Form NPORT-P PRUDENTIAL INVESTMENT For: Apr 30

  
    NPORT-P
    false
    
      
      
        
          0001070287
          XXXXXXXX
        
      
      
      
      
        S000031707
        C000098668
        C000098666
        C000098669
        C000098667
      
      
    
  
  
    
      Prudential Investment Portfolios 9
      811-09101
      0001070287
      5493006TC8ECBK1GPV34
      655 Broad Street
      17th Floor
      Newark
      
      07102-4077
      1-800-225-1852
      PGIM Absolute Return Bond Fund
      S000031707
      EBKSE2F2Z4D82NLOW668
      2021-10-31
      2021-04-30
      N
    
    
      1045592182.75
      61949311.63
      983642871.12
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      16193500.40000000
      
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          USD
          
          
        
      
      
      
      
        
        
        
        
        
        
        
      
      N
      
        
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -323277.19000000
        -0.03286530096
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -5924173.63000000
            USD
            611996757.00000000
            JPY
            2021-05-28
            -323277.19000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        13472.67000000
        0.001369670883
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -706259.92000000
            USD
            10977398.00000000
            ZAR
            2022-05-31
            13472.67000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        143541.66000000
        0.014592863346
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -293863610.00000000
            JPY
            2846550.20000000
            USD
            2022-05-31
            143541.66000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1282398.05000000
        -0.13037232187
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -9489000.00000000
            AUD
            648098700.00000000
            JPY
            2023-10-31
            -1282398.05000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        
        48128BAG6
        
          
          
        
        15325000.00000000
        PA
        USD
        15791280.29000000
        1.605387560224
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        
        00206RMF6
        
          
          
        
        1542000.00000000
        PA
        USD
        1469266.00000000
        0.149369862084
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-12-01
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -761148.65000000
        -0.07738058927
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -5610000.00000000
            AUD
            389109600.00000000
            JPY
            2021-05-28
            -761148.65000000
          
        
        
          N
          N
          N
        
      
      
        EG GLOBAL FINANCE PLC
        549300TL8Q5207VYET27
        
        000000000
        
          
          
        
        250000.00000000
        PA
        
        306198.05000000
        0.031128985833
        Long
        DBT
        CORP
        GB
        Y
        
        2
        
          2025-10-30
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -195.81000000
        -0.00001990661
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -281937600.00000000
            KRW
            252000.00000000
            USD
            2021-06-16
            -195.81000000
          
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        549300ED4YNDE7SVU538
        
        750496AB7
        
          
        
        1240000.00000000
        PA
        USD
        1239999.26000000
        0.126061937356
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2028-03-25
          Floating
          2.80613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        N/A
        
        75049UAC2
        
          
        
        1025000.00000000
        PA
        USD
        1043647.52000000
        0.106100247421
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-10-25
          Floating
          4.70613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        56085.74000000
        0.005701839727
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-02-18
            0.00000000
            USD
            0.00000000
            USD
            11070000000.00000000
            COP
            56085.74000000
          
        
        
          N
          N
          N
        
      
      
        WEST CORP
        5493005Z5DB0O5S30R71
        
        68162RAC5
        
          
          
        
        2701142.19000000
        PA
        USD
        2634740.01000000
        0.267855345406
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-10-10
          Floating
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        
        000000000
        
          
          
        
        2655000.00000000
        PA
        
        3573245.76000000
        0.363266574171
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2025-07-30
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UTAH ACQUISITION SUB
        254900JOFV74IJ7H9933
        
        62854AAP9
        
          
          
        
        520000.00000000
        PA
        USD
        606712.91000000
        0.061680202013
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-06-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LINCOLN NATIONAL CORP
        EFQMQROEDSNBRIP7LE47
        
        534187BA6
        
          
          
        
        695000.00000000
        PA
        USD
        1026503.62000000
        0.104357348600
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-06-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -20392.43000000
        -0.00207315384
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-15
            0.00000000
            USD
            0.00000000
            USD
            2165000.00000000
            USD
            -20392.43000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        
        07876MAC1
        
          
        
        960000.00000000
        PA
        USD
        973206.62000000
        0.098939020306
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2031-03-25
          Floating
          2.96567000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEL ENERGY VI SARL
        N/A
        
        30260LAA3
        
          
          
        
        1875000.00000000
        PA
        USD
        1949581.74000000
        0.198200159553
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2040-12-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        231640.60000000
        0.023549258252
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -1412921.40000000
            USD
            2134000.00000000
            AUD
            2021-07-30
            231640.60000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        18093.29000000
        0.001839416573
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -530000.00000000
            USD
            2978335.00000000
            BRL
            2021-05-04
            18093.29000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
        
        -39000000.00000000
        NC
        USD
        -2336.84000000
        -0.00023756996
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  BRL
                  2021-09-28
                
              
            
            -39000000.00000000
            USD
            3.85000000
            USD
            2021-09-28
            XXXX
            713898.16000000
          
        
        
          N
          N
          N
        
      
      
        POWER FINANCE CORP LTD
        3358003Q6D9LIJJZ1614
        
        000000000
        
          
          
        
        1100000.00000000
        PA
        USD
        1220777.11000000
        0.124107757585
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2028-08-10
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        
        59284MAC8
        
          
          
        
        2000000.00000000
        PA
        USD
        2081506.72000000
        0.211612037367
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2028-04-30
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        AMER AIRLN 13-1 A PASS T
        N/A
        
        023772AB2
        
          
          
        
        1889670.54000000
        PA
        USD
        1752817.95000000
        0.178196579415
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        9215.45000000
        0.000936869495
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -698514.97000000
            USD
            4611526.00000000
            CNY
            2021-07-30
            9215.45000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        -13760.26000000
        -0.00139890812
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-01-15
            0.00000000
            USD
            -83.22000000
            USD
            3800000.00000000
            ZAR
            -13677.04000000
          
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        
        71654QDC3
        
          
          
        
        405000.00000000
        PA
        USD
        415490.17000000
        0.042239941161
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2030-01-23
          Fixed
          6.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -86818.98000000
        -0.00882627044
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            -7932708.00000000
            ILS
            2357059.70000000
            USD
            2021-06-30
            -86818.98000000
          
        
        
          N
          N
          N
        
      
      
        Chase Funding Mortgage Loan As
        N/A
        
        161546FV3
        
          
          
        
        460548.45000000
        PA
        USD
        473769.64000000
        0.048164801871
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-05-25
          Variable
          5.06899700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NGPL PIPECO LLC
        549300K3NT1HSQFEM073
        
        62912XAF1
        
          
          
        
        500000.00000000
        PA
        USD
        562376.83000000
        0.057172866953
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        45.22000000
        0.000004597196
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -4786950000.00000000
            IDR
            329000.00000000
            USD
            2021-06-16
            45.22000000
          
        
        
          N
          N
          N
        
      
      
        Oportun Funding LLC
        N/A
        
        68376PAA5
        
          
        
        3200000.00000000
        PA
        USD
        3245844.80000000
        0.329982038735
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-10-08
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        
        25714PEE4
        
          
          
        
        1570000.00000000
        PA
        USD
        1564546.26000000
        0.159056330903
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2060-01-30
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        -146859.60000000
        -0.01493017479
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2027-01-04
            0.00000000
            USD
            0.00000000
            USD
            14674269.01000000
            BRL
            -146859.60000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        38.42000000
        0.000003905889
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -64884276.00000000
            JPY
            771000.00000000
            AUD
            2021-07-20
            38.42000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -30430.61000000
        -0.00309366446
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -7452768.00000000
            ZAR
            480000.00000000
            USD
            2021-06-17
            -30430.61000000
          
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH COS INC
        B3BS7ACMDUWISF18KY76
        
        071734AK3
        
          
          
        
        1200000.00000000
        PA
        USD
        1269320.11000000
        0.129042780389
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2029-02-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MGM CHINA HOLDINGS LTD
        529900VZFN87OS7WJM66
        
        55300RAG6
        
          
          
        
        700000.00000000
        PA
        USD
        723659.74000000
        0.073569357461
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-02-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        109286.38000000
        0.011110371783
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-02-11
            0.00000000
            USD
            -3092.53000000
            USD
            76100000.00000000
            ZAR
            112378.91000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        -154768.90000000
        -0.01573425727
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-01-02
            0.00000000
            USD
            0.00000000
            USD
            25970735.25000000
            BRL
            -154768.90000000
          
        
        
          N
          N
          N
        
      
      
        TRANSOCEAN INC
        DOL4HJ22ADYSIWES4H94
        
        893830BK4
        
          
          
        
        5100000.00000000
        PA
        USD
        3876137.96000000
        0.394059477662
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-11-01
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Secu
        N/A
        
        07384YLS3
        
          
        
        88397.21000000
        PA
        USD
        87666.14000000
        0.008912395196
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-06-25
          Floating
          1.28613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        5811.47000000
        0.000590810971
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -3370213.63000000
            USD
            2443995.00000000
            GBP
            2021-07-19
            5811.47000000
          
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        
        71654QCG5
        
          
          
        
        260000.00000000
        PA
        USD
        274751.47000000
        0.027932034894
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2027-03-13
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OneMain Financial Issuance Tru
        549300KQ3WN93FBBU117
        
        68267LAB4
        
          
        
        221975.66000000
        PA
        USD
        222030.40000000
        0.022572257322
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2032-09-14
          Floating
          0.91225000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        255892.09000000
        0.026014735379
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            -3006697.59000000
            USD
            72679397.46000000
            MXN
            2023-04-28
            255892.09000000
          
        
        
          N
          N
          N
        
      
      
        NEMAK SAB DE CV
        5493000MY3DAIB0BP706
        
        000000000
        
          
          
        
        1800000.00000000
        PA
        USD
        1859075.73000000
        0.188999054899
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2025-01-23
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -98083.21000000
        -0.00997142488
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -3342000.00000000
            USD
            12204057230.00000000
            COP
            2021-06-16
            -98083.21000000
          
        
        
          N
          N
          N
        
      
      
        SOUTHERN CO GAS CAPITAL
        E8CD46SWUD2TSN8PA636
        
        001192AK9
        
          
          
        
        1375000.00000000
        PA
        USD
        1564942.84000000
        0.159096648381
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-06-01
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        
        29273VAM2
        
          
          
        
        3360000.00000000
        PA
        USD
        3417593.63000000
        0.347442525162
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -39313.36000000
        -0.00399671071
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -6130000.00000000
            USD
            662162600.00000000
            JPY
            2022-05-31
            -39313.36000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        70129.63000000
        0.007129582499
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                PENERBANGAN MALAYSIA BERHAD
                PENERBANGAN MALAYSIA BERHAD
                
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -1803.20000000
            USD
            3750000.00000000
            USD
            71932.83000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -180.52000000
        -0.00001835218
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -22740120.00000000
            JPY
            208000.00000000
            USD
            2021-06-30
            -180.52000000
          
        
        
          N
          N
          N
        
      
      
        HILCORP ENERGY I/HILCORP
        N/A
        
        431318AS3
        
          
          
        
        700000.00000000
        PA
        USD
        727844.60000000
        0.073994802521
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HARTFORD FINL SVCS GRP
        IU7C3FTM7Y3BQM112U94
        
        416515AP9
        
          
          
        
        280000.00000000
        PA
        USD
        389917.08000000
        0.039640106328
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-10-01
          Fixed
          6.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -292699.12000000
        -0.02975664528
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -8262958.20000000
            USD
            855296076.00000000
            JPY
            2023-10-31
            -292699.12000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        -21.00000000
        NC
        USD
        -58438.59000000
        -0.00594103731
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2021-06-21
            -3845592.66000000
            USD
            -58438.59000000
          
        
        
          N
          N
          N
        
      
      
        MOUNTAIN VIEW CLO
        549300IB1UGD5G8HYT10
        
        62432MAE9
        
          
        
        3750000.00000000
        PA
        USD
        3753892.13000000
        0.381631610436
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-15
          Floating
          2.02693000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -454.91000000
        -0.00004624747
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -5451606.05000000
            CZK
            253000.00000000
            USD
            2021-07-19
            -454.91000000
          
        
        
          N
          N
          N
        
      
      
        CONTL AIRLINES 2012-2 A
        N/A
        
        210795QB9
        
          
          
        
        78176.83000000
        PA
        USD
        82564.47000000
        0.008393744561
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-29
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -10450.09000000
        -0.00106238659
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -24183546.03000000
            BRL
            4311000.00000000
            USD
            2022-01-28
            -10450.09000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        6630649.68000000
        0.674091164047
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -2280809110.00000000
            JPY
            35699000.00000000
            AUD
            2021-05-28
            6630649.68000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        -119793.05000000
        -0.01217851046
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-01-19
            2684.66000000
            USD
            0.00000000
            USD
            7000000.00000000
            PLN
            -122477.71000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        64013.92000000
        0.006507841603
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -2050000.00000000
            USD
            43051611.64000000
            MXN
            2021-06-16
            64013.92000000
          
        
        
          N
          N
          N
        
      
      
        PROVINCIA DE BUENOS AIRE
        549300L6AYROPOTQ4L07
        
        000000000
        
          
          
        
        600000.00000000
        PA
        USD
        249496.80000000
        0.025364571566
        Long
        DBT
        NUSS
        AR
        N
        
        2
        
          2023-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Venture XXI CLO
        5493001C8B2BF8JNTO68
        
        92330MAL3
        
          
        
        3472029.55000000
        PA
        USD
        3471244.87000000
        0.352896866527
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-07-15
          Floating
          1.06375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        -194081.67000000
        -0.01973090800
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-01-02
            0.00000000
            USD
            0.00000000
            USD
            66744669.27000000
            BRL
            -194081.67000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -31609.24000000
        -0.00321348742
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -20861971.00000000
            ZAR
            1363884.09000000
            USD
            2021-12-23
            -31609.24000000
          
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        
        000000000
        
          
          
        
        1759000.00000000
        PA
        
        2477306.57000000
        0.251850203232
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2039-03-11
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        101754.42000000
        0.010344650786
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -15472655588.00000000
            COP
            4214485.65000000
            USD
            2021-06-16
            101754.42000000
          
        
        
          N
          N
          N
        
      
      
        SPEEDSTER BIDCO GMBH
        N/A
        
        000000000
        
          
        
        2400000.00000000
        PA
        
        2890810.12000000
        0.293888178817
        Long
        LON
        CORP
        DE
        N
        
        2
        
          2028-03-31
          Floating
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -35067.78000000
        -0.00356509268
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-07
            0.00000000
            USD
            0.00000000
            USD
            3710000.00000000
            USD
            -35067.78000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        5080.81000000
        0.000516529946
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -656000.00000000
            USD
            9620048000.00000000
            IDR
            2021-06-16
            5080.81000000
          
        
        
          N
          N
          N
        
      
      
        BOMBARDIER INC
        W7L3VLU8EHQY34Z36697
        
        097751BT7
        
          
          
        
        5675000.00000000
        PA
        USD
        5662380.16000000
        0.575654063710
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2027-04-15
          Fixed
          7.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        25735.02000000
        0.002616297109
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -127779540.70000000
            INR
            1736000.00000000
            USD
            2021-06-16
            25735.02000000
          
        
        
          N
          N
          N
        
      
      
        UNITED AIR 2013-1 A PTT
        N/A
        
        909319AA3
        
          
          
        
        1660811.85000000
        PA
        USD
        1728390.45000000
        0.175713208598
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVT OF BERMUDA
        549300FP5PUZXX9FVJ40
        
        085209AG9
        
          
          
        
        685000.00000000
        PA
        USD
        675537.05000000
        0.068677064596
        Long
        DBT
        NUSS
        BM
        N
        
        2
        
          2030-08-20
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIG HOLD BM/DIG INTL FIN
        N/A
        
        25381XAC7
        
          
          
        
        454369.45465900
        PA
        USD
        441894.65000000
        0.044924297524
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2026-12-31
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASCENT RESOURCES/ARU FIN
        N/A
        
        04364VAG8
        
          
          
        
        1225000.00000000
        PA
        USD
        1239860.40000000
        0.126047820444
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        N/A
        
        61746RDX6
        
          
          
        
        401295.17000000
        PA
        USD
        400706.07000000
        0.040736946483
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-10-25
          Floating
          1.12613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1760.68000000
        -0.00017899585
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -832037.00000000
            GBP
            1147705.02000000
            USD
            2021-08-31
            -1760.68000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG
        ANGGYXNX0JLX3X63JN86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4812.75000000
        0.000489278186
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Credit Suisse AG
              ANGGYXNX0JLX3X63JN86
            
            -2136934.80000000
            BRL
            396000.00000000
            USD
            2021-07-02
            4812.75000000
          
        
        
          N
          N
          N
        
      
      
        CODERE FINANCE 2 LUXEMBO
        2221005CUH65GSJUKB29
        
        000000000
        
          
          
        
        1216000.00000000
        PA
        
        1553405.53000000
        0.157923731834
        Long
        DBT
        CORP
        LU
        
        Y
        
        2
        
          2023-09-30
          Variable
          10.75000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -100090.17000000
        -0.01017545828
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1959296765.00000000
            CLP
            2655877.98000000
            USD
            2021-06-16
            -100090.17000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        40679.50000000
        0.004135596484
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -3071040.34000000
            USD
            16998361.85000000
            BRL
            2021-07-02
            40679.50000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -436.45000000
        -0.00004437077
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -1982000.00000000
            USD
            153565360.00000000
            RUB
            2021-11-22
            -436.45000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        67137.02000000
        0.006825345048
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -1414000.00000000
            USD
            8048488.00000000
            BRL
            2021-05-04
            67137.02000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        16000000.00000000
        NC
        USD
        177582.48000000
        0.018053552281
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  JPY
                  2022-05-27
                
              
            
            16000000.00000000
            USD
            103.00000000
            USD
            2022-05-27
            XXXX
            -174849.52000000
          
        
        
          N
          N
          N
        
      
      
        SASOL FINANCING INT
        N/A
        
        803865AA2
        
          
          
        
        3415000.00000000
        PA
        USD
        3496898.97000000
        0.355504937073
        Long
        DBT
        CORP
        IM
        
        N
        
        2
        
          2022-11-14
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -77304.04000000
        -0.00785895392
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -30953514.02000000
            TRY
            3571875.28000000
            USD
            2021-06-16
            -77304.04000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        
        61746BDZ6
        
          
          
        
        605000.00000000
        PA
        USD
        674661.03000000
        0.068588005851
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-27
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -17653.90000000
        -0.00179474690
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1904243.00000000
            BRL
            331000.00000000
            USD
            2021-06-30
            -17653.90000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
        
        -60000000.00000000
        NC
        USD
        -1280223.03000000
        -0.13015120300
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  BRL
                  N/A
                  USD
                  2022-09-28
                
              
            
            -60000000.00000000
            USD
            7.50000000
            USD
            2022-09-28
            XXXX
            640256.97000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -10583.98000000
        -0.00107599824
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -51301980.00000000
            RUB
            666000.00000000
            USD
            2021-06-30
            -10583.98000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
        
        -20600000.00000000
        NC
        USD
        -123705.98000000
        -0.01257631032
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  INR
                  N/A
                  USD
                  2022-02-23
                
              
            
            -20600000.00000000
            USD
            84.00000000
            USD
            2022-02-23
            XXXX
            73661.59000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN AXLE & MFG INC
        RY5TAKFOBLDUGX31MS24
        
        02406PAY6
        
          
          
        
        2200000.00000000
        PA
        USD
        2260950.87000000
        0.229854852445
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        Home Re 2018-1 Ltd.
        254900E6IUAJSN9WD709
        
        43730MAA6
        
          
        
        550439.21000000
        PA
        USD
        551799.29000000
        0.056097523420
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2028-10-25
          Floating
          1.70613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -5760.74000000
        -0.00058565361
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -3665182.25000000
            SGD
            2748007.00000000
            USD
            2021-06-16
            -5760.74000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO IL O'HARE INTERNATIONA
        N/A
        
        167593AN2
        
          
          
        
        360000.00000000
        PA
        USD
        528112.79000000
        0.053689484822
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-01-01
          Fixed
          6.39500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        
        55336VAL4
        
          
          
        
        145000.00000000
        PA
        USD
        170413.72000000
        0.017324755254
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-03-01
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Accredited Mortgage Loan Trust
        N/A
        
        004375BL4
        
          
        
        1494041.07000000
        PA
        USD
        1494781.22000000
        0.151963813685
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Floating
          1.30613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        31299.59000000
        0.003182007506
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -3396082020.00000000
            COP
            934000.00000000
            USD
            2021-06-16
            31299.59000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        6759.27000000
        0.000687167080
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -496797.15000000
            USD
            417000.00000000
            EUR
            2021-11-22
            6759.27000000
          
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        549300LENCFK8RITKD65
        
        05990PAA3
        
          
        
        897521.63000000
        PA
        USD
        909111.06000000
        0.092422878942
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-09-26
          Floating
          1.70538000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        71536.85000000
        0.007272644584
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                REPUBLIC OF CHILE
                Chile Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -1803.20000000
            USD
            3750000.00000000
            USD
            73340.05000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        170944.61000000
        0.017378727078
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -2499000.00000000
            EUR
            2304028.02000000
            GBP
            2021-08-31
            170944.61000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -235.37000000
        -0.00002392839
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -368000.00000000
            USD
            411129600.00000000
            KRW
            2021-06-30
            -235.37000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4593.07000000
        -0.00046694487
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -179467410.00000000
            INR
            2319000.00000000
            USD
            2022-02-25
            -4593.07000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        117075.84000000
        0.011902270980
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -3861000.00000000
            USD
            110463210.00000000
            TWD
            2021-06-30
            117075.84000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        161872.66000000
        0.016456446211
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -929272.95000000
            USD
            1415000.00000000
            AUD
            2022-01-28
            161872.66000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -188323.32000000
        -0.01914549736
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -54086321.00000000
            ZAR
            3515980.04000000
            USD
            2021-06-17
            -188323.32000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        141099.82000000
        0.014344618778
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -5011901.14000000
            USD
            5760617065.00000000
            KRW
            2021-06-30
            141099.82000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4177.73000000
        0.000424720203
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -1814129.87000000
            USD
            1509907.25000000
            EUR
            2021-07-19
            4177.73000000
          
        
        
          N
          N
          N
        
      
      
        LEVEL 3 FINANCING INC
        N/A
        
        527298BP7
        
          
          
        
        465000.00000000
        PA
        USD
        495358.71000000
        0.050359609624
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        10265.07000000
        0.001043576922
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1372561.20000000
            USD
            103548797.00000000
            INR
            2021-06-30
            10265.07000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -25022.20000000
        -0.00254382975
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -3266201.96000000
            ILS
            981000.00000000
            USD
            2021-06-16
            -25022.20000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        12.98000000
        0.000001319584
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -58118778.20000000
            THB
            1866000.00000000
            USD
            2021-06-16
            12.98000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        
        3137APPA2
        
          
        
        12090865.77000000
        PA
        USD
        52719.80000000
        0.005359648460
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-01-25
          Variable
          1.36689000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASHLAND LLC
        6O4MRU8C1MS0K34UQF79
        
        044209AM6
        
          
          
        
        4100000.00000000
        PA
        USD
        5156285.17000000
        0.524202972581
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-05-15
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PEOPLES UNITED BANK
        N4662XQCE3KKIZ6EZS08
        
        71270QEB8
        
          
          
        
        325000.00000000
        PA
        USD
        348648.18000000
        0.035444589722
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        
        00206RMC3
        
          
          
        
        929000.00000000
        PA
        USD
        857312.48000000
        0.087156884390
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2053-09-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        
        883556CE0
        
          
          
        
        825000.00000000
        PA
        
        1024206.87000000
        0.104123854304
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-10-01
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -8907.22000000
        -0.00090553393
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -22058040.00000000
            RUB
            282000.00000000
            USD
            2021-06-30
            -8907.22000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -577801.35000000
        -0.05874096859
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            -44623109.00000000
            ZAR
            2407115.60000000
            USD
            2021-12-23
            -577801.35000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -21012.71000000
        -0.00213621331
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                UNITED MEXICAN STATES
                Mexico Government International Bond
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2023-06-20
            9319.12000000
            USD
            0.00000000
            USD
            -1385000.00000000
            USD
            -30331.83000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        -79198.36000000
        -0.00805153601
        N/A
        DIR
        CORP
        GB
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2029-05-08
            0.00000000
            USD
            -111179.26000000
            USD
            -1425000.00000000
            GBP
            31980.90000000
          
        
        
          N
          N
          N
        
      
      
        BVRT_19-1F
        N/A
        
        000000000
        
          
        
        8975797.60000000
        PA
        USD
        8944382.31000000
        0.909311963987
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2021-09-15
          Floating
          3.99638000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIGICEL GROUP 0.5 LTD
        N/A
        
        25381YAD3
        
          
          
        
        801124.00000000
        PA
        USD
        783098.71000000
        0.079612096319
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2024-04-01
          Fixed
          10.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        481665.22000000
        0.048967489537
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -6265983.16000000
            USD
            43724030.52000000
            CNY
            2021-05-14
            481665.22000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1712444.59000000
        -0.17409210601
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -14233158.00000000
            AUD
            9253474.18000000
            USD
            2021-05-28
            -1712444.59000000
          
        
        
          N
          N
          N
        
      
      
        NEW JERSEY ST TURNPIKE AUTH
        5493005YN67D71KSMI84
        
        646139W35
        
          
          
        
        2000000.00000000
        PA
        USD
        3216319.88000000
        0.326980449351
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-01-01
          Fixed
          7.41400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -39437.17000000
        -0.00400929759
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -7734947.40000000
            BRL
            1384000.00000000
            USD
            2021-05-04
            -39437.17000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -33245.40000000
        -0.00337982422
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                PETROLEOS MEXICANOS
                PETROLEOS MEXICANOS
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -31854.35000000
            USD
            1165000.00000000
            USD
            -1391.05000000
          
        
        
          N
          N
          N
        
      
      
        CODERE FINANCE 2 LUXEMBO
        2221005CUH65GSJUKB29
        
        000000000
        
          
          
        
        246000.00000000
        PA
        
        314238.09000000
        0.031946359723
        Long
        DBT
        CORP
        LU
        
        Y
        
        2
        
          2023-09-30
          Fixed
          10.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KRAFT HEINZ FOODS CO
        5493003STKEZ2S0RNU91
        
        50077LAX4
        
          
          
        
        440000.00000000
        PA
        USD
        490283.98000000
        0.049843697788
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-10-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4723.47000000
        -0.00048020172
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -14853568000.00000000
            IDR
            1016000.00000000
            USD
            2021-06-16
            -4723.47000000
          
        
        
          N
          N
          N
        
      
      
        Penta CLO S.A.
        635400CJ99MQCYBUGV50
        
        000000000
        
          
        
        10000000.00000000
        PA
        
        12042914.20000000
        1.224317743114
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2035-04-20
          Floating
          1.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        
        29273RBF5
        
          
          
        
        55000.00000000
        PA
        USD
        58276.28000000
        0.005924536405
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-03-15
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOS ANGELES CA DEPT OF WTR & P
        N/A
        
        544525NZ7
        
          
          
        
        3610000.00000000
        PA
        USD
        4708919.88000000
        0.478722513856
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2039-07-01
          Fixed
          6.00800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRINCIPAL FINANCIAL GRP
        CUMYEZJOAF02RYZ1JJ85
        
        74251VAJ1
        
          
          
        
        975000.00000000
        PA
        USD
        1124291.02000000
        0.114298700576
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-05-15
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -39230.28000000
        -0.00398826455
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -7990078.00000000
            ZAR
            508000.00000000
            USD
            2021-06-17
            -39230.28000000
          
        
        
          N
          N
          N
        
      
      
        UBS Securities LLC
        T6FIZBDPKLYJKFCRVK44
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2192.61000000
        -0.00022290712
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              UBS Securities LLC
              T6FIZBDPKLYJKFCRVK44
            
            -1027765.20000000
            SGD
            770000.00000000
            USD
            2021-06-16
            -2192.61000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        
        060505FQ2
        
          
          
        
        5545000.00000000
        PA
        USD
        5697986.38000000
        0.579273895769
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
        
        216000000.00000000
        NC
        
        18.70000000
        0.000001901096
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Purchased
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2021-05-26
                
              
            
            216000000.00000000
            USD
            62.00000000
            AUD
            2021-05-26
            XXXX
            -3608937.83000000
          
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        
        912810RC4
        
          
          
        
        1855000.00000000
        PA
        USD
        2322228.13000000
        0.236084477220
        Long
        DBT
        UST
        US
        N
        
        2
        
          2043-08-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Romark CLO Ltd
        N/A
        
        77587EAA6
        
          
        
        5000000.00000000
        PA
        USD
        5000014.00000000
        0.508315990162
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-25
          Floating
          1.35075000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CAROLINAS
        MWIUSDMN17TCR56VW396
        
        26442CAN4
        
          
          
        
        50000.00000000
        PA
        USD
        57125.73000000
        0.005807568140
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-09-30
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        
        29273RBL2
        
          
          
        
        125000.00000000
        PA
        USD
        133623.77000000
        0.013584581754
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-04-15
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        -587158.16000000
        -0.05969220915
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2031-01-15
            0.00000000
            USD
            -151.00000000
            USD
            112300000.00000000
            MXN
            -587007.16000000
          
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        N/A
        
        75049UAA6
        
          
        
        1134553.65000000
        PA
        USD
        1134795.99000000
        0.115366666431
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-10-25
          Floating
          3.25613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSOCEAN INC
        DOL4HJ22ADYSIWES4H94
        
        893830BL2
        
          
          
        
        1500000.00000000
        PA
        USD
        1053492.78000000
        0.107101145235
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-02-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4560.43000000
        -0.00046362660
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -844635.08000000
            USD
            1090126.00000000
            AUD
            2021-07-20
            -4560.43000000
          
        
        
          N
          N
          N
        
      
      
        KKR Financial CLO Ltd
        549300PJRIGYUE3V5M12
        
        48250MAK3
        
          
        
        8000000.00000000
        PA
        USD
        8001880.80000000
        0.813494514618
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-15
          Floating
          1.36375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        72000000.00000000
        NC
        
        90090.02000000
        0.009158813899
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2022-01-26
                
              
            
            72000000.00000000
            USD
            63.00000000
            AUD
            2022-01-26
            XXXX
            -2107108.12000000
          
        
        
          N
          N
          N
        
      
      
        SoFi RR Funding II Trust
        N/A
        
        83405EAA4
        
          
        
        5855412.60000000
        PA
        USD
        5810943.08000000
        0.590757402977
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-11-29
          Floating
          1.35863000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4796.50000000
        0.000487626164
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -480000.00000000
            USD
            645249.60000000
            SGD
            2021-06-16
            4796.50000000
          
        
        
          N
          N
          N
        
      
      
        ARD FINANCE SA
        6354006P6QPGGPVJW880
        
        000000000
        
          
          
        
        3000000.00000000
        PA
        
        3688847.67000000
        0.375019001133
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2027-06-30
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        -49095.35000000
        -0.00499117631
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-02-14
            0.00000000
            USD
            0.00000000
            USD
            6000000.00000000
            NZD
            -49095.35000000
          
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan
        N/A
        
        64828FCQ3
        
          
        
        2516522.83000000
        PA
        USD
        2524360.79000000
        0.256633872324
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-01-25
          Floating
          0.85613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -79334.26000000
        -0.00806535200
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -3647274.33000000
            USD
            99074560.00000000
            TWD
            2021-06-30
            -79334.26000000
          
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        
        05607QBA5
        
          
        
        3991908.36000000
        PA
        USD
        3989512.42000000
        0.405585455568
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-15
          Floating
          2.61500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIGICEL GROUP 0.5 LTD
        N/A
        
        25381YAC5
        
          
          
        
        40695.00000000
        PA
        USD
        30012.56000000
        0.003051164287
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          N/A
          Fixed
          7.00000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -40078.70000000
        -0.00407451740
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -16723188.63000000
            CNY
            2540000.00000000
            USD
            2021-05-18
            -40078.70000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        216000000.00000000
        NC
        
        18.70000000
        0.000001901096
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Put
            Purchased
            
              
                
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2021-05-26
                
              
            
            216000000.00000000
            USD
            62.00000000
            AUD
            2021-05-26
            XXXX
            -9892314.74000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        191193.63000000
        0.019437301444
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -164717020.00000000
            TWD
            6185393.17000000
            USD
            2021-09-30
            191193.63000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        66900000.00000000
        NC
        
        8701488.85000000
        0.884618707203
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  JPY
                  N/A
                  AUD
                  2021-05-26
                
              
            
            66900000.00000000
            USD
            70.00000000
            AUD
            2021-05-26
            XXXX
            6940380.23000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -135950.59000000
        -0.01382113305
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                IHS MARKIT LTD
                CMBX.NA.13.AAA
                
                  
                  
                
              
            
            Y
            Default Event
            
            2072-12-16
            704251.15000000
            USD
            0.00000000
            USD
            -25000000.00000000
            USD
            -840201.74000000
          
        
        
          N
          N
          N
        
      
      
        Oportun Funding LLC
        N/A
        
        68376PAC1
        
          
        
        2000000.00000000
        PA
        USD
        2014947.80000000
        0.204845463649
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-10-08
          Fixed
          5.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Secu
        N/A
        
        46642EBB1
        
          
        
        45056000.00000000
        PA
        USD
        521451.11000000
        0.053012239025
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-08-15
          Variable
          0.46850800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        6196.08000000
        0.000629911544
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -706000.00000000
            USD
            4630129.15000000
            CNY
            2021-06-30
            6196.08000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        81292.22000000
        0.008264403920
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                REPUBLIC OF INDONESIA
                Indonesia Government International Bond
                
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -2404.30000000
            USD
            5000000.00000000
            USD
            83696.52000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -108113.33000000
        -0.01099111610
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -8706028.80000000
            CNY
            1228000.00000000
            USD
            2021-07-30
            -108113.33000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        6309.24000000
        0.000641415719
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -627000.00000000
            USD
            842915.60000000
            SGD
            2021-06-16
            6309.24000000
          
        
        
          N
          N
          N
        
      
      
        MONG DUONG FIN HLDGS BV
        549300995KGQFMWSV879
        
        000000000
        
          
          
        
        1995000.00000000
        PA
        USD
        2010391.62000000
        0.204382269116
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2029-05-07
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
        
        -69000000.00000000
        NC
        USD
        -150189.28000000
        -0.01526867976
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Written
            
              
                
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2022-02-23
                
              
            
            -69000000.00000000
            USD
            31.50000000
            USD
            2022-02-23
            XXXX
            2287869.83000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -7422.31000000
        -0.00075457365
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -600000.00000000
            USD
            768960.65000000
            AUD
            2021-07-20
            -7422.31000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
        
        -35500000.00000000
        NC
        USD
        -20963.46000000
        -0.00213120641
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  INR
                  N/A
                  USD
                  2021-09-28
                
              
            
            -35500000.00000000
            USD
            88.00000000
            USD
            2021-09-28
            XXXX
            352496.54000000
          
        
        
          N
          N
          N
        
      
      
        TENET HEALTHCARE CORP
        0W9AIBT6U6ADJ2I8HK17
        
        88033GCX6
        
          
          
        
        25000.00000000
        PA
        USD
        26212.57000000
        0.002664846233
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        
        000000000
        
          
          
        
        295000.00000000
        PA
        
        351993.99000000
        0.035784734514
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2029-02-26
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        5540.25000000
        0.000563237955
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -384000.00000000
            USD
            2127552.00000000
            BRL
            2021-06-30
            5540.25000000
          
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        
        161175AZ7
        
          
          
        
        2640000.00000000
        PA
        USD
        3439116.73000000
        0.349630626213
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-10-23
          Fixed
          6.38400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        -8987.07000000
        -0.00091365171
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-08-03
            0.00000000
            USD
            -102.85000000
            USD
            7000000.00000000
            ZAR
            -8884.22000000
          
        
        
          N
          N
          N
        
      
      
        ROCKIES EXPRESS PIPELINE
        W2ZGZGZKY5GGNY6F3V51
        
        77340RAM9
        
          
          
        
        1850000.00000000
        PA
        USD
        1993092.17000000
        0.202623556629
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-15
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -145817.46000000
        -0.01482422780
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -29000000.00000000
            EUR
            34777467.00000000
            USD
            2021-07-19
            -145817.46000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        101861.30000000
        0.010355516518
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-01-02
            0.00000000
            USD
            0.00000000
            USD
            21128405.65000000
            BRL
            101861.30000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        83371.67000000
        0.008475806865
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -287717800.00000000
            RUB
            3796000.00000000
            USD
            2021-11-22
            83371.67000000
          
        
        
          N
          N
          N
        
      
      
        AETNA INC
        549300QKBENKLBXQ8968
        
        008117AP8
        
          
          
        
        450000.00000000
        PA
        USD
        463077.39000000
        0.047077796586
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -357335.87000000
        -0.03632780559
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -116826453.00000000
            ZAR
            7643959.37000000
            USD
            2021-06-17
            -357335.87000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG
        ANGGYXNX0JLX3X63JN86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -18560.24000000
        -0.00188688807
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Credit Suisse AG
              ANGGYXNX0JLX3X63JN86
            
            -50881778.00000000
            TWD
            1811000.00000000
            USD
            2021-06-16
            -18560.24000000
          
        
        
          N
          N
          N
        
      
      
        UNITED AIRLINES INC
        K1OQBWM7XEOO08LDNP29
        
        90932LAG2
        
          
          
        
        645000.00000000
        PA
        USD
        669206.01000000
        0.068033432625
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        16473.72000000
        0.001674766369
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -196271264.00000000
            JPY
            1813608.69000000
            USD
            2021-07-19
            16473.72000000
          
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        
        958254AJ3
        
          
          
        
        910000.00000000
        PA
        USD
        936689.69000000
        0.095226602815
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-01
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        -163684.19000000
        -0.01664061162
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2033-01-03
            0.00000000
            USD
            -49.46000000
            USD
            28860000.00000000
            MXN
            -163634.73000000
          
        
        
          N
          N
          N
        
      
      
        Specialty Underwriting & Resid
        N/A
        
        84751PCK3
        
          
          
        
        1260947.79000000
        PA
        USD
        1253132.18000000
        0.127397068264
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-25
          Floating
          0.93113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIGICEL LTD
        N/A
        
        25380QAH2
        
          
          
        
        2050000.00000000
        PA
        USD
        1934595.15000000
        0.196676579152
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2023-03-01
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US CONCRETE INC
        549300J94Q38BL8BMH45
        
        90333LAP7
        
          
          
        
        1573000.00000000
        PA
        USD
        1604230.09000000
        0.163090704675
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-01
          Fixed
          6.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        133975.04000000
        0.013620292886
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-02-28
            0.00000000
            USD
            -27215.35000000
            USD
            99200000.00000000
            ZAR
            161190.39000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        61758.17000000
        0.006278515486
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -1335000.00000000
            USD
            20393985.99000000
            ZAR
            2021-06-17
            61758.17000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        70494.27000000
        0.007166652864
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                PHILIPPINE GOVERNMENT INTERNATIONAL BOND
                PHILIPPINE GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -1803.20000000
            USD
            3750000.00000000
            USD
            72297.47000000
          
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        
        125523AH3
        
          
          
        
        3990000.00000000
        PA
        USD
        4568349.02000000
        0.464431670693
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        14823.20000000
        0.001506969697
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -3183000.00000000
            USD
            242480940.00000000
            INR
            2021-09-30
            14823.20000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1205.60000000
        0.000122564808
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -497362.76000000
            USD
            3290552.00000000
            CNY
            2022-01-28
            1205.60000000
          
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        
        912810RK6
        
          
          
        
        3505000.00000000
        PA
        USD
        3659439.06000000
        0.372029236163
        Long
        DBT
        UST
        US
        N
        
        2
        
          2045-02-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -30274.88000000
        -0.00307783250
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -866000.00000000
            USD
            3161258.40000000
            PEN
            2021-06-16
            -30274.88000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        23024.59000000
        0.002340746898
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -179224050.00000000
            JPY
            1664235.80000000
            USD
            2021-07-30
            23024.59000000
          
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Secu
        N/A
        
        07384YEM4
        
          
          
        
        561795.54000000
        PA
        USD
        558971.28000000
        0.056826648818
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-10-25
          Floating
          0.76613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -10199.79000000
        -0.00103694036
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -10247596.60000000
            MXN
            493000.00000000
            USD
            2021-06-16
            -10199.79000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
        
        -30000000.00000000
        NC
        USD
        -123973.24000000
        -0.01260348075
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Written
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  CNY
                  N/A
                  USD
                  2022-09-28
                
              
            
            -30000000.00000000
            USD
            7.60000000
            USD
            2022-09-28
            XXXX
            89008.76000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -5033981.82000000
        -0.51176925770
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA CORP
              9DJT3UXIJIZJI4WXO774
            
            -24023000.00000000
            USD
            104687468.60000000
            BRL
            2021-09-30
            -5033981.82000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1265.15000000
        0.000128618834
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -862818.56000000
            USD
            625000.00000000
            GBP
            2022-01-28
            1265.15000000
          
        
        
          N
          N
          N
        
      
      
        20 TSQ GroundCo LLC
        N/A
        
        90137LAQ3
        
          
        
        2700000.00000000
        PA
        USD
        2399794.29000000
        0.243970079025
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-15
          Variable
          3.20323000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRINKER INTERNATIONAL IN
        52990067JY6PBGJNTG76
        
        109641AH3
        
          
          
        
        1000000.00000000
        PA
        USD
        1047240.37000000
        0.106465507019
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        
        000000000
        
          
          
        
        350000.00000000
        PA
        USD
        384807.38000000
        0.039120639339
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2024-02-01
          Fixed
          8.99400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        12549.71000000
        0.001275840080
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1027639.26000000
            USD
            863000.00000000
            EUR
            2021-08-31
            12549.71000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        11887.20000000
        0.001208487383
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -1485000.00000000
            USD
            9702311.40000000
            CNY
            2021-05-18
            11887.20000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -21240.29000000
        -0.00215934976
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                UNITED MEXICAN STATES
                Mexico Government International Bond
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2023-06-20
            3796.08000000
            USD
            0.00000000
            USD
            -1400000.00000000
            USD
            -25036.37000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -446048.56000000
        -0.04534659611
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -303737172.46000000
            MXN
            13188761.29000000
            USD
            2023-04-28
            -446048.56000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        -142917.39000000
        -0.01452939823
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-01-02
            0.00000000
            USD
            0.00000000
            USD
            24232753.88000000
            BRL
            -142917.39000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        27000000.00000000
        NC
        
        1.12000000
        0.000000113862
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2021-05-17
                
              
            
            27000000.00000000
            USD
            65.00000000
            AUD
            2021-05-17
            XXXX
            -2079.91000000
          
        
        
          N
          N
          N
        
      
      
        GEORGIA-PACIFIC LLC
        L2EVHWFHVAQK72TMH265
        
        373298BN7
        
          
        
        400000.00000000
        PA
        USD
        508363.79000000
        0.051681743946
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-01
          Fixed
          7.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVELOPMENT BANK BELARUS
        253400D4JRB0M70A0687
        
        25161EAA9
        
          
          
        
        1505000.00000000
        PA
        USD
        1471520.09000000
        0.149599019441
        Long
        DBT
        NUSS
        BY
        N
        
        2
        
          2024-05-02
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IVORY COAST
        254900ICW11T82O6H590
        
        221625AP1
        
          
          
        
        1650000.00000000
        PA
        
        2226717.28000000
        0.226374565950
        Long
        DBT
        NUSS
        CI
        N
        
        2
        
          2025-06-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        16148.98000000
        0.001641752354
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -1107000.00000000
            USD
            16399033.89000000
            ZAR
            2021-06-17
            16148.98000000
          
        
        
          N
          N
          N
        
      
      
        HELLENIC REPUBLIC
        2138003EKTMKZ5598902
        
        000000000
        
          
          
        
        5485000.00000000
        PA
        
        9345104.56000000
        0.950050555376
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2034-07-17
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -10882.62000000
        -0.00110635885
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -330000.00000000
            USD
            1200563100.00000000
            COP
            2021-06-16
            -10882.62000000
          
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certi
        N/A
        
        126673KY7
        
          
          
        
        293748.25000000
        PA
        USD
        294899.13000000
        0.029980304707
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-25
          Floating
          1.15613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eagle Re 2018-1 Ltd.
        549300BLEDGL5R7YKU33
        
        269826AA1
        
          
        
        1892707.52000000
        PA
        USD
        1901532.65000000
        0.193315349079
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-11-25
          Floating
          1.80613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        10072.90000000
        0.001024040360
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -1170000.00000000
            USD
            36755022.50000000
            THB
            2021-06-16
            10072.90000000
          
        
        
          N
          N
          N
        
      
      
        UBS Securities LLC
        T6FIZBDPKLYJKFCRVK44
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1205.45000000
        0.000122549558
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              UBS Securities LLC
              T6FIZBDPKLYJKFCRVK44
            
            -386000.00000000
            USD
            2509733.40000000
            CNY
            2021-05-18
            1205.45000000
          
        
        
          N
          N
          N
        
      
      
        RANGE RESOURCES CORP
        H3Y3WLYCX0BTO1TRW162
        
        75281ABG3
        
          
          
        
        2850000.00000000
        PA
        USD
        3127985.35000000
        0.318000103679
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-01
          Fixed
          9.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCIENTIFIC GAMES INTERNA
        RLTHESQ0RNFQJWPBJN60
        
        80874YBA7
        
          
          
        
        450000.00000000
        PA
        USD
        486205.63000000
        0.049429080845
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          8.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TALLGRASS NRG PRTNR/FIN
        N/A
        
        87470LAH4
        
          
          
        
        125000.00000000
        PA
        USD
        136411.40000000
        0.013867980341
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2122.58000000
        0.000215787666
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -849425.72000000
            USD
            92577975.00000000
            JPY
            2022-05-31
            2122.58000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        44052.89000000
        0.004478545140
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -2639295.23000000
            USD
            54736813.31000000
            MXN
            2021-06-30
            44052.89000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        -20000000.00000000
        NC
        USD
        -84518.83000000
        -0.00859243049
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  TWD
                  2021-12-21
                
              
            
            -20000000.00000000
            USD
            25.80000000
            USD
            2021-12-21
            XXXX
            -24058.83000000
          
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        
        000000000
        
          
          
        
        250000.00000000
        PA
        
        303931.81000000
        0.030898593272
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2028-02-21
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -6978.96000000
        -0.00070950140
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                UNITED MEXICAN STATES
                Mexico Government International Bond
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2023-06-20
            3182.58000000
            USD
            0.00000000
            USD
            -460000.00000000
            USD
            -10161.54000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -26492.17000000
        -0.00269327118
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -12006580.00000000
            BRL
            2178064.40000000
            USD
            2021-05-28
            -26492.17000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
        
        30000000.00000000
        NC
        USD
        1776741.30000000
        0.180628696874
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  BRL
                  N/A
                  USD
                  2022-09-28
                
              
            
            30000000.00000000
            USD
            6.20000000
            USD
            2022-09-28
            XXXX
            -414428.70000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        248811.40000000
        0.025294891805
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -2005106.83000000
            USD
            47307087.00000000
            MXN
            2022-02-25
            248811.40000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORPORATION
        9DJT3UXIJIZJI4WXO774
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        26238.30000000
        0.002667462020
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA CORPORATION
              9DJT3UXIJIZJI4WXO774
            
            
              
                BOEING CO/THE
                BOEING CO/THE
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2021-12-20
            18243.34000000
            USD
            0.00000000
            USD
            5300000.00000000
            USD
            7994.96000000
          
        
        
          N
          N
          N
        
      
      
        ESKOM HOLDINGS SOC LTD
        3789001900ED06F65111
        
        29646AAB2
        
          
          
        
        2145000.00000000
        PA
        USD
        2250643.72000000
        0.228806997547
        Long
        DBT
        CORP
        ZA
        N
        
        2
        
          2025-02-11
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493007222WHFWMBOC78
        
        35563KAH3
        
          
          
        
        700488.31000000
        PA
        USD
        714997.59000000
        0.072688738056
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-01-25
          Floating
          2.75613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNIV OF CALIFORNIA CA REVENUES
        N/A
        
        91412GXE0
        
          
        
        625000.00000000
        PA
        USD
        706837.51000000
        0.071859160550
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2045-05-15
          Fixed
          3.93100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        
        000000000
        
          
          
        
        805000.00000000
        PA
        
        1007823.78000000
        0.102458301644
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2026-09-18
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        
        056054AL3
        
          
        
        6254399.63000000
        PA
        USD
        6254391.50000000
        0.635839661286
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          2.76500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Specialty Underwriting & Resid
        N/A
        
        84751PBK4
        
          
        
        631613.79000000
        PA
        USD
        628940.30000000
        0.063939903237
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-25
          Floating
          1.00613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4759.57000000
        0.000483871752
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -771000.00000000
            USD
            37710190.00000000
            PHP
            2021-06-16
            4759.57000000
          
        
        
          N
          N
          N
        
      
      
        ILLINOIS ST
        54930048FV8RWPR02D67
        
        452151LF8
        
          
          
        
        865000.00000000
        PA
        USD
        982354.56000000
        0.099869026538
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-06-01
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -933.86000000
        -0.00009493892
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -259000.00000000
            USD
            978219.69000000
            PLN
            2021-07-19
            -933.86000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        6442.55000000
        0.000654968402
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -847383.05000000
            USD
            4663339.30000000
            BRL
            2021-06-30
            6442.55000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1031303.31000000
        0.104845299069
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -6279171.30000000
            USD
            9488593.00000000
            AUD
            2021-05-28
            1031303.31000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        2200.30000000
        0.000223688908
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                REPUBLIC OF SOUTH AFRICA GOVERNMENT INTERNATIONAL BOND
                REPUBLIC OF SOUTH AFRICA GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -5409.63000000
            USD
            11250000.00000000
            USD
            7609.93000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -72382.08000000
        -0.00735857312
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -962000.00000000
            GBP
            1256266.18000000
            USD
            2021-05-28
            -72382.08000000
          
        
        
          N
          N
          N
        
      
      
        COOPER-STANDARD AUTOMOTI
        ITCH5B3Q4RTX2PH9UN62
        
        216762AF1
        
          
          
        
        1800000.00000000
        PA
        USD
        1567335.33000000
        0.159339875885
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-15
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
        
        26250000.00000000
        NC
        
        39032.03000000
        0.003968109884
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  EUR
                  2021-11-18
                
              
            
            26250000.00000000
            USD
            1.31000000
            EUR
            2021-11-18
            XXXX
            6492.62000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        12111.49000000
        0.001231289358
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -450682.01000000
            USD
            6737696.00000000
            ZAR
            2021-05-28
            12111.49000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -17565.97000000
        -0.00178580768
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -6180688.80000000
            CNY
            936000.00000000
            USD
            2021-05-18
            -17565.97000000
          
        
        
          N
          N
          N
        
      
      
        BRAZIL MINAS SPE
        N/A
        
        000000000
        
          
          
        
        2303000.00000000
        PA
        USD
        2494789.23000000
        0.253627541381
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-02-15
          Fixed
          5.33300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        91869.25000000
        0.009339695604
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2025-07-07
            0.00000000
            USD
            -5164.81000000
            USD
            -126900000.00000000
            ZAR
            97034.06000000
          
        
        
          N
          N
          N
        
      
      
        Retiro Mortgage Securities
        635400CU9HBU644YSL41
        
        000000000
        
          
        
        1965000.00000000
        PA
        
        2344731.44000000
        0.238372229275
        Long
        ABS-MBS
        CORP
        IE
        
        N
        
        2
        
          2075-07-30
          Floating
          1.46400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        
        00206RME9
        
          
          
        
        318000.00000000
        PA
        USD
        293663.25000000
        0.029854661546
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2059-09-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG
        ANGGYXNX0JLX3X63JN86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        12092.10000000
        0.001229318114
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Credit Suisse AG
              ANGGYXNX0JLX3X63JN86
            
            -56625800.00000000
            INR
            770000.00000000
            USD
            2021-06-16
            12092.10000000
          
        
        
          N
          N
          N
        
      
      
        UBS-Barclays Commercial Mortga
        549300G1IXWLFE766Q13
        
        90349GAJ4
        
          
        
        140883000.00000000
        PA
        USD
        1005411.53000000
        0.102213065282
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-04-10
          Variable
          0.46867800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -34332.96000000
        -0.00349038873
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -7524346.97000000
            ZAR
            481000.00000000
            USD
            2021-06-17
            -34332.96000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3491.99000000
        -0.00035500587
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -2727533.73000000
            USD
            15244186.00000000
            BRL
            2022-01-28
            -3491.99000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -98793.79000000
        -0.01004366451
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-01-13
            0.00000000
            USD
            0.00000000
            USD
            2650000.00000000
            USD
            -98793.79000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        
        06051GHM4
        
          
          
        
        1450000.00000000
        PA
        USD
        1646075.00000000
        0.167344780136
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-23
          Fixed
          4.27100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Securities LLC
        T6FIZBDPKLYJKFCRVK44
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -10477.67000000
        -0.00106519045
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              UBS Securities LLC
              T6FIZBDPKLYJKFCRVK44
            
            -599745200.00000000
            KRW
            526000.00000000
            USD
            2021-06-16
            -10477.67000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -17104.77000000
        -0.00173892075
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -16100625.00000000
            MXN
            750000.00000000
            USD
            2022-02-25
            -17104.77000000
          
        
        
          N
          N
          N
        
      
      
        20 TSQ GroundCo LLC
        N/A
        
        90137LAN0
        
          
        
        2700000.00000000
        PA
        USD
        2475226.62000000
        0.251638749456
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-15
          Variable
          3.20323000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTELSAT JACKSON HLDG
        8XJ8KF85PBKK1TLMFN29
        
        45824TAP0
        
          
          
        
        2000000.00000000
        PA
        USD
        1226638.36000000
        0.124703629336
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2023-08-01
          Fixed
          5.50000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH COS INC
        B3BS7ACMDUWISF18KY76
        
        071734AH0
        
          
          
        
        400000.00000000
        PA
        USD
        405904.45000000
        0.041265428939
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2028-01-30
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -8302.35000000
        -0.00084404108
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -5749049.64000000
            MXN
            274000.00000000
            USD
            2021-06-16
            -8302.35000000
          
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        
        1248EPCD3
        
          
          
        
        1300000.00000000
        PA
        USD
        1356463.06000000
        0.137901986567
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        
        86765BAV1
        
          
          
        
        60000.00000000
        PA
        USD
        65153.30000000
        0.006623674294
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-10-01
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PUERTO RICO SALES TAX FING COR
        N/A
        
        74529JPW9
        
          
          
        
        5846000.00000000
        PA
        USD
        6490053.70000000
        0.659797767111
        Long
        DBT
        MUN
        US
        
        N
        
        2
        
          2053-07-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
        
        10000000.00000000
        NC
        USD
        1399.73000000
        0.000142300629
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Purchased
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ILS
                  N/A
                  USD
                  2021-07-26
                
              
            
            10000000.00000000
            USD
            3.80000000
            USD
            2021-07-26
            XXXX
            -850.27000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SA
        QHSFEYI7HUOXXZ413E03
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        10509.59000000
        0.001068435537
        N/A
        DCR
        CORP
        FR
        
        N
        
        2
        
          
            
              BNP PARIBAS SA
              QHSFEYI7HUOXXZ413E03
            
            
              
                REPUBLIC OF SERBIA
                Serbia International Bond
                
                  
                  
                
              
            
            Y
            
            Default Event
            2021-06-20
            4231.08000000
            USD
            0.00000000
            USD
            5000000.00000000
            USD
            6278.51000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        
        38141GWZ3
        
          
          
        
        135000.00000000
        PA
        USD
        152808.88000000
        0.015534995930
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-01
          Fixed
          4.22300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OneMain Financial Issuance Tru
        549300KQ3WN93FBBU117
        
        68267LAD0
        
          
        
        700000.00000000
        PA
        USD
        701559.04000000
        0.071322535911
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2032-09-14
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Elevation CLO Ltd
        N/A
        
        28622PAA1
        
          
        
        2500000.00000000
        PA
        USD
        2501841.75000000
        0.254344521111
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-07-15
          Floating
          1.46375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -237.13000000
        -0.00002410732
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -377000.00000000
            USD
            488940.48000000
            AUD
            2021-06-30
            -237.13000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        -10.00000000
        NC
        USD
        0.00000000
        0.000000
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                FEDERAL RESERVE BANK OF NEW YORK
                30 DAY FEDERAL FUNDS
                
                  
                  
                  
                
              
            
            2022-04-29
            -4002183.50000000
            USD
            0.00000000
          
        
        
          N
          N
          N
        
      
      
        UNIV OF CALIFORNIA CA REVENUES
        N/A
        
        91412GXY6
        
          
        
        675000.00000000
        PA
        USD
        793064.23000000
        0.080625220116
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2045-05-15
          Fixed
          4.13100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pnmac Gmsr Issuer Trust
        N/A
        
        69354WAD8
        
          
        
        3400000.00000000
        PA
        USD
        3383653.14000000
        0.343992036067
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-08-25
          Floating
          2.75613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HPCL-MITTAL ENERGY LTD
        3358008CSQJBZUGQXP26
        
        000000000
        
          
          
        
        978000.00000000
        PA
        USD
        1006177.18000000
        0.102290903491
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2027-04-28
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        MAGELLAN MIDSTREAM PARTN
        MZF5TI8NFVZZNUSKDL39
        
        559080AF3
        
          
          
        
        125000.00000000
        PA
        USD
        127748.55000000
        0.012987289772
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-12-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -13638.55000000
        -0.00138653472
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-09
            0.00000000
            USD
            0.00000000
            USD
            1050000.00000000
            USD
            -13638.55000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -393986.79000000
        -0.04005384490
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -3582000.00000000
            AUD
            257959191.00000000
            JPY
            2022-01-28
            -393986.79000000
          
        
        
          N
          N
          N
        
      
      
        GOHL CAPITAL LTD
        254900TF7OK6KSDZA888
        
        000000000
        
          
          
        
        1510000.00000000
        PA
        USD
        1595729.04000000
        0.162226463165
        Long
        DBT
        CORP
        IM
        
        N
        
        2
        
          2027-01-24
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        60617.42000000
        0.006162543518
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -11450300.50000000
            PEN
            3087672.64000000
            USD
            2021-06-16
            60617.42000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -5564.68000000
        -0.00056572158
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                PETROLEOS MEXICANOS
                PETROLEOS MEXICANOS
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -5328.88000000
            USD
            195000.00000000
            USD
            -235.80000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS CAPITAL INC.
        AC28XWWI3WIBK2824319
        
        000000000
        
          
        
        39000000.00000000
        NC
        USD
        617198.82000000
        0.062746230173
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS CAPITAL INC.
              AC28XWWI3WIBK2824319
            
            Call
            Purchased
            
              
                
                  
                    BARCLAYS CAPITAL INC.
                    AC28XWWI3WIBK2824319
                  
                  
                    BARCLAYS CAPITAL INC.
                    AC28XWWI3WIBK2824319
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  JPY
                  N/A
                  USD
                  2023-10-27
                
              
            
            39000000.00000000
            USD
            115.00000000
            USD
            2023-10-27
            XXXX
            123375.36000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -6978.96000000
        -0.00070950140
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                UNITED MEXICAN STATES
                Mexico Government International Bond
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2023-06-20
            3471.82000000
            USD
            0.00000000
            USD
            -460000.00000000
            USD
            -10450.78000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        2549002JVH34IWRT3X93
        
        07877DAC0
        
          
        
        260228.83000000
        PA
        USD
        260228.91000000
        0.026455629135
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2028-08-25
          Floating
          1.70613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OZLM Ltd
        N/A
        
        67108LAY9
        
          
        
        4000000.00000000
        PA
        USD
        3969534.80000000
        0.403554472517
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-17
          Floating
          1.93975000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        20600000.00000000
        NC
        USD
        0.00000000
        0.000000
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  INR
                  N/A
                  USD
                  2021-05-04
                
              
            
            20600000.00000000
            USD
            92.00000000
            USD
            2021-05-04
            XXXX
            -7127.60000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3019.06000000
        -0.00030692643
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -205944.00000000
            EUR
            244898.39000000
            USD
            2021-06-30
            -3019.06000000
          
        
        
          N
          N
          N
        
      
      
        CEMEX SAB DE CV
        549300RIG2CXWN6IV731
        
        151290BV4
        
          
          
        
        1180000.00000000
        PA
        USD
        1294560.84000000
        0.131608826537
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2029-11-19
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HARTFORD FINL SVCS GRP
        IU7C3FTM7Y3BQM112U94
        
        416515AS3
        
          
          
        
        215000.00000000
        PA
        USD
        286405.67000000
        0.029116834819
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-10-15
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADIENT GLOBAL HOLDINGS
        213800VA38VCKE6M8790
        
        00687YAA3
        
          
          
        
        1900000.00000000
        PA
        USD
        1947656.33000000
        0.198004416763
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2026-08-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oportun Funding LLC
        N/A
        
        68376PAB3
        
          
        
        1300000.00000000
        PA
        USD
        1312032.41000000
        0.133385037244
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-10-08
          Fixed
          4.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Secu
        N/A
        
        073879NZ7
        
          
          
        
        762414.24000000
        PA
        USD
        764524.98000000
        0.077723836815
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-12-25
          Floating
          1.68113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -20413.30000000
        -0.00207527554
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1263000.00000000
            AUD
            953615.52000000
            USD
            2022-05-31
            -20413.30000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -10569.02000000
        -0.00107447736
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -92612292.00000000
            INR
            1229000.00000000
            USD
            2021-06-16
            -10569.02000000
          
        
        
          N
          N
          N
        
      
      
        UBS Securities LLC
        T6FIZBDPKLYJKFCRVK44
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1380.68000000
        0.000140363951
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              UBS Securities LLC
              T6FIZBDPKLYJKFCRVK44
            
            -3023635.00000000
            CNY
            467871.64000000
            USD
            2021-05-18
            1380.68000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
        
        -39000000.00000000
        NC
        USD
        -617198.82000000
        -0.06274623017
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  JPY
                  N/A
                  USD
                  2023-10-27
                
              
            
            -39000000.00000000
            USD
            115.00000000
            USD
            2023-10-27
            XXXX
            -77204.82000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3173.41000000
        0.000322618105
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -65676660.00000000
            JPY
            502000.00000000
            EUR
            2021-07-19
            3173.41000000
          
        
        
          N
          N
          N
        
      
      
        AES PANAMA GENERATION HL
        N/A
        
        00109AAB3
        
          
          
        
        1065000.00000000
        PA
        USD
        1103805.60000000
        0.112216093097
        Long
        DBT
        CORP
        PA
        N
        
        2
        
          2030-05-31
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LYB INTL FINANCE BV
        549300J6QSW38QNOJK61
        
        50247VAB5
        
          
          
        
        175000.00000000
        PA
        USD
        217666.59000000
        0.022128619684
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2043-07-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2417.71000000
        0.000245791442
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -271000.00000000
            USD
            1034244.40000000
            PEN
            2021-06-16
            2417.71000000
          
        
        
          N
          N
          N
        
      
      
        DBWF Mortgage Trust
        N/A
        
        23307CAL9
        
          
        
        15500000.00000000
        PA
        USD
        15093405.55000000
        1.534439580984
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-10
          Variable
          3.93503700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        -175567.60000000
        -0.01784871371
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-07-07
            0.00000000
            USD
            -2963.86000000
            USD
            114100000.00000000
            ZAR
            -172603.74000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
        
        -38250000.00000000
        NC
        USD
        -804.86000000
        -0.00008182441
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ILS
                  N/A
                  USD
                  2021-06-28
                
              
            
            -38250000.00000000
            USD
            3.95000000
            USD
            2021-06-28
            XXXX
            214925.14000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        9021.69000000
        0.000917171288
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -254000.00000000
            USD
            1429258.00000000
            BRL
            2021-05-04
            9021.69000000
          
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        
        000000000
        
          
          
        
        800000.00000000
        PA
        
        1196309.97000000
        0.121620356851
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2029-10-01
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        155515.82000000
        0.015810191337
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -351561412.80000000
            RUB
            4792000.00000000
            USD
            2021-06-30
            155515.82000000
          
        
        
          N
          N
          N
        
      
      
        Fremont Home Loan Trust
        N/A
        
        35729PGT1
        
          
        
        2068778.00000000
        PA
        USD
        2040764.26000000
        0.207470040186
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-03-25
          Floating
          0.90113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        6562500.00000000
        NC
        
        126633.09000000
        0.012873888859
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  EUR
                  2021-11-18
                
              
            
            6562500.00000000
            USD
            1.21000000
            EUR
            2021-11-18
            XXXX
            -22225.72000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        275134.75000000
        0.027971000256
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                CHINA GOVERNMENT INTERNATIONAL BOND
                CHINA GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -6611.79000000
            USD
            13750000.00000000
            USD
            281746.54000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3782.15000000
        0.000384504387
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -302000.00000000
            USD
            4464707.60000000
            ZAR
            2021-06-17
            3782.15000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        
        61744YAP3
        
          
          
        
        1750000.00000000
        PA
        USD
        1933412.34000000
        0.196556331242
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-24
          Fixed
          3.77200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ARGENTINA
        549300KPBYGYF7HCHO27
        
        040114HS2
        
          
          
        
        1155084.00000000
        PA
        USD
        412018.08000000
        0.041886958376
        Long
        DBT
        NUSS
        AR
        N
        
        2
        
          2030-07-09
          Variable
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
        
        37000000.00000000
        NC
        
        64.38000000
        0.000006545058
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  GBP
                  N/A
                  USD
                  2021-05-26
                
              
            
            37000000.00000000
            USD
            1.22000000
            GBP
            2021-05-26
            XXXX
            -1260842.75000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        8031.37000000
        0.000816492472
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -3196000.00000000
            USD
            20767436.60000000
            CNY
            2021-05-18
            8031.37000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN CHASE & CO.
        8I5DZWZKVSZI1NUHU748
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -471501.78000000
        -0.04793424461
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN CHASE & CO.
              8I5DZWZKVSZI1NUHU748
            
            -43724030.52000000
            CNY
            6276146.60000000
            USD
            2021-05-14
            -471501.78000000
          
        
        
          N
          N
          N
        
      
      
        Chesapeake Energy Corp
        X2MT1W32SPAZ9WSKLE78
        
        165167735
        
          
          
        
        252027.00000000
        NS
        USD
        11484870.39000000
        1.167585383597
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        -38250000.00000000
        NC
        USD
        -7291.67000000
        -0.00074129241
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ILS
                  N/A
                  USD
                  2021-06-28
                
              
            
            -38250000.00000000
            USD
            3.60000000
            USD
            2021-06-28
            XXXX
            314673.88000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        49595.06000000
        0.005041978288
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -39747060.00000000
            TWD
            1509000.00000000
            USD
            2021-12-23
            49595.06000000
          
        
        
          N
          N
          N
        
      
      
        MILLICOM INTL CELLULAR
        549300CTHC1CP86P2G96
        
        600814AR8
        
          
          
        
        515000.00000000
        PA
        USD
        547705.46000000
        0.055681332735
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2031-04-27
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -43151.00000000
        -0.00438685637
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -16998361.85000000
            BRL
            3085002.15000000
            USD
            2021-05-04
            -43151.00000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        28571.04000000
        0.002904615164
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2031-01-19
            0.00000000
            USD
            0.00000000
            USD
            -685000.00000000
            USD
            28571.04000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        -30194.94000000
        -0.00306970556
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2030-02-18
            0.00000000
            USD
            0.00000000
            USD
            5472000000.00000000
            COP
            -30194.94000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        -163750.46000000
        -0.01664734883
        N/A
        DIR
        CORP
        GB
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2024-05-08
            0.00000000
            USD
            -128381.06000000
            USD
            -4050000.00000000
            GBP
            -35369.40000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        30297.86000000
        0.003080168716
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1827614.05000000
            USD
            39962152.00000000
            CZK
            2021-07-19
            30297.86000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        57.00000000
        NC
        USD
        -182933.63000000
        -0.01859756578
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2021-06-21
            8479105.79000000
            USD
            -182933.63000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -10844.00000000
        -0.00110243263
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                PETROLEOS MEXICANOS
                PETROLEOS MEXICANOS
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -10439.26000000
            USD
            380000.00000000
            USD
            -404.74000000
          
        
        
          N
          N
          N
        
      
      
        Asset Backed Securities Corp H
        N/A
        
        04541GGM8
        
          
        
        3546390.50000000
        PA
        USD
        3404644.46000000
        0.346126074814
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-11-25
          Floating
          1.06613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        -167375.52000000
        -0.01701588299
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2031-01-13
            0.00000000
            USD
            -43.83000000
            USD
            32290000.00000000
            MXN
            -167331.69000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -75651.28000000
        -0.00769092952
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                PETROLEOS MEXICANOS
                PETROLEOS MEXICANOS
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2024-12-20
            0.00000000
            USD
            -37962.04000000
            USD
            1000000.00000000
            USD
            -37689.24000000
          
        
        
          N
          N
          N
        
      
      
        EG GLOBAL FINANCE PLC
        549300TL8Q5207VYET27
        
        000000000
        
          
          
        
        4700000.00000000
        PA
        
        5481057.75000000
        0.557220299249
        Long
        DBT
        CORP
        GB
        Y
        
        2
        
          2025-02-07
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        -748426.47000000
        -0.07608721538
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2026-01-25
            0.00000000
            USD
            0.00000000
            USD
            14295000000.00000000
            CLP
            -748426.47000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        20000000.00000000
        NC
        USD
        401.77000000
        0.000040845108
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  CNY
                  N/A
                  CNY
                  2021-07-13
                
              
            
            20000000.00000000
            USD
            7.60000000
            USD
            2021-07-13
            XXXX
            -2678.23000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -5865.28000000
        -0.00059628145
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -21355050.00000000
            TWD
            762000.00000000
            USD
            2021-06-16
            -5865.28000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        N/A
        
        61746REH0
        
          
        
        1489242.30000000
        PA
        USD
        1487412.47000000
        0.151214685092
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-10-25
          Floating
          1.12613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -29526.35000000
        -0.00300173476
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -7751725.80000000
            ZAR
            489000.00000000
            USD
            2021-12-23
            -29526.35000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG
        ANGGYXNX0JLX3X63JN86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4916.92000000
        0.000499868412
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Credit Suisse AG
              ANGGYXNX0JLX3X63JN86
            
            -319000.00000000
            USD
            1760162.25000000
            BRL
            2021-05-04
            4916.92000000
          
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        
        03523TBF4
        
          
          
        
        250000.00000000
        PA
        USD
        400488.85000000
        0.040714863265
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2039-01-15
          Fixed
          8.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3505.62000000
        0.000356391542
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -295000.00000000
            USD
            4366734.26000000
            ZAR
            2021-06-30
            3505.62000000
          
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        
        903724AP7
        
          
          
        
        1960000.00000000
        PA
        USD
        2048254.02000000
        0.208231471008
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2022-09-01
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
        
        27710000.00000000
        OU
        Other
        USD
        2612.11000000
        0.000265554712
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  Default Event
                  
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            27710000.00000000
            USD
            40.00000000
            USD
            2021-07-21
            XXXX
            1226.61000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        2549009SOTYJD2MZFC61
        
        07877TAB7
        
          
        
        1795423.46000000
        PA
        USD
        1800150.81000000
        0.183008575861
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2028-10-25
          Floating
          1.95613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Securities LLC
        T6FIZBDPKLYJKFCRVK44
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1386.48000000
        -0.00014095359
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              UBS Securities LLC
              T6FIZBDPKLYJKFCRVK44
            
            -388000.00000000
            USD
            5626000000.00000000
            IDR
            2021-06-16
            -1386.48000000
          
        
        
          N
          N
          N
        
      
      
        GSAMP Trust
        N/A
        
        36228FVQ6
        
          
        
        440365.74000000
        PA
        USD
        429410.23000000
        0.043655095015
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-25
          Floating
          0.70613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
        
        -6562500.00000000
        NC
        
        -126633.09000000
        -0.01287388885
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  EUR
                  2021-11-18
                
              
            
            -6562500.00000000
            USD
            1.21000000
            EUR
            2021-11-18
            XXXX
            -49071.06000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        584.93000000
        0.000059465687
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -21019985.00000000
            PHP
            433000.00000000
            USD
            2021-06-16
            584.93000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        -110340.09000000
        -0.01121749501
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2026-01-20
            0.00000000
            USD
            0.00000000
            USD
            7380000000.00000000
            COP
            -110340.09000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        55611.65000000
        0.005653642356
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -7677963.00000000
            PEN
            2085394.01000000
            USD
            2021-06-16
            55611.65000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        12209.74000000
        0.001241277739
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -34565971.50000000
            THB
            1122000.00000000
            USD
            2021-06-16
            12209.74000000
          
        
        
          N
          N
          N
        
      
      
        Ferrellgas Partners LP
        529900YP52A6C5K57L34
        
        315293308
        
          
          
        
        17033.99998200
        NS
        USD
        3440868.00000000
        0.349808665423
        Long
        EC
        CORP
        US
        N
        
        3
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        N/A
        
        05968KAE4
        
          
        
        265151.21000000
        PA
        USD
        263852.45000000
        0.026824008768
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-05-26
          Floating
          0.32100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PEOPLE'S UNITED FIN INC
        ROPY7PEPIPIDJNF0BO69
        
        712704AA3
        
          
          
        
        325000.00000000
        PA
        USD
        338650.64000000
        0.034428210679
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-12-06
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZAIS CLO 3, LTD
        549300SYHU0CNKIXQ691
        
        98887HAL8
        
          
        
        11300000.00000000
        PA
        USD
        11309249.05000000
        1.149731206522
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-15
          Floating
          2.37375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        
        161175BA1
        
          
          
        
        585000.00000000
        PA
        USD
        774073.36000000
        0.078694552944
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-10-23
          Fixed
          6.48400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        -961282.97000000
        -0.09772682730
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-02-14
            0.00000000
            USD
            0.00000000
            USD
            4370000000.00000000
            HUF
            -961282.97000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -46983.71000000
        -0.00477650083
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -625000.00000000
            GBP
            817100.00000000
            USD
            2022-01-28
            -46983.71000000
          
        
        
          N
          N
          N
        
      
      
        Asset Backed Securities Corp H
        N/A
        
        04541GFY3
        
          
        
        1757518.00000000
        PA
        USD
        1723381.55000000
        0.175203989232
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-11-25
          Floating
          0.78613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        -242931.73000000
        -0.02469714742
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-01-02
            0.00000000
            USD
            0.00000000
            USD
            41333990.83000000
            BRL
            -242931.73000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        -44037.47000000
        -0.00447697749
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2030-02-24
            0.00000000
            USD
            0.00000000
            USD
            7813000000.00000000
            COP
            -44037.47000000
          
        
        
          N
          N
          N
        
      
      
        TPC GROUP INC
        549300K276KVW5JD1583
        
        89236YAB0
        
          
          
        
        1700000.00000000
        PA
        USD
        1588792.89000000
        0.161521313949
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-01
          Fixed
          10.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        
        35564KDX4
        
          
        
        3260000.00000000
        PA
        USD
        3281968.81000000
        0.333654510835
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-25
          Floating
          3.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        XYLEM INC
        549300DF5MV96DRYLQ48
        
        98419MAB6
        
          
          
        
        50000.00000000
        PA
        USD
        50885.51000000
        0.005173169195
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-10-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -576960.32000000
        -0.05865546703
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -5220000.00000000
            USD
            498249000.00000000
            JPY
            2023-10-31
            -576960.32000000
          
        
        
          N
          N
          N
        
      
      
        ERAC USA FINANCE LLC
        LTKX5ODQW6Z7BQ2K1V47
        
        26882PAR3
        
          
          
        
        110000.00000000
        PA
        USD
        151688.70000000
        0.015421115168
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-06-01
          Fixed
          6.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -10986.68000000
        -0.00111693789
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                UNITED MEXICAN STATES
                Mexico Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -12715.03000000
            USD
            385000.00000000
            USD
            1728.35000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        25055.13000000
        0.002547177510
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -2180802.00000000
            BRL
            414750.96000000
            USD
            2022-01-28
            25055.13000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        31421.55000000
        0.003194406315
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -4141922.67000000
            USD
            3462444.00000000
            EUR
            2021-08-31
            31421.55000000
          
        
        
          N
          N
          N
        
      
      
        AMC ENTERTAINMENT HLDGS
        549300ZO77UNR6NRBR11
        
        00165CAP9
        
          
          
        
        739685.00000000
        PA
        USD
        634053.85000000
        0.064459761628
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          12.00000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -65388.99000000
        -0.00664763522
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -897000.00000000
            USD
            6980902.50000000
            TRY
            2021-05-28
            -65388.99000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        -3551.00000000
        NC
        USD
        0.00000000
        0.000000
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2021-06-30
            -784542973.06000000
            USD
            0.00000000
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        
        46630GAM7
        
          
        
        50801.05000000
        PA
        USD
        50761.36000000
        0.005160547744
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-25
          Variable
          2.96411000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        METINVEST BV
        635400TMCKVEU87EJ582
        
        591555AG2
        
          
          
        
        320000.00000000
        PA
        USD
        342684.95000000
        0.034838350387
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-10-01
          Fixed
          7.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wellfleet CLO Ltd
        254900TEETF3L54VTH19
        
        94950HAA3
        
          
        
        10500000.00000000
        PA
        USD
        10504068.75000000
        1.067874231431
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2031-01-17
          Floating
          1.33975000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
        
        20000000.00000000
        NC
        USD
        84518.83000000
        0.008592430492
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Purchased
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  TWD
                  2021-12-21
                
              
            
            20000000.00000000
            USD
            25.80000000
            USD
            2021-12-21
            XXXX
            -216939.66000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        51265.18000000
        0.005211767553
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -290342960.00000000
            RUB
            3880384.34000000
            USD
            2021-06-30
            51265.18000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -7046.44000000
        -0.00071636161
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -600000.00000000
            USD
            828866.66000000
            NZD
            2021-07-19
            -7046.44000000
          
        
        
          N
          N
          N
        
      
      
        MAGELLAN MIDSTREAM PARTN
        MZF5TI8NFVZZNUSKDL39
        
        559080AG1
        
          
          
        
        1350000.00000000
        PA
        USD
        1595991.37000000
        0.162253132397
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-10-15
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        
        1248EPBK8
        
          
          
        
        1407000.00000000
        PA
        USD
        1453704.56000000
        0.147787840758
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-01
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        
        29279FAA7
        
          
          
        
        75000.00000000
        PA
        USD
        89715.56000000
        0.009120745204
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DANSKE BANK A/S
        MAES062Z21O4RZ2U7M96
        
        23636AAU5
        
          
          
        
        5460000.00000000
        PA
        USD
        5505035.55000000
        0.559657952253
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2022-09-20
          Fixed
          3.00100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        
        903724BV3
        
          
          
        
        1800000.00000000
        PA
        USD
        2086789.12000000
        0.212149061541
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2028-11-01
          Fixed
          9.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -15332.62000000
        -0.00155875881
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                MEXICO GOVERNMENT INTERNATIONAL BOND
                MEXICO GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2024-12-20
            0.00000000
            USD
            -8651.47000000
            USD
            -1000000.00000000
            USD
            -6681.15000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -19170.50000000
        -0.00194892888
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -458670200.00000000
            CLP
            626000.00000000
            USD
            2021-06-16
            -19170.50000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -106781.64000000
        -0.01085573261
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -14603636.55000000
            MXN
            589000.00000000
            USD
            2022-02-25
            -106781.64000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -8139.51000000
        -0.00082748630
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -600000.00000000
            USD
            12053160.00000000
            MXN
            2021-06-16
            -8139.51000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        39000000.00000000
        NC
        USD
        2336.84000000
        0.000237569962
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  BRL
                  2021-09-28
                
              
            
            39000000.00000000
            USD
            3.85000000
            USD
            2021-09-28
            XXXX
            -532080.16000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        66423.36000000
        0.006752792293
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-09-19
            0.00000000
            USD
            -27.68000000
            USD
            43300000.00000000
            CNY
            66451.04000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -11901.25000000
        -0.00120991574
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -66503235.00000000
            RUB
            867000.00000000
            USD
            2021-06-16
            -11901.25000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        70880.42000000
        0.007205909998
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-06-14
            113.84000000
            USD
            0.00000000
            USD
            51840000.00000000
            CNY
            70766.58000000
          
        
        
          N
          N
          N
        
      
      
        Brookside Mill CLO Ltd
        N/A
        
        114521AM9
        
          
        
        4000000.00000000
        PA
        USD
        4003437.20000000
        0.407001089271
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-01-17
          Floating
          1.53975000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        121997.44000000
        0.012402615174
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2026-01-19
            0.00000000
            USD
            0.00000000
            USD
            -8520000.00000000
            USD
            121997.44000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        -71079.71000000
        -0.00722617040
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-01-19
            0.00000000
            USD
            0.00000000
            USD
            1600000.00000000
            NZD
            -71079.71000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        
        060505FP4
        
          
          
        
        6850000.00000000
        PA
        USD
        7374470.66000000
        0.749710171904
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        16000000.00000000
        NC
        USD
        0.22000000
        0.000000022365
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  JPY
                  2021-05-14
                
              
            
            16000000.00000000
            USD
            94.00000000
            USD
            2021-05-14
            XXXX
            -2431.78000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        21062.23000000
        0.002141247664
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -2366040.00000000
            TRY
            300000.00000000
            USD
            2021-06-16
            21062.23000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -151394.78000000
        -0.01539123440
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -25689916.00000000
            GBP
            35335503.24000000
            USD
            2021-07-19
            -151394.78000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -29909.75000000
        -0.00304071232
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-01-13
            0.00000000
            USD
            0.00000000
            USD
            800000.00000000
            USD
            -29909.75000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1055025.49000000
        0.107256964999
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -525556350.00000000
            JPY
            7614000.00000000
            AUD
            2021-07-30
            1055025.49000000
          
        
        
          N
          N
          N
        
      
      
        Palmer Square CLO Ltd
        549300UP5H2PFBIITY41
        
        69688XAS0
        
          
        
        5000000.00000000
        PA
        USD
        4996899.50000000
        0.507999361019
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-17
          Floating
          1.31975000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEDTRONIC GLOBAL HLDINGS
        549300JXMTTP8GKYIX14
        
        58507LAK5
        
          
          
        
        705000.00000000
        PA
        
        981785.57000000
        0.099811181357
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2039-03-07
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
        
        24000000.00000000
        NC
        USD
        1056755.53000000
        0.107432845906
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Purchased
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ZAR
                  N/A
                  USD
                  2022-05-27
                
              
            
            24000000.00000000
            USD
            16.20000000
            USD
            2022-05-27
            XXXX
            -355572.47000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        425988.28000000
        0.043307209609
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-04-03
            0.00000000
            USD
            -843.92000000
            USD
            45000000.00000000
            ZAR
            426832.20000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        10844.42000000
        0.001102475331
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -778107.76000000
            USD
            21907624.00000000
            TWD
            2021-06-30
            10844.42000000
          
        
        
          N
          N
          N
        
      
      
        MEDTRONIC GLOBAL HLDINGS
        549300JXMTTP8GKYIX14
        
        58507LAJ8
        
          
          
        
        500000.00000000
        PA
        
        660468.07000000
        0.067145108188
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2031-03-07
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        549300ED4YNDE7SVU538
        
        750496AA9
        
          
        
        92242.32000000
        PA
        USD
        92261.51000000
        0.009379573899
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2028-03-25
          Floating
          1.50613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -20568.36000000
        -0.00209103940
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -3290552.00000000
            CNY
            478000.00000000
            USD
            2022-01-28
            -20568.36000000
          
        
        
          N
          N
          N
        
      
      
        CONTL AIRLINES 2007-1
        N/A
        
        21079NAA9
        
          
          
        
        437839.43000000
        PA
        USD
        450267.46000000
        0.045775501782
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-04-19
          Fixed
          5.98300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        202705.64000000
        0.020607645920
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -4434000.00000000
            USD
            25947768.00000000
            BRL
            2022-01-28
            202705.64000000
          
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Corp.
        N/A
        
        36250FAQ0
        
          
        
        1082167.45000000
        PA
        USD
        1073649.39000000
        0.109150324932
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-26
          Floating
          0.24613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL CINEMEDIA LLC
        7LJEQIVQVLNGS4X6T547
        
        63530QAH2
        
          
          
        
        1175000.00000000
        PA
        USD
        1034149.13000000
        0.105134613421
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Corp.
        N/A
        
        36250FAR8
        
          
        
        1400000.00000000
        PA
        USD
        1355617.20000000
        0.137815993975
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-26
          Floating
          0.24613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS CAPITAL INC.
        AC28XWWI3WIBK2824319
        
        000000000
        
          
        
        -34500000.00000000
        NC
        USD
        -265468.81000000
        -0.02698833263
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS CAPITAL INC.
              AC28XWWI3WIBK2824319
            
            Call
            Written
            
              
                
                  
                    BARCLAYS CAPITAL INC.
                    AC28XWWI3WIBK2824319
                  
                  
                    BARCLAYS CAPITAL INC.
                    AC28XWWI3WIBK2824319
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2022-02-23
                
              
            
            -34500000.00000000
            USD
            26.00000000
            USD
            2022-02-23
            XXXX
            1137991.19000000
          
        
        
          N
          N
          N
        
      
      
        NUTRIEN LTD
        5493002QQ7GD21OWF963
        
        67077MAQ1
        
          
          
        
        170000.00000000
        PA
        USD
        233785.04000000
        0.023767268270
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2041-01-15
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        245635.55000000
        0.024972025641
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            -2208096.60000000
            USD
            3180000.00000000
            AUD
            2023-10-31
            245635.55000000
          
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certi
        N/A
        
        126671F84
        
          
        
        548155.92000000
        PA
        USD
        549231.57000000
        0.055836481524
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-07-25
          Floating
          1.15613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -234816.48000000
        -0.02387212746
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -8621737.52000000
            USD
            916419100.00000000
            JPY
            2021-05-28
            -234816.48000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -7814.75000000
        -0.00079447025
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -7842141.00000000
            PLN
            2061036.54000000
            USD
            2021-07-19
            -7814.75000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        94652.28000000
        0.009622626542
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-03-27
            0.00000000
            USD
            -203.92000000
            USD
            10700000.00000000
            ZAR
            94856.20000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -34366.83000000
        -0.00349383206
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -723000.00000000
            USD
            2604860.55000000
            PEN
            2021-06-16
            -34366.83000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2505986.71000000
        -0.25476590982
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -259808583.00000000
            ZAR
            15053424.66000000
            USD
            2021-09-30
            -2505986.71000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        
        38141GWV2
        
          
          
        
        35000.00000000
        PA
        USD
        38677.61000000
        0.003932078515
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-23
          Fixed
          3.81400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEVIATHAN BOND LTD
        254900D9T8VKYVQNZ220
        
        000000000
        
          
          
        
        2020000.00000000
        PA
        USD
        2261624.93000000
        0.229923379348
        Long
        DBT
        CORP
        IL
        N
        
        2
        
          2030-06-30
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        GS Mortgage Securities Corp.
        N/A
        
        36250FAH0
        
          
        
        856976.06000000
        PA
        USD
        851254.46000000
        0.086541008428
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-26
          Floating
          0.24613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Co
        N/A
        
        86359BBZ3
        
          
        
        338413.03000000
        PA
        USD
        342244.00000000
        0.034793522125
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-12-25
          Variable
          2.36761300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Strata CLO, Ltd
        N/A
        
        86268HAA6
        
          
        
        19000000.00000000
        PA
        USD
        18983540.30000000
        1.929922013096
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-15
          Floating
          1.77375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
        
        35500000.00000000
        NC
        USD
        20963.46000000
        0.002131206418
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Purchased
            
              
                
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  INR
                  N/A
                  CNY
                  2021-09-28
                
              
            
            35500000.00000000
            USD
            88.00000000
            USD
            2021-09-28
            XXXX
            -161630.79000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        54713.71000000
        0.005562355160
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -2804281.95000000
            USD
            3513583.00000000
            CAD
            2021-07-20
            54713.71000000
          
        
        
          N
          N
          N
        
      
      
        DIAMOND SPORTS GROUP LLC
        5493002K6DHWNZH8YA34
        
        25277BAB4
        
          
          
        
        380000.00000000
        PA
        USD
        269800.00000000
        0.027428654028
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-08-24
          Floating
          3.36100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -322634.71000000
        -0.03279998457
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -7666728000.00000000
            KRW
            6536000.00000000
            USD
            2021-07-30
            -322634.71000000
          
        
        
          N
          N
          N
        
      
      
        OHIO ST UNIV
        JFC10ZULKO4X2E3HBY86
        
        677632PA3
        
          
          
        
        180000.00000000
        PA
        USD
        234775.80000000
        0.023867991818
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2111-06-01
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -6403.41000000
        -0.00065098931
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -2968600.03000000
            SGD
            2224000.00000000
            USD
            2021-06-16
            -6403.41000000
          
        
        
          N
          N
          N
        
      
      
        SASOL FINANCING USA LLC
        549300XRB1PFMESFEL85
        
        80386WAC9
        
          
          
        
        350000.00000000
        PA
        USD
        356957.85000000
        0.036289374983
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-09-18
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        13030.41000000
        0.001324709443
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -39928737.50000000
            THB
            1295000.00000000
            USD
            2021-06-16
            13030.41000000
          
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
        5493003GCX71N8988W38
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1314.18000000
        0.000133603367
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
              5493003GCX71N8988W38
            
            -70081309.00000000
            PHP
            1443000.00000000
            USD
            2021-06-16
            1314.18000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -9454.84000000
        -0.00096120657
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -420000.00000000
            USD
            1552950.00000000
            PEN
            2021-06-16
            -9454.84000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        543.00000000
        NC
        USD
        98218.61000000
        0.009985190040
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2021-06-30
            67199843.89000000
            USD
            98218.61000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1898.44000000
        -0.00019300094
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -606836.40000000
            USD
            785000.00000000
            AUD
            2021-07-20
            -1898.44000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2422.62000000
        0.000246290607
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -565200800.00000000
            KRW
            508000.00000000
            USD
            2021-06-16
            2422.62000000
          
        
        
          N
          N
          N
        
      
      
        UNITED AIRLINES INC
        K1OQBWM7XEOO08LDNP29
        
        90932RAJ3
        
          
          
        
        250000.00000000
        PA
        USD
        252857.25000000
        0.025706204703
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-04-14
          Floating
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -5819.57000000
        -0.00059163444
        N/A
        DE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                IOSFN30.450
                IOSFN30.450
                
                  
                  
                
              
            
            Y
            
              
                
              
            
            
            2041-01-12
            0.00000000
            USD
            -5609.50000000
            USD
            2378282.68000000
            USD
            -210.07000000
          
        
        
          N
          N
          N
        
      
      
        REGL TRANSPRTN DIST CO SALES T
        N/A
        
        759136QP2
        
          
        
        1190000.00000000
        PA
        USD
        1831374.34000000
        0.186182850887
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2050-11-01
          Fixed
          5.84400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        
        126650CZ1
        
          
          
        
        690000.00000000
        PA
        USD
        849167.36000000
        0.086328827761
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-25
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -52856.38000000
        -0.00537353358
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -2390812.76000000
            USD
            2613636505.00000000
            KRW
            2021-06-30
            -52856.38000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        -470055.14000000
        -0.04778717497
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-01-21
            0.00000000
            USD
            -23142.82000000
            USD
            26290000.00000000
            PLN
            -446912.32000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1561.17000000
        0.000158713090
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -384000.00000000
            USD
            10722816.00000000
            TWD
            2021-06-16
            1561.17000000
          
        
        
          N
          N
          N
        
      
      
        LIBERTY MUTUAL GROUP INC
        QUR0DG15Z6FFGYCHH861
        
        53079EBE3
        
          
          
        
        436000.00000000
        PA
        USD
        469453.16000000
        0.047725975939
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -195738.32000000
        -0.01989932787
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -6276000.00000000
            USD
            662302341.00000000
            JPY
            2022-01-28
            -195738.32000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        -144000000.00000000
        NC
        
        -66735.13000000
        -0.00678448774
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2022-01-26
                
              
            
            -144000000.00000000
            USD
            55.00000000
            AUD
            2022-01-26
            XXXX
            2209761.29000000
          
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        
        126650CD0
        
          
          
        
        485000.00000000
        PA
        USD
        614465.98000000
        0.062468401697
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-12-05
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        361524.79000000
        0.036753663409
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -6660000.00000000
            USD
            7848810000.00000000
            KRW
            2021-07-30
            361524.79000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        343691.50000000
        0.034940679192
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -375226250.00000000
            JPY
            4921000.00000000
            AUD
            2022-05-31
            343691.50000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        
        61746BEG7
        
          
          
        
        1260000.00000000
        PA
        USD
        1516324.80000000
        0.154153996792
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-01-22
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -5620.06000000
        -0.00057135167
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -11431662.29000000
            CNY
            1758074.00000000
            USD
            2021-05-18
            -5620.06000000
          
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        
        000000000
        
          
          
        
        1000000.00000000
        PA
        USD
        1045027.56000000
        0.106240546308
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2022-09-01
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        
        172967KY6
        
          
          
        
        1145000.00000000
        PA
        USD
        1241406.77000000
        0.126205028923
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-21
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        -108000000.00000000
        NC
        
        -229.96000000
        -0.00002337840
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  AUD
                  N/A
                  CNY
                  2021-05-26
                
              
            
            -108000000.00000000
            USD
            70.00000000
            AUD
            2021-05-26
            XXXX
            8709076.66000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -398.64000000
        -0.00004052690
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -636734.24000000
            SGD
            478000.00000000
            USD
            2021-06-16
            -398.64000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        71674.51000000
        0.007286639501
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -2206000.00000000
            USD
            176513090.00000000
            RUB
            2021-11-22
            71674.51000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -410.84000000
        -0.00004176719
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -373000.00000000
            USD
            416529100.00000000
            KRW
            2021-06-16
            -410.84000000
          
        
        
          N
          N
          N
        
      
      
        INSTIT COSTA DE ELECTRIC
        5493009VA6AFUB2Q0289
        
        45777VAC1
        
          
          
        
        500000.00000000
        PA
        USD
        506364.26000000
        0.051478465901
        Long
        DBT
        NUSS
        CR
        N
        
        2
        
          2021-11-10
          Fixed
          6.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Elevation CLO Ltd
        635400AGFHDDI7RPPD20
        
        28622JAA5
        
          
        
        4000000.00000000
        PA
        USD
        4000205.20000000
        0.406672514735
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2030-07-15
          Floating
          1.40375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1020936.60000000
        0.103791389128
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -3878000.00000000
            USD
            73236805.60000000
            ZAR
            2021-12-23
            1020936.60000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3939018.87000000
        -0.40045213416
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -27095000.00000000
            AUD
            1850588500.00000000
            JPY
            2021-05-28
            -3939018.87000000
          
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage S
        N/A
        
        05548WAG2
        
          
        
        11875000.00000000
        PA
        USD
        11517703.81000000
        1.170923324731
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-15
          Floating
          1.56313000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRASKEM NETHERLANDS
        N/A
        
        10554TAE5
        
          
          
        
        400000.00000000
        PA
        USD
        417305.17000000
        0.042424459349
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2050-01-31
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -5528.23000000
        -0.00056201596
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -600000.00000000
            USD
            493644.33000000
            EUR
            2021-07-19
            -5528.23000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -10442.45000000
        -0.00106160988
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -17922546.00000000
            TWD
            634000.00000000
            USD
            2021-06-16
            -10442.45000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        153745.61000000
        0.015630226631
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-03-12
            0.00000000
            USD
            -454.26000000
            USD
            54300000.00000000
            ZAR
            154199.87000000
          
        
        
          N
          N
          N
        
      
      
        HELLENIC REPUBLIC
        2138003EKTMKZ5598902
        
        000000000
        
          
          
        
        2000000.00000000
        PA
        
        3222736.25000000
        0.327632756218
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2028-04-14
          Fixed
          6.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
        
        -10000000.00000000
        NC
        USD
        -35673.39000000
        -0.00362666075
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            Call
            Written
            
              
                
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                  
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ILS
                  N/A
                  USD
                  2021-08-27
                
              
            
            -10000000.00000000
            USD
            3.40000000
            USD
            2021-08-27
            XXXX
            58587.76000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        112143.38000000
        0.011400822726
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-03-12
            0.00000000
            USD
            -313.48000000
            USD
            36000000.00000000
            ZAR
            112456.86000000
          
        
        
          N
          N
          N
        
      
      
        EVERI PAYMENTS INC
        5493006Q4MDLHOY1JV70
        
        30034VAB4
        
          
          
        
        2769000.00000000
        PA
        USD
        2876471.31000000
        0.292430453618
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        -171436.84000000
        -0.01742876861
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2026-02-03
            0.00000000
            USD
            0.00000000
            USD
            11208000000.00000000
            COP
            -171436.84000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        257659.58000000
        0.026194423562
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-03-18
            0.00000000
            USD
            0.00000000
            USD
            100000000.00000000
            ZAR
            257659.58000000
          
        
        
          N
          N
          N
        
      
      
        TALLGRASS NRG PRTNR/FIN
        N/A
        
        87470LAD3
        
          
          
        
        1750000.00000000
        PA
        USD
        1736283.76000000
        0.176515665489
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2028-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CLEAN RENEWABLE POWER
        2138003P9CSDW7P4MT75
        
        18452NAB0
        
          
          
        
        475000.00000000
        PA
        USD
        478656.47000000
        0.048661611246
        Long
        DBT
        CORP
        MU
        
        N
        
        2
        
          2027-03-25
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        
        29379VBF9
        
          
          
        
        2700000.00000000
        PA
        USD
        3199766.92000000
        0.325297627212
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2054-10-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
        5493003GCX71N8988W38
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        11809.76000000
        0.001200614607
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
              5493003GCX71N8988W38
            
            -1267000.00000000
            USD
            1429621500.00000000
            KRW
            2021-06-16
            11809.76000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        27996.98000000
        0.002846254552
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -3244851.00000000
            PEN
            885821.03000000
            USD
            2021-06-16
            27996.98000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3930.80000000
        0.000399616579
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -386000.00000000
            USD
            1265968.83000000
            ILS
            2021-06-16
            3930.80000000
          
        
        
          N
          N
          N
        
      
      
        Ares Euro CLO
        5493007HB149LQ0IUU91
        
        000000000
        
          
        
        2500000.00000000
        PA
        
        3003463.96000000
        0.305340896394
        Long
        ABS-CBDO
        CORP
        NL
        N
        
        2
        
          2030-04-15
          Floating
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -140341.69000000
        -0.01426754507
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -7313336287.00000000
            KRW
            6401505.80000000
            USD
            2021-06-16
            -140341.69000000
          
        
        
          N
          N
          N
        
      
      
        CONOCOPHILLIPS
        WPTL2Z3FIYTHSP5V2253
        
        20825CBB9
        
          
          
        
        275000.00000000
        PA
        USD
        343307.05000000
        0.034901594885
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-10-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRUPO AVAL LTD
        549300J4FW1ELLQ80113
        
        40053FAC2
        
          
          
        
        2170000.00000000
        PA
        USD
        2176787.67000000
        0.221298576334
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2030-02-04
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -678305.77000000
        -0.06895854073
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -3883000.00000000
            USD
            17667650.00000000
            BRL
            2021-09-30
            -678305.77000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -47481.18000000
        -0.00482707508
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -2173282.62000000
            USD
            2376006423.00000000
            KRW
            2021-10-29
            -47481.18000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -73214.25000000
        -0.00744317395
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -2412000.00000000
            USD
            8798830860.00000000
            COP
            2021-06-16
            -73214.25000000
          
        
        
          N
          N
          N
        
      
      
        SAN ANTONIO TX ELEC & GAS REVE
        5493002G2FEH20Q4GQ04
        
        796253Z21
        
          
          
        
        120000.00000000
        PA
        USD
        146656.80000000
        0.014909557554
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2042-02-01
          Fixed
          4.42700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUREX CLEARING AKTIENGESELLSCHAFT
        529900LN3S50JPU47S06
        
        000000000
        
          
          
        
        -242.00000000
        NC
        
        4110.27000000
        0.000417862022
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              EUREX CLEARING AKTIENGESELLSCHAFT
              529900LN3S50JPU47S06
            
            Short
            
              
                BUNDESSCHATZANWEISUNGEN
                Bundesschatzanweisungen
                
                  
                  
                  
                
              
            
            2021-06-08
            -32707801.31000000
            USD
            4110.27000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        -240928.40000000
        -0.02449348305
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2026-01-14
            0.00000000
            USD
            -127.46000000
            USD
            14720000.00000000
            CAD
            -240800.94000000
          
        
        
          N
          N
          N
        
      
      
        Anchorage Credit Opportunities
        549300QYWD7GXVL7MN11
        
        03330FAA9
        
          
        
        15000000.00000000
        PA
        USD
        15112164.00000000
        1.536346619662
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-20
          Floating
          2.13825000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        102352.29000000
        0.010405431992
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -941742538.00000000
            JPY
            8721029.38000000
            USD
            2021-05-28
            102352.29000000
          
        
        
          N
          N
          N
        
      
      
        STONEGATE PUB CO LTD
        N/A
        
        000000000
        
          
        
        10900000.00000000
        PA
        
        14080345.15000000
        1.431448909294
        Long
        DBT
        CORP
        GB
        N
        
        3
        
          2027-10-31
          Fixed
          8.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        5134.66000000
        0.000522004494
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1282000.00000000
            USD
            97392760.50000000
            RUB
            2021-06-16
            5134.66000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3970.98000000
        -0.00040370139
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -700051.59000000
            SGD
            522000.00000000
            USD
            2021-06-16
            -3970.98000000
          
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTAL EXCHANGE, INC.
        5493000F4ZO33MV32P92
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -7619113.00000000
        -0.77458122492
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              INTERCONTINENTAL EXCHANGE, INC.
              5493000F4ZO33MV32P92
            
            
              
                IHS MARKIT LTD
                CDX.NA.IG.36.V1
                
                  
                  
                
              
            
            Y
            Default Event
            
            2026-06-20
            0.00000000
            USD
            -6344651.37000000
            USD
            -292930000.00000000
            USD
            -1274461.63000000
          
        
        
          N
          N
          N
        
      
      
        Pnmac Gmsr Issuer Trust
        N/A
        
        69346MAA7
        
          
        
        3200000.00000000
        PA
        USD
        3180425.92000000
        0.323331364805
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-04-25
          Floating
          2.45613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -5084.92000000
        -0.00051694778
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -459277.65000000
            USD
            34439164.00000000
            RUB
            2021-06-30
            -5084.92000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1040.89000000
        -0.00010581990
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -4337091000.00000000
            IDR
            297000.00000000
            USD
            2021-06-16
            -1040.89000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        
        37045VAF7
        
          
          
        
        1555000.00000000
        PA
        USD
        2046609.94000000
        0.208064329045
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-10-02
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        -222063.72000000
        -0.02257564473
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2026-01-19
            0.00000000
            USD
            -111.86000000
            USD
            13100000.00000000
            CAD
            -221951.86000000
          
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        54930023UHZHF7UJ8596
        
        05990QAA1
        
          
        
        3252926.04000000
        PA
        USD
        3232013.95000000
        0.328575954230
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-27
          Floating
          0.29613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROVINCIA DE BUENOS AIRE
        549300L6AYROPOTQ4L07
        
        11943AAD6
        
          
          
        
        1500000.00000000
        PA
        USD
        663686.90000000
        0.067472343823
        Long
        DBT
        NUSS
        AR
        N
        
        2
        
          2021-06-09
          Fixed
          9.95000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        460.24000000
        0.000046789339
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -600000.00000000
            USD
            426884400.00000000
            CLP
            2021-06-16
            460.24000000
          
        
        
          N
          N
          N
        
      
      
        CODERE FINANCE 2 LUXEMBO
        2221005CUH65GSJUKB29
        
        000000000
        
          
          
        
        2320000.00000000
        PA
        
        1937981.04000000
        0.197020798594
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2023-11-01
          Fixed
          10.75000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        7111.29000000
        0.000722954459
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -8082585.60000000
            MXN
            404000.00000000
            USD
            2021-06-16
            7111.29000000
          
        
        
          N
          N
          N
        
      
      
        ASCENT RESOURCES/ARU FIN
        N/A
        
        04364VAK9
        
          
        
        974000.00000000
        PA
        USD
        1266207.58000000
        0.128726351522
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NUTRIEN LTD
        5493002QQ7GD21OWF963
        
        67077MAR9
        
          
          
        
        1350000.00000000
        PA
        USD
        1639716.84000000
        0.166698391066
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2043-06-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
        
        27710000.00000000
        OU
        Other
        USD
        50989.92000000
        0.005183783820
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Put
            Purchased
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            27710000.00000000
            USD
            55.00000000
            USD
            2021-07-21
            XXXX
            -273.58000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        4084.36000000
        0.000415227936
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            
              
                PANAMA GOVERNMENT INTERNATIONAL BOND
                PANAMA GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2021-06-20
            1909.65000000
            USD
            0.00000000
            USD
            1675000.00000000
            USD
            2174.71000000
          
        
        
          N
          N
          N
        
      
      
        ONEOK INC
        2T3D6M0JSY48PSZI1Q41
        
        682680AT0
        
          
          
        
        1060000.00000000
        PA
        USD
        1165296.81000000
        0.118467468652
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-07-13
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -70793.50000000
        -0.00719707345
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -6737696.00000000
            ZAR
            392000.00000000
            USD
            2021-05-28
            -70793.50000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        
        48128BAF8
        
          
          
        
        1500000.00000000
        PA
        USD
        1574650.97000000
        0.160083605161
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        
        36252WBA5
        
          
        
        28307000.00000000
        PA
        USD
        352215.51000000
        0.035807254882
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-04-10
          Variable
          0.59409600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        395922.81000000
        0.040250666336
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -8036000.00000000
            USD
            639350546.80000000
            RUB
            2021-06-30
            395922.81000000
          
        
        
          N
          N
          N
        
      
      
        JSM GLOBAL SARL
        222100JFIJNVE1XMFY68
        
        46592BAA0
        
          
          
        
        1800000.00000000
        PA
        USD
        1822346.71000000
        0.185265075720
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2030-10-20
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        MEMORIAL SLOAN-KETTERING
        549300IZ71UAMEHWL382
        
        586054AB4
        
          
          
        
        75000.00000000
        PA
        USD
        90757.00000000
        0.009226621029
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-07-01
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-Backed Certi
        N/A
        
        126671Z25
        
          
          
        
        34956.40000000
        PA
        USD
        34869.07000000
        0.003544891242
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-03-25
          Floating
          0.85613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -11154.86000000
        -0.00113403556
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-15
            0.00000000
            USD
            0.00000000
            USD
            1120000.00000000
            USD
            -11154.86000000
          
        
        
          N
          N
          N
        
      
      
        Credit-Based Asset Servicing a
        N/A
        
        12489WGJ7
        
          
        
        100339.15000000
        PA
        USD
        100341.72000000
        0.010201031588
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-12-25
          Variable
          3.37900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Frontera Energy Corp
        A25574TZFLBNK7NWQT47
        
        35905B107
        
          
          
        
        132434.00000000
        NS
        USD
        622439.80000000
        0.063279043469
        Long
        EC
        CORP
        CA
        
        N
        
        1
        
          N
          N
          
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4427.35000000
        0.000450097299
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -319000.00000000
            USD
            1049829.00000000
            ILS
            2021-06-30
            4427.35000000
          
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        
        000000000
        
          
          
        
        950000.00000000
        PA
        USD
        1001089.43000000
        0.101773668004
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2040-05-31
          Variable
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1182.91000000
        0.000120258076
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -396000.00000000
            USD
            2582165.52000000
            CNY
            2021-06-30
            1182.91000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        25594.09000000
        0.002601969754
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                FED REPUBLIC OF BRAZIL
                Brazilian Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -9016.07000000
            USD
            18750000.00000000
            USD
            34610.16000000
          
        
        
          N
          N
          N
        
      
      
        TAYLOR MORRISON COMM
        549300O1Z08HI2MRK572
        
        87724RAA0
        
          
          
        
        2560000.00000000
        PA
        USD
        2905067.96000000
        0.295337672370
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Asset Backed Securities
        N/A
        
        57643LBZ8
        
          
        
        830513.91000000
        PA
        USD
        838308.78000000
        0.085224912883
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-25
          Floating
          2.58113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        70978.70000000
        0.007215901429
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-02-21
            0.00000000
            USD
            0.00000000
            USD
            12642920000.00000000
            COP
            70978.70000000
          
        
        
          N
          N
          N
        
      
      
        CENTERPOINT ENERGY RESOU
        2JADVB0458J06WCD4N56
        
        15189WAH3
        
          
          
        
        700000.00000000
        PA
        USD
        907742.21000000
        0.092283717663
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-01-15
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3715.39000000
        0.000377717371
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -1785000.00000000
            USD
            1999660980.00000000
            KRW
            2021-06-16
            3715.39000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -395116.02000000
        -0.04016864571
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -3658000.00000000
            AUD
            263741800.00000000
            JPY
            2022-05-31
            -395116.02000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -24559.82000000
        -0.00249682285
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-09
            0.00000000
            USD
            0.00000000
            USD
            2110000.00000000
            USD
            -24559.82000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -24573.56000000
        -0.00249821970
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -58153374.85000000
            MXN
            2831000.00000000
            USD
            2021-06-16
            -24573.56000000
          
        
        
          N
          N
          N
        
      
      
        CNX RESOURCES CORP
        549300JK3KH8PWM3B226
        
        12653CAC2
        
          
          
        
        2125000.00000000
        PA
        USD
        2294747.98000000
        0.233290765111
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-14
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        633220.17000000
        0.064375007290
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -9739000.00000000
            USD
            231057775.00000000
            MXN
            2023-04-28
            633220.17000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        549300R1KUK063S4I339
        
        17307GPF9
        
          
        
        1396.42000000
        PA
        USD
        1399.28000000
        0.000142254881
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-11-25
          Variable
          5.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        54139.27000000
        0.005503955916
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                PERUVIAN GOVERNMENT INTERNATIONAL BOND
                PERUVIAN GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -1803.20000000
            USD
            3750000.00000000
            USD
            55942.47000000
          
        
        
          N
          N
          N
        
      
      
        RUTGERS NJ ST UNIV
        549300BOYDHNW8J60112
        
        783186NH8
        
          
          
        
        200000.00000000
        PA
        USD
        268705.99000000
        0.027317433785
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-05-01
          Fixed
          5.66500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIRLINES INC
        K1OQBWM7XEOO08LDNP29
        
        90932LAH0
        
          
          
        
        170000.00000000
        PA
        USD
        176565.12000000
        0.017950124499
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        81268.99000000
        0.008262042290
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2031-01-20
            0.00000000
            USD
            0.00000000
            USD
            -1880000.00000000
            USD
            81268.99000000
          
        
        
          N
          N
          N
        
      
      
        Structured Asset Investment Lo
        N/A
        
        86358ERW8
        
          
        
        13117.85000000
        PA
        USD
        13119.09000000
        0.001333724910
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-04-25
          Floating
          0.76613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oportun Funding LLC
        549300MXCNH68VEXKD16
        
        68377EAA9
        
          
        
        2300000.00000000
        PA
        USD
        2321824.01000000
        0.236043393203
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-12-09
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        60000000.00000000
        NC
        USD
        68713.62000000
        0.006985626797
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  TWD
                  2021-12-21
                
              
            
            60000000.00000000
            USD
            24.30000000
            USD
            2021-12-21
            XXXX
            25993.62000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        271603.30000000
        0.027611982760
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -2405000.00000000
            USD
            1903557500.00000000
            CLP
            2021-10-29
            271603.30000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -243944.51000000
        -0.02480010958
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -45502600.00000000
            MXN
            1924000.00000000
            USD
            2022-02-25
            -243944.51000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        12094.64000000
        0.001229576338
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -46713125.00000000
            JPY
            447400.87000000
            USD
            2023-10-31
            12094.64000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
        
        74000000.00000000
        NC
        
        4.54000000
        0.000000461549
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  GBP
                  N/A
                  USD
                  2021-05-26
                
              
            
            74000000.00000000
            USD
            1.14000000
            GBP
            2021-05-26
            XXXX
            -567964.63000000
          
        
        
          N
          N
          N
        
      
      
        BOMBARDIER INC
        W7L3VLU8EHQY34Z36697
        
        097751BR1
        
          
          
        
        5325000.00000000
        PA
        USD
        5404428.45000000
        0.549429941361
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-12-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
        
        28000000.00000000
        NC
        USD
        29212.33000000
        0.002969810574
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Purchased
            
              
                
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2022-02-23
                
              
            
            28000000.00000000
            USD
            36.00000000
            USD
            2022-02-23
            XXXX
            -612743.67000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        83417.21000000
        0.008480436594
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-01-02
            0.00000000
            USD
            0.00000000
            USD
            18613935.42000000
            BRL
            83417.21000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        
        46625HHA1
        
          
          
        
        64000.00000000
        PA
        USD
        64273.61000000
        0.006534242445
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Floating
          3.68150000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        16673.65000000
        0.001695091835
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -1917071.38000000
            USD
            41593260.00000000
            CZK
            2021-07-19
            16673.65000000
          
        
        
          N
          N
          N
        
      
      
        DELTA AIR LINES 2007-1 A
        N/A
        
        247367BH7
        
          
          
        
        485224.48000000
        PA
        USD
        509973.84000000
        0.051845426320
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-10
          Fixed
          6.82100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        
        3137BPW39
        
          
          
        
        22555021.07000000
        PA
        USD
        1304438.07000000
        0.132612974515
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-03-25
          Variable
          1.49387600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Equity Asset Trust
        N/A
        
        437084FL5
        
          
        
        1050441.43000000
        PA
        USD
        1028924.82000000
        0.104603494846
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-01-25
          Floating
          0.94613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIAMOND SPORTS GR/DIAMON
        N/A
        
        25277LAC0
        
          
          
        
        2785000.00000000
        PA
        USD
        1503973.80000000
        0.152898358149
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO DE CREDITO DEL PER
        549300EQYQ8SCQZ4BY14
        
        05971U2D8
        
          
          
        
        1055000.00000000
        PA
        USD
        1037575.53000000
        0.105482951227
        Long
        DBT
        CORP
        PE
        N
        
        2
        
          2031-09-30
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        140928.96000000
        0.014327248652
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -9427544.00000000
            TRY
            1264000.00000000
            USD
            2021-05-28
            140928.96000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
        
        -48000000.00000000
        NC
        USD
        -844455.10000000
        -0.08584976568
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Written
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ZAR
                  N/A
                  USD
                  2022-05-27
                
              
            
            -48000000.00000000
            USD
            18.80000000
            USD
            2022-05-27
            XXXX
            380748.86000000
          
        
        
          N
          N
          N
        
      
      
        WESTROCK RKT LLC
        PQQ60KVT5SJX0ETQT497
        
        772739AL2
        
          
          
        
        1190000.00000000
        PA
        USD
        1232788.54000000
        0.125328874553
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-03-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        246539.06000000
        0.025063879100
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                UNITED MEXICAN STATES
                Mexico Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -7813.94000000
            USD
            16250000.00000000
            USD
            254353.00000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        27293.23000000
        0.002774709277
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -1122312.80000000
            USD
            952000.00000000
            EUR
            2021-11-22
            27293.23000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        
        3137FHQ30
        
          
        
        141562978.73000000
        PA
        USD
        1376742.44000000
        0.139963647419
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-03-25
          Variable
          0.50440000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSAMP Trust
        N/A
        
        36228F6M3
        
          
        
        243332.38000000
        PA
        USD
        246585.10000000
        0.025068559661
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-06-25
          Floating
          1.30613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -38871.78000000
        -0.00395181840
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -8413519.98000000
            TRY
            953017.00000000
            USD
            2021-06-16
            -38871.78000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -31816.79000000
        -0.00323458756
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -901591.99000000
            USD
            4795117.00000000
            BRL
            2021-09-30
            -31816.79000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -108232.04000000
        -0.01100318450
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                IHS MARKIT LTD
                CDX.EM.29.V1
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2023-06-20
            0.00000000
            USD
            -16087.54000000
            USD
            -117500000.00000000
            USD
            -92144.50000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        7090.80000000
        0.000720871386
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -523254.67000000
            USD
            3447882.00000000
            CNY
            2021-06-30
            7090.80000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        578064.75000000
        0.058767746605
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -1740040329.00000000
            JPY
            16552491.95000000
            USD
            2022-01-28
            578064.75000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        -404382.81000000
        -0.04111073458
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-02-13
            0.00000000
            USD
            -68.33000000
            USD
            16900000.00000000
            AUD
            -404314.48000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -314347.23000000
        -0.03195745521
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -5262454.42000000
            USD
            538980582.00000000
            JPY
            2022-01-28
            -314347.23000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        26382.95000000
        0.002682167560
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -602000.00000000
            USD
            4094503.00000000
            CNY
            2021-07-30
            26382.95000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        423189.36000000
        0.043022663247
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -399801700.00000000
            JPY
            4148826.86000000
            USD
            2023-10-31
            423189.36000000
          
        
        
          N
          N
          N
        
      
      
        AETNA INC
        549300QKBENKLBXQ8968
        
        00817YAJ7
        
          
          
        
        530000.00000000
        PA
        USD
        616909.73000000
        0.062716840442
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-05-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        131184.56000000
        0.013336604559
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                RUSSIAN FEDERATION
                RUSSIAN FOREIGN BOND - EUROBOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -5409.63000000
            USD
            11250000.00000000
            USD
            136594.19000000
          
        
        
          N
          N
          N
        
      
      
        MidOcean Credit CLO
        549300XSCUX0ONI5KZ96
        
        59802UAU3
        
          
        
        7411255.05000000
        PA
        USD
        7411399.57000000
        0.753464472482
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-21
          Floating
          1.30600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        -28000000.00000000
        NC
        USD
        -29212.33000000
        -0.00296981057
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2022-02-23
                
              
            
            -28000000.00000000
            USD
            36.00000000
            USD
            2022-02-23
            XXXX
            1246856.87000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
        
        -108000000.00000000
        NC
        
        -229.96000000
        -0.00002337840
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2021-05-26
                
              
            
            -108000000.00000000
            USD
            70.00000000
            AUD
            2021-05-26
            XXXX
            4415405.30000000
          
        
        
          N
          N
          N
        
      
      
        TEACHERS INSUR & ANNUITY
        O06XD7BJ4EPXNABVFN69
        
        878091BC0
        
          
          
        
        54000.00000000
        PA
        USD
        78813.30000000
        0.008012389690
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-12-16
          Fixed
          6.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANTHEM INC
        8MYN82XMYQH89CTMTH67
        
        94973VBF3
        
          
          
        
        515000.00000000
        PA
        USD
        652777.85000000
        0.066363298018
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-01-15
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        18906.66000000
        0.001922106137
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -2351000.00000000
            USD
            115202742.80000000
            PHP
            2021-06-16
            18906.66000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        10751.85000000
        0.001093064395
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -3032009.59000000
            USD
            19722140.07000000
            CNY
            2021-05-18
            10751.85000000
          
        
        
          N
          N
          N
        
      
      
        STRIPS
        254900HROIFWPRGM1V77
        
        912833X96
        
          
          
        
        2255000.00000000
        PA
        USD
        1652492.19000000
        0.167997170367
        Long
        DBT
        UST
        US
        N
        
        2
        
          2035-11-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP GLOBAL MARKETS INC.
        MBNUM2BPBDO7JBLYG310
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -122355.53000000
        -0.01243901964
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIGROUP GLOBAL MARKETS INC.
              MBNUM2BPBDO7JBLYG310
            
            
              
                IHS MARKIT LTD
                CMBX.NA.13.AAA
                
                  
                  
                
              
            
            Y
            Default Event
            
            2072-12-16
            236521.55000000
            USD
            0.00000000
            USD
            -22500000.00000000
            USD
            -358877.08000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -134373.07000000
        -0.01366075777
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -45432509.00000000
            ZAR
            2977241.71000000
            USD
            2021-06-17
            -134373.07000000
          
        
        
          N
          N
          N
        
      
      
        Long Beach Mortgage Loan Trust
        N/A
        
        542514FT6
        
          
        
        744630.85000000
        PA
        USD
        726307.94000000
        0.073838581188
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-06-25
          Floating
          0.54613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        
        38141GWB6
        
          
          
        
        3940000.00000000
        PA
        USD
        4360647.01000000
        0.443316079242
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-26
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG
        ANGGYXNX0JLX3X63JN86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3351.24000000
        0.000340696821
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Credit Suisse AG
              ANGGYXNX0JLX3X63JN86
            
            -472000.00000000
            USD
            632678.24000000
            SGD
            2021-06-16
            3351.24000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        14841.01000000
        0.001508780314
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -651000.00000000
            USD
            18134256.00000000
            TWD
            2021-12-23
            14841.01000000
          
        
        
          N
          N
          N
        
      
      
        Independence Plaza Trust
        N/A
        
        45378YAS3
        
          
        
        5200000.00000000
        PA
        USD
        5116782.84000000
        0.520187050628
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-10
          Fixed
          4.99600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NGPL PIPECO LLC
        549300K3NT1HSQFEM073
        
        62912XAE4
        
          
          
        
        150000.00000000
        PA
        USD
        155366.75000000
        0.015795036446
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        -317686.44000000
        -0.03229692903
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2028-01-12
            0.00000000
            USD
            -61.74000000
            USD
            81700000.00000000
            MXN
            -317624.70000000
          
        
        
          N
          N
          N
        
      
      
        Trinitas CLO Ltd
        549300F3XEPDOX3FOP69
        
        89641CAA9
        
          
        
        4500000.00000000
        PA
        USD
        4500672.75000000
        0.457551503918
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-25
          Floating
          1.38575000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        39716.37000000
        0.004037681882
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-10-10
            0.00000000
            USD
            -16.52000000
            USD
            37800000.00000000
            CNY
            39732.89000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3866.46000000
        0.000393075588
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1124000.00000000
            USD
            35128980.00000000
            THB
            2021-06-16
            3866.46000000
          
        
        
          N
          N
          N
        
      
      
        OneMain Direct Auto Receivable
        N/A
        
        68267EAB0
        
          
        
        1700000.00000000
        PA
        USD
        1857381.07000000
        0.188826770826
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-11-14
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF GHANA
        213800PP4399SNNXZ126
        
        37443GAG6
        
          
          
        
        505000.00000000
        PA
        USD
        502995.01000000
        0.051135938130
        Long
        DBT
        NUSS
        GH
        N
        
        2
        
          2027-02-11
          Fixed
          6.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Funding Mortgage Loan As
        N/A
        
        161546DB9
        
          
        
        245236.46000000
        PA
        USD
        235804.00000000
        0.023972521625
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-08-25
          Floating
          0.74613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -105256.29000000
        -0.01070066109
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -4699093600.00000000
            KRW
            4099000.00000000
            USD
            2021-10-29
            -105256.29000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        21000000.00000000
        NC
        USD
        0.03000000
        0.000000003049
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2021-05-07
                
              
            
            21000000.00000000
            USD
            28.00000000
            USD
            2021-05-07
            XXXX
            -6719.97000000
          
        
        
          N
          N
          N
        
      
      
        CHESAPEAKE ENERGY FLLO BACKSTOP
        N/A
        
        000000000
        
          
        
        1449.00000000
        NS
        USD
        64180.56000000
        0.006524782711
        Long
        EC
        CORP
        US
        Y
        
        2
        
          N
          N
          N
        
      
      
        SoFi Alternative Trust
        N/A
        
        78472AAA0
        
          
        
        7421677.62000000
        PA
        USD
        7603979.26000000
        0.773042684825
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2045-02-15
          Variable
          3.93211400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2185.80000000
        0.000222214796
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -57873036.00000000
            JPY
            532000.00000000
            USD
            2021-06-30
            2185.80000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -72332.20000000
        -0.00735350218
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2030-02-14
            0.00000000
            USD
            0.00000000
            USD
            -8700000.00000000
            USD
            -72332.20000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
        
        -74000000.00000000
        NC
        
        -4.54000000
        -0.00000046154
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  GBP
                  N/A
                  USD
                  2021-05-26
                
              
            
            -74000000.00000000
            USD
            1.14000000
            GBP
            2021-05-26
            XXXX
            1243098.70000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1446396.25000000
        0.147044856671
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -37285894.69000000
            BRL
            8109155.00000000
            USD
            2022-01-28
            1446396.25000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -1038439.57000000
        -0.10557079205
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                TURKEY GOVERNMENT INTERNATIONAL BOND
                TURKEY GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -8415.01000000
            USD
            17500000.00000000
            USD
            -1030024.56000000
          
        
        
          N
          N
          N
        
      
      
        EUREX CLEARING AKTIENGESELLSCHAFT
        529900LN3S50JPU47S06
        
        000000000
        
          
          
        
        -245.00000000
        NC
        
        454672.49000000
        0.046223329965
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              EUREX CLEARING AKTIENGESELLSCHAFT
              529900LN3S50JPU47S06
            
            Short
            
              
                BUNDESREPUB. DEUTSCHLAND
                BUNDESREPUBLIK DEUTSCHLAND BUNDESANLEIHE
                
                  
                  
                  
                
              
            
            2021-06-08
            -50739316.99000000
            USD
            454672.49000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
        
        34500000.00000000
        NC
        USD
        265468.81000000
        0.026988332635
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            Call
            Purchased
            
              
                
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    GOLDMAN SACHS & CO. LLC
                    FOR8UP27PHTHYVLBNG30
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2022-02-23
                
              
            
            34500000.00000000
            USD
            26.00000000
            USD
            2022-02-23
            XXXX
            -2255446.19000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -8446.21000000
        -0.00085866631
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -1140776.84000000
            ILS
            343000.00000000
            USD
            2021-06-30
            -8446.21000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        49578.44000000
        0.005040288651
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                REPUBLIC OF COLOMBIA
                Colombia Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -2404.30000000
            USD
            5000000.00000000
            USD
            51982.74000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -8227.56000000
        -0.00083643771
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -288208.00000000
            EUR
            338720.11000000
            USD
            2021-06-30
            -8227.56000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        662.56000000
        0.000067357779
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -343048.97000000
            USD
            2907515.00000000
            SEK
            2021-07-19
            662.56000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        84490.68000000
        0.008589568681
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -2169515.52000000
            USD
            1632000.00000000
            GBP
            2021-05-28
            84490.68000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -182750.13000000
        -0.01857891063
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -3510000.00000000
            AUD
            274920750.00000000
            JPY
            2022-01-28
            -182750.13000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4028.25000000
        0.000409523630
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -20200773.60000000
            RUB
            271000.00000000
            USD
            2021-06-16
            4028.25000000
          
        
        
          N
          N
          N
        
      
      
        JABIL INC
        5493000CGCQY2OQU7669
        
        466313AG8
        
          
          
        
        80000.00000000
        PA
        USD
        84377.94000000
        0.008578107205
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        -66900000.00000000
        NC
        
        -8701488.85000000
        -0.88461870720
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  JPY
                  N/A
                  AUD
                  2021-05-26
                
              
            
            -66900000.00000000
            USD
            70.00000000
            AUD
            2021-05-26
            XXXX
            -7053037.53000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1329258.34000000
        0.135136275474
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -2494308005.00000000
            JPY
            24573000.00000000
            USD
            2023-10-31
            1329258.34000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        929063.85000000
        0.094451337703
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -422703000.00000000
            JPY
            6309000.00000000
            AUD
            2023-10-31
            929063.85000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -33311.01000000
        -0.00338649432
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                PETROLEOS MEXICANOS
                PETROLEOS MEXICANOS
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2024-12-20
            0.00000000
            USD
            -30182.19000000
            USD
            440000.00000000
            USD
            -3128.82000000
          
        
        
          N
          N
          N
        
      
      
        BOFA SECURITIES, INC.
        549300HN4UKV1E2R3U73
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2368298.42000000
        0.240768117121
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BOFA SECURITIES, INC.
              549300HN4UKV1E2R3U73
            
            -47735883.00000000
            BRL
            11027000.00000000
            USD
            2021-09-30
            2368298.42000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        5428.21000000
        0.000551847643
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -476000.00000000
            USD
            538203680.00000000
            KRW
            2021-06-16
            5428.21000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4469.98000000
        0.000454431189
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1274000.00000000
            USD
            8286605.60000000
            CNY
            2021-05-18
            4469.98000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -789.72000000
        -0.00008028523
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -31489490.00000000
            PHP
            647000.00000000
            USD
            2021-06-16
            -789.72000000
          
        
        
          N
          N
          N
        
      
      
        EUREX CLEARING AKTIENGESELLSCHAFT
        529900LN3S50JPU47S06
        
        000000000
        
          
          
        
        -284.00000000
        NC
        
        19879.98000000
        0.002021056684
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              EUREX CLEARING AKTIENGESELLSCHAFT
              529900LN3S50JPU47S06
            
            Short
            
              
                BUNDESREPUB. DEUTSCHLAND
                Bundesrepublik Deutschland Bundesanleihe
                
                  
                  
                  
                
              
            
            2021-06-08
            -46432480.49000000
            USD
            19879.98000000
          
        
        
          N
          N
          N
        
      
      
        DIG HOLD BM/DIG INTL FIN
        N/A
        
        25381XAB9
        
          
          
        
        603400.11989600
        PA
        USD
        610016.47000000
        0.062016051547
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2025-12-31
          Fixed
          13.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        -14.00000000
        NC
        USD
        11176.90000000
        0.001136276216
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                FEDERAL RESERVE BANK OF NEW YORK
                30 DAY FEDERAL FUNDS
                
                  
                  
                  
                
              
            
            2022-07-29
            -5603336.90000000
            USD
            11176.90000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1058376.28000000
        -0.10759761607
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -9748000.00000000
            AUD
            704780400.00000000
            JPY
            2021-07-30
            -1058376.28000000
          
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Secu
        N/A
        
        46644ABJ0
        
          
        
        52766000.00000000
        PA
        USD
        787400.64000000
        0.080049443056
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-02-15
          Variable
          0.54596900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
        
        38250000.00000000
        NC
        USD
        7291.67000000
        0.000741292415
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ILS
                  N/A
                  USD
                  2021-06-28
                
              
            
            38250000.00000000
            USD
            3.60000000
            USD
            2021-06-28
            XXXX
            -699185.83000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF SERBIA
        254900W94OCY91V32O78
        
        000000000
        
          
          
        
        1660000.00000000
        PA
        
        1978681.22000000
        0.201158497468
        Long
        DBT
        NUSS
        RS
        N
        
        2
        
          2029-06-26
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUMEN TECHNOLOGIES INC
        8M3THTGWLTYZVE6BBY25
        
        156700AM8
        
          
          
        
        825000.00000000
        PA
        USD
        947551.87000000
        0.096330883679
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-09-15
          Fixed
          7.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
        
        30000000.00000000
        NC
        USD
        585.82000000
        0.000059556167
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY & CO. LLC
                    9R7GPTSO7KV3UQJZQ078
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  BRL
                  N/A
                  USD
                  2021-06-11
                
              
            
            30000000.00000000
            USD
            7.80000000
            USD
            2021-06-11
            XXXX
            -5414.18000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
        
        20500000.00000000
        NC
        USD
        0.00000000
        0.000000
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Purchased
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  RUB
                  N/A
                  USD
                  2021-05-04
                
              
            
            20500000.00000000
            USD
            115.00000000
            USD
            2021-05-04
            XXXX
            -7175.00000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2102.42000000
        -0.00021373814
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -604000.00000000
            USD
            672880160.00000000
            KRW
            2021-06-16
            -2102.42000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
        
        -27710000.00000000
        OU
        Other
        USD
        -17297.49000000
        -0.00175851322
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  Default Event
                  
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -27710000.00000000
            USD
            75.00000000
            USD
            2021-07-21
            XXXX
            1406.76000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        543416.77000000
        0.055245332015
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            -4538898.48000000
            USD
            6596565.00000000
            AUD
            2021-05-28
            543416.77000000
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        
        46649XAN7
        
          
        
        7950000.00000000
        PA
        USD
        8244914.79000000
        0.838202058091
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-07-05
          Variable
          4.76697300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -115134.97000000
        -0.01170495648
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA CORP
              9DJT3UXIJIZJI4WXO774
            
            -424261600.00000000
            INR
            5480000.00000000
            USD
            2021-09-30
            -115134.97000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3834.23000000
        -0.00038979899
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1736038.00000000
            EUR
            2086791.59000000
            USD
            2021-07-19
            -3834.23000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -209848.52000000
        -0.02133381191
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -2052297.44000000
            USD
            15628245.00000000
            TRY
            2021-06-16
            -209848.52000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -90275.98000000
        -0.00917771913
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2026-01-12
            0.00000000
            USD
            0.00000000
            USD
            3095000.00000000
            USD
            -90275.98000000
          
        
        
          N
          N
          N
        
      
      
        York CLO Ltd
        5493009C48K5WG4EX118
        
        98625TAJ4
        
          
        
        3000000.00000000
        PA
        USD
        3003628.20000000
        0.305357593511
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-22
          Floating
          1.33375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -6903.09000000
        -0.00070178824
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                UNITED MEXICAN STATES
                Mexico Government International Bond
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2023-06-20
            1147.03000000
            USD
            0.00000000
            USD
            -455000.00000000
            USD
            -8050.12000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        23813.73000000
        0.002420973170
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -2226000.00000000
            USD
            109364945.30000000
            PHP
            2021-06-16
            23813.73000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        22295.21000000
        0.002266596002
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -1878000.00000000
            USD
            141977326.20000000
            INR
            2021-06-16
            22295.21000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -308358.55000000
        -0.03134862855
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -3385915.50000000
            USD
            26104829.00000000
            TRY
            2021-06-16
            -308358.55000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        26436.27000000
        0.002687588227
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -710000.00000000
            USD
            4022194.00000000
            BRL
            2021-06-30
            26436.27000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        N/A
        
        61746RFV8
        
          
          
        
        202921.78000000
        PA
        USD
        200832.72000000
        0.020417239416
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-05-25
          Floating
          1.00613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Securities LLC
        T6FIZBDPKLYJKFCRVK44
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        5669.82000000
        0.000576410419
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              UBS Securities LLC
              T6FIZBDPKLYJKFCRVK44
            
            -471000.00000000
            USD
            634433.23000000
            SGD
            2021-06-16
            5669.82000000
          
        
        
          N
          N
          N
        
      
      
        AMERIGAS PART/FIN CORP
        N/A
        
        030981AK0
        
          
          
        
        2900000.00000000
        PA
        USD
        3219533.19000000
        0.327307123807
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-20
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        
        00287YCA5
        
          
          
        
        2500000.00000000
        PA
        USD
        2794866.83000000
        0.284134304436
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-11-21
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EASTERN ENERGY GAS
        549300BFOD6TDMVV4O24
        
        257375AJ4
        
          
          
        
        125000.00000000
        PA
        USD
        144068.81000000
        0.014646454951
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-12-15
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        
        00287YCY3
        
          
          
        
        4155000.00000000
        PA
        USD
        4913850.92000000
        0.499556400424
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-03-15
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        18344.64000000
        0.001864969547
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -5105382.77000000
            USD
            74560481307.00000000
            IDR
            2021-06-16
            18344.64000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -571981.88000000
        -0.05814934431
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            -5118000.00000000
            USD
            487837524.00000000
            JPY
            2023-10-31
            -571981.88000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -39046.93000000
        -0.00396962466
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -18485993.75000000
            CNY
            2813000.00000000
            USD
            2021-05-18
            -39046.93000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -30717.66000000
        -0.00312284680
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -164184102.50000000
            INR
            2095000.00000000
            USD
            2022-02-25
            -30717.66000000
          
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        N/A
        
        75049UAB4
        
          
        
        1315000.00000000
        PA
        USD
        1324323.22000000
        0.134634556797
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-10-25
          Floating
          4.10613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASCENT RESOURCES UTICA
        549300EGLQ2M2CL7JZ89
        
        000000000
        
          
        
        1858000.00000000
        PA
        USD
        2051928.75000000
        0.208605054765
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-11-01
          Floating
          10.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GREENKO DUTCH BV
        724500PT585P4JPVRP08
        
        39530LAD2
        
          
          
        
        1830000.00000000
        PA
        USD
        1858097.66000000
        0.188899621453
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2026-03-29
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
        
        10000000.00000000
        NC
        USD
        159853.49000000
        0.016251171506
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Purchased
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  CNY
                  N/A
                  USD
                  2022-09-28
                
              
            
            10000000.00000000
            USD
            6.90000000
            USD
            2022-09-28
            XXXX
            -53284.51000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        
        61761AAC2
        
          
        
        65968000.00000000
        PA
        USD
        201301.35000000
        0.020464881707
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-08-15
          Variable
          0.37558200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Securities LLC
        T6FIZBDPKLYJKFCRVK44
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4774.21000000
        -0.00048536009
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              UBS Securities LLC
              T6FIZBDPKLYJKFCRVK44
            
            -13537645.00000000
            TWD
            482000.00000000
            USD
            2021-06-16
            -4774.21000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -826029.45000000
        -0.08397656042
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -8971000.00000000
            USD
            874044530.00000000
            JPY
            2023-10-31
            -826029.45000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SA
        QHSFEYI7HUOXXZ413E03
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -269673.02000000
        -0.02741574487
        N/A
        DCR
        CORP
        FR
        
        N
        
        2
        
          
            
              BNP PARIBAS SA
              QHSFEYI7HUOXXZ413E03
            
            
              
                PETROLEOS MEXICANOS
                Petroleos Mexicanos
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -605801.71000000
            USD
            9450000.00000000
            USD
            336128.69000000
          
        
        
          N
          N
          N
        
      
      
        BRASKEM NETHERLANDS
        N/A
        
        10554TAB1
        
          
          
        
        1630000.00000000
        PA
        USD
        1696168.58000000
        0.172437439420
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-01-10
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ESKOM HOLDINGS SOC LTD
        3789001900ED06F65111
        
        29646AAA4
        
          
          
        
        200000.00000000
        PA
        USD
        209004.58000000
        0.021248014511
        Long
        DBT
        CORP
        ZA
        N
        
        2
        
          2023-08-06
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3278213.90000000
        0.333272775745
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -79414353.00000000
            BRL
            17683000.00000000
            USD
            2021-09-30
            3278213.90000000
          
        
        
          N
          N
          N
        
      
      
        Oaktown Re Ltd
        254900KOPN6EP9T3LD85
        
        67400CAA6
        
          
        
        309829.67000000
        PA
        USD
        309928.20000000
        0.031508203749
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-07-25
          Floating
          1.65613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -14929.16000000
        -0.00151774189
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-13
            0.00000000
            USD
            0.00000000
            USD
            1330000.00000000
            USD
            -14929.16000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        -366.00000000
        NC
        USD
        -340472.41000000
        -0.03461341712
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2021-06-21
            -57213027.59000000
            USD
            -340472.41000000
          
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
        5493003GCX71N8988W38
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        3540.57000000
        0.000359944661
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
              5493003GCX71N8988W38
            
            -466000.00000000
            USD
            22824680.00000000
            PHP
            2021-06-16
            3540.57000000
          
        
        
          N
          N
          N
        
      
      
        Romark CLO Ltd
        N/A
        
        77587AAC0
        
          
        
        1484426.77000000
        PA
        USD
        1482948.87000000
        0.150760902512
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-20
          Floating
          1.21825000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        30000000.00000000
        NC
        USD
        0.00000000
        0.000000
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  BRL
                  N/A
                  USD
                  2021-05-04
                
              
            
            30000000.00000000
            USD
            8.00000000
            USD
            2021-05-04
            XXXX
            -4957.10000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        -367.00000000
        NC
        USD
        817394.48000000
        0.083098704214
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2021-06-21
            -49272863.23000000
            USD
            817394.48000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1470.41000000
        -0.00014948616
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -56897347.00000000
            PHP
            1169000.00000000
            USD
            2021-06-16
            -1470.41000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        12037.60000000
        0.001223777486
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -420843040.00000000
            CLP
            604000.00000000
            USD
            2021-06-16
            12037.60000000
          
        
        
          N
          N
          N
        
      
      
        ROCKIES EXPRESS PIPELINE
        W2ZGZGZKY5GGNY6F3V51
        
        77340RAS6
        
          
          
        
        775000.00000000
        PA
        USD
        771358.07000000
        0.078418508652
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust
        549300R1KUK063S4I339
        
        17307GNR5
        
          
        
        223779.15000000
        PA
        USD
        219047.79000000
        0.022269036500
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-02-25
          Floating
          0.73613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        
        17308CC53
        
          
          
        
        870000.00000000
        PA
        USD
        907032.76000000
        0.092211592909
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-05
          Fixed
          2.97600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Securities LLC
        T6FIZBDPKLYJKFCRVK44
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -115.06000000
        -0.00001169733
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              UBS Securities LLC
              T6FIZBDPKLYJKFCRVK44
            
            -260000.00000000
            USD
            985114.00000000
            PLN
            2021-07-19
            -115.06000000
          
        
        
          N
          N
          N
        
      
      
        TPC GROUP INC
        549300K276KVW5JD1583
        
        89236YAC8
        
          
        
        418918.00000000
        PA
        USD
        444888.14000000
        0.045228624439
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-01
          Fixed
          10.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIG HOLD BM/DIG INTL FIN
        N/A
        
        25381XAA1
        
          
          
        
        1138183.43148500
        PA
        USD
        1187091.03000000
        0.120683132552
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2024-05-25
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        139506.09000000
        0.014182595543
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2025-12-17
            0.00000000
            USD
            -682.25000000
            USD
            -61800000.00000000
            ZAR
            140188.34000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        549300O2GEH6GH9NO762
        
        078768AD0
        
          
        
        801613.21000000
        PA
        USD
        802133.30000000
        0.081547208194
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2028-04-25
          Floating
          1.70613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        -55605.68000000
        -0.00565303542
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2031-01-03
            0.00000000
            USD
            -51.58000000
            USD
            11550000.00000000
            MXN
            -55554.10000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        109226.94000000
        0.011104328939
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -349392515.00000000
            JPY
            3323000.00000000
            USD
            2022-05-31
            109226.94000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        N/A
        
        61746RDM0
        
          
          
        
        374985.95000000
        PA
        USD
        375564.03000000
        0.038180933449
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-09-25
          Floating
          1.15613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        176801.55000000
        0.017974160662
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -444959529.00000000
            JPY
            4249000.00000000
            USD
            2021-05-28
            176801.55000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        16185.76000000
        0.001645491516
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -127332382.90000000
            RUB
            1699000.00000000
            USD
            2021-06-16
            16185.76000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        61213.26000000
        0.006223118348
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                REPUBLIC OF PANAMA
                Panama Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -1803.20000000
            USD
            3750000.00000000
            USD
            63016.46000000
          
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        
        000000000
        
          
          
        
        1250000.00000000
        PA
        
        1513550.94000000
        0.153871998104
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-10-01
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -5071.44000000
        -0.00051557736
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -1594000.00000000
            USD
            173618480.00000000
            JPY
            2021-05-28
            -5071.44000000
          
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        
        912810ST6
        
          
          
        
        15930000.00000000
        PA
        USD
        13883990.63000000
        1.411486936736
        Long
        DBT
        UST
        US
        N
        
        2
        
          2040-11-15
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARRIOTT INTERNATIONAL
        225YDZ14ZO8E1TXUSU86
        
        571903AK9
        
          
          
        
        75000.00000000
        PA
        USD
        76862.67000000
        0.007814082962
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -215180.98000000
        -0.02187592532
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -19505501.00000000
            ILS
            5794000.00000000
            USD
            2021-06-30
            -215180.98000000
          
        
        
          N
          N
          N
        
      
      
        VIATRIS INC
        254900ZZTSW7NL773X71
        
        91533BAF7
        
          
          
        
        2190000.00000000
        PA
        USD
        2179538.09000000
        0.221578192044
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-22
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
        
        144000000.00000000
        NC
        
        66735.13000000
        0.006784487740
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            Put
            Purchased
            
              
                
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                  
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2022-01-26
                
              
            
            144000000.00000000
            USD
            55.00000000
            AUD
            2022-01-26
            XXXX
            -929662.73000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -29668.69000000
        -0.00301620546
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1247000.00000000
            USD
            4604742.35000000
            PEN
            2021-06-16
            -29668.69000000
          
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        
        000000000
        
          
          
        
        725000.00000000
        PA
        
        1130626.67000000
        0.114942801213
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2034-01-16
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -52922.83000000
        -0.00538028908
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -3978972.50000000
            USD
            297069783.00000000
            RUB
            2021-06-16
            -52922.83000000
          
        
        
          N
          N
          N
        
      
      
        MidOcean Credit CLO
        549300XSCUX0ONI5KZ96
        
        59802UAN9
        
          
        
        18000000.00000000
        PA
        USD
        18014106.60000000
        1.831366558829
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-21
          Floating
          1.98600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -16271.36000000
        -0.00165419386
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -2049937.31000000
            USD
            1688739.00000000
            EUR
            2021-07-19
            -16271.36000000
          
        
        
          N
          N
          N
        
      
      
        CAESARS RESORT / FINCO
        N/A
        
        12652AAA1
        
          
          
        
        1725000.00000000
        PA
        USD
        1739938.83000000
        0.176887250554
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        KKR FINANCIAL CLO LTD
        5493004Y6G18HN4CQ515
        
        48254HAA2
        
          
        
        5000000.00000000
        PA
        USD
        5010842.00000000
        0.509416796188
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-15
          Floating
          1.50375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARKEL CORPORATION
        549300SCNO12JLWIK605
        
        570535AP9
        
          
          
        
        3125000.00000000
        PA
        USD
        3685151.19000000
        0.374643206207
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-03-30
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        
        000000000
        
          
          
        
        350000.00000000
        PA
        USD
        353503.77000000
        0.035938223147
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2021-09-01
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAY AREA CA TOLL AUTH TOLL BRI
        5493001FUZGUQMIP5D78
        
        072024ND0
        
          
          
        
        550000.00000000
        PA
        USD
        867729.48000000
        0.088215906959
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2049-04-01
          Fixed
          6.26300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUROPEAN LOAN CONDUIT
        N/A
        
        000000000
        
          
          
        
        9500000.00000000
        PA
        
        13097682.85000000
        1.331548597011
        Long
        ABS-MBS
        CORP
        IE
        
        N
        
        2
        
          2029-01-23
          Floating
          1.58863000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG
        ANGGYXNX0JLX3X63JN86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        13758.43000000
        0.001398722077
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Credit Suisse AG
              ANGGYXNX0JLX3X63JN86
            
            -886000.00000000
            USD
            1005868140.00000000
            KRW
            2021-06-16
            13758.43000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        148259.46000000
        0.015072488639
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2026-01-21
            0.00000000
            USD
            0.00000000
            USD
            -10075000.00000000
            USD
            148259.46000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1175603.58000000
        -0.11951528491
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -8604000.00000000
            AUD
            5453337.46000000
            USD
            2021-05-28
            -1175603.58000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -63.85000000
        -0.00000649117
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -735000.00000000
            USD
            2385565.98000000
            ILS
            2021-06-30
            -63.85000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        -205242.56000000
        -0.02086555659
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-02-18
            0.00000000
            USD
            0.00000000
            USD
            1234000000.00000000
            HUF
            -205242.56000000
          
        
        
          N
          N
          N
        
      
      
        TEACHERS INSUR & ANNUITY
        O06XD7BJ4EPXNABVFN69
        
        878091BD8
        
          
          
        
        1950000.00000000
        PA
        USD
        2431646.61000000
        0.247208278674
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-09-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZRAHI TEFAHOT BANK LTD
        YZO9YEGEO4VYDZMDWF93
        
        000000000
        
          
          
        
        1555000.00000000
        PA
        USD
        1581435.70000000
        0.160773360579
        Long
        DBT
        CORP
        IL
        N
        
        2
        
          2031-04-07
          Fixed
          3.07700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4062.47000000
        -0.00041300253
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -2634912.93000000
            USD
            14296022.60000000
            BRL
            2021-05-04
            -4062.47000000
          
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        
        12624BAE6
        
          
        
        9413940.18000000
        PA
        USD
        104424.13000000
        0.010616061282
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-05-15
          Variable
          2.03933700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        56106.28000000
        0.005703927883
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -2717753.85000000
            USD
            9005753.00000000
            ILS
            2021-06-16
            56106.28000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        
        3137AYCF6
        
          
        
        83672038.45000000
        PA
        USD
        734146.83000000
        0.074635505583
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-10-25
          Variable
          0.91661800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS CAPITAL INC.
        AC28XWWI3WIBK2824319
        
        000000000
        
          
        
        69000000.00000000
        NC
        USD
        150189.28000000
        0.015268679762
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS CAPITAL INC.
              AC28XWWI3WIBK2824319
            
            Call
            Purchased
            
              
                
                  
                    BARCLAYS CAPITAL INC.
                    AC28XWWI3WIBK2824319
                  
                  
                    BARCLAYS CAPITAL INC.
                    AC28XWWI3WIBK2824319
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  MXN
                  N/A
                  USD
                  2022-02-23
                
              
            
            69000000.00000000
            USD
            31.50000000
            USD
            2022-02-23
            XXXX
            -912410.72000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        
        3137AUPF0
        
          
        
        3825446.67000000
        PA
        USD
        38658.05000000
        0.003930089988
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-06-25
          Variable
          1.52983000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        5493005BBCF84ICNQ550
        
        36192CAJ4
        
          
        
        103126000.00000000
        PA
        USD
        933228.42000000
        0.094874720022
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-02-10
          Variable
          0.63409800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -32264.93000000
        -0.00328014678
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -9728096.00000000
            ZAR
            634000.00000000
            USD
            2021-06-17
            -32264.93000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        92984.08000000
        0.009453032470
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -209537770.00000000
            TWD
            7639000.00000000
            USD
            2021-06-30
            92984.08000000
          
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        
        000000000
        
          
          
        
        1465000.00000000
        PA
        
        1614701.43000000
        0.164155251606
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2030-01-27
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carlyle Global Market Strategi
        N/A
        
        000000000
        
          
        
        6500000.00000000
        PA
        
        7817156.94000000
        0.794714948841
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2032-03-15
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
        
        -72000000.00000000
        NC
        
        -90090.02000000
        -0.00915881389
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            Put
            Written
            
              
                
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                  
                  
                    BNP PARIBAS SECURITIES CORP.
                    RCNB6OTYUAMMP879YW96
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2022-01-26
                
              
            
            -72000000.00000000
            USD
            63.00000000
            AUD
            2022-01-26
            XXXX
            940646.04000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        15750000.00000000
        NC
        USD
        0.00000000
        0.000000
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  KRW
                  N/A
                  USD
                  2021-05-06
                
              
            
            15750000.00000000
            USD
            1350.00000000
            USD
            2021-05-06
            XXXX
            -5118.56000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -44526.38000000
        -0.00452668151
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -5257065.83000000
            USD
            389446024.00000000
            INR
            2021-06-16
            -44526.38000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        18039.07000000
        0.001833904410
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -158463990.00000000
            INR
            2139000.00000000
            USD
            2021-06-16
            18039.07000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -273330.56000000
        -0.02778758104
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA CORP
              9DJT3UXIJIZJI4WXO774
            
            -1989416800.00000000
            CLP
            2524000.00000000
            USD
            2021-10-29
            -273330.56000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        -432000000.00000000
        NC
        
        -37.40000000
        -0.00000380219
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2021-05-26
                
              
            
            -432000000.00000000
            USD
            62.00000000
            AUD
            2021-05-26
            XXXX
            6038417.78000000
          
        
        
          N
          N
          N
        
      
      
        Ellington CLO LTD
        254900YE647HYXEP3N43
        
        28852EAA7
        
          
        
        18782942.48000000
        PA
        USD
        18758363.12000000
        1.907029844951
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-02-15
          Floating
          1.89375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        8790.33000000
        0.000893650557
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -389801.06000000
            USD
            5830854.00000000
            ZAR
            2021-06-30
            8790.33000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -29936.96000000
        -0.00304347857
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -560000.00000000
            USD
            2966320.00000000
            BRL
            2022-01-28
            -29936.96000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -6910.00000000
        -0.00070249073
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -600000.00000000
            USD
            769625.45000000
            AUD
            2021-07-20
            -6910.00000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        
        92343VGK4
        
          
          
        
        1575000.00000000
        PA
        USD
        1612221.46000000
        0.163903130631
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-03-22
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGEAN ISRAEL FINANCE
        98450044QACBL3F8EB03
        
        000000000
        
          
          
        
        450000.00000000
        PA
        USD
        464835.09000000
        0.047256489488
        Long
        DBT
        CORP
        IL
        N
        
        2
        
          2026-03-30
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -893.71000000
        -0.00009085716
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            -540000.00000000
            USD
            161619635.00000000
            HUF
            2021-07-19
            -893.71000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1172.53000000
        -0.00011920281
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -26685019.00000000
            MXN
            1307000.00000000
            USD
            2021-06-30
            -1172.53000000
          
        
        
          N
          N
          N
        
      
      
        EVERGY KANSAS CENTRAL
        J75GNWGEO73W89ZV3S44
        
        95709TAJ9
        
          
          
        
        325000.00000000
        PA
        USD
        370812.42000000
        0.037697870933
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-04-01
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4172.40000000
        -0.00042417833
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -39745732.00000000
            PHP
            813461.56000000
            USD
            2021-06-16
            -4172.40000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        225.71000000
        0.000022946336
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -274000.00000000
            USD
            1039473.80000000
            PLN
            2021-07-19
            225.71000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -38941.17000000
        -0.00395887279
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                IHS MARKIT LTD
                CMBX.NA.13.AAA
                
                  
                  
                
              
            
            Y
            Default Event
            
            2072-12-16
            33757.33000000
            USD
            0.00000000
            USD
            -7000000.00000000
            USD
            -72698.50000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        
        61761QAL7
        
          
        
        68276000.00000000
        PA
        USD
        496789.83000000
        0.050505101453
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-12-15
          Variable
          0.49700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAMERON INTL CORP
        P2PV5Z2Z2UKRY3P3V155
        
        13342BAF2
        
          
          
        
        100000.00000000
        PA
        USD
        123259.74000000
        0.012530944270
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-06-01
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIBERTY MUTUAL GROUP INC
        QUR0DG15Z6FFGYCHH861
        
        53079EBG8
        
          
          
        
        1614000.00000000
        PA
        USD
        1872702.31000000
        0.190384372721
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          4.56900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SoFi Alternative Trust
        549300R6IBV4OG5V8H03
        
        83405CAA8
        
          
        
        5971112.82000000
        PA
        USD
        6178419.71000000
        0.628116147780
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2045-12-15
          Variable
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        -26250000.00000000
        NC
        
        -39032.03000000
        -0.00396810988
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  EUR
                  2021-11-18
                
              
            
            -26250000.00000000
            USD
            1.31000000
            EUR
            2021-11-18
            XXXX
            97007.21000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -11612.31000000
        -0.00118054126
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -6297659.00000000
            CNY
            960000.00000000
            USD
            2021-05-18
            -11612.31000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        268.50000000
        0.000027296492
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -604000.00000000
            AUD
            50868880.00000000
            JPY
            2021-06-30
            268.50000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        -58.00000000
        NC
        USD
        0.00000000
        0.000000
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                FEDERAL RESERVE BANK OF NEW YORK
                30 DAY FEDERAL FUNDS
                
                  
                  
                  
                
              
            
            2022-05-31
            -23213824.30000000
            USD
            0.00000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -16604.04000000
        -0.00168801508
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -8160250.00000000
            ILS
            2500000.00000000
            USD
            2021-08-31
            -16604.04000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -80769.34000000
        -0.00821124641
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -670000.00000000
            GBP
            844588.60000000
            USD
            2021-05-28
            -80769.34000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        
        172967EW7
        
          
          
        
        620000.00000000
        PA
        USD
        1036004.62000000
        0.105323247940
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-07-15
          Fixed
          8.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2933.54000000
        0.000298232222
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -306000.00000000
            USD
            1002782.81000000
            ILS
            2021-06-30
            2933.54000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -10871.82000000
        -0.00110526089
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -1561222.50000000
            ILS
            470000.00000000
            USD
            2021-06-16
            -10871.82000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -61667.85000000
        -0.00626933329
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -1471991.00000000
            GBP
            1636000.00000000
            EUR
            2021-08-31
            -61667.85000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        21926.78000000
        0.002229140335
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -248000.00000000
            USD
            1754848.00000000
            CNY
            2021-06-30
            21926.78000000
          
        
        
          N
          N
          N
        
      
      
        CALPINE CORP
        43R4VPJBXTU2O15HEF41
        
        131347CP9
        
          
          
        
        1500000.00000000
        PA
        USD
        1479674.21000000
        0.150427991036
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -14006.45000000
        -0.00142393651
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -443855590.00000000
            HUF
            1466539.76000000
            USD
            2021-07-19
            -14006.45000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -78933.26000000
        -0.00802458517
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -18881021.00000000
            ZAR
            1159000.00000000
            USD
            2022-05-31
            -78933.26000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        
        000000000
        
          
          
        
        410000.00000000
        PA
        
        481475.44000000
        0.048948195949
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2033-03-12
          Fixed
          1.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        89759.31000000
        0.009125192957
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -4204659.00000000
            USD
            5569011.00000000
            AUD
            2022-01-28
            89759.31000000
          
        
        
          N
          N
          N
        
      
      
        GAZPROM (GAZ CAPITAL SA)
        213800568PRHV2JR9650
        
        368266AR3
        
          
          
        
        730000.00000000
        PA
        USD
        762662.32000000
        0.077534473373
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2022-07-19
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        60806.75000000
        0.006181791357
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -4337984.65000000
            USD
            14281336.10000000
            ILS
            2021-06-16
            60806.75000000
          
        
        
          N
          N
          N
        
      
      
        IVORY COAST
        254900ICW11T82O6H590
        
        000000000
        
          
          
        
        500000.00000000
        PA
        
        674762.81000000
        0.068598353102
        Long
        DBT
        NUSS
        CI
        N
        
        2
        
          2025-06-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUZANO AUSTRIA GMBH
        254900287ZNSGVP1R341
        
        86964WAF9
        
          
          
        
        1000000.00000000
        PA
        USD
        1171670.17000000
        0.119115402998
        Long
        DBT
        CORP
        AT
        
        N
        
        2
        
          2029-01-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1757411.37000000
        0.178663559875
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -15802000.00000000
            USD
            259808583.00000000
            ZAR
            2021-09-30
            1757411.37000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        
        172967JT9
        
          
          
        
        405000.00000000
        PA
        USD
        452830.39000000
        0.046036056712
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-10
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -32960.04000000
        -0.00335081369
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                UNITED MEXICAN STATES
                Mexico Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -37909.44000000
            USD
            1155000.00000000
            USD
            4949.40000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -47082.66000000
        -0.00478656038
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -9817349.40000000
            CNY
            1463000.00000000
            USD
            2021-06-30
            -47082.66000000
          
        
        
          N
          N
          N
        
      
      
        CITGO HOLDING INC
        549300NYHOALWZ2BSL72
        
        17302WAB4
        
          
          
        
        500000.00000000
        PA
        USD
        514990.01000000
        0.052355384776
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-01
          Fixed
          9.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIGICEL GROUP 0.5 LTD
        N/A
        
        25381YAB7
        
          
          
        
        247554.00000000
        PA
        USD
        207409.48000000
        0.021085851998
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2025-04-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAUREL ROAD PRIME STUDENT LOAN TRUST 2018-D
        N/A
        
        51889BAA2
        
          
        
        5072847.87829400
        PA
        USD
        5257862.76000000
        0.534529646314
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2043-11-25
          Variable
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
        
        -37000000.00000000
        NC
        
        -64.38000000
        -0.00000654505
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  GBP
                  N/A
                  USD
                  2021-05-26
                
              
            
            -37000000.00000000
            USD
            1.22000000
            GBP
            2021-05-26
            XXXX
            666744.92000000
          
        
        
          N
          N
          N
        
      
      
        ERAC USA FINANCE LLC
        LTKX5ODQW6Z7BQ2K1V47
        
        26882PBE1
        
          
          
        
        1725000.00000000
        PA
        USD
        2534496.56000000
        0.257664304232
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-10-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANTHEM INC
        8MYN82XMYQH89CTMTH67
        
        94973VBB2
        
          
          
        
        120000.00000000
        PA
        USD
        144124.56000000
        0.014652122658
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JEFFERIES GROUP LLC
        NY9Q8VBNB6D1L6YV0J84
        
        472319AM4
        
          
          
        
        175000.00000000
        PA
        USD
        236552.70000000
        0.024048636649
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-01-20
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        
        903724BW1
        
          
          
        
        800000.00000000
        PA
        USD
        879559.73000000
        0.089418604640
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2024-02-01
          Fixed
          8.99400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        -32000000.00000000
        NC
        USD
        -158702.96000000
        -0.01613420527
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  USD
                  N/A
                  JPY
                  2022-05-27
                
              
            
            -32000000.00000000
            USD
            97.50000000
            USD
            2022-05-27
            XXXX
            159505.04000000
          
        
        
          N
          N
          N
        
      
      
        MOHAWK INDUSTRIES INC
        549300JI1115MG3Q6322
        
        608190AJ3
        
          
          
        
        104000.00000000
        PA
        USD
        109076.22000000
        0.011089006305
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THE TORONTO-DOMINION BANK
        PT3QB789TSUIDF371261
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2522.88000000
        0.000256483330
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              THE TORONTO-DOMINION BANK
              PT3QB789TSUIDF371261
            
            -604000.00000000
            USD
            503651.47000000
            EUR
            2021-07-19
            2522.88000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -3861.29000000
        -0.00039254999
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -1111433.82000000
            USD
            120961788.00000000
            JPY
            2021-07-19
            -3861.29000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        9427.35000000
        0.000958411866
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -29544623.20000000
            THB
            958000.00000000
            USD
            2021-06-16
            9427.35000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        8450.80000000
        0.000859132948
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -2176000.00000000
            USD
            2442065990.00000000
            KRW
            2021-06-16
            8450.80000000
          
        
        
          N
          N
          N
        
      
      
        Pnmac Gmsr Issuer Trust
        N/A
        
        69354WAC0
        
          
        
        1650000.00000000
        PA
        USD
        1648110.59000000
        0.167551724145
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-02-25
          Floating
          2.95613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd
        N/A
        
        92917CAE2
        
          
        
        2738698.81000000
        PA
        USD
        2738697.44000000
        0.278423960606
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-10-15
          Floating
          1.39375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -62049.81000000
        -0.00630816445
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -353509.83000000
            USD
            2446641.50000000
            TRY
            2021-05-28
            -62049.81000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        385717.29000000
        0.039213143441
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -274221260.00000000
            JPY
            3758000.00000000
            AUD
            2021-05-28
            385717.29000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
        
        216000000.00000000
        NC
        
        459.92000000
        0.000046756807
        N/A
        DFE
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    DE
                    US
                  
                  N/A
                  AUD
                  N/A
                  JPY
                  2021-05-26
                
              
            
            216000000.00000000
            USD
            70.00000000
            AUD
            2021-05-26
            XXXX
            -6618056.59000000
          
        
        
          N
          N
          N
        
      
      
        ANTERO RESOURCES CORP
        APVBKPOULHUX7YZLKU17
        
        03674XAF3
        
          
          
        
        3500000.00000000
        PA
        USD
        3511549.97000000
        0.356994400417
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-01
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -22530.57000000
        -0.00229052338
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -1892646.00000000
            BRL
            324000.00000000
            USD
            2021-06-30
            -22530.57000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1285.34000000
        -0.00013067140
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -192482779.50000000
            INR
            2575000.00000000
            USD
            2021-06-16
            -1285.34000000
          
        
        
          N
          N
          N
        
      
      
        ENDEAVOR ENERGY RESOURCE
        N/A
        
        29260FAD2
        
          
          
        
        2700000.00000000
        PA
        USD
        2795479.34000000
        0.284196573987
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-30
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2544.64000000
        0.000258695515
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -316000.00000000
            USD
            23853260.00000000
            INR
            2021-06-30
            2544.64000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS SECURITIES CORP.
        RCNB6OTYUAMMP879YW96
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        102160.90000000
        0.010385974727
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BNP PARIBAS SECURITIES CORP.
              RCNB6OTYUAMMP879YW96
            
            -5488950.00000000
            BRL
            1110000.00000000
            USD
            2021-05-28
            102160.90000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
        
        24000000.00000000
        NC
        USD
        14.98000000
        0.000001522910
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Call
            Purchased
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ZAR
                  N/A
                  USD
                  2021-05-14
                
              
            
            24000000.00000000
            USD
            21.00000000
            USD
            2021-05-14
            XXXX
            -3565.22000000
          
        
        
          N
          N
          N
        
      
      
        ENERGEAN ISRAEL FINANCE
        98450044QACBL3F8EB03
        
        000000000
        
          
          
        
        720000.00000000
        PA
        USD
        744035.51000000
        0.075640817602
        Long
        DBT
        CORP
        IL
        N
        
        2
        
          2028-03-30
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -15033.65000000
        -0.00152836465
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-14
            0.00000000
            USD
            0.00000000
            USD
            1355000.00000000
            USD
            -15033.65000000
          
        
        
          N
          N
          N
        
      
      
        Finance America Mortgage Loan
        N/A
        
        317350AC0
        
          
        
        1318636.85000000
        PA
        USD
        1313939.47000000
        0.133578914520
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-09-25
          Floating
          1.15613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PGIM Core Ultra Short Bond Fund
        1VRLPVAWKZCB406TIT84
        
        000000000
        
          
        
        125974403.28000000
        NS
        USD
        125974403.28000000
        12.80692484830
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Laurel Road Prime Student Loan
        N/A
        
        51889RAD1
        
          
        
        4167303.01500000
        PA
        USD
        537582.09000000
        0.054652161448
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-10-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -3641.19000000
        -0.00037017398
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                UNITED MEXICAN STATES
                Mexico Government International Bond
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2023-06-20
            650.74000000
            USD
            0.00000000
            USD
            -240000.00000000
            USD
            -4291.93000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        11860.97000000
        0.001205820765
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -1705000.00000000
            USD
            53474038.50000000
            THB
            2021-06-16
            11860.97000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -12599.79000000
        -0.00128093135
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -859622.00000000
            EUR
            1025453.40000000
            USD
            2021-11-22
            -12599.79000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        -139040.81000000
        -0.01413529382
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2027-01-04
            0.00000000
            USD
            0.00000000
            USD
            13418287.84000000
            BRL
            -139040.81000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -9392.65000000
        -0.00095488416
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -863142220.00000000
            KRW
            762707.39000000
            USD
            2021-06-30
            -9392.65000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -44429.07000000
        -0.00451678869
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -3778956.60000000
            BRL
            651000.00000000
            USD
            2021-05-04
            -44429.07000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -49944.75000000
        -0.00507752879
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -3640304.61000000
            USD
            271669365.80000000
            RUB
            2021-06-16
            -49944.75000000
          
        
        
          N
          N
          N
        
      
      
        Chase Mortgage Finance Corpora
        N/A
        
        161630AC2
        
          
          
        
        59455.33000000
        PA
        USD
        60294.34000000
        0.006129698264
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-02-25
          Variable
          2.64626400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mtg Loan Asset
        N/A
        
        32027NJU6
        
          
        
        645849.46000000
        PA
        USD
        647405.57000000
        0.065817136382
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-08-25
          Floating
          0.86613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AEGEA FINANCE SARL
        N/A
        
        00775CAA4
        
          
          
        
        795000.00000000
        PA
        USD
        827081.02000000
        0.084083466091
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2024-10-10
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        38250000.00000000
        NC
        USD
        804.86000000
        0.000081824412
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  ILS
                  N/A
                  USD
                  2021-06-28
                
              
            
            38250000.00000000
            USD
            3.95000000
            USD
            2021-06-28
            XXXX
            -83811.03000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        -252670.75000000
        -0.02568724457
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-01-19
            2586.46000000
            USD
            0.00000000
            USD
            5740000.00000000
            NZD
            -255257.21000000
          
        
        
          N
          N
          N
        
      
      
        SANDS CHINA LTD
        549300EVO6UZDGY05787
        
        80007RAF2
        
          
          
        
        1000000.00000000
        PA
        USD
        1116306.84000000
        0.113487005576
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-08-08
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SoFi Alternative Trust
        N/A
        
        83406DAE7
        
          
        
        6425825.09000000
        PA
        USD
        6652090.60000000
        0.676270910439
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-01-16
          Variable
          2.70693000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        
        000000000
        
          
        
        -15750000.00000000
        NC
        USD
        -48096.42000000
        -0.00488962218
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
                    7H6GLXDRUGQFU57RNE97
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                    US
                  
                  N/A
                  KRW
                  N/A
                  USD
                  2021-10-27
                
              
            
            -15750000.00000000
            USD
            1225.00000000
            USD
            2021-10-27
            XXXX
            212644.83000000
          
        
        
          N
          N
          N
        
      
      
        GREYSTAR REAL ESTATE PAR
        254900HGC806SXAS4M46
        
        39807UAB2
        
          
          
        
        3575000.00000000
        PA
        USD
        3688547.97000000
        0.374988532758
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        
        172967LD1
        
          
          
        
        980000.00000000
        PA
        USD
        1091135.04000000
        0.110927967053
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-10
          Fixed
          3.88700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        
        060505EN0
        
          
          
        
        4220000.00000000
        PA
        USD
        4759279.20000000
        0.483842189043
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          6.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        129306.03000000
        0.013145627726
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -2268005.74000000
            USD
            181780660.00000000
            INR
            2021-09-30
            129306.03000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        -82927.65000000
        -0.00843066649
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2027-01-04
            0.00000000
            USD
            0.00000000
            USD
            8342419.19000000
            BRL
            -82927.65000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
        
        -27710000.00000000
        OU
        Other
        USD
        -36612.51000000
        -0.00372213443
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                  
                  
                    BANK OF AMERICA, NATIONAL ASSOCIATION
                    B4TYDEB6GKMZO031MB27
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DCR
                    CORP
                    US
                  
                  
                    
                      IHS MARKIT LTD
                      CDX.NA.IG.36.V1
                      
                        
                        
                      
                    
                  
                  
                  Default Event
                  2026-06-20
                  0.00000000
                  USD
                  0.00000000
                  USD
                  N/A
                  N/A
                
              
            
            -27710000.00000000
            USD
            50.00000000
            USD
            2021-07-21
            XXXX
            -589.51000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1663.59000000
        0.000169125406
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -91000.00000000
            USD
            300781.39000000
            ILS
            2021-06-30
            1663.59000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1731.65000000
        0.000176044583
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -170000.00000000
            USD
            222863.14000000
            AUD
            2021-06-30
            1731.65000000
          
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        
        110122CQ9
        
          
          
        
        615000.00000000
        PA
        USD
        719988.64000000
        0.073196142740
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-06-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -12653.95000000
        -0.00128643742
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -2368569.56000000
            USD
            73378290.00000000
            THB
            2021-06-16
            -12653.95000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        19687500.00000000
        NC
        
        0.00000000
        0.000000
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    CITIBANK, NATIONAL ASSOCIATION
                    E57ODZWZ7FF32TWEFA76
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  EUR
                  2021-05-07
                
              
            
            19687500.00000000
            USD
            1.35000000
            EUR
            2021-05-07
            XXXX
            -4048.89000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -33261.52000000
        -0.00338146302
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -4728693.27000000
            USD
            146245795.50000000
            THB
            2021-06-16
            -33261.52000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -63800.46000000
        -0.00648614063
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -6058000.00000000
            USD
            164717020.00000000
            TWD
            2021-09-30
            -63800.46000000
          
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        
        126650CN8
        
          
          
        
        1315000.00000000
        PA
        USD
        1637743.50000000
        0.166497775573
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-07-20
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -25530.04000000
        -0.00259545824
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-13
            0.00000000
            USD
            0.00000000
            USD
            2170000.00000000
            USD
            -25530.04000000
          
        
        
          N
          N
          N
        
      
      
        UNITED RENTALS NORTH AM
        NGIZXNT70J2LYT3FBI09
        
        911365BL7
        
          
          
        
        1200000.00000000
        PA
        USD
        1311977.18000000
        0.133379422402
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -71988.70000000
        -0.00731858097
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -5995427.34000000
            USD
            164736357.00000000
            TWD
            2021-06-16
            -71988.70000000
          
        
        
          N
          N
          N
        
      
      
        Oportun Funding LLC
        549300MXCNH68VEXKD16
        
        68377EAB7
        
          
        
        1200000.00000000
        PA
        USD
        1210883.16000000
        0.123101909804
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-12-09
          Fixed
          4.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDONESIA ASAHAN ALUMINI
        2549008P48EB9SN2OI80
        
        000000000
        
          
          
        
        1650000.00000000
        PA
        USD
        2000593.77000000
        0.203386191140
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2028-11-15
          Fixed
          6.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        -70911.25000000
        -0.00720904426
        N/A
        DIR
        CORP
        GB
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2034-05-08
            0.00000000
            USD
            -61374.38000000
            USD
            -1100000.00000000
            GBP
            -9536.87000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        
        000000000
        
          
          
        
        -48.00000000
        NC
        USD
        35440.80000000
        0.003603014980
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                FEDERAL RESERVE BANK OF NEW YORK
                30 DAY FEDERAL FUNDS
                
                  
                  
                  
                
              
            
            2022-06-30
            -19210480.80000000
            USD
            35440.80000000
          
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        
        9128283F5
        
          
          
        
        150000.00000000
        PA
        USD
        159796.88000000
        0.016245416369
        Long
        DBT
        UST
        US
        N
        
        2
        
          2027-11-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -6721.91000000
        -0.00068336895
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                MEXICO GOVERNMENT INTERNATIONAL BOND
                MEXICO GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2024-12-20
            2253.32000000
            USD
            0.00000000
            USD
            -440000.00000000
            USD
            -8975.23000000
          
        
        
          N
          N
          N
        
      
      
        LONDON CLEARING HOUSE
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        194598.11000000
        0.019783410800
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LONDON CLEARING HOUSE
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-06-28
            0.00000000
            USD
            0.00000000
            USD
            147000000.00000000
            CNY
            194598.11000000
          
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        
        71654QCL4
        
          
          
        
        2238000.00000000
        PA
        USD
        1908835.32000000
        0.194057759787
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2048-02-12
          Fixed
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -9432.44000000
        -0.00095892933
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -41142600.00000000
            INR
            540000.00000000
            USD
            2021-06-30
            -9432.44000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        164386.37000000
        0.016711997293
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -6015036.21000000
            USD
            125843117.00000000
            MXN
            2021-06-16
            164386.37000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        
        225433AC5
        
          
          
        
        1200000.00000000
        PA
        USD
        1300978.72000000
        0.132261286915
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-03-26
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -84604.24000000
        -0.00860111352
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -3297000.00000000
            USD
            17495530.50000000
            BRL
            2021-05-28
            -84604.24000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -251266.97000000
        -0.02554453220
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -43583481.00000000
            EUR
            52234191.81000000
            USD
            2021-07-19
            -251266.97000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2341.49000000
        -0.00023804269
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -527000.00000000
            USD
            7675045.67000000
            ZAR
            2021-06-30
            -2341.49000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        
        172967JZ5
        
          
          
        
        4685000.00000000
        PA
        USD
        4686933.83000000
        0.476487347960
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Floating
          4.28875000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Secu
        N/A
        
        07384YPB6
        
          
        
        2418120.63000000
        PA
        USD
        2419410.21000000
        0.245964290601
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-01-25
          Floating
          1.20113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        
        46639YAT4
        
          
        
        34956250.00000000
        PA
        USD
        349370.24000000
        0.035517996445
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-04-15
          Variable
          0.65021100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Carlyle Global Market Strategi
        N/A
        
        000000000
        
          
        
        1750000.00000000
        PA
        
        2096028.38000000
        0.213088351630
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2032-03-15
          Floating
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENOVUS ENERGY INC
        549300EIRQ0Z2B9C1W06
        
        15135UAR0
        
          
          
        
        1835000.00000000
        PA
        USD
        2092984.41000000
        0.212778892772
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2047-06-15
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit-Based Asset Servicing a
        N/A
        
        79549AYY9
        
          
        
        525832.50000000
        PA
        USD
        520813.32000000
        0.052947399436
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-11-25
          Floating
          1.12613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        516059.66000000
        0.052464128511
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA CORP
              9DJT3UXIJIZJI4WXO774
            
            -7937000.00000000
            USD
            27438209.00000000
            ILS
            2021-06-30
            516059.66000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2315.17000000
        0.000235366927
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -65274600.00000000
            JPY
            600000.00000000
            USD
            2021-07-20
            2315.17000000
          
        
        
          N
          N
          N
        
      
      
        KRAFT HEINZ FOODS CO
        5493003STKEZ2S0RNU91
        
        50077LAZ9
        
          
          
        
        2980000.00000000
        PA
        USD
        3419546.99000000
        0.347641109430
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-10-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        
        3137ATRX2
        
          
        
        18055551.51000000
        PA
        USD
        193815.51000000
        0.019703849404
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-05-25
          Variable
          1.47259300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -428971.28000000
        -0.04361047007
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -7416216000.00000000
            KRW
            6205000.00000000
            USD
            2021-06-30
            -428971.28000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        -44563.69000000
        -0.00453047455
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2030-02-18
            0.00000000
            USD
            0.00000000
            USD
            7821000000.00000000
            COP
            -44563.69000000
          
        
        
          N
          N
          N
        
      
      
        TFS_18-3-A1
        N/A
        
        000000000
        
          
        
        10261501.75000000
        PA
        
        11103201.43000000
        1.128783805178
        Long
        ABS-MBS
        CORP
        LU
        N
        
        2
        
          2023-03-16
          Floating
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        
        20754CAB5
        
          
        
        189421.42000000
        PA
        USD
        190647.34000000
        0.019381764011
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2040-01-25
          Floating
          2.15613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARABIAN CENTRES SUKUK
        5493003T55GS691ILI42
        
        03847PAA3
        
          
          
        
        995000.00000000
        PA
        USD
        1027588.01000000
        0.104467590847
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-11-26
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Zais Clo 7 llc
        549300XFDOUEB0QTZS87
        
        98887VAA1
        
          
        
        4642153.48000000
        PA
        USD
        4643720.21000000
        0.472094125453
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-04-15
          Floating
          1.47375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        
        000000000
        
          
        
        1.00000000
        NC
        
        -92846.65000000
        -0.00943906093
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-01-26
            0.00000000
            USD
            0.00000000
            USD
            2100000.00000000
            NZD
            -92846.65000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -54241.34000000
        -0.00551433264
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                IHS MARKIT LTD
                CMBX.NA.13.AAA
                
                  
                  
                
              
            
            Y
            Default Event
            
            2072-12-16
            202126.36000000
            USD
            0.00000000
            USD
            -10000000.00000000
            USD
            -256367.70000000
          
        
        
          N
          N
          N
        
      
      
        BEAZER HOMES USA
        549300DUPYT2T0F60I45
        
        07556QBT1
        
          
          
        
        3625000.00000000
        PA
        USD
        4044079.69000000
        0.411132923211
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-15
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -97684.44000000
        -0.00993088476
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -3580778.73000000
            USD
            19491969.00000000
            BRL
            2022-01-28
            -97684.44000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -83515.34000000
        -0.00849041277
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -15295267.86000000
            USD
            1136520229.50000000
            INR
            2021-06-16
            -83515.34000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -7284.89000000
        -0.00074060314
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -10492645.00000000
            TWD
            370000.00000000
            USD
            2021-06-16
            -7284.89000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        -20353.54000000
        -0.00206920017
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2027-01-04
            0.00000000
            USD
            0.00000000
            USD
            17000257.93000000
            BRL
            -20353.54000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -19004.28000000
        -0.00193203047
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -605000.00000000
            USD
            2204595800.00000000
            COP
            2021-06-16
            -19004.28000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        
        000000000
        
          
        
        -60000000.00000000
        NC
        USD
        -68713.62000000
        -0.00698562679
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            Put
            Written
            
              
                
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                  
                  
                    J.P. MORGAN SECURITIES LLC
                    ZBUT11V806EZRVTWT807
                    
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DFE
                    CORP
                    US
                  
                  N/A
                  USD
                  N/A
                  TWD
                  2021-12-21
                
              
            
            -60000000.00000000
            USD
            24.30000000
            USD
            2021-12-21
            XXXX
            183550.53000000
          
        
        
          N
          N
          N
        
      
      
        GSAMP Trust
        N/A
        
        36242DGY3
        
          
        
        1633026.17000000
        PA
        USD
        1622457.06000000
        0.164943711547
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-10-25
          Floating
          1.00613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        
        200474AA2
        
          
        
        123049000.00000000
        PA
        USD
        1146262.96000000
        0.116532432009
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-02-10
          Variable
          0.33895400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIAMOND BC BV
        549300SWLHWJF3D4N658
        
        000000000
        
          
          
        
        6085000.00000000
        PA
        
        7480796.16000000
        0.760519532000
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2025-08-15
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MACY'S RETAIL HLDGS LLC
        N/A
        
        55616XAJ6
        
          
          
        
        705000.00000000
        PA
        USD
        552072.10000000
        0.056125258079
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-02-15
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -6928.43000000
        -0.00070436437
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -11038950.00000000
            TWD
            390000.00000000
            USD
            2021-06-16
            -6928.43000000
          
        
        
          N
          N
          N
        
      
      
        PGIM Institutional Money Market Fund - D
        N/A
        
        000000000
        
          
        
        9479325.71000000
        NS
        USD
        9474586.05000000
        0.963214020878
        Long
        STIV
        RF
        US
        N
        
        1
        
          
          N
          N
        
      
      
        Oportun Funding LLC
        N/A
        
        68377FAC2
        
          
        
        4860000.00000000
        PA
        USD
        4979642.99000000
        0.506245013937
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-08-08
          Fixed
          3.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        
        912828G38
        
          
          
        
        1705000.00000000
        PA
        USD
        1811029.69000000
        0.184114554496
        Long
        DBT
        UST
        US
        N
        
        2
        
          2024-11-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANTHEM INC
        8MYN82XMYQH89CTMTH67
        
        036752AG8
        
          
          
        
        700000.00000000
        PA
        USD
        790426.45000000
        0.080357055716
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-01
          Fixed
          4.10100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        
        110122DJ4
        
          
          
        
        1146000.00000000
        PA
        USD
        1484264.06000000
        0.150894608559
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Investment Lo
        N/A
        
        86358EKV7
        
          
        
        2282273.29000000
        PA
        USD
        2277840.89000000
        0.231571941085
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-09-25
          Floating
          1.10613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        17059.58000000
        0.001734326603
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -104893021.65000000
            INR
            1421000.00000000
            USD
            2021-06-16
            17059.58000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        
        000000000
        
          
        
        1.00000000
        NC
        
        -54011.82000000
        -0.00549099897
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2035-12-28
            0.00000000
            USD
            -54.85000000
            USD
            8665000.00000000
            MXN
            -53956.97000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK NA
        E57ODZWZ7FF32TWEFA76
        
        000000000
        
          
        
        1.00000000
        NC
        USD
        -10986.68000000
        -0.00111693789
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK NA
              E57ODZWZ7FF32TWEFA76
            
            
              
                UNITED MEXICAN STATES
                Mexico Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -12949.69000000
            USD
            385000.00000000
            USD
            1963.01000000
          
        
        
          N
          N
          N
        
      
      
        CALPINE CORP
        43R4VPJBXTU2O15HEF41
        
        131347CQ7
        
          
          
        
        2275000.00000000
        PA
        USD
        2239642.11000000
        0.227688541823
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        14064.44000000
        0.001429831945
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -1877000.00000000
            USD
            91925903.00000000
            PHP
            2021-06-16
            14064.44000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2436.97000000
        0.000247749470
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -429248.49000000
            USD
            603439.00000000
            NZD
            2021-07-20
            2436.97000000
          
        
        
          N
          N
          N
        
      
      
        BRAZIL LOAN TRUST 1
        N/A
        
        000000000
        
          
          
        
        374460.57000000
        PA
        USD
        389949.62000000
        0.039643414439
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-07-24
          Fixed
          5.47700000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
      
    
    
      2021-06-22
      Prudential Investment Portfolios 9
      Christian J. Kelly
      Christian J. Kelly
      Treasurer and Principal Financial and Accounting Officer