4/42 §

     2,000,000        660  

Saudi International Bond

     

2.900%, 10/22/25 §

     300,000        302  

4.000%, 4/17/25 §

     3,900,000        4,046  

4.500%, 10/26/46 §

     9,300,000        9,784  

Sri Lanka Government International Bond

     

7.550%, 3/28/30 §

     1,600,000        744  

7.850%, 3/14/29 §

     500,000        238  

State of Minas Gerais
5.333%, 2/15/28 §

     120,000        121  

State of Qatar

     

4.400%, 4/16/50 144A

     1,200,000        1,349  

4.400%, 4/16/50 §

     2,400,000        2,697  
 


Multi-Sector Bond Portfolio

 

Governments (16.0%)    Shares/ Par +     

Value

$ (000’s)

 

Governments continued

     

4.500%, 4/23/28 §

     1,100,000        1,199  

4.817%, 3/14/49 §

     800,000        948  

5.103%, 4/23/48 §

     1,200,000        1,467  

Turkey Government International Bond

     

4.250%, 3/13/25

     1,200,000        1,118  

4.750%, 1/26/26

     2,200,000        2,024  

4.875%, 4/16/43

     1,900,000        1,346  

4.875%, 10/9/26 b

     4,000,000        3,601  

5.125%, 2/17/28 b

     4,300,000        3,774  

5.600%, 11/14/24

     400,000        388  

5.750%, 5/11/47 b

     4,400,000        3,271  

6.125%, 10/24/28

     400,000        364  

Ukraine Government International Bond

     

4.375%, 1/27/30 144A EUR

     1,600,000        748  

4.375%, 1/27/30 EUR §,

     1,700,000        795  

6.750%, 6/20/26 144A EUR

     600,000        272  

6.876%, 5/21/29 144A

     900,000        369  

7.375%, 9/25/32 §

     300,000        124  

8.994%, 2/1/24 144A

     1,000,000        440  

United Mexican States

     

2.125%, 10/25/51 EUR

     1,000,000        792  

3.771%, 5/24/61 b

     5,400,000        4,365  

US Treasury

     

1.875%, 8/31/24 b

     7,310,000        7,208  

2.125%, 3/31/24 b

     3,970,000        3,953  

2.125%, 11/30/24 b

     3,400,000        3,367  

2.250%, 11/15/24 b

     15,910,000        15,811  

2.375%, 8/15/24 b

     3,700,000        3,691  

2.500%, 1/31/24 b

     10,590,000        10,626  

2.750%, 2/15/24 b

     8,700,000        8,767  

2.875%, 11/30/23 b

     4,230,000        4,274  

Venezuela Government International Bond

     

6.000%, 12/9/20 §,j

     32,000        3  

7.000%, 3/31/38 §,j

     204,000        17  

7.650%, 4/21/25 §,j

     1,955,000        160  

8.250%, 10/13/24 §,j

     356,000        29  

9.000%, 5/7/23 §,j

     32,000        3  

9.250%, 5/7/28 §,j

     1,241,000        102  

9.375%, 1/13/34 j

     1,400,000        115  
     

 

 

 

Total

        195,626  
     

 

 

 

Total Governments (Cost: $221,586)

        195,626  
     

 

 

 

Municipal Bonds (0.7%)

 

Municipal Bonds (0.7%)

     

American Municipal Power, Inc.,
Series 2010-B
7.834%, 2/15/41 RB

     100,000        147  

Bay Area Toll Authority, California,
Series 2010
6.918%, 4/1/40 RB

     200,000        274  

City of Riverside California Electric Revenue
7.605%, 10/1/40 RB

     200,000        293  

Irvine Ranch California Water District
6.622%, 5/1/40 RB

     100,000        138  

Los Angeles County California Public Works Financing Authority
7.618%, 8/1/40 RB

     200,000        297  
Municipal Bonds (0.7%)    Shares/ Par +     

Value

$ (000’s)

 

Municipal Bonds continued

     

Metropolitan Government of Nashville & Davidson County Tennessee
6.568%, 7/1/37 RB

     100,000        131  

Municipal Electric Authority of Georgia
6.655%, 4/1/57 RB

     97,000        131  

New York City Transitional Finance Authority
5.508%, 8/1/37 RB

     300,000        359  

New York State Urban Development Corp.
5.770%, 3/15/39 RB

     100,000        114  

Port Authority of New York & New Jersey, Series 165
5.647%, 11/1/40 RB

     1,100,000        1,342  

Port Authority of New York & New Jersey, Series 168
4.926%, 10/1/51 RB

     200,000        240  

State of Illinois

     

6.630%, 2/1/35 GO

     245,000        275  

6.725%, 4/1/35 GO

     95,000        108  

7.350%, 7/1/35 GO

     200,000        233  

Texas Public Finance Authority
8.250%, 7/1/24 RB

     100,000        101  

Tobacco Settlement Financing Corp. of Virginia, Series 2007-A
6.706%, 6/1/46 RB b

     3,125,000        3,169  

Triborough Bridge & Tunnel Authority
5.550%, 11/15/40 RB

     800,000        960  
     

 

 

 

Total Municipal Bonds (Cost: $6,431)

        8,312  
     

 

 

 

Structured Products (8.0%)

 

Asset Backed Securities (6.9%)

     

ABFC Trust, Series 2007-WMC1, Class A1A

     

1.437%, (ICE LIBOR USD 1 Month plus
1.250%), 6/25/37

     636,355        505  

Accredited Mortgage Loan Trust, Series 2005-3, Class M3

     

0.907%, (ICE LIBOR USD 1 Month plus 0.720%), 9/25/35

     174,798        174  

ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Class M1

     

1.087%, (ICE LIBOR USD 1 Month plus 0.900%), 12/25/34

     58,872        57  

ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM2, Class M2

     

0.982%, (ICE LIBOR USD 1 Month plus
0.795%), 1/25/35

     39,217        38  

ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE4, Class M4

     

1.162%, (ICE LIBOR USD 1 Month plus
0.975%), 7/25/35

     33,117        33  

ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM1, Class A2C

     

0.487%, (ICE LIBOR USD 1 Month plus
0.300%), 7/25/36

     7,249,221        2,382  

Aegis Asset Backed Securities Trust, Series 2004-6, Class M2

     

1.187%, (ICE LIBOR USD 1 Month plus 1.000%), (AFC), 3/25/35

     89,190        87  
 


Multi-Sector Bond Portfolio

 

Structured Products (8.0%)    Shares/Par +     

Value

$ (000’s)

 

Asset Backed Securities continued

     

Ameriquest Mortgage Securities, Inc.,
Series 2004-R5, Class M1

     

1.057%, (ICE LIBOR USD 1 Month plus
0.870%), 7/25/34

     14,869        15  

Ares European CLO, Series 10A, Class AR

     

0.780%, (Euribor 3 Month ACT/360 plus
0.780%), 10/15/31 144A EUR

     1,100,000        1,209  

Asset Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE5, Class M4

     

1.087%, (ICE LIBOR USD 1 Month plus
0.900%), 6/25/35

     117,024        117  

Aurium CLO I DAC, Series 2019-1A, Class ARR

     

1.050%, (Euribor 3 Month ACT/360 plus
1.050%), 3/23/32 144A EUR

     250,000        275  

Bain Capital Euro CLO, Series 2018-2A, Class AR

     

0.740%, (Euribor 3 Month ACT/360 plus
0.740%), 1/20/32 144A EUR

     300,000        329  

Bear Stearns Asset Backed Securities I Trust,
Series 2006-HE10, Class 1A2

     

0.387%, (ICE LIBOR USD 1 Month plus
0.200%), 12/25/36

     2,917        3  

Bear Stearns Asset Backed Securities I Trust,
Series 2007-HE6, Class 1A1

     

1.437%, (ICE LIBOR USD 1 Month plus
1.250%), 8/25/37

     67,533        67  

Cairn CLO BV, Series 2014-A4, Class ARRR

     

0.600%, (Euribor 3 Month ACT/360 plus
0.600%), 4/30/31 144A EUR

     300,000        330  

Cairn CLO X BV, Series 2018-10A, Class AR

     

0.780%, (Euribor 3 Month ACT/360 plus
0.780%), 10/15/31 144A EUR

     700,000        765  

Carlyle Global Market Strategies Euro CLO,
Series 2017-3A, Class A1R

     

0.700%, (Euribor 3 Month ACT/360 plus
0.700%), 1/15/31 144A EUR

     900,000        986  

Citigroup Mortgage Loan Trust,
Series 2007- AHL1, Class A2C

     

0.397%, (ICE LIBOR USD 1 Month plus
0.210%), 12/25/36

     100,000        98  

Countrywide Alternative Loan Trust,
Series 2006-5, Class M1

     

0.712%, (ICE LIBOR USD 1 Month plus
0.525%), 8/25/36

     1,500,000        1,465  

Countrywide Asset-Backed Certificates,
Series 2004-9, Class MV4

     

1.762%, (ICE LIBOR USD 1 Month plus
1.575%), 11/25/34

     95,138        94  

Countrywide Asset-Backed Certificates,
Series 2005-4, Class AF6

     

4.740%, (AFC), 10/25/35

     71        π  

Countrywide Asset-Backed Certificates,
Series 2005-AB4, Class 2A4

     

0.887%, (ICE LIBOR USD 1 Month plus
0.700%), 3/25/36

     83,354        76  

Countrywide Asset-Backed Certificates,
Series 2006-1, Class AF5

     

4.528%, (AFC), 7/25/36 Σ

     97,308        91  
Structured Products (8.0%)    Shares/Par +     

Value

$ (000’s)

 

Asset Backed Securities continued

     

Countrywide Asset-Backed Certificates,
Series 2006-26, Class 1A

     

0.327%, (ICE LIBOR USD 1 Month plus
0.140%), 6/25/37

     403,317        378  

Countrywide Asset-Backed Certificates,
Series 2006-5, Class 2A3

     

0.767%, (ICE LIBOR USD 1 Month plus
0.580%), 8/25/36

     18,448        18  

Countrywide Asset-Backed Certificates,
Series 2006-BC3, Class M2

     

0.667%, (ICE LIBOR USD 1 Month plus
0.480%), 2/25/37

     900,000        827  

Countrywide Asset-Backed Certificates, Series 2007-1, Class 2A3

     

0.327%, (ICE LIBOR USD 1 Month plus 0.140%), 7/25/37

     13,614        13  

Countrywide Asset-Backed Certificates,
Series 2007-13, Class 1A

     

1.027%, (ICE LIBOR USD 1 Month plus
0.840%), 10/25/47

     1,350,279        1,313  

Countrywide Asset-Backed Certificates,
Series 2007-9, Class 1A

     

0.387%, (ICE LIBOR USD 1 Month plus
0.200%), 6/25/47

     804,202        740  

Countrywide Asset-Backed Certificates,
Series 2007-SEA1, Class 1A1

     

0.737%, (ICE LIBOR USD 1 Month plus
0.550%), (AFC), 5/25/47 144A

     1,258,113        1,058  

Credit Suisse First Boston Mortgage Securities Corp., Series 2001-HE17, Class A1

     

0.807%, (ICE LIBOR USD 1 Month plus
0.620%), 1/25/32

     2,696        3  

CVC Cordatus Loan Fund XI DAC,
Series 2011-A, Class AR

     

0.650%, (Euribor 3 Month ACT/360 plus
0.650%), 10/15/31 144A EUR

     800,000        873  

Ellington Loan Acquisition Trust,
Series 2007-2, Class A1

     

1.237%, (ICE LIBOR USD 1 Month plus
1.050%), 5/25/37 144A

     220,310        219  

Euro-Galaxy III CLO BV, Series 2013-3A, Class ARRR

     

0.620%, (Euribor 3 Month ACT/360 plus
0.620%), 4/24/34 144A EUR

     300,000        328  

First Franklin Mortgage Loan Trust,
Series 2006-FF5, Class 2A5
04/25/36

     71,270        71  

Fremont Home Loan Trust, Series 2005-2, Class M4

     

1.117%, (ICE LIBOR USD 1 Month plus
0.930%), 6/25/35

     300,000        290  

GSAA Home Equity Trust, Series 2006-17, Class A1

     

0.307%, (ICE LIBOR USD 1 Month plus
0.120%), 11/25/36

     48,796        16  

GSAMP Trust, Series 2004-WF, Class M2

     

1.837%, (ICE LIBOR USD 1 Month plus
1.650%), 10/25/34

     14,664        15  

GSAMP Trust, Series 2007-FM2, Class A2B

     

0.277%, (ICE LIBOR USD 1 Month plus
0.090%), 1/25/37

     163,688        115  
 


Multi-Sector Bond Portfolio

 

Structured Products (8.0%)    Shares/ Par +      Value
$ (000’s)
 

Asset Backed Securities continued

     

GSAMP Trust, Series 2007-NC1, Class A2A

     

0.237%, (ICE LIBOR USD 1 Month plus 0.050%), 12/25/46

     13,068        8  

Harvest CLO XX DAC, Series 2020-A, Class AR

     

0.680%, (Euribor 3 Month ACT/360 plus 0.680%), 10/20/31 144A EUR 

     600,000        656  

Home Equity Loan Trust, Series 2007-FRE1, Class 2AV4

     

0.527%, (ICE LIBOR USD 1 Month plus 0.340%), 4/25/37

     500,000        459  

HSI Asset Securitization Corp. Trust, Series 2005-I1, Class 2A4

     

0.967%, (ICE LIBOR USD 1 Month plus 0.780%), 11/25/35

     175,315        173  

IndyMac Residential Asset Backed Trust, Series 2007-B, Class 2A2

     

0.347%, (ICE LIBOR USD 1 Month plus 0.160%), 7/25/37

     332,627        210  

JP Morgan Mortgage Acquisition Trust, Series 2007-CH3, Class M1

     

0.487%, (ICE LIBOR USD 1 Month plus 0.300%), 3/25/37

     400,000        385  

KKR Financial CLO, Ltd., Series 9, Class AR2

     

1.191%, (ICE LIBOR USD 3 Month plus 0.950%), 7/15/30 144A

     2,200,000        2,171  

Laurelin DAC, Series 2016-1A, Class ARR

     

0.720%, (Euribor 3 Month ACT/360 plus 0.720%), 10/20/31 144A EUR

     400,000        437  

LCM XV LP, Series 2015-A, Class AR2

     

1.254%, (ICE LIBOR USD 3 Month plus 1.000%), 7/20/30 144A

     1,800,000        1,778  

Lehman XS Trust, Series 2005-4, Class 1A3

     

0.987%, (ICE LIBOR USD 1 Month plus 0.800%), 10/25/35

     3,447        3  

Long Beach Mortgage Loan Trust, Series 2006-1, Class 2A4

     

0.787%, (ICE LIBOR USD 1 Month plus 0.600%), 2/25/36

     55,925        51  

Long Beach Mortgage Loan Trust, Series 2006-3, Class 2A4

     

0.727%, (ICE LIBOR USD 1 Month plus 0.540%), 5/25/46

     283,869        112  

Long Beach Mortgage Loan Trust, Series 2006-4, Class 1A

     

0.487%, (ICE LIBOR USD 1 Month plus 0.300%), 5/25/36

     1,102,346        711  

Madison Park Euro Funding XIV DAC, Series 14A, Class A1R

     

0.800%, (Euribor 3 Month ACT/360 plus 0.800%), 7/15/32 144A EUR 

     300,000        328  

Man GLG EURO CLO III DAC, Series 3A, Class AR

     

0.680%, (Euribor 3 Month ACT/360 plus 0.680%), 10/15/30 144A EUR 

     399,842        438  

Man GLG Euro CLO, Series 2022-6A, Class AR

     

0.810%, (Euribor 3 Month ACT/360 plus 0.810%), 10/15/32 144A EUR 

     300,000        331  
Structured Products (8.0%)    Shares/ Par +      Value
$ (000’s)
 

Asset Backed Securities continued

     

Marathon CLO, Ltd., Series 2017-9A, Class A1AR

     

1.391%, (ICE LIBOR USD 3 Month plus 1.150%), 4/15/29 144A

     1,526,940        1,519  

Marble Point CLO X, Ltd., Series 2017-1A, Class AR

     

1.281%, (ICE LIBOR USD 3 Month plus 1.040%), 10/15/30 144A

     5,200,000        5,169  

MASTR Asset Backed Securities Trust, Series 2004-OPT1, Class M1

     

0.967%, (ICE LIBOR USD 1 Month plus 0.780%), 2/25/34

     799,333        773  

MASTR Asset Backed Securities Trust, Series 2004-WMC2, Class M1

     

1.087%, (ICE LIBOR USD 1 Month plus 0.900%), 4/25/34

     93,286        90  

MASTR Asset Backed Securities Trust, Series 2006-FRE2, Class A1

     

0.487%, (ICE LIBOR USD 1 Month plus 0.300%), 3/25/36 b

     9,632,189        8,838  

MASTR Asset Backed Securities Trust, Series 2006-HE3, Class A2

     

0.387%, (ICE LIBOR USD 1 Month plus 0.200%), 8/25/36

     2,026,619        741  

MASTR Asset Backed Securities Trust, Series 2006-WMC4, Class A5

     

0.337%, (ICE LIBOR USD 1 Month plus 0.150%), 10/25/36

     867,737        341  

Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1

     

0.637%, (ICE LIBOR USD 1 Month plus 0.450%), 2/25/47

     789,682        536  

Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class A2MZ

     

0.767%, (ICE LIBOR USD 1 Month plus 0.580%), 1/25/35

     784,058        774  

Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class M2

     

0.892%, (ICE LIBOR USD 1 Month plus 0.705%), 1/25/35

     162,120        156  

Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC5, Class M5

     

1.177%, (ICE LIBOR USD 1 Month plus 0.990%), 6/25/35

     170,219        170  

Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE7, Class A2C

     

0.347%, (ICE LIBOR USD 1 Month plus 0.160%), 9/25/36

     62,719        32  

Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE8, Class A2C

     

0.327%, (ICE LIBOR USD 1 Month plus 0.140%), 10/25/36

     57,091        31  

Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE5, Class A2C

     

0.437%, (ICE LIBOR USD 1 Month plus 0.250%), 3/25/37

     57,643        29  

Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC1, Class M1

     

1.762%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/32

     20,275        20  
 


Multi-Sector Bond Portfolio

 

Structured Products (8.0%)    Shares/ Par +      Value
$ (000’s)
 

Asset Backed Securities continued

     

Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC2, Class M1

     

1.537%, (ICE LIBOR USD 1 Month plus 1.350%), 2/25/33

     18,828        19  

Morgan Stanley Home Equity Loan Trust, Series 2007-2, Class A3

     

0.417%, (ICE LIBOR USD 1 Month plus 0.230%), 4/25/37

     3,167,675        1,976  

NovaStar Mortgage Funding Trust, Series 2007-2, Class A2B

     

0.347%, (ICE LIBOR USD 1 Month plus 0.160%), (AFC), 9/25/37

     228,397        225  

Oak Hill Euro Credit Partners VII DAC, Series 2021-7A, Class AR

     

0.740%, (Euribor 3 Month ACT/360 plus 0.740%), 10/20/31 144A EUR

     1,200,000        1,314  

Popular Mortgage Pass-Through Trust, Series 2006-A, Class M1

     

0.772%, (ICE LIBOR USD 1 Month plus 0.585%), (AFC), 2/25/36

     59,291        59  

RAAC Series, Series 2007-RP4, Class A

     

0.537%, (ICE LIBOR USD 1 Month plus 0.350%), (AFC), 11/25/46 144A

     193,350        186  

Renaissance Home Equity Loan Trust, Series 2006-4, Class AF6

     

5.340%, 1/25/37 Σ

     1,524,360        671  

Residential Asset Securities Corp., Series 2007-KS1, Class A3

     

0.337%, (ICE LIBOR USD 1 Month plus 0.150%), (AFC), 1/25/37

     16,126        16  

Residential Asset Securities Corp., Series 2007-KS3, Class AI4

     

0.527%, (ICE LIBOR USD 1 Month plus 0.340%), (AFC), 4/25/37

     1,599,773        1,550  

Saranac CLO, Ltd., Series 2018-6A, Class A1R

     

1.256%, (ICE LIBOR USD 3 Month plus 1.140%), 8/13/31 144A

     2,900,000        2,886  

Saxon Asset Securities Trust, Series 2006-1, Class M1

     

0.652%, (ICE LIBOR USD 1 Month plus 0.465%), (AFC), 3/25/36

     222,004        220  

Sculptor CLO XXV, Ltd., Series 25A, Class A1

     

1.511%, (ICE LIBOR USD 3 Month plus 1.270%), 1/15/31 144A

     2,100,000        2,089  

Securitized Asset Backed Receivables LLC Trust, Series 2005-FR4, Class M2

     

1.147%, (ICE LIBOR USD 1 Month plus 0.960%), 1/25/36

     42,614        40  

Sound Point CLO XIV, Ltd., Series 2016-3A, Class AR2

     

1.249%, (ICE LIBOR USD 3 Month plus 0.990%), 1/23/29 144A

     526,914        525  

Sound Point CLO XIV, Ltd., Series 2017-2A, Class AR

     

1.238%, (ICE LIBOR USD 3 Month plus 0.980%), 7/25/30 144A

     5,200,000        5,200  

Soundview Home Loan Trust, Series 2006-2, Class M2

     

0.712%, (ICE LIBOR USD 1 Month plus 0.525%), 3/25/36

     219,922        218  
Structured Products (8.0%)    Shares/ Par +      Value
$ (000’s)
 

Asset Backed Securities continued

     

Soundview Home Loan Trust, Series 2006- OPT2, Class A4

     

0.747%, (ICE LIBOR USD 1 Month plus 0.560%), 5/25/36

     136,868        134  

Soundview Home Loan Trust, Series 2006- OPT3, Class M1

     

0.652%, (ICE LIBOR USD 1 Month plus 0.465%), 6/25/36 b

     6,646,382        6,565  

Specialty Underwriting & Residential Finance Trust, Series 2005-BC2, Class M3

     

1.162%, (ICE LIBOR USD 1 Month plus 0.975%), 12/25/35

     145,645        144  

Structured Asset Investment Loan Trust, Series 2003-BC11, Class M1

     

1.162%, (ICE LIBOR USD 1 Month plus 0.975%), 10/25/33

     32,878        33  

Structured Asset Investment Loan Trust, Series 2005-7, Class M2

     

0.952%, (ICE LIBOR USD 1 Month plus 0.765%), 8/25/35

     340,873        335  

Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A3

     

0.337%, (ICE LIBOR USD 1 Month plus 0.150%), 9/25/36

     8,746        9  

Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC4, Class A4

     

0.527%, (ICE LIBOR USD 1 Month plus 0.340%), 12/25/36

     169,665        167  

Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-WF1, Class A6

     

0.607%, (ICE LIBOR USD 1 Month plus 0.420%), 2/25/37

     63,089        62  

Toro European CLO 6 DAC, Series 6A, Class AR

     

0.920%, (Euribor 3 Month ACT/360 plus 0.920%), 1/12/32 144A EUR

     500,000        546  

Toro European CLO, Series 7A, Class ARE

     

0.810%, (Euribor 3 Month ACT/360 plus 0.810%), 2/15/34 144A EUR

     250,000        275  

Truman Capital Mortgage Loan Trust, Series 2006-1, Class A

     

0.447%, (ICE LIBOR USD 1 Month plus 0.260%), 3/25/36 144A

     616,586        609  

Venture CDO, Ltd., Series 2018-33A, Class A1LR

     

1.301%, (ICE LIBOR USD 3 Month plus 1.060%), 7/15/31 144A

     1,000,000        993  

Venture XIV CLO, Ltd., Series 2013-14A, Class ARR

     

1.538%, (ICE LIBOR USD 3 Month plus 1.030%), 8/28/29 144A

     5,406,100        5,399  

Venture XXV CLO, Ltd., Series 2016-25A, Class ARR

     

1.274%, (ICE LIBOR USD 3 Month plus 1.020%), 4/20/29 144A

     3,183,118        3,183  

Venture XXVIII CLO, Ltd., Series 2017-28A, Class A1R

     

1.244%, (ICE LIBOR USD 3 Month plus 0.990%), 7/20/30 144A

     200,000        200  
 


Multi-Sector Bond Portfolio

 

Structured Products (8.0%)    Shares/ Par +     

Value

$ (000’s)

 

Asset Backed Securities continued

     

Vibrant CLO VII, Ltd., Series 2017-7A, Class A1R

     

1.294%, (ICE LIBOR USD 3 Month plus 1.040%), 9/15/30 144A

     300,000        299  

WaMu Asset-Backed Certificates, Series 2007- HE1, Class 1A

     

0.337%, (ICE LIBOR USD 1 Month plus 0.150%), 1/25/37

     119,085        109  

Wellfleet CLO, Ltd., Series 2015-1A, Class AR4

     

1.144%, (ICE LIBOR USD 3 Month plus 0.890%), 7/20/29 144A

     1,702,789        1,691  

Wellfleet CLO, Ltd., Series 2017-1, Class 1A

     

1.144%, (ICE LIBOR USD 3 Month plus 0.890%), 4/20/29 144A

     3,810,697        3,805  
     

 

 

 

Total

        84,695  
     

 

 

 

Mortgage Securities (1.1%)

     

American Home Mortgage Investment Trust, Series 2005-2, Class 4A1

     

2.034%, (ICE LIBOR USD 6 Month plus 1.500%), (AFC), 9/25/45

     163        π 

Banc of America Funding Trust, Series 2005-H, Class 5A1

     

2.245%, (CSTR), 11/20/35

     109,683        100  

Banc of America Funding Trust, Series 2006-J, Class 4A1

     

3.442%, (CSTR), 1/20/47

     31,232        30  

Banc of America Funding Trust, Series 2007-6, Class A1

     

0.477%, (ICE LIBOR USD 1 Month plus 0.290%), 7/25/37

     45,444        45  

BCAP LLC Trust, Series 2009-RR14, Class 2A2

     

3.089%, (CSTR), 7/26/36 144A

     18,237        17  

BCAP LLC Trust, Series 2009-RR5, Class 3A3

     

6.250%, (CSTR), 8/26/36 144A

     2,122,737        1,033  

Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 4A

     

2.710%, (CSTR), 7/25/34

     1,302        1  

Bear Stearns ALT-A Trust, Series 2006-6, Class 2A1

     

3.185%, (CSTR), 11/25/36

     126,809        80  

Bear Stearns ARM Trust, Series 2007-4, Class 22A1

     

3.254%, (CSTR), 6/25/47

     64,461        63  

Citicorp Mortgage Securities Trust, Series 2007-8, Class 1A3

     

6.000%, 9/25/37

     2,081        2  

Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA

     

3.140%, (CSTR), 9/25/37

     7,421        7  

Citigroup Mortgage Loan Trust, Series 2007-10, Class 2A3A

     

3.414%, (CSTR), 9/25/37

     22,778        23  

Citigroup Mortgage Loan Trust, Series 2007- AR4, Class 2A2A

     

3.146%, (CSTR), 3/25/37

     288,704        261  
Structured Products (8.0%)    Shares/ Par +     

Value

$ (000’s)

 

Mortgage Securities continued

     

Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5A1

     

5.750%, 1/25/35

     10,980        11  

Countrywide Alternative Loan Trust, Series 2005-1CB, Class 2A1

     

6.000%, 3/25/35

     266,763        163  

Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1

     

0.831%, (ICE LIBOR USD 1 Month plus 0.660%), 11/20/35

     4,458        4  

Countrywide Alternative Loan Trust, Series 2005-76, Class 1A1

     

1.584%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 1/25/36

     12,128        12  

Countrywide Alternative Loan Trust, Series 2005-79CB, Class A3

     

5.500%, 1/25/36

     123,757        93  

Countrywide Alternative Loan Trust, Series 2005-J1, Class 1A8

     

5.500%, 2/25/35

     102,546        101  

Countrywide Alternative Loan Trust, Series 2005-J1, Class 3A1

     

6.500%, 8/25/32

     866        1  

Countrywide Alternative Loan Trust, Series 2005-J11, Class 1A13

     

5.500%, 11/25/35

     159,637        114  

Countrywide Alternative Loan Trust, Series 2006-45T1, Class 1A13

     

6.000%, 2/25/37

     108,730        54  

Countrywide Alternative Loan Trust, Series 2006-5T2, Class A1

     

0.687%, (ICE LIBOR USD 1 Month plus 0.500%), 4/25/36

     360,581        113  

Countrywide Alternative Loan Trust, Series 2006-HY10, Class 2A1

     

2.883%, (CSTR), 5/25/36

     7,212        7  

Countrywide Alternative Loan Trust, Series 2006-OA12, Class A1B

     

0.639%, (ICE LIBOR USD 1 Month plus 0.190%), 9/20/46

     9,193        9  

Countrywide Alternative Loan Trust, Series 2006-OA17, Class 1A1A

     

0.644%, (ICE LIBOR USD 1 Month plus 0.195%), 12/20/46

     23,406        20  

Countrywide Alternative Loan Trust, Series 2006-OA2, Class A1

     

0.659%, (ICE LIBOR USD 1 Month plus 0.420%), 5/20/46

     313,747        279  

Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A

     

0.659%, (ICE LIBOR USD 1 Month plus 0.210%), 7/20/46

     7,823        6  

Countrywide Alternative Loan Trust, Series 2007-9T1, Class 2A2

     

6.000%, 5/25/37

     219,488        136  

Countrywide Alternative Loan Trust, Series 2007-AL1, Class A1

     

0.437%, (ICE LIBOR USD 1 Month plus 0.250%), 6/25/37 b

     3,805,813        3,272  
 


Multi-Sector Bond Portfolio

 

Structured Products (8.0%)    Shares/ Par +      Value
$ (000’s)
 

Mortgage Securities continued

     

Countrywide Alternative Loan Trust, Series 2007-OA3, Class 1A1

     

0.467%, (ICE LIBOR USD 1 Month plus 0.280%), 4/25/47

     28,846        26  

Countrywide Home Loan Mortgage Pass- Through Trust, Series 2005-22, Class 3A1

     

2.334%, (CSTR), 10/25/35

     9,320        8  

Countrywide Home Loan Mortgage Pass- Through Trust, Series 2005-HYB8, Class 1A1

     

2.832%, (CSTR), 12/20/35

     3,277        3  

Countrywide Home Loan Mortgage Pass- Through Trust, Series 2006-16, Class 2A1

     

6.500%, 11/25/36

     15,515        8  

Countrywide Home Loan Mortgage Pass- Through Trust, Series 2006-9, Class A1

     

6.000%, 5/25/36

     101,757        66  

Countrywide Home Loan Mortgage Pass- Through Trust, Series 2006-OA4, Class A1

     

1.064%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.960%), 4/25/46

     34,689        13  

Countrywide Home Loan Mortgage Pass- Through Trust, Series 2006-OA4, Class A2

     

0.727%, (ICE LIBOR USD 1 Month plus 0.540%), 4/25/46

     919,248        311  

Countrywide Home Loan Mortgage Pass- Through Trust, Series 2007-HYB1, Class 3A1

     

2.803%, (CSTR), 3/25/37

     7,124        7  

Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1

     

6.500%, 4/25/33

     368        π 

Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 2A3

     

5.500%, 12/25/35

     332,639        319  

EMF-NL BV, Series 2008-APRX, Class A2

     

0.232%, (Euribor 3 Month ACT/360 plus 0.800%), 4/17/41 EUR §,

     99,488        110  

Eurosail-NL BV, Series 2007-NL2X, Class A

     

0.932%, (Euribor 3 Month ACT/360 plus 1.500%), 10/17/40 EUR §,

     43,943        49  

Federal National Mortgage Association, Series 2003-W6, Class F

     

0.458%, (ICE LIBOR USD 1 Month plus 0.350%), 9/25/42

     16,691        17  

First Horizon Mortgage Pass-Through Trust, Series 2007-2, Class 1A5

     

5.750%, 5/25/37

     166,444        93  

GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1

     

2.753%, (CSTR), 9/25/35

     1,597        2  

GSR Mortgage Loan Trust, Series 2006-2F, Class 3A6

     

6.000%, 2/25/36

     74,173        45  

GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1

     

2.906%, (CSTR), 1/25/36

     1,121        1  

GSR Mortgage Loan Trust, Series 2007-AR1, Class 2A1

     

2.740%, (CSTR), 3/25/47

     7,152        5  
Structured Products (8.0%)    Shares/ Par +      Value
$ (000’s)
 

Mortgage Securities continued

     

HarborView Mortgage Loan Trust, Series 2005-10, Class 2A1A

     

1.069%, (ICE LIBOR USD 1 Month plus 0.620%), (AFC), 11/19/35

     7,631        7  

HarborView Mortgage Loan Trust, Series 2005-3, Class 2A1A

     

0.929%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 6/19/35

     12,180        12  

HomeBanc Mortgage Trust, Series 2005-1, Class A1

     

0.687%, (ICE LIBOR USD 1 Month plus 0.500%), 3/25/35

     3,878        3  

HSI Asset Securitization Corp. Trust, Series 2006-NC1, Class 2A

     

0.627%, (ICE LIBOR USD 1 Month plus 0.440%), 11/25/35

     875,256        829  

Impac Secured Assets Trust, Series 2007-1, Class A2

     

0.507%, (ICE LIBOR USD 1 Month plus 0.320%), (AFC), 3/25/37

     9,357        9  

IndyMac INDX Mortgage Loan Trust, Series 2004-AR6, Class 5A1

     

2.795%, (CSTR), 10/25/34

     15,401        15  

IndyMac INDX Mortgage Loan Trust, Series 2005-AR12, Class 2A1A

     

0.667%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 7/25/35

     1,316        1  

IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 2A1A

     

0.787%, (ICE LIBOR USD 1 Month plus 0.600%), 7/25/35

     8,782        8  

JP Morgan Mortgage Trust, Series 2005-ALT1, Class 2A1

     

2.479%, (CSTR), 10/25/35

     7,295        6  

JP Morgan Mortgage Trust, Series 2007-A1, Class 6A1

     

2.613%, (CSTR), 7/25/35

     4,624        5  

JP Morgan Mortgage Trust, Series 2007-A4, Class 3A1

     

2.646%, (CSTR), 6/25/37

     35,742        29  

Merrill Lynch Mortgage Investors Trust, Series 2005-A9, Class 5A1

     

2.939%, (CSTR), 12/25/35

     83,872        68  

Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 1A

     

2.100%, (CSTR), 2/25/36

     1,206        1  

Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1

     

2.975%, (CSTR), 5/25/36

     9,119        9  

New Residential Mortgage Loan Trust, Series 2021-NQM1R, Class A3

     

1.198%, (AFC), 7/25/55 144A

     1,035,024        1,005  

Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-AR4, Class 3A1

     

2.953%, (CSTR), 8/25/35

     2,119        2  

Residential Accredit Loans, Inc., Series 2006- QA7, Class 1A1

     

0.567%, (ICE LIBOR USD 1 Month plus 0.380%), 8/25/36

     5,407        5  
 


Multi-Sector Bond Portfolio

 

Structured Products (8.0%)    Shares/ Par +     

Value

$ (000’s)

 

Mortgage Securities continued

     

Residential Accredit Loans, Inc., Series 2006-QA8, Class A1

     

0.567%, (ICE LIBOR USD 1 Month plus 0.380%), 9/25/36

     15,081        16  

Residential Accredit Loans, Inc., Series 2007-QA1, Class A1

     

0.327%, (ICE LIBOR USD 1 Month plus 0.140%), 1/25/37

     7,179        7  

Residential Asset Securitization Trust, Series 2007-A2, Class 2A2 6.500%, 4/25/37

     3,300,487        1,293  

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1

     

0.507%, (ICE LIBOR USD 1 Month plus 0.320%), 10/25/35

     40,370        40  

Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A2

     

1.567%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 2/25/36

     391,812        385  

Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 1A1

     

0.547%, (ICE LIBOR USD 1 Month plus 0.360%), (AFC), 7/25/46

     176,315        155  

Suntrust Alternative Loan Trust, Series 2005-1F, Class 1A1

     

0.837%, (ICE LIBOR USD 1 Month plus 0.650%), 12/25/35

     8,402        7  

Towd Point Mortgage Funding, Series 2019- GR4A, Class A1

     

1.552%, (SONIO/N plus 1.144%), 10/20/51 144A GBP

     1,576,996        2,079  

WaMu Mortgage Pass-Through Certificates, Series 2002-AR19, Class A6

     

2.612%, (CSTR, AFC), 2/25/33

     692        1  

WaMu Mortgage Pass-Through Certificates, Series 2006-AR12, Class 3A3

     

3.263%, (CSTR), 10/25/36

     16,456        16  

WaMu Mortgage Pass-Through Certificates, Series 2006-AR2, Class 1A1

     

3.082%, (CSTR), 3/25/36

     100,576        100  

WaMu Mortgage Pass-Through Certificates,
Series 2006-AR8, Class 2A1

     

2.829%, (CSTR), 8/25/36

     7,115        7  

WaMu Mortgage Pass-Through Certificates,
Series 2007-HY1, Class 3A1

     

3.109%, (CSTR), 2/25/37

     2,742        3  

WaMu Mortgage Pass-Through Certificates,
Series 2007-OA3, Class 4A2

     

0.804%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.700%), 4/25/47

     262,651        229  

Wells Fargo Alternative Loan Trust,
Series 2007-PA4, Class 2A1

     

2.595%, (CSTR), 7/25/37

     32,689        30  

Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR5, Class 2A1

     

2.640%, (CSTR), 4/25/36

     28,581        28  
Structured Products (8.0%)    Shares/ Par +     

Value

$ (000’s)

 

Mortgage Securities continued

     

Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR8, Class A1

     

2.682%, (CSTR), 11/25/37

     22,343        22  
     

 

 

 

Total

        13,572  
     

 

 

 

Total Structured Products (Cost: $97,762)

 

     98,267  
     

 

 

 
Bank Loan Obligations (4.2%)                

Bank Loan Obligations (4.2%)

     

Adient U.S. LLC, 4.070%, (ICE LIBOR USD 1 Month plus 3.250%), 4/10/28b

     6,649,750        6,539  

Albion Acquisitions, Ltd., 5.210%, (Euribor 3 Month ACT/360 plus 5.250%), 8/17/26 EUR

     1,400,000        1,544  

Altice Financing SA, 3.570%, 01/31/26

     1,169,466        1,128  

Altice France SA, 3.570%, (ICE LIBOR USD 3 Month plus 2.750%), 7/31/25

     193,893        189  

Avolon TLB Borrower 1 LLC, 3.070%, (ICE LIBOR USD 1 Month plus 2.250%), 12/1/27

     1,185,000        1,171  

Bausch Health Americas, Inc., 3.820%,
(ICE LIBOR USD 3 Month plus 3.000%), 6/2/25

     250,735        248  

Casino Guichard Perrachon SA, 3.960%, (Euribor 3 Month ACT/360 plus 4.000%), 8/31/25 EUR

     1,300,000        1,395  

Charter Communications Operating LLC,
2.570%, (ICE LIBOR USD 1 Month plus 1.750%), 2/1/27b

     3,372,524        3,340  

CommScope, Inc., 4.070%, (ICE LIBOR USD 3 Month plus 3.250%), 4/6/26

     487,500        475  

Connect Finco SARL, 4.320%, (ICE LIBOR USD 1 Month plus 3.500%), 12/11/26

     1,176,000        1,164  

Envision Healthcare Corp., 4.570%, (ICE LIBOR USD 3 Month plus 3.750%), 10/10/25

     483,750        322  

Grifols SA, 2.210%, (Euribor 3 Month ACT/360 plus 2.250%), 11/15/27 EUR

     1,850,815        2,005  

Hilton Worldwide Finance LLC, 2.570%, (ICE LIBOR USD 3 Month plus 1.750%), 6/22/26

     1,120,295        1,106  

INEOS Quattro Finance 2 PLC, 1.960%,
(ICE LIBOR USD 1 Month plus 2.000%), 1/29/26b

     3,374,500        3,306  

Intelsat Jackson Holdings SA - Term Loan B, 5.070%, (US SOFR plus 4.250%), 2/1/29

     207,578        204  

Lumen Technologies, Inc., 3.070%, (ICE LIBOR USD 1 Month plus 2.250%), 3/15/27b

     5,271,876        5,126  

Setanta Aircraft Leasing DAC, 2.820%, (ICE LIBOR USD 1 Month plus 2.000%), 11/5/28b

     4,000,000        3,939  

Sigma Bidco BV, 3.460%, (Euribor 3 Month plus 3.500%), 7/2/25 EUR

     1,600,000        1,651  

SOCAR Turkey Energy, Inc., 3.410%, (Euribor 3 Month ACT/360 plus 3.450%), 8/17/26 EUR

     5,800,000        6,079  

Standard Industries, Inc., 3.320%, (ICE LIBOR USD 1 Month plus 2.500%), 9/22/28

     1,211,725        1,204  

Summer BC Holdco B SARL, 5.320%, (ICE LIBOR USD 1 Month plus 4.500%), 12/4/26

     995,000        987  

WP/AP Telecom Holdings IV BV, 3.960%, (Euribor 3 Month ACT/360 plus 4.000%), 11/18/28 EUR

     5,800,000        6,380  
 


Multi-Sector Bond Portfolio

 

Bank Loan Obligations (4.2%)    Shares/ Par       Value
$ (000’s)
 

Bank Loan Obligations continued

 

Ziggo Financing Partnership BV, 3.320%, (ICE LIBOR USD 1 Month plus 2.500%), 4/30/28

     1,555,228        1,529  
     

 

 

 

Total Bank Loan Obligations (Cost: $53,082)

 

     51,031  
     

 

 

 
Short-Term Investments (12.4%)                

Governments (11.8%)

     

US Treasury

     

0.000%, 4/7/22b

     3,400,000        3,400  

0.000%, 4/12/22b

     18,400,000        18,399  

0.000%, 4/14/22b

     9,700,000        9,700  

0.000%, 4/19/22b

     9,900,000        9,899  

0.000%, 5/19/22

     1,400,000        1,400  

0.000%, 5/26/22b

     3,800,000        3,798  

0.000%, 5/31/22b

     2,700,000        2,698  

0.000%, 6/9/22b

     4,600,000        4,597  

0.000%, 6/23/22b

     18,900,000        18,880  

0.000%, 6/28/22

     2,500,000        2,497  

0.000%, 6/30/22b

     29,700,000        29,662  

0.000%, 7/19/22b

     20,800,000        20,757  

0.000%, 7/26/22b

     18,800,000        18,755  
     

 

 

 

Total

        144,442  
     

 

 

 

Money Market Funds (0.5%)

     

State Street Institutional U.S. Government Money Market Fund - Premier Class
0.250%#,b

     5,689,610        5,690  
     

 

 

 

Total

        5,690  
     

 

 

 

Utilities (0.1%)

     

Pacific Gas & Electric Co.

     
Short-Term Investments (12.4%)    Shares/ Par       Value
$ (000’s)
 

Utilities continued

     

1.750%, 6/16/22

     800,000        799  
     

 

 

 

Total

        799  
     

 

 

 

Total Short-Term Investments (Cost: $150,927)

 

     150,931  
     

 

 

 

Total Investments (98.3%) (Cost: $1,295,356)@

 

     1,201,576  
     

 

 

 

Other Assets, Less Liabilities (1.7%)

        20,660  
     

 

 

 

Net Assets (100.0%)

        1,222,236  
     

 

 

 

 

 

 

Reverse Repurchase Agreements

 

Reference Entity    Counterparty      Interest
Rate
    Borrowing
Date
    Maturity
Date
    Currency    

Amount

Borrowed

(000’s)

   

Payable for

Reverse

Repurchase

Agreements

(000s)

 

Altice France SA

     Credit Suisse First Boston        (1.750)%       3/21/22       Open       EUR       (923   $ (1,021

Abertis Infrastructuras SA

     JP Morgan Chase Bank NA        (1.250)%       1/17/22       Open       EUR       (209     (232

AerCap Ireland Capital DAC /

     JP Morgan Chase Bank NA        0.180%       3/16/22       4/22/22       EUR       (91     (88
AerCap Global Aviation Trust Ineos Styrolution Group GmbH      Morgan Stanley Capital Services        (1.500)%       3/22/22       Open       EUR       (2,720     (3,009
                $     (4,350 )   

Exchange Traded or Centrally Cleared Derivatives

Futures

 

Issuer  

Long/

Short

      Currency      

Notional Par

(000’s)

   

Number

of

Contracts

   

Expiration

Date

 

Notional Value

(000’s)

   

Unrealized

Appreciation/

(Depreciation)

(000’s)

   

Variation Margin

(000’s)

 

Five-Year US Treasury Note Future

  Long   USD     37,400          374     6/22  

 

$        42,893   

 

  $         (601)       $         8      


Multi-Sector Bond Portfolio

 

Futures (continued)

Issuer  

Long/

Short

        Currency        

Notional Par

(000’s)

   

Number

of

Contracts

   

Expiration

Date

   

Notional Value

(000’s)

   

Unrealized

Appreciation/

(Depreciation)

(000’s)

   

Variation Margin

(000’s)

Ten-Year US Treasury Note Future

    Long       USD       116,700          1,167       6/22     $   143,395        $ (4,369   $ 292  

Two-Year US Treasury Note Future

    Long       USD       100,400          502       6/22       106,385          (1,389     82  

Ultra Long Term US Treasury Note Future

    Long       USD       30,500          305       6/22       54,023          (2,025     313  

Ultra Ten-Year US Treasury Note Future

    Long       USD       4,900          49       6/22       6,638          (217     271  
              $         (8,601   $         966      

Centrally Cleared Interest Rate Swaps - Receive Floating Rate

 

Floating Rate Index  

Fixed

Rate

   

Expiration

Date

   

Notional

Amount

(000’s)

        Currency        

Upfront

Premium Paid/

(Received)

(000’s)

 

Unrealized

Appreciation/

(Depreciation)

(000’s)

      Market Value    
(000’s)
 

Variation

Margin(000’s)

1-Day GBP - SONIO

    0.500%       9/27       6,500       GBP     $ 526       $ 40       $ 566      $ (24

Compounded-OIS 6-Month EUR-EURIBOR

    0.500%       9/52       4,500       EUR       544       140       684       (77
          $         1,070     $         180     $         1,250     $         (101 )   

Centrally Cleared Interest Rate Swaps - Pay Floating Rate

 

Floating Rate Index  

Fixed

Rate

 

Expiration

Date

 

Notional

Amount

(000’s)

      Currency      

Upfront

Premium Paid/

(Received)

(000’s)

 

Unrealized

Appreciation/

(Depreciation)
(000’s)

      Market Value    
(000’s)
 

Variation

Margin(000’s)

3-Month Canada Bankers Acceptances

  2.050%   11/23     33,800     CAD   $ (10   $ (265 )      $ (275 )     $ 14  

3-Month Canada Bankers Acceptances

  0.880%   3/24     12,600     CAD     π       (342     (342     8  

3-Month Canada Bankers Acceptances

  2.500%   6/29     8,000     CAD     128       (263     (135     20  

6-Month EUR-EURIBOR

  0.250%   9/32     15,300     EUR     (1,465     (204     (1,669     162  

6-Month EUR-EURIBOR (0.250)%

    9/27     11,800     EUR     (704     (181     (885     91  
          $         (2,051   $         (1,255 )      $         (3,306   $         295      

Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection

 

Reference Entity  

Receive

Fixed

Rate

   

Expiration

Date

   

Implied

Credit

Spread

   

Notional

Amount

(000’s)

      Currency      

Upfront

Premium Paid/

(Received)

(000’s)

 

Unrealized

Appreciation/

(Depreciation)

(000’s)

  Market
 Value(000’s) 
 

Variation

Margin(000’s)

Markit CDX Emerging Markets Index, Series 34

    1.000%       12/25       3.622%       29,600     USD   $ (826 )      $ (1,744 )      $ (2,570   $ (759 )   

Markit CDX Emerging Markets Index, Series 35

    1.000%       6/26       3.010%       200     USD     (6     (9     (15     π 

Markit CDX Emerging Markets Index, Series 36

    1.000%       12/26       2.993%       77,700     USD     (3,277     (3,127     (6,404     (36

Markit CDX North America Investment Grade Index, Series 35

    1.000%       12/25       0.486%       200     USD     3       1       4       π 

Markit CDX North America Investment Grade Index, Series 36

    1.000%       6/26       0.546%       800     USD     17       (3     14       π 

Markit CDX North America Investment Grade Index, Series 37

    1.000%       12/26       0.613%       38,600     USD     599       62       661       (1


Multi-Sector Bond Portfolio

 

Reference Entity   

Receive

Fixed

Rate

 

Expiration

Date

  

Implied

Credit

Spread

 

Notional

Amount

(000’s)

      Currency      

Upfront

Premium Paid/

(Received)

(000’s)

 

Unrealized

Appreciation/

(Depreciation)

(000’s)

 

Market

 Value(000’s) 

 

Variation

Margin(000’s)

Markit CDX North America Investment Grade Index, Series 38

     1.000     6/27        0.669     52,800     USD   $ 753     $ 95     $ 848     $ 3  

Markit iTraxx Europe Crossover Index, Series 36

     5.000     12/26        3.106     35,700     EUR     3,599       (460     3,139       65  

Markit iTraxx Europe Crossover Index, Series 37

     5.000     6/27        3.386     48,100     EUR     3,328       552       3,880       (65
              $         4,190     $       (4,633   $       (443   $         (793

Centrally Cleared Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection

Reference Entity   

Receive

Fixed

Rate

 

Expiration

Date

  

Implied

Credit

Spread

 

Notional

Amount

(000’s)

      Currency      

Upfront

Premium Paid/

(Received)

(000’s)

 

Unrealized

Appreciation/

(Depreciation)

(000’s)

 

Market

 Value(000’s) 

 

Variation

Margin(000’s)

AT&T, Inc.

     1.000     6/26        0.743     100     USD    $ 2     $ (1   $ 1     $ π  

AT&T, Inc.

     1.000     6/24        0.609     200     USD     π       2       2       π  

AT&T, Inc.

     1.000     6/25        0.678     100     USD     (3     4       1       π  

Atlantia SpA

     1.000     12/25        1.125     300     EUR     (11     10       (1     π  

Casino Guichard Perrachon SA

     5.000     6/23        10.630     600     EUR     14       (55     (41     (1

Casino Guichard Perrachon SA

     5.000     6/22        7.310     1,500     EUR     (18     10       (8     π  

Casino Guichard Perrachon SA

     5.000     12/22        9.802     1,700     EUR     (26     (33     (59     (2

Ford Motor Co.

     5.000     12/23        1.429     200     USD     13       (1     12       π  

Ford Motor Co.

     5.000     12/23        1.429     700     USD     35       7       42       π  

General Electric Co.

     1.000     12/26        0.791     400     USD     4       π       4       π  

General Electric Co.

     1.000     6/24        0.406     900     USD     (4     16       12       π  

General Electric Co.

     1.000     12/24        0.492     400     USD     (3     8       5       π  

General Electric Co.

     1.000     6/26        0.703     3,800     USD     36       9       45       π  

Glencore Finance Europe, Ltd.

     5.000     12/25        1.089     2,700     EUR     472       (44     428       (2

Glencore Finance Europe, Ltd.

     5.000     12/27        1.626     1,600     EUR     382       (59     323       π  

Glencore Finance Europe, Ltd.

     5.000     12/26        1.360     700     EUR     143       (14     129       π  

Marks & Spencer PLC

     1.000     12/24        1.219     2,900     EUR     (74     55       (19     1  

Marks & Spencer PLC

     1.000     6/27        2.294     100     EUR     (7     π       (7     π  

Marks & Spencer PLC

     1.000     12/28        2.686     500     EUR     (36     (20     (56     π  

Telefonica Emisiones SAU

     1.000     6/26        0.570     800     EUR     11       5       16       π  

Volkswagen International Finance NV

     1.000     12/26        1.042     3,100     EUR     59       (67     (8     1  
             

 

 

 

               $         989     $       (168   $         821     $       (3
             

 

 

 

 

    Financial Derivative Assets    Financial Derivative Liabilities     
                             Market Value
    Variation Margin (000’s)    Variation Margin (000’s)    (000’s)
    Swaps    Futures    Total    Swaps    Futures    Total    Options
Total Exchange-Traded or Centrally Cleared Derivatives     $        365        $    966        $    1,331        $        (967)        $        –        $      (967)        $            –  


Multi-Sector Bond Portfolio

 

Over the Counter Derivatives

Forward Foreign Currency Contracts

Type    Counterparty    Currency  

Foreign Principal

Amount

Covered by

Contract (000s)

 

USD Principal

Amount

Covered by

Contract (000’s)

 

Settlement

Date

 

Unrealized

 Appreciation 

(000’s)

 

Unrealized

(Depreciation)

(000’s)

 

Net

Unrealized

Appreciation/

(Depreciation)

(000’s)

Buy

   Goldman Sachs Bank USA    AUD     16,925       12,665       4/4/22     $ 198     $     $ 198  

Buy

   Bank of America NA    AUD     7,458       5,582       5/3/22             (1     (1

Buy

   UBS AB    AUD     6,181         4,627         5/3/22             (19     (19

Sell

   Bank of America NA    AUD     10,256       7,674       4/4/22       1       (58     (57

Sell  

   HSBC Bank PLC    AUD     488       365       4/4/22       1             1   

Sell

   UBS AB    AUD     6,181       4,626       4/4/22       19             19  

Buy

   BNP Paribas SA    BRL     31,382       6,591       4/4/22       397             397  

Buy

   Goldman Sachs Bank USA    BRL     32,574       6,841       4/4/22       4       (32     (28

Buy

   Goldman Sachs Bank USA    BRL     31,382       6,539       5/3/22       254             254  

Sell

   BNP Paribas SA    BRL     31,382       6,591       4/4/22       32             32  

Sell

   Goldman Sachs Bank USA    BRL     32,574       6,841       4/4/22             (265     (265

Sell

   Goldman Sachs Bank USA    BRL     1,193       248       5/3/22             (4     (4

Sell

   Bank of America NA    CAD     1,137       909       4/4/22             (13     (13

Sell

   JP Morgan Chase Bank NA    CAD     380       304       4/4/22             (3     (3

Sell

   UBS AB    CAD     253       202       4/4/22       π             π  

Buy

   HSBC Bank PLC    CNH     134       21       5/20/22             π       π  

Buy

   JP Morgan Chase Bank NA    CNH     341       53       5/20/22             π       π  

Buy

   Bank of America NA    EUR     234,100       258,974       4/4/22             (2,182     (2,182

Buy

   Barclays Bank PLC    EUR     1,592       1,762       4/4/22       1       (3     (2

Buy

   BNP Paribas SA    EUR     10,883       12,039       4/4/22       24       (76     (52

Buy

   Goldman Sachs Bank USA    EUR     5,900       6,527       4/4/22       48       (7     41  

Buy

   Royal Bank of Canada    EUR     979       1,083       4/4/22       7             7  

Buy

   BNP Paribas SA    EUR     862       954       5/3/22             (3     (3

Sell

   Bank of America NA    EUR     4,196       4,642       4/4/22             (1     (1

Sell

   HSBC Bank PLC    EUR     22,566       24,964       4/4/22             (150     (150

Sell

   Royal Bank of Canada    EUR     226,692       250,778       4/4/22       4,169             4,169  

Sell

   Bank of America NA    EUR     234,100       259,195       5/3/22       2,188             2,188  

Buy

   BNP Paribas SA    GBP     2,873       3,774       4/4/22       13       (31     (18

Sell

   BNP Paribas SA    GBP     44,382       58,302       4/4/22       1,263             1,263  

Sell

   JP Morgan Chase Bank NA    GBP     138       181       4/4/22       2             2  

Sell

   BNP Paribas SA    GBP     41,647       54,699       5/4/22       125             125  

Buy

   HSBC Bank PLC    IDR     62,618,734       4,352       5/20/22       12       (10     2  

Buy

   JP Morgan Chase Bank NA    IDR     32,244,079       2,241       5/20/22             (7     (7

Sell

   BNP Paribas SA    IDR     6,980,634       485       5/20/22             π       π  

Buy

   Goldman Sachs Bank USA    MXN     127,560       6,364       5/18/22       316             316  

Buy

   BNP Paribas SA    MXN     9,380       464       7/1/22       16             16  

Sell

   Goldman Sachs Bank USA    MXN     4,920       247       4/18/22             (4     (4

Sell

   Royal Bank of Canada    MXN     8,276       411       6/15/22             (9     (9

Buy

   HSBC Bank PLC    NOK     110,125       12,509       4/4/22       208             208  

Buy

   Bank of America NA    NOK     105,680       11,999       5/3/22             (147     (147

Sell

   HSBC Bank PLC    NOK     4,255       483       4/4/22       11             11  

Buy

   BNP Paribas SA Æ    RUB     1,393       16       4/21/22             (1     (1

Buy

   Goldman Sachs Bank USA Æ    RUB     216       2       4/21/22             π       π  

Buy

   BNP Paribas SA    ZAR     94,864       6,341       10/14/22       173             173  

Buy

   BNP Paribas SA    ZAR     506       34       11/8/22       2             2  
              $         9,484       $ (3,026   $         6,458  

Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection

                              Upfront        
                              Premium   Unrealized    
        Receive       Implied       Notional     Paid/   Appreciation/   Market
        Fixed   Expiration   Credit       Amount     (Received)   (Depreciation)   Value
Reference Entity   Counterparty   Rate   Date   Spread       Currency       (000’s)     (000’s)   (000’s)   (000’s)

Atlantia SpA

  JP Morgan Chase Bank NA   1.000%   6/26   1.208%   EUR     200     $         (7   $ 5     $          (2


Multi-Sector Bond Portfolio

 

Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection (continued)

 

Reference Entity   Counterparty  

Receive

Fixed

Rate

   

Expiration

Date

   

Implied

Credit

Spread

    Currency     Notional
Amount
(000’s)
   

Upfront

Premium

Paid/

(Received)

(000’s)

 

Unrealized

Appreciation/

(Depreciation)

(000’s)

 

Market

Value

(000’s)

 

Casino Guichard Perrachon SA

 

JP Morgan Chase Bank NA

    5.000%       12/22       9.802%       EUR       100     $ 2     $ (5   $ (3

Hochtief AG

 

JP Morgan Chase Bank NA

    5.000%       12/26       1.184%       EUR       1,000       213       (19     194  

Hochtief AG

 

JP Morgan Chase Bank NA

    5.000%       12/26       1.184%       EUR       1,800       389       (40     349  

Intrum AB

 

Barclays Bank PLC

    5.000%       12/24       2.581%       EUR       100       5       2       7  

Intrum AB

 

Goldman Sachs International

    5.000%       12/24       2.581%       EUR       200       11       3       14  

Intrum AB

 

Goldman Sachs International

    5.000%       12/24       2.581%       EUR       200       9       5       14  

Intrum AB

 

Goldman Sachs International

    5.000%       12/24       2.581%       EUR       200       10       4       14  

Intrum AB

 

Goldman Sachs International

    5.000%       12/24       2.581%       EUR       300       17       3       20  

Intrum AB

 

Goldman Sachs International

    5.000%       12/24       2.581%       EUR       300       18       2       20  

Intrum AB

 

Goldman Sachs International

    5.000%       12/24       2.581%       EUR       400       24       3       27  

Intrum AB

 

Goldman Sachs International

    5.000%       12/24       2.581%       EUR       400       24       3       27  

Intrum AB

 

Goldman Sachs International

    5.000%       12/24       2.581%       EUR       500       23       11       34  

Intrum AB

 

Goldman Sachs International

    5.000%       12/24       2.581%       EUR       600       36       5       41  

Intrum AB

 

Goldman Sachs International

    5.000%       12/24       2.581%       EUR       600       30       11       41  

Intrum AB

 

JP Morgan Chase Bank NA

    5.000%       12/24       2.581%       EUR       800       36       19       55  

Intrum AB

 

Morgan Stanley Capital Services

    5.000%       12/24       2.581%       EUR       100       5       2       7  

Intrum AB

 

Morgan Stanley Capital Services

    5.000%       12/24       2.581%       EUR       100       5       2       7  

Intrum AB

 

Morgan Stanley Capital Services

    5.000%       12/24       2.581%       EUR       200       12       2       14  

Republic of Indonesia

 

Barclays Bank PLC

    1.000%       6/31       1.418%       USD       5,700       (222     35       (187

United Mexican States

 

Morgan Stanley Capital Services

    1.000%       12/26       0.909%       USD       300       1       – π       1  

United Mexican States

 

Morgan Stanley Co Incorporated

    1.000%       6/27       1.009%       USD       500       (2     2       π  
              $     639     $             55     $         694      

Written Options

 

Description    Counterparty    Currency     

Notional Par

(000’s)

    

Exercise

Price

    

Expiration

Date

  

Number of

Contracts

  Value (000’s)

Call - 10-Year US Treasury Note - Swaption

   Morgan Stanley Capital Services      USD        6,900      $ 1.308      6/22      6,900,000       $ (5

Call - 10-Year US Treasury Note - Swaption

   Goldman Sachs Bank USA      USD        6,900        1.444      6/22      6,900,000       (9

Put - 10-Year US Treasury Note - Swaption

   Goldman Sachs Bank USA      USD        7,100        1.787      4/22      7,100,000       (226

Put - 10-Year US Treasury Note - Swaption

   JP Morgan Chase Bank NA      USD        7,100        1.948      4/22      7,100,000       (132


Multi-Sector Bond Portfolio

 

Description    Counterparty   Currency     

Notional Par

(000’s)

 

Exercise

Price

    

Expiration

Date

    

Number of

Contracts

  Value (000’s)
Put - 10-Year US Treasury Note - Swaption    Goldman Sachs Bank USA     USD        7,300       $ 1.868        5/22        7,300,000     $ (196
Put - 10-Year US Treasury Note - Swaption    JP Morgan Chase Bank NA     USD        6,800       2.040        5/22        6,800,000       (130
Put - 10-Year US Treasury Note - Swaption    Goldman Sachs Bank USA     USD        14,200       2.153        5/22        14,200,000       (178
                 

 

 

 

(Premiums Received $468)                   $         (876 )     
                 

 

 

 

 

    Financial Derivative Assets (000’s)     Financial Derivative Liabilities (000’s)  
   

Forward

Foreign

Currency

Contracts

    Swaps     Total    

Forward

Foreign

Currency

Contracts

    Options     Swaps     Total  
Total Over the Counter Derivatives   $     9,484     $         886         $     10,370           $        (3,026)         $     (876)           $    (192)               $    (4,094)      

Restricted Securities

 

Description    Acquisition
Date
  Cost (000’s)     Value (000’s)  

Value as a

Percentage of Net

Assets

Noble Corp. PLC

   2/5/21   $             237       $               713       0.06%

 

+

All par is stated in U.S. Dollar unless otherwise noted.

*

Non income producing

Æ

Security valued using significant unobservable inputs.

d

Restricted security – see accompanying table for additional details.

144A

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022 the value of these securities (in thousands) was $313,068 representing 25.6% of the net assets.

Foreign Bond — par value is foreign denominated.

§

Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At March 31, 2022, the aggregate value of these securities was $300,470 (in thousands), representing 24.6% of net assets.

b

Cash or securities with an aggregate value of $375,595 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 3/31/2022.

µ

Perpetual maturity, date shown, if applicable, represents next contractual call date.

Þ

PIK - Payment In Kind. PIK rate of Odebrecht Drilling Norbe VIII/IX, Ltd. 7.350%.

f

Defaulted Security

S

Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s); rate shown is effective rate at period-end.

π

Amount is less than one thousand.

#

7-Day yield as of 3/31/2022.

@

At March 31, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,295,379 and the net unrealized depreciation of investments based on that cost was $102,153 which is comprised of $29,413 aggregate gross unrealized appreciation and $131,566 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.


Multi-Sector Bond Portfolio

 

The Fair Value Measurements and Disclosures Topic of the FASB Accounting Standards Codification defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of asset and liability, which segregates fair value measurements into levels. A summary of the fair value hierarchy is described below:

Level 1 - fair value is determined by unadjusted quoted prices in active markets for identical securities or derivatives

Level 2 - fair value is determined by other significant observable inputs

Level 3 - fair value is determined by significant unobservable inputs

The categorization of a value determined for a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Portfolio’s perceived risk of that instrument.

The following is a summary of the inputs used in valuing the Portfolio’s Investments at March 31, 2022.

 

     Valuation Inputs                            
Description    Level 1 - Quoted
Prices
 

Level 2 - Other

Significant

Observable Inputs

   

Level 3

- Significant

    Unobservable    
Inputs

     (Amounts in thousands)                

Assets:

      

Bank Loan Obligations

    $     $ 51,031     $  

Common Stocks

      

Energy

     787             86  

All Others

                 281  

Convertible Corporate Bonds

           5,378        

Municipal Bonds

           8,312        

Corporate Bonds

      

Communications

           80,990       9  

All Others

           609,878        

Governments

           193,811       1,815  

Structured Products

           98,267        

Short-Term Investments

      

Money Market Funds

     5,690              

All Others

           145,241        

Other Financial Instruments^

      

Forward Foreign Currency Contracts

           9,484        

Interest Rate Swaps

           1,250        

Credit Default Swaps

           10,452        
  

 

 

 

Total Assets:

    $ 6,477     $ 1,214,094     $ 2,191  
  

 

 

 

Liabilities:

      

Other Financial Instruments^

      

Futures

     (8,601            

Forward Foreign Currency Contracts

           (3,025     (1

Written Options

           (876      

Interest Rate Swaps

           (3,306      

Credit Default Swaps

           (9,380      

Reverse Repurchase Agreements

           (4,350      
  

 

 

 

Total Liabilities:

    $ (8,601   $ (20,937   $ (1
  

 

 

 

^ Other financial instruments are derivative instruments such as futures and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.

Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended March 31, 2022.

For the period ended March 31, 2022, there were transfers from Level 2 to Level 3 in the amount of $1,815 (in thousands). These transfers were the result of the need to fair value securities due to the market conditions resulting from the Russian war with Ukraine. There was also a transfer from Level 3 to Level 2 in the amount of $208 (in thousands). This transfer was the result of an increase in the quantity of observable inputs for the security that was previously not priced by a third party vendor.


Abbreviations

Abbreviations that may be used in the preceding statements

 

ADR   American Depositary Receipt
AFC   Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate.
CSTR   Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral.
EXE   Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all bonds in the deal.
IO   Interest Only Security
PO   Principal Only Security
GDR   Global Depositary Receipt
GO   General Obligation
RB   Revenue Bond
CPURNSA   U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted
LIBOR   London Interbank Offered Rate
SOFR   Secured Overnight Financing Rate
ICE   Intercontinental Exchange
SONIO   Sterling Overnight Interbank Average Rate
DAC   Designated Activity Company
TBA   To Be Announced
OIS   Overnight Index Swaps
DIFC   Dubai International Financial Centre
EURIBOR   Euro Interbank Offered Rate
SDR   Swedish Depository Receipt
ETF   Exchange Traded Fund
Currency Abbreviations
ARS   Argentine Peso
AUD   Australian Dollar
BRL   Brazilian Real
CAD   Canadian Dollar
CHF   Swiss Franc
CNH   Chinese Yuan Renminbi - Offshore
CNY   Chinese Yuan Renminbi
DKK   Danish Krone
EUR   Euro
GBP   British Pound
HKD   Hong Kong Dollar
IDR   Indonesian Rupiah
INR   Indian Rupee
JPY   Japanese Yen
KES   Kenyan Shilling
KRW   South Korean Won
MXN   Mexican New Peso
NOK   Norwegian Krone
NZD   New Zealand Dollar
PHP   Philippines Peso
PLN   Polish Zloty
RUB   Russian Ruble
SEK   Swedish Krona
THB   Thai Baht
TWD   Taiwan Dollar
USD   United States Dollar
ZAR   South African Rand


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