0001752724-22-121426.txt : 20220525
0001752724-22-121426.hdr.sgml : 20220525
20220525160950
ACCESSION NUMBER: 0001752724-22-121426
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220331
FILED AS OF DATE: 20220525
PERIOD START: 20220331
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PACIFIC FUNDS SERIES TRUST
CENTRAL INDEX KEY: 0001137761
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0331
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-10385
FILM NUMBER: 22962993
BUSINESS ADDRESS:
STREET 1: 700 NEWPORT CENTER DRIVE
STREET 2: POST OFFFICE BOX 7500
CITY: NEWPORT BEACH
STATE: CA
ZIP: 92660
BUSINESS PHONE: 9492193233
MAIL ADDRESS:
STREET 1: 700 NEWPORT CENTER DRIVE
CITY: NEWPORT BEACH
STATE: CA
ZIP: 92660
FORMER COMPANY:
FORMER CONFORMED NAME: PACIFIC FUNDS SERIES TRUST (formerly called PACIFIC LIFE FUNDS)
DATE OF NAME CHANGE: 20150126
FORMER COMPANY:
FORMER CONFORMED NAME: PACIFIC LIFE FUNDS
DATE OF NAME CHANGE: 20070103
FORMER COMPANY:
FORMER CONFORMED NAME: PACIFIC FUNDS
DATE OF NAME CHANGE: 20010405
0001137761
S000001893
PF Managed Bond Fund
C000004975
CLASS P
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001137761
XXXXXXXX
S000001893
C000004975
Pacific Funds Series Trust
811-10385
0001137761
549300LB41OPP7XTUV13
700 Newport Center Drive
PO Box 7500
Newport Beach
92660
949-219-3233
PF Managed Bond Fund
S000001893
HGRTF1OM6JF8ACSUW293
2022-03-31
2022-03-31
N
516082574.47
91594291.61
424488282.86
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
4113442.83000000
77271366.07000000
0.00000000
6782522.59000000
EUR
GBP
JPY
MXN
USD
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
23.00000000
NC
USD
9882.82000000
0.002328172625
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
115.00000000
USD
2022-04-22
XXXX
-4281.98000000
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F030645
-1900000.00000000
PA
USD
-1858734.38000000
-0.43787648683
Short
ABS-MBS
USGSE
US
N
2
2051-04-15
Fixed
3.00000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAQ7
10000.00000000
PA
USD
9409.78000000
0.002216734920
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.72200000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BZ8
40000.00000000
PA
USD
37219.70000000
0.008768133657
Long
DBT
CORP
US
N
2
2031-05-12
Fixed
2.10000000
N
N
N
N
N
N
BON SECOURS MERCY
5493006NA7JSVYYYF398
Bon Secours Mercy Health Inc
09778PAC9
125000.00000000
PA
USD
106515.63000000
0.025092713815
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
3.20500000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2018-RPL1
64829VAA4
478335.75000000
PA
USD
479745.88000000
0.113017461110
Long
ABS-MBS
CORP
US
N
2
2057-12-25
Variable
3.50000000
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
Johnson & Johnson
478160CF9
100000.00000000
PA
USD
103616.36000000
0.024409710275
Long
DBT
CORP
US
N
2
2037-03-03
Fixed
3.62500000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AR0
700000.00000000
PA
USD
716366.42000000
0.168759998550
Long
DBT
CORP
GB
N
2
2028-03-22
Fixed
4.37500000
N
N
N
N
N
N
OneMain Financial Issuance Tru
N/A
OneMain Financial Issuance Trust 2020-2
682696AD1
120000.00000000
PA
USD
114077.99000000
0.026874237665
Long
ABS-O
CORP
US
N
2
2035-09-14
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXF98
87071.33000000
PA
USD
91194.63000000
0.021483426912
Long
ABS-MBS
USGSE
US
N
2
2057-06-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH54
11731.11000000
PA
USD
12211.02000000
0.002876644772
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
4.50000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CA5
140000.00000000
PA
USD
135496.73000000
0.031920016516
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
-3.00000000
NC
USD
-890.63000000
-0.00020981262
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
114.50000000
USD
2022-04-01
XXXX
-52.07000000
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448ER5
120000.00000000
PA
USD
119397.78000000
0.028127461892
Long
DBT
CORP
US
N
2
2027-03-19
Fixed
2.62500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967GD7
300000.00000000
PA
USD
303930.00000000
0.071599149439
Long
DBT
CORP
US
N
2
N/A
Fixed
5.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QXR8
918181.68000000
PA
USD
952547.29000000
0.224398959514
Long
ABS-MBS
USGA
US
N
2
2071-01-20
Floating
1.72857000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
30036000000.00000000
PA
2058509.03000000
0.484938951937
Long
DBT
NUSS
ID
N
2
2031-02-15
Fixed
6.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
EURO FOREIGN EXCHANGE CURRENCY
000000000
43.00000000
NC
USD
83269.50000000
0.019616442517
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
CHICAGO MERCANTILE EXCHANGE
EURO CURRENCY 2PM
2022-06-13
5882443.00000000
USD
83269.50000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-606921.40000000
-0.14297718559
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2024-06-04
0.00000000
USD
0.00000000
USD
27829000.00000000
USD
-606921.40000000
N
N
N
QUANTA SERVICES INC
SHVRXXEACT60MMH07S24
Quanta Services Inc
74762EAH5
90000.00000000
PA
USD
78280.92000000
0.018441244001
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BYV2
132564.40000000
PA
USD
132320.37000000
0.031171736734
Long
ABS-MBS
USGSE
US
N
2
2036-02-01
Fixed
3.00000000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE
7D6DIU2QXTUJRFNNJA49
Nissan Motor Acceptance Co LLC
654740BT5
300000.00000000
PA
USD
270943.61000000
0.063828289481
Long
DBT
CORP
US
N
2
2028-03-09
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XARA2
169553.43000000
PA
USD
162798.07000000
0.038351605114
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AS0
66000.00000000
PA
USD
58457.75000000
0.013771345961
Long
DBT
CORP
US
N
2
2050-12-01
Fixed
3.46800000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAD4
80000.00000000
PA
USD
80978.10000000
0.019076639631
Long
DBT
CORP
US
N
2
2025-12-14
Fixed
3.15000000
N
N
N
N
N
N
Asset Backed Funding Certifica
N/A
ABFC 2004-OPT5 Trust
04542BJY9
39034.87000000
PA
USD
38248.37000000
0.009010465434
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
1.15657000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AL7
20000.00000000
PA
USD
19517.77000000
0.004597952590
Long
DBT
CORP
US
N
2
2040-03-27
Fixed
3.25000000
N
N
N
N
N
N
OMEGA HLTHCARE INVESTORS
549300OJ7ENK42CZ8E73
Omega Healthcare Investors Inc
681936BM1
900000.00000000
PA
USD
825799.59000000
0.194540019912
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
3.37500000
N
N
N
N
N
N
VIRGIN MEDIA BRISTOL LLC
N/A
Virgin Media Bristol LLC
000000000
210000.00000000
PA
USD
207604.74000000
0.048907060190
Long
LON
CORP
US
N
2
2028-01-31
Floating
2.69110000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J2TT3
1142000.00000000
PA
USD
1020967.12000000
0.240517149995
Long
ABS-MBS
USGSE
US
N
2
2031-01-01
Fixed
1.44000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDV3
30000.00000000
PA
USD
37594.43000000
0.008856411712
Long
DBT
CORP
US
N
2
2047-03-16
Fixed
5.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
298604.33000000
0.070344540016
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-02-15
0.00000000
USD
-3067.57000000
USD
-3080000.00000000
USD
301671.90000000
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78015K7G3
90000.00000000
PA
USD
89597.81000000
0.021107251629
Long
DBT
CORP
CA
N
2
2023-04-17
Fixed
1.60000000
N
N
N
N
N
N
MASTR Asset Backed Securities
N/A
Mastr Asset Backed Securities Trust 2006-WMC4
57645MAF9
578491.02000000
PA
USD
234871.58000000
0.055330521355
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.67657000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GK3
60000.00000000
PA
USD
59278.57000000
0.013964712901
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BJPW9
886775.40000000
PA
USD
122965.51000000
0.028967939744
Long
ABS-MBS
USGSE
US
N
2
2049-01-25
Fixed
2.50000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBF9
8000.00000000
PA
USD
8263.12000000
0.001946607323
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QA9
150000.00000000
PA
USD
172001.95000000
0.040519834573
Long
DBT
UST
US
N
2
2039-02-15
Fixed
3.50000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AY4
135000.00000000
PA
USD
121001.00000000
0.028505144873
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QM4X9
241974.43000000
PA
USD
231256.69000000
0.054478933656
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31404J3T0
54425.61000000
PA
USD
58600.27000000
0.013804920504
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-3.00000000
NC
USD
-93.75000000
-0.00002208541
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
128.50000000
USD
2022-04-22
XXXX
2666.69000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHC6
155000.00000000
PA
USD
155450.00000000
0.036620563223
Long
DBT
CORP
US
N
2
2023-12-20
Fixed
3.00400000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-4.00000000
NC
USD
-2875.00000000
-0.00067728606
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
153.00000000
USD
2022-04-22
XXXX
493.09000000
N
N
N
ML-CFC Commercial Mortgage Tru
N/A
ML-CFC Commercial Mortgage Trust 2007-5
55312YAH5
22799.34000000
PA
USD
11211.48000000
0.002641175375
Long
ABS-MBS
CORP
US
N
2
2048-08-12
Variable
5.40763500
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-57.00000000
NC
USD
-4898.47000000
-0.00115397060
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
116.50000000
USD
2022-04-22
XXXX
18409.18000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JS7
85000.00000000
PA
USD
83546.05000000
0.019681591547
Long
DBT
CORP
US
N
2
2023-03-10
Fixed
1.36700000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
270000.00000000
PA
USD
306575.09000000
0.072222273824
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B7QQ5
58672.19000000
PA
USD
2516.88000000
0.000592920959
Long
ABS-MBS
USGSE
US
N
2
2043-04-15
Fixed
4.00000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABV8
300000.00000000
PA
USD
283436.83000000
0.066771414299
Long
DBT
CORP
US
N
2
2024-06-14
Fixed
0.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AENK5
8677.34000000
PA
USD
8928.51000000
0.002103358410
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-36.00000000
NC
USD
-2250.00000000
-0.00053004996
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
127.00000000
USD
2022-04-22
XXXX
22687.73000000
N
N
N
Towd Point Mortgage Funding
6354008RRKZLZQWJ8D70
Towd Point Mortgage Funding 2020-Auburn 14 PLC
000000000
1133626.00000000
PA
1489521.37000000
0.350898111948
Long
ABS-MBS
CORP
GB
N
2
2045-05-20
Floating
0.17393000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2M4
720000.00000000
PA
USD
858292.60000000
0.202194650513
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01300000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAX4
65000.00000000
PA
USD
66197.95000000
0.015594764961
Long
DBT
CORP
US
N
2
2039-10-01
Fixed
4.62500000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAP6
170000.00000000
PA
USD
176497.82000000
0.041578961570
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.30000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-2.00000000
NC
USD
-7406.25000000
-0.00174474780
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
126.50000000
USD
2022-04-22
XXXX
-5347.21000000
N
N
N
Dryden Senior Loan Fund
549300XLLT7H0EYXK263
Dryden 36 Senior Loan Fund
26249KAZ4
288197.06000000
PA
USD
287372.44000000
0.067698556498
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
1.26129000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2017-RB1
95000TBV7
4086294.41000000
PA
USD
194765.05000000
0.045882314745
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Variable
1.17855400
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BV5
135000.00000000
PA
USD
111642.44000000
0.026300476245
Long
DBT
CORP
US
N
2
2051-04-01
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31414EME1
576.98000000
PA
USD
579.42000000
0.000136498467
Long
ABS-MBS
USGSE
US
N
2
2023-06-01
Fixed
5.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGH1
280000.00000000
PA
USD
261534.22000000
0.061611646436
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CN6
33000.00000000
PA
USD
33540.81000000
0.007901468981
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
152314.50000000
0.035881909148
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2045-08-19
0.00000000
USD
0.00000000
USD
-640000.00000000
USD
152314.50000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RYV2
600884.38000000
PA
USD
622393.10000000
0.146621974064
Long
ABS-MBS
USGA
US
N
2
2066-09-20
Variable
2.80992000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2020-4
36261EAD9
75000.00000000
PA
USD
72556.79000000
0.017092766262
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
1.64000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LH6Y5
59233.16000000
PA
USD
60689.15000000
0.014297014181
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.25000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAP8
10000.00000000
PA
USD
9791.95000000
0.002306765674
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.90000000
N
N
N
N
N
N
CON EDISON CO OF NY INC
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co of New York Inc
209111FX6
20000.00000000
PA
USD
19959.40000000
0.004701990798
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXHG0
356686.69000000
PA
USD
400480.91000000
0.094344396811
Long
ABS-MBS
USGSE
US
N
2
2058-01-01
Fixed
5.50000000
N
N
N
N
N
N
Capital Automotive LP
N/A
Cars Net Lease Mortgage Notes Series 2020-1
14576AAC6
99375.00000000
PA
USD
94031.00000000
0.022151612611
Long
ABS-O
CORP
US
N
2
2050-12-15
Fixed
3.10000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DF9
310000.00000000
PA
USD
364746.00000000
0.085926046660
Long
DBT
CORP
US
N
2
2036-09-15
Fixed
6.45000000
N
N
N
N
N
N
SINOPEC GRP OVERSEA 2014
549300ZIMV82UUECOQ45
Sinopec Group Overseas Development 2014 Ltd
82937WAE5
290000.00000000
PA
USD
297952.97000000
0.070191094084
Long
DBT
CORP
VG
N
2
2024-04-10
Fixed
4.37500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JT9
170000.00000000
PA
USD
175073.79000000
0.041243491768
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
4.40000000
N
N
N
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VBB9
82000.00000000
PA
USD
79549.92000000
0.018740192182
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
2.70000000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAK9
70000.00000000
PA
USD
64059.19000000
0.015090920665
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
2.25000000
N
N
N
N
N
N
Ameriquest Mortgage Securities
N/A
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R8
03072SM36
250000.00000000
PA
USD
247646.43000000
0.058339991938
Long
ABS-O
CORP
US
N
2
2035-10-25
Floating
1.32657000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BV0
50000.00000000
PA
USD
50450.10000000
0.011884921689
Long
DBT
CORP
US
N
2
2024-06-06
Fixed
3.36300000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAJ3
30000.00000000
PA
USD
29848.05000000
0.007031536842
Long
DBT
CORP
CA
N
2
2025-06-01
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LAEE1
1177138.50000000
PA
USD
1079095.88000000
0.254210993229
Long
ABS-MBS
USGSE
US
N
2
2027-07-01
Fixed
0.97000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380LCX9
262447.91000000
PA
USD
260874.95000000
0.061456337084
Long
ABS-MBS
USGA
US
N
2
2068-05-20
Floating
0.40629000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGL7
190000.00000000
PA
USD
191458.59000000
0.045103386296
Long
DBT
CORP
US
N
2
2028-04-24
Fixed
3.70500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133TNSS4
42698.87000000
PA
USD
47605.03000000
0.011214686464
Long
ABS-MBS
USGSE
US
N
2
2030-04-15
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4T22
47228.65000000
PA
USD
49876.38000000
0.011749766015
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L1UL7
87276.42000000
PA
USD
81417.91000000
0.019180249087
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131Y3XB7
19878.18000000
PA
USD
21079.30000000
0.004965814334
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
5.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CM0
105000.00000000
PA
USD
115500.67000000
0.027209389437
Long
DBT
CORP
US
N
2
2035-07-20
Fixed
4.87500000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2015-GC33
29425AAD5
700000.00000000
PA
USD
709294.67000000
0.167094051506
Long
ABS-MBS
CORP
US
N
2
2058-09-10
Fixed
3.77800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KQF6
7105.17000000
PA
USD
7780.84000000
0.001832992879
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
5356.15000000
0.001261789834
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2023-08-22
0.00000000
USD
0.00000000
USD
500000.00000000
USD
5356.15000000
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AF4
50000.00000000
PA
USD
42740.00000000
0.010068593580
Long
DBT
CORP
CA
N
2
2029-05-30
Fixed
7.25000000
N
N
N
N
N
N
BOSTON SCIENTIFIC CORP
Y6ZDD9FP4P8JSSJMW954
Boston Scientific Corp
101137BA4
900000.00000000
PA
USD
845676.19000000
0.199222504871
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.65000000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08579JBG6
104551.66000000
PA
USD
103215.70000000
0.024315323689
Long
LON
CORP
US
N
2
2026-07-01
Floating
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406MLQ7
10655.22000000
PA
USD
11226.45000000
0.002644701974
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.00000000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
45685NAA4
700000.00000000
PA
USD
724177.66000000
0.170600152993
Long
DBT
CORP
NL
N
2
2026-01-06
Fixed
4.62500000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
107902000.00000000
PA
66401.23000000
0.015642653208
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
48667QAQ8
400000.00000000
PA
USD
385477.22000000
0.090809861087
Long
DBT
CORP
KZ
N
2
2030-04-24
Fixed
5.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CR97
20611.43000000
PA
USD
21258.44000000
0.005008015735
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAN3
20000.00000000
PA
USD
20442.07000000
0.004815697117
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BR9
20000.00000000
PA
USD
20834.90000000
0.004908239129
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.37500000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAM2
465000.00000000
PA
USD
476251.39000000
0.112194236974
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
4.50000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2018-1 Trust
67112FAD2
487987.87000000
PA
USD
482648.26000000
0.113701197297
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Floating
1.10657000
N
N
N
N
N
N
Metlife Securitization Trust
N/A
METLIFE SECURITIZATION TRUST 2018-1
59166DAA5
522366.94000000
PA
USD
524514.49000000
0.123563950096
Long
ABS-MBS
CORP
US
N
2
2057-03-25
Variable
3.75000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2005-4
07386HSY8
9653.69000000
PA
USD
9604.68000000
0.002262649026
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
2.62685900
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CF0
50000.00000000
PA
USD
48607.50000000
0.011450846104
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
4.62500000
N
N
N
N
N
N
ALPHABET INC
5493006MHB84DD0ZWV18
Alphabet Inc
02079KAF4
50000.00000000
PA
USD
39570.95000000
0.009322035871
Long
DBT
CORP
US
N
2
2050-08-15
Fixed
2.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AC3A7
124900.08000000
PA
USD
17564.42000000
0.004137786768
Long
ABS-MBS
USGSE
US
N
2
2043-03-25
Fixed
4.00000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-NQM4
64828EAA3
83309.42000000
PA
USD
82881.48000000
0.019525033633
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
2.49188000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJSM1
177294.05000000
PA
USD
176058.50000000
0.041475467547
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
Regional Management Issuance T
N/A
Regional Management Issuance Trust 2021-1
75907VAA5
198000.00000000
PA
USD
187340.47000000
0.044133248799
Long
ABS-O
CORP
US
N
2
2031-03-17
Fixed
1.68000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBG4
230000.00000000
PA
USD
199550.99000000
0.047009775783
Long
DBT
CORP
US
N
2
2050-02-24
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LEUX3
250000.00000000
PA
USD
230965.30000000
0.054410288652
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
2.14000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-5684.37000000
-0.00133911116
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-03-17
19440.13000000
USD
0.00000000
USD
1300000000.00000000
JPY
-25124.50000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFE9
50000.00000000
PA
USD
49237.66000000
0.011599297787
Long
DBT
CORP
US
N
2
2030-03-22
Fixed
3.15000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617NS5E7
346258.06000000
PA
USD
349288.24000000
0.082284542142
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
3.00000000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918CD4
5000.00000000
PA
USD
4328.25000000
0.001019639451
Long
DBT
CORP
US
N
2
2060-06-01
Fixed
2.67500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYJ7
80000.00000000
PA
USD
71000.47000000
0.016726131878
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.38300000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526BS7
300000.00000000
PA
USD
301644.82000000
0.071060811848
Long
DBT
CORP
DE
N
2
2023-02-27
Floating
1.73786000
N
N
N
N
N
N
SETANTA AIRCRAFT LEASING
N/A
Setanta Aircraft Leasing DAC
000000000
270000.00000000
PA
USD
266576.67000000
0.062799535526
Long
LON
CORP
IE
N
2
2028-11-05
Floating
2.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CN3
10000.00000000
PA
USD
9367.90000000
0.002206868923
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
4.20000000
N
N
N
N
N
N
Aqua Finance Trust
N/A
Aqua Finance Trust 2020-A
038413AC4
210000.00000000
PA
USD
201873.67000000
0.047556947541
Long
ABS-O
CORP
US
N
2
2046-07-17
Fixed
3.97000000
N
N
N
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AP6
200000.00000000
PA
USD
182151.37000000
0.042910812230
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
1.83200000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 10 Year Euro BUND
000000000
-31.00000000
NC
75095.94000000
0.017690933538
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-06-08
-5530958.27000000
USD
75095.94000000
N
N
N
COTERRA ENERGY INC
FCNMH6O7VWU7LHXMK351
Coterra Energy Inc
127097AE3
285000.00000000
PA
USD
287583.25000000
0.067748218646
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.90000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617VUEX1
250286.86000000
PA
USD
266346.94000000
0.062745416246
Long
ABS-MBS
USGA
US
N
2
2071-10-20
Floating
2.02500000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAJ7
140000.00000000
PA
USD
161350.97000000
0.038010700534
Long
DBT
CORP
US
N
2
2037-05-01
Fixed
6.55000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
292480AH3
230000.00000000
PA
USD
231548.37000000
0.054547646978
Long
DBT
CORP
US
N
2
2024-05-15
Variable
3.90000000
N
N
N
N
N
N
KKR Financial CLO Ltd
54930088PYF0FHKY5C94
KKR CLO 18 Ltd
48251JAL7
300000.00000000
PA
USD
299684.49000000
0.070599001692
Long
ABS-CBDO
CORP
KY
N
2
2030-07-18
Floating
1.18129000
N
N
N
N
N
N
TEXAS INSTRUMENTS INC
WDJNR2L6D8RWOEB8T652
Texas Instruments Inc
882508BJ2
20000.00000000
PA
USD
18223.62000000
0.004293079629
Long
DBT
CORP
US
N
2
2030-05-04
Fixed
1.75000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AU2
250000.00000000
PA
USD
225880.16000000
0.053212342747
Long
DBT
CORP
CH
N
2
2032-05-14
Fixed
3.09100000
N
N
N
N
N
N
JAZZ FINANCING LUX SARL
635400WUEO2NSG5OIU34
Jazz Financing Lux Sarl
000000000
307675.00000000
PA
USD
307012.58000000
0.072325336739
Long
LON
CORP
LU
N
2
2028-05-05
Floating
4.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308HA8
33000.00000000
PA
USD
26970.00000000
0.006353532262
Long
DBT
CORP
US
N
2
2042-08-15
Fixed
3.75000000
N
N
N
N
N
N
FIRST EAGLE HOLDINGS INC
549300ZKYR56QRODD510
First Eagle Holdings Inc
05554JAH0
28123.39640000
PA
USD
27683.97000000
0.006521727717
Long
LON
CORP
US
N
2
2027-02-02
Floating
2.72380000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABV6
30000.00000000
PA
USD
28575.00000000
0.006731634571
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.37500000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
000000000
200000.00000000
PA
258835.82000000
0.060975963401
Long
DBT
CORP
DE
N
2
2024-12-16
Fixed
2.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138APA81
39854.69000000
PA
USD
41004.39000000
0.009659722460
Long
ABS-MBS
USGSE
US
N
2
2026-08-01
Fixed
4.00000000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Home Equity Loan Trust Series 2005-HE4
004421PT4
165584.60000000
PA
USD
165321.47000000
0.038946062041
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
1.43157000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDD1
10000.00000000
PA
USD
10049.56000000
0.002367452861
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
2.37500000
N
N
N
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAH7
470000.00000000
PA
USD
476479.94000000
0.112248078271
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5LS0
43144.90000000
PA
USD
44027.51000000
0.010371902306
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RWY8
825078.27000000
PA
USD
828765.21000000
0.195238654036
Long
ABS-MBS
USGA
US
N
2
2066-07-20
Floating
0.90629000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LWC2
187803.06000000
PA
USD
186693.71000000
0.043980886525
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.00000000
N
N
N
N
N
N
WYNN MACAU LTD
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
98313RAH9
200000.00000000
PA
USD
174126.00000000
0.041020213520
Long
DBT
CORP
KY
N
2
2028-08-26
Fixed
5.62500000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JY4
345000.00000000
PA
USD
336491.07000000
0.079269813464
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
1.70000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-5.00000000
NC
USD
-195.32000000
-0.00004601304
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
117.50000000
USD
2022-04-22
XXXX
1280.42000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XYWF2
25489.22000000
PA
USD
26291.71000000
0.006193742221
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-KF58 Mortgage Trust
302986AC8
121577.87000000
PA
USD
120933.43000000
0.028489226884
Long
ABS-MBS
CORP
US
N
2
2026-01-25
Floating
2.39143000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912796R43
300000.00000000
PA
USD
299680.97000000
0.070598172458
Long
DBT
UST
US
N
2
2022-06-23
None
0.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAU5
1675000.00000000
PA
USD
1504032.23000000
0.354316547883
Long
DBT
UST
US
N
2
2027-10-31
Fixed
0.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
250300.49000000
0.058965229455
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-02-15
0.00000000
USD
-23353.24000000
USD
-4307000.00000000
USD
273653.73000000
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
168863DN5
200000.00000000
PA
USD
188424.00000000
0.044388504372
Long
DBT
NUSS
CL
N
2
2032-01-27
Fixed
2.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KVQF0
90071.47000000
PA
USD
83914.71000000
0.019768439645
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBAL4
378753.05000000
PA
USD
352614.70000000
0.083068182147
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CX6
36000.00000000
PA
USD
37721.07000000
0.008886245280
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AF7
66000.00000000
PA
USD
66982.34000000
0.015779549802
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
500000.00000000
PA
80277.10000000
0.018911499619
Long
DBT
NUSS
CN
N
2
2024-11-21
Fixed
3.38000000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
Countrywide Asset-Backed Certificates
23245CAA8
235482.92000000
PA
USD
224136.06000000
0.052801471571
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
0.59657000
N
N
N
N
N
N
WORKDAY INC
549300J0DYC0N31V7G13
Workday Inc
98138HAJ0
30000.00000000
PA
USD
29979.98000000
0.007062616616
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
3.80000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
000000000
238472.29960000
PA
USD
231020.04000000
0.054423184179
Long
LON
CORP
FR
N
2
2026-01-31
Floating
3.99640000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VFR6
299436.91000000
PA
USD
306361.13000000
0.072171869606
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
4.00000000
N
N
N
N
N
N
UNITED AIR 2018-1 A PTT
N/A
United Airlines 2018-1 Class A Pass Through Trust
90931VAA4
212643.53270000
PA
USD
198719.72000000
0.046813947056
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QM6G4
219096.38000000
PA
USD
215439.27000000
0.050752701240
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Freedom Financial
N/A
Freed ABS Trust 2020-1CP
35635BAA2
99870.25000000
PA
USD
99662.93000000
0.023478370080
Long
ABS-O
CORP
US
N
2
2028-03-20
Fixed
0.66000000
N
N
N
N
N
N
ORBIA ADVANCE CORP SAB
549300MVHZ20SBIOEQ79
Orbia Advance Corp SAB de CV
68560EAB4
210000.00000000
PA
USD
186268.95000000
0.043880822515
Long
DBT
CORP
MX
N
2
2031-05-11
Fixed
2.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFSM4
199083.93000000
PA
USD
190718.30000000
0.044928990434
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCQ4
40000.00000000
PA
USD
37308.80000000
0.008789123635
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
5970000.00000000
PA
3673.85000000
0.000865477363
Long
DBT
NUSS
RU
N
2
2034-05-10
Fixed
7.25000000
N
N
N
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
CLP/USD FORWARD
000000000
1.00000000
NC
USD
232.74000000
0.000054828368
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-7162.35000000
USD
5854149.00000000
CLP
2022-05-04
232.74000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406MKJ4
102809.07000000
PA
USD
109377.31000000
0.025766861988
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
5.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/RUB FORWARD
000000000
1.00000000
NC
USD
55905.62000000
0.013170120886
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-3199584.10000000
USD
246583162.40000000
RUB
2022-04-19
55905.62000000
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFQ2
310000.00000000
PA
USD
316049.34000000
0.074454196443
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
3.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417A7J2
18669.74000000
PA
USD
19146.19000000
0.004510416605
Long
ABS-MBS
USGSE
US
N
2
2026-06-01
Fixed
4.50000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638AU6
300000.00000000
PA
USD
380266.50000000
0.089582331327
Long
DBT
NUSS
PE
N
2
2037-03-14
Fixed
6.55000000
N
N
N
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Republic of Kenya Government International Bond
491798AL8
380000.00000000
PA
USD
327750.00000000
0.077210611749
Long
DBT
NUSS
KE
N
2
2034-01-23
Fixed
6.30000000
N
N
N
N
N
N
KANSAS CITY SOUTHERN
5493008C12PZMWP3WY03
Kansas City Southern/Old
485170BB9
47000.00000000
PA
USD
52033.50000000
0.012257935519
Long
DBT
CORP
US
N
2
2048-05-01
Fixed
4.70000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABF3
150000.00000000
PA
USD
145481.53000000
0.034272213362
Long
DBT
CORP
US
N
2
2025-02-10
Fixed
2.65000000
N
N
N
N
N
N
Cascade MH Asset Trust
N/A
Cascade MH Asset Trust 2021-MH1
14731QAB5
284000.00000000
PA
USD
260666.30000000
0.061407183784
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Fixed
2.70800000
N
N
N
N
N
N
UNITED AIR 2016-2 A PTT
N/A
United Airlines 2016-2 Class A Pass Through Trust
90932DAA3
82797.97970000
PA
USD
76044.89000000
0.017914485056
Long
DBT
CORP
US
N
2
2028-10-07
Fixed
3.10000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BT5
440000.00000000
PA
USD
464856.22000000
0.109509788319
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
5.25000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QZ4
1402000.00000000
PA
USD
1510353.80000000
0.355805769201
Long
DBT
UST
US
N
2
2043-02-15
Fixed
3.12500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAH3
20000.00000000
PA
USD
17175.00000000
0.004046048075
Long
DBT
CORP
US
N
2
N/A
Fixed
6.25000000
N
N
N
N
N
N
CLNC 2019-FL1, Ltd
N/A
CLNC 2019-FL1 Ltd
12565DAA1
830617.61000000
PA
USD
824396.28000000
0.194209431281
Long
ABS-O
CORP
KY
N
2
2035-08-20
Floating
1.41448000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
-6.00000000
NC
USD
-5625.00000000
-0.00132512491
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
PA
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
122.00000000
USD
2022-04-01
XXXX
-2588.50000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXLW0
263834.87000000
PA
USD
288997.58000000
0.068081403343
Long
ABS-MBS
USGSE
US
N
2
2059-01-01
Fixed
5.00000000
N
N
N
N
N
N
Citadel Securities LP
549300NV5RXBUS3X7L47
CITADEL SECURITIES LP
17288YAD4
232278.57590000
PA
USD
231303.93000000
0.054490062350
Long
LON
CORP
US
N
2
2028-02-02
Floating
2.70860000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AC7
40000.00000000
PA
USD
40335.44000000
0.009502132715
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
3.35000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
04650NAB0
40000.00000000
PA
USD
45916.57000000
0.010816922834
Long
DBT
CORP
US
N
2
2040-09-01
Fixed
5.35000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2L7
200000.00000000
PA
USD
190340.77000000
0.044840052761
Long
DBT
CORP
FR
N
2
2026-06-09
Fixed
2.21900000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-54050.10000000
-0.01273300163
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-12-21
0.00000000
USD
-21636.04000000
USD
3900000.00000000
USD
-32414.06000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBX62
93904.24000000
PA
USD
90046.57000000
0.021212969506
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241KWC8
70190.87000000
PA
USD
77507.17000000
0.018258965707
Long
ABS-MBS
USGA
US
N
2
2038-10-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LRU55
96636.60000000
PA
USD
92785.84000000
0.021858280604
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DG7
70000.00000000
PA
USD
66257.31000000
0.015608748857
Long
DBT
CORP
US
N
2
2026-02-04
Fixed
2.19600000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2U6
50000.00000000
PA
USD
48647.06000000
0.011460165560
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
3.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132AAK52
78903.84000000
PA
USD
80796.02000000
0.019033745632
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
3.50000000
N
N
N
N
N
N
PHOENIX NEWCO INC
254900PHGVI5379Z9791
Phoenix Newco Inc
71911KAC8
70000.00000000
PA
USD
69557.04000000
0.016386091868
Long
LON
CORP
US
N
2
2028-11-15
Floating
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030666
500000.00000000
PA
USD
491796.88000000
0.115856408729
Long
ABS-MBS
USGA
US
N
2
2052-06-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8CP0
83190.70000000
PA
USD
79661.83000000
0.018766555689
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241K4C9
2885.90000000
PA
USD
3156.30000000
0.000743554092
Long
ABS-MBS
USGA
US
N
2
2039-04-15
Fixed
5.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DK3
160000.00000000
PA
USD
163191.63000000
0.038444319098
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.12500000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
549300GADFYEKC4OLM57
WFRBS Commercial Mortgage Trust 2013-C14
92890PAH7
240000.00000000
PA
USD
238858.66000000
0.056269788742
Long
ABS-MBS
CORP
US
N
2
2046-06-15
Variable
3.84100000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BS2
10000.00000000
PA
USD
10423.82000000
0.002455620195
Long
DBT
CORP
US
N
2
2036-08-08
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403VQE2
2608.57000000
PA
USD
2776.78000000
0.000654147620
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
CONOCOPHILLIPS
WPTL2Z3FIYTHSP5V2253
ConocoPhillips
20825CAQ7
10000.00000000
PA
USD
13414.09000000
0.003160061311
Long
DBT
CORP
US
N
2
2039-02-01
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TUD5
935.28000000
PA
USD
1000.18000000
0.000235620166
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
5.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCW4
300000.00000000
PA
USD
293102.82000000
0.069048506598
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
2.94700000
N
N
N
N
N
N
ZEBRA BUYER LLC
N/A
Zebra Buyer LLC
98922AAC0
129000.00000000
PA
USD
128387.25000000
0.030245181123
Long
LON
CORP
US
N
2
2028-11-02
Floating
3.75000000
N
N
N
N
N
N
AMER AIRLINE 21-1B PTT
N/A
American Airlines 2021-1 Class B Pass Through Trust
02376LAA3
221000.00000000
PA
USD
200598.23000000
0.047256482239
Long
DBT
CORP
US
N
2
2030-07-11
Fixed
3.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380AK63
163856.61000000
PA
USD
34317.05000000
0.008084333864
Long
ABS-MBS
USGA
US
N
2
2046-10-16
Floating
5.66943000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UQ62
47214.71000000
PA
USD
49129.11000000
0.011573725820
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
4.50000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DCH6
20000.00000000
PA
USD
20473.00000000
0.004822983537
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
4.62500000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBX6
670000.00000000
PA
USD
662750.81000000
0.156129353096
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAN1
30000.00000000
PA
USD
30884.31000000
0.007275656654
Long
DBT
CORP
US
N
2
2035-04-01
Fixed
3.90000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
780097BL4
200000.00000000
PA
USD
205501.59000000
0.048411604818
Long
DBT
CORP
GB
N
2
2030-05-08
Fixed
4.44500000
N
N
N
N
N
N
TEVA PHARM FIN CO LLC
5493006PITD7MU7WW480
Teva Pharmaceutical Finance Co LLC
88163VAD1
20000.00000000
PA
USD
20241.30000000
0.004768400169
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
6.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J2H66
660000.00000000
PA
USD
595749.72000000
0.140345386210
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
1.37000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KMFR1
472326.86000000
PA
USD
452335.15000000
0.106560102661
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLJ9
300000.00000000
PA
USD
265616.52000000
0.062573345537
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
3.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKDE5
274527.58000000
PA
USD
268787.90000000
0.063320452142
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KNN2
9755.73000000
PA
USD
10684.62000000
0.002517058875
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Fixed
5.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PED0
20000.00000000
PA
USD
18810.84000000
0.004431415603
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
2.30000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCE1
10000.00000000
PA
USD
9399.98000000
0.002214426258
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YDC8
9341.68000000
PA
USD
9545.67000000
0.002248747582
Long
ABS-MBS
USGSE
US
N
2
2029-06-01
Fixed
4.00000000
N
N
N
N
N
N
PFIZER INC
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081EW9
60000.00000000
PA
USD
58323.14000000
0.013739634839
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.62500000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F032666
1900000.00000000
PA
USD
1893001.71000000
0.445949107769
Long
ABS-MBS
USGSE
US
N
2
2051-06-15
Fixed
3.50000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BUND
000000000
-1.00000000
NC
-482.24000000
-0.00011360502
N/A
DIR
CORP
DE
N
2
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Call
Written
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 10 Year Euro BUND
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
DE
US
Long
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-06-08
0.00000000
USD
100000.00000000
161.50000000
EUR
2022-04-22
XXXX
330.55000000
N
N
N
HORIZON THERAPEUTICS USA
N/A
Horizon Therapeutics USA Inc
44055UAD7
233237.50000000
PA
USD
231313.29000000
0.054492267358
Long
LON
CORP
US
N
2
2028-03-15
Floating
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402RH69
5041.25000000
PA
USD
5147.53000000
0.001212643601
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Floating
1.30400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XA7H9
91429.11000000
PA
USD
87667.70000000
0.020652560633
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
-2.00000000
NC
USD
-904.20000000
-0.00021300941
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-04-14
-494083.30000000
USD
-904.20000000
N
N
N
UNIVERSAL HEALTH SVCS
549300YGMGQDO0NMJD09
Universal Health Services Inc
913903AV2
50000.00000000
PA
USD
45464.32000000
0.010710382791
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
2.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7ZR0
32784.42000000
PA
USD
36203.39000000
0.008528713621
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
5.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SL3
960000.00000000
PA
USD
865912.51000000
0.203989731863
Long
DBT
UST
US
N
2
2050-02-15
Fixed
2.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBT7
180000.00000000
PA
USD
167888.67000000
0.039550837273
Long
DBT
UST
US
N
2
2026-03-31
Fixed
0.75000000
N
N
N
N
N
N
EMPOWER FINANCE 2020 LP
N/A
Empower Finance 2020 LP
29248HAC7
115000.00000000
PA
USD
97881.98000000
0.023058817864
Long
DBT
CORP
US
N
2
2051-09-17
Fixed
3.07500000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAN3
20000.00000000
PA
USD
21207.79000000
0.004996083721
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.75000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/RUB FORWARD
000000000
1.00000000
NC
USD
-608250.19000000
-0.14329021896
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-170202769.00000000
RUB
1638834.97000000
USD
2022-04-19
-608250.19000000
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2006-11
41162GAA0
110508.50000000
PA
USD
101526.20000000
0.023917315058
Long
ABS-MBS
CORP
US
N
2
2036-12-19
Floating
0.78857000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBQ4
20000.00000000
PA
USD
20795.80000000
0.004899028039
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
5.50000000
N
N
N
N
N
N
American Homes 4 Rent
N/A
American Homes 4 Rent 2015-SFR1
02666AAF5
300000.00000000
PA
USD
303207.15000000
0.071428862054
Long
ABS-O
CORP
US
N
2
2052-04-17
Fixed
5.88500000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS STELLANTIS NV SNR SE
000000000
1.00000000
NC
55595.21000000
0.013096995192
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
STELLANTIS NV
Stellantis NV
Y
Default Event
2026-12-20
68879.20000000
USD
0.00000000
USD
300000.00000000
EUR
-13283.99000000
N
N
N
VFH PARENT LLC
549300FRO9M476YHHY64
VFH Parent LLC
000000000
90000.00000000
PA
USD
89287.47000000
0.021034142426
Long
LON
CORP
US
N
2
2029-01-13
Floating
3.50000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAM7
250000.00000000
PA
USD
218375.00000000
0.051444293945
Long
DBT
CORP
KY
N
2
2027-03-08
Fixed
2.55000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CP5
90000.00000000
PA
USD
83168.93000000
0.019592750461
Long
DBT
CORP
US
N
2
2027-12-02
Fixed
2.45000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential 2021-SFR1
74331FAJ0
565000.00000000
PA
USD
497083.78000000
0.117101884803
Long
ABS-O
CORP
US
N
2
2038-04-17
Fixed
2.10600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L5FC5
92415.64000000
PA
USD
85991.95000000
0.020257791197
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DC6
90000.00000000
PA
USD
95506.20000000
0.022499136927
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.55000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AM8
200000.00000000
PA
USD
211590.01000000
0.049845901181
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.62500000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAD2
10000.00000000
PA
USD
10177.73000000
0.002397646863
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
3.79000000
N
N
N
N
N
N
JYSKE REALKREDIT A/S
529900R9HQNZRT2OXB26
Jyske Realkredit A/S
000000000
896268.49000000
PA
120216.02000000
0.028320221041
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Mortgage Finance Trust Series 2006-A1
16163CAN2
35525.97000000
PA
USD
32395.35000000
0.007631624077
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Variable
2.86039700
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2007-QS4 Trust
74923HAT8
640972.78000000
PA
USD
603892.70000000
0.142263691221
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
6.00000000
N
N
N
N
N
N
UFC HOLDINGS LLC
549300JEOTH7UMZ3C491
UFC Holdings LLC
90266UAJ2
225681.09280000
PA
USD
223612.27000000
0.052678078295
Long
LON
CORP
US
N
2
2026-04-29
Floating
3.50000000
N
N
N
N
N
N
ISRAEL MAKAM BILL
M8LYVLF5DOB9X0LZOW72
Bank of Israel Bill - Makam
000000000
1600000.00000000
PA
502096.46000000
0.118282760743
Long
DBT
NUSS
IL
N
2
2022-09-07
None
0.00000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAX3
270000.00000000
PA
USD
243828.34000000
0.057440534838
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
ALIMENTATION COUCHE-TARD
549300OSW32RVX8CCZ87
Alimentation Couche-Tard Inc
01626PAQ9
90000.00000000
PA
USD
82040.43000000
0.019326900956
Long
DBT
CORP
CA
N
2
2051-05-13
Fixed
3.62500000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114QCH9
470000.00000000
PA
USD
444078.87000000
0.104615106689
Long
DBT
CORP
CA
N
2
2025-06-12
Fixed
1.15000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AL8
60000.00000000
PA
USD
59358.00000000
0.013983424842
Long
DBT
CORP
US
N
2
2048-08-15
Fixed
5.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JM4
90000.00000000
PA
USD
91849.50000000
0.021637699721
Long
DBT
CORP
US
N
2
N/A
Fixed
5.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAVK7
88521.58000000
PA
USD
84222.76000000
0.019841009375
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X92S3
345732.84000000
PA
USD
322305.96000000
0.075928116985
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2005-D Trust
06051GDM8
9457.72000000
PA
USD
9657.05000000
0.002274986233
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
2.73084000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYVS5
383264.64000000
PA
USD
361120.29000000
0.085071910010
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B1J94
149809.30000000
PA
USD
24084.36000000
0.005673739646
Long
ABS-MBS
USGSE
US
N
2
2043-04-15
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-1.00000000
NC
USD
-281.25000000
-0.00006625624
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
156.00000000
USD
2022-04-22
XXXX
560.77000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2021-2R
12657PAA3
134627.79000000
PA
USD
133208.14000000
0.031380875604
Long
ABS-MBS
CORP
US
N
2
2047-07-25
Floating
1.99143000
N
N
N
N
N
N
SOTERA HEALTH HLDGS LLC
549300OVT7MBXFLOFU20
Sotera Health Holdings LLC
83600VAE1
190000.00000000
PA
USD
188218.75000000
0.044340152037
Long
LON
CORP
US
N
2
2026-12-13
Floating
3.25000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBG7
12000.00000000
PA
USD
13449.06000000
0.003168299466
Long
DBT
CORP
US
N
2
2059-02-14
Fixed
6.20000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AQ1
10000.00000000
PA
USD
9983.94000000
0.002351994248
Long
DBT
CORP
US
N
2
2027-10-27
Fixed
3.87500000
N
N
N
N
N
N
NEW YORK LIFE INSURANCE
TAE73CY392TBWJ3O3305
New York Life Insurance Co
64952GAT5
150000.00000000
PA
USD
146060.39000000
0.034408579906
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.75000000
N
N
N
N
N
N
TEVA PHARMACEUT FIN BV
549300Q840R30TDKVK53
Teva Pharmaceutical Finance Co BV
88165FAG7
760000.00000000
PA
USD
756481.20000000
0.178210148676
Long
DBT
CORP
CW
N
2
2022-12-18
Fixed
2.95000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBG6
30000.00000000
PA
USD
30450.30000000
0.007173413549
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EXDX8
36279.30000000
PA
USD
36019.11000000
0.008485301350
Long
ABS-MBS
USGSE
US
N
2
2046-09-01
Fixed
3.00000000
N
N
N
N
N
N
AMERICAN CAMPUS CMNTYS
RDKVCX5HITZ2GPIR7153
American Campus Communities Operating Partnership LP
024836AH1
40000.00000000
PA
USD
36610.46000000
0.008624610260
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
2.25000000
N
N
N
N
N
N
OZLM Ltd
N/A
OZLM VIII Ltd
67107FBL0
298069.50000000
PA
USD
297036.66000000
0.069975231824
Long
ABS-CBDO
CORP
KY
N
2
2029-10-17
Floating
1.22129000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBS9
670000.00000000
PA
USD
625075.98000000
0.147254000932
Long
DBT
UST
US
N
2
2028-03-31
Fixed
1.25000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST
46652DAN5
280000.00000000
PA
USD
253352.29000000
0.059684165671
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
4.64700000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
90000.00000000
PA
USD
85762.12000000
0.020203648360
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400HL0
300000.00000000
PA
USD
300070.90000000
0.070690031295
Long
DBT
CORP
US
N
2
2022-12-02
Floating
0.62200900
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBT9
100000.00000000
PA
USD
104202.63000000
0.024547822450
Long
DBT
CORP
US
N
2
2028-10-16
Fixed
4.15000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSH9
17336.99000000
PA
USD
17963.17000000
0.004231723400
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
4.00000000
N
N
N
N
N
N
AIR CANADA
4B4HI3CGXMBDC0G6BM51
Air Canada
000000000
110000.00000000
PA
USD
108982.50000000
0.025673853531
Long
LON
CORP
CA
N
2
2028-08-11
Floating
4.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QGU0
192816.05000000
PA
USD
192087.65000000
0.045251578843
Long
ABS-MBS
USGA
US
N
2
2070-07-20
Floating
0.89857000
N
N
N
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust
437084DW3
75501.51000000
PA
USD
75471.87000000
0.017779494286
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
1.35657000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-64.00000000
NC
USD
-51000.02000000
-0.01201447061
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
123.00000000
USD
2022-04-22
XXXX
-17360.73000000
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAF5
90000.00000000
PA
USD
79609.12000000
0.018754138386
Long
DBT
CORP
N/A
N
2
2041-05-11
Fixed
3.25000000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAK7
30000.00000000
PA
USD
29128.35000000
0.006861991526
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.00000000
N
N
N
N
N
N
MARS INC
54930073HKEO6GZBSS03
Mars Inc
571676AB1
40000.00000000
PA
USD
39693.23000000
0.009350842320
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XAFA5
89552.29000000
PA
USD
85984.38000000
0.020256007873
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBW4
100000.00000000
PA
USD
100770.39000000
0.023739263030
Long
DBT
CORP
US
N
2
2028-01-31
Fixed
3.80000000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YAZ8
190000.00000000
PA
USD
168942.03000000
0.039798985465
Long
DBT
CORP
US
N
2
2030-06-24
Fixed
1.45000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030658
900000.00000000
PA
USD
887378.90000000
0.209046735994
Long
ABS-MBS
USGA
US
N
2
2052-05-20
Fixed
3.00000000
N
N
N
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAF0
185000.00000000
PA
USD
172682.81000000
0.040680230049
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.78200000
N
N
N
N
N
N
CALIFORNIA ST
N/A
State of California
13063BFR8
180000.00000000
PA
USD
265244.22000000
0.062485639936
Long
DBT
MUN
US
N
2
2040-03-01
Fixed
7.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGJG0
82444.90000000
PA
USD
84009.74000000
0.019790826600
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CL4
85000.00000000
PA
USD
76420.79000000
0.018003038737
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
2.00000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136BLW22
300000.00000000
PA
USD
270485.19000000
0.063720295923
Long
ABS-MBS
USGSE
US
N
2
2031-11-25
Variable
1.76405000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/JPY FORWARD
000000000
1.00000000
NC
USD
-81839.41000000
-0.01927954511
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-1582039.97000000
USD
182431357.00000000
JPY
2022-05-18
-81839.41000000
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
000000000
800000.00000000
PA
602104.69000000
0.141842475826
Long
DBT
CORP
GB
N
2
2025-03-07
Floating
1.53500000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAB2
55000.00000000
PA
USD
54526.45000000
0.012845219103
Long
DBT
CORP
US
N
2
2046-06-01
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407PFB9
81922.33000000
PA
USD
89708.86000000
0.021133412539
Long
ABS-MBS
USGSE
US
N
2
2035-10-01
Fixed
5.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDJ7
88500.00000000
PA
USD
81226.41000000
0.019135135945
Long
DBT
UST
US
N
2
2031-11-15
Fixed
1.37500000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBJ8
135000.00000000
PA
USD
119528.57000000
0.028158273108
Long
DBT
CORP
US
N
2
2028-01-31
Fixed
1.50000000
N
N
N
N
N
N
ATHENAHEALTH GROUP INC
254900AA3KZN4Q7A5Z33
AthenaHealth Group Inc
000000000
342028.99000000
PA
USD
339142.95000000
0.079894537421
Long
LON
CORP
US
N
2
2029-02-15
Floating
4.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-1.00000000
NC
USD
-187.50000000
-0.00004417083
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
125.00000000
USD
2022-04-22
XXXX
-32.98000000
N
N
N
REGENERON PHARMACEUTICAL
549300RCBFWIRX3HYQ56
Regeneron Pharmaceuticals Inc
75886FAE7
600000.00000000
PA
USD
521454.16000000
0.122843004402
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
1.75000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2005-2
41161PLR2
152062.69000000
PA
USD
145388.76000000
0.034250358813
Long
ABS-MBS
CORP
US
N
2
2035-05-19
Floating
0.88857000
N
N
N
N
N
N
NYKREDIT REALKREDIT AS
LIU16F6VZJSD6UKHD557
Nykredit Realkredit AS
000000000
1198550.45000000
PA
158112.50000000
0.037247789016
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BLU8
35709.84000000
PA
USD
36167.66000000
0.008520296427
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
3.50000000
N
N
N
N
N
N
PIONEER NATURAL RESOURCE
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co
723787AQ0
135000.00000000
PA
USD
119830.21000000
0.028229332784
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
1.90000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128285K2
2000000.00000000
PA
USD
2021757.82000000
0.476281184106
Long
DBT
UST
US
N
2
2023-10-31
Fixed
2.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410UKB7
22899.01000000
PA
USD
24722.13000000
0.005823984076
Long
ABS-MBS
USGSE
US
N
2
2037-06-01
Fixed
6.00000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397A86
200000.00000000
PA
USD
195738.00000000
0.046111520129
Long
DBT
CORP
US
N
2
2027-08-17
Fixed
4.12500000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AJ3
897000.00000000
PA
USD
889720.85000000
0.209598447336
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
5.30000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2006-2
41161PJ38
36501.21000000
PA
USD
15639.25000000
0.003684259526
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
2.59787300
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBP5
510000.00000000
PA
USD
450373.94000000
0.106098085196
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
3.13700000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGM0
555000.00000000
PA
USD
502219.31000000
0.118311701471
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TA6
2975000.00000000
PA
USD
2580347.66000000
0.607872528922
Long
DBT
UST
US
N
2
2041-08-15
Fixed
1.75000000
N
N
N
N
N
N
HASBRO INC
549300NUB6D2R1ITYR45
Hasbro Inc
418056AZ0
50000.00000000
PA
USD
50234.31000000
0.011834086364
Long
DBT
CORP
US
N
2
2029-11-19
Fixed
3.90000000
N
N
N
N
N
N
TIME WARNER ENTERTAINMEN
N/A
Time Warner Entertainment Co LP
88731EAJ9
20000.00000000
PA
USD
26154.45000000
0.006161406817
Long
DBT
CORP
US
N
2
2033-07-15
Fixed
8.37500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDL3
150000.00000000
PA
USD
164769.46000000
0.038816020760
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
4.25000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDV1
50000.00000000
PA
USD
51776.64000000
0.012197425015
Long
DBT
CORP
US
N
2
2059-08-15
Fixed
3.87500000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B31 Mortgage Trust
08163MAE7
150000.00000000
PA
USD
141966.87000000
0.033444237622
Long
ABS-MBS
CORP
US
N
2
2054-12-15
Fixed
2.66900000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BB1
50000.00000000
PA
USD
51617.95000000
0.012160041179
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.85000000
N
N
N
N
N
N
Mariner Finance Issuance Trust
N/A
Mariner Finance Issuance Trust 2019-A
56847MAA8
430000.00000000
PA
USD
428021.23000000
0.100832283783
Long
ABS-O
CORP
US
N
2
2032-07-20
Fixed
2.96000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962GXZ2
17000.00000000
PA
USD
21461.01000000
0.005055736722
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
6.75000000
N
N
N
N
N
N
BUILDERS FIRSTSOURCE INC
549300W0SKP6L3H7DP63
Builders FirstSource Inc
12008RAP2
10000.00000000
PA
USD
9328.40000000
0.002197563602
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.25000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HS2
417100.00000000
PA
USD
140775.42000000
0.033163558497
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAX4
70000.00000000
PA
USD
73053.90000000
0.017209874323
Long
DBT
CORP
US
N
2
2029-12-05
Fixed
4.45200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9TA3
79386.74000000
PA
USD
75998.12000000
0.017903467084
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017BT5
60000.00000000
PA
USD
66401.30000000
0.015642669699
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
4.50000000
N
N
N
N
N
N
ENTERGY LOUISIANA LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WBD9
50000.00000000
PA
USD
43340.38000000
0.010210029758
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385HJE3
894.46000000
PA
USD
955.93000000
0.000225195850
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Floating
4.01200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ATQK3
263470.10000000
PA
USD
30154.73000000
0.007103783830
Long
ABS-MBS
USGSE
US
N
2
2046-09-25
Floating
5.64343000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGDV8
199048.13000000
PA
USD
185258.92000000
0.043642881907
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
-108403.54000000
-0.02553746342
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2052-03-16
0.00000000
USD
-110907.65000000
USD
500000.00000000
GBP
2504.11000000
N
N
N
NORTHWESTERN MUTUAL GLBL
635400LZXFVELZDVP257
Northwestern Mutual Global Funding
66815L2D0
50000.00000000
PA
USD
45863.65000000
0.010804456059
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
1.70000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JJ7
20000.00000000
PA
USD
16158.18000000
0.003806507894
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMT62
85785.11000000
PA
USD
79996.61000000
0.018845422413
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
ISRAEL MAKAM BILL
M8LYVLF5DOB9X0LZOW72
Bank of Israel Bill - Makam
000000000
3400000.00000000
PA
1066741.88000000
0.251300665547
Long
DBT
NUSS
IL
N
2
2022-10-07
None
0.00000000
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC 2015-RR2 Trust
05544JBS8
908079.97000000
PA
USD
892710.72000000
0.210302794222
Long
ABS-MBS
CORP
US
N
2
2037-03-28
Variable
0.58686000
N
N
N
N
N
N
Freddie Mac Multiclass Certifi
N/A
Freddie Mac Multiclass Certificates Series 2020-RR07
3137FRVE8
2670000.00000000
PA
USD
368356.80000000
0.086776670846
Long
ABS-MBS
USGSE
US
N
2
2028-10-27
Variable
2.60823000
N
N
N
N
N
N
UNITED AIR 2016-1 B PTT
N/A
United Airlines 2016-1 Class B Pass Through Trust
90933HAA3
157777.77820000
PA
USD
149140.36000000
0.035134152348
Long
DBT
CORP
US
N
2
2026-01-07
Fixed
3.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WHGM1
19828.90000000
PA
USD
20504.80000000
0.004830474910
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZK3
70000.00000000
PA
USD
67004.11000000
0.015784678330
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
2.64000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAF2
310000.00000000
PA
USD
308837.50000000
0.072755247310
Long
DBT
CORP
KY
N
2
2025-08-08
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L57D2
96487.45000000
PA
USD
89831.29000000
0.021162254325
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
WORKDAY INC
549300J0DYC0N31V7G13
Workday Inc
98138HAG6
102000.00000000
PA
USD
102042.99000000
0.024039059290
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.50000000
N
N
N
N
N
N
NORDSTROM INC
549300S3IZB5P35KNV16
Nordstrom Inc
655664AY6
94000.00000000
PA
USD
85841.27000000
0.020222294340
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
4.25000000
N
N
N
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
141781BL7
40000.00000000
PA
USD
39520.03000000
0.009310040252
Long
DBT
CORP
US
N
2
2023-07-23
Fixed
1.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNFK3
493980.91000000
PA
USD
472101.08000000
0.111216516229
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
NEW YORK ST URBAN DEV CORP REV
54930039Y2EMGXN6LM88
New York State Urban Development Corp
650036AU0
700000.00000000
PA
USD
657539.19000000
0.154901611316
Long
DBT
MUN
US
N
2
2026-03-15
Fixed
1.34600000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GAW2
50000.00000000
PA
USD
53965.50000000
0.012713071756
Long
DBT
CORP
US
N
2
2046-03-01
Fixed
4.11400000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBZ5
30000.00000000
PA
USD
27994.71000000
0.006594931151
Long
DBT
CORP
US
N
2
2060-01-31
Fixed
3.95000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017CJ6
95000.00000000
PA
USD
93793.49000000
0.022095660536
Long
DBT
CORP
US
N
2
2046-11-01
Fixed
3.75000000
N
N
N
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Walmart Inc
931142ET6
30000.00000000
PA
USD
27334.65000000
0.006439435693
Long
DBT
CORP
US
N
2
2031-09-22
Fixed
1.80000000
N
N
N
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CR9
90000.00000000
PA
USD
92196.88000000
0.021719534725
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
3.37500000
N
N
N
N
N
N
VCAT Asset Securitization, LLC
N/A
VCAT 2021-NPL1 LLC
91790CAA4
441767.60000000
PA
USD
430995.98000000
0.101533068733
Long
ABS-MBS
CORP
US
N
2
2050-12-26
Variable
2.28910000
N
N
N
N
N
N
CORNING INC
549300X2937PB0CJ7I56
Corning Inc
219350AV7
20000.00000000
PA
USD
24601.89000000
0.005795658206
Long
DBT
CORP
US
N
2
2040-08-15
Fixed
5.75000000
N
N
N
N
N
N
CITICORP SECURITIES SERVICES, INC.
549300N0SOX9OZVKG341
USD/EUR FORWARD
000000000
1.00000000
NC
USD
121338.78000000
0.028584718330
N/A
DFE
CORP
US
N
2
CITICORP SECURITIES SERVICES, INC.
549300N0SOX9OZVKG341
-5454537.51000000
EUR
6158798.35000000
USD
2022-04-19
121338.78000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWZ3
470000.00000000
PA
USD
481691.17000000
0.113475728176
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.22300000
N
N
N
N
N
N
Cascade Funding Mortgage Trust
N/A
CFMT 2021-HB5 LLC
12526PAB0
665000.00000000
PA
USD
643033.12000000
0.151484303799
Long
ABS-MBS
CORP
US
N
2
2031-02-25
Variable
1.37400000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-3.00000000
NC
USD
-12562.50000000
-0.00295944564
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
127.00000000
USD
2022-04-22
XXXX
-10598.93000000
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BU5
180000.00000000
PA
USD
225212.79000000
0.053055125216
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.25000000
N
N
N
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
Lennar Corp
526057BZ6
35000.00000000
PA
USD
35903.69000000
0.008458110965
Long
DBT
CORP
US
N
2
2024-04-30
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BCW4
271423.27000000
PA
USD
269931.42000000
0.063589840026
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.00000000
N
N
N
N
N
N
Genesis Sales Finance Master T
N/A
Genesis Sales Finance Master Trust
37186XAF2
500000.00000000
PA
USD
494312.25000000
0.116448973966
Long
ABS-O
CORP
US
N
2
2025-09-22
Fixed
2.24000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-787S Mortgage Trust
12635WAA5
1000000.00000000
PA
USD
983180.30000000
0.231615415477
Long
ABS-MBS
CORP
US
N
2
2036-02-10
Fixed
3.54500000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017AX2
90000.00000000
PA
USD
85286.68000000
0.020091645268
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
0.98300000
N
N
N
N
N
N
1211 Avenue of the Americas Tr
N/A
1211 Avenue of the Americas Trust 2015-1211
90117PAA3
900000.00000000
PA
USD
904040.10000000
0.212971744216
Long
ABS-MBS
CORP
US
N
2
2035-08-10
Fixed
3.90050000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DJ6
600000.00000000
PA
USD
611310.46000000
0.144011150527
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.75000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-A4
466247RN5
11678.88000000
PA
USD
12047.30000000
0.002838075981
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
2.31449700
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-24.00000000
NC
USD
-4500.00000000
-0.00106009993
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
127.00000000
USD
2022-05-20
XXXX
15474.11000000
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
34809000.00000000
PA
21420.92000000
0.005046292410
Long
DBT
NUSS
RU
N
2
2029-05-23
Fixed
6.90000000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
06406RAN7
30000.00000000
PA
USD
28941.24000000
0.006817912571
Long
DBT
CORP
US
N
2
2025-04-24
Fixed
1.60000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust
89175GAK2
192314.38000000
PA
USD
187688.39000000
0.044215211014
Long
ABS-O
CORP
US
N
2
2047-11-25
Variable
4.00000000
N
N
N
N
N
N
Residential Asset Securities C
N/A
RASC Series 2007-KS3 Trust
74924YAD5
199971.56000000
PA
USD
194361.30000000
0.045787200223
Long
ABS-O
CORP
US
N
2
2037-04-25
Floating
0.79657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419BMP7
348893.79000000
PA
USD
364421.04000000
0.085849493311
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXQS4
549442.03000000
PA
USD
555715.05000000
0.130914108218
Long
ABS-MBS
USGSE
US
N
2
2060-03-01
Fixed
3.50000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-2
12669GPR6
6028.67000000
PA
USD
5824.22000000
0.001372056717
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
1.09657000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411AW5
70000.00000000
PA
USD
70663.95000000
0.016646855249
Long
DBT
CORP
US
N
2
2040-09-01
Fixed
5.10000000
N
N
N
N
N
N
SPIRIT LOYALTY KY LTD/IP
N/A
Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd
84859BAA9
270000.00000000
PA
USD
288019.80000000
0.067851060118
Long
DBT
CORP
KY
N
2
2025-09-20
Fixed
8.00000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83368RBC5
300000.00000000
PA
USD
270743.23000000
0.063781084409
Long
DBT
CORP
FR
N
2
2027-06-09
Fixed
1.79200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7CQ7
90115.21000000
PA
USD
99472.23000000
0.023433445401
Long
ABS-MBS
USGSE
US
N
2
2039-01-01
Fixed
5.50000000
N
N
N
N
N
N
STARBUCKS CORP
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244AX7
40000.00000000
PA
USD
36135.91000000
0.008512816833
Long
DBT
CORP
US
N
2
2050-03-12
Fixed
3.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31403WFF9
9585.16000000
PA
USD
10369.63000000
0.002442854236
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.50000000
N
N
N
N
N
N
ALIMENTATION COUCHE-TARD
549300OSW32RVX8CCZ87
Alimentation Couche-Tard Inc
01626PAP1
85000.00000000
PA
USD
76582.95000000
0.018041240027
Long
DBT
CORP
CA
N
2
2041-05-13
Fixed
3.43900000
N
N
N
N
N
N
RENESAS ELECTRONICS CORP
5299000EPC47VJQOFB81
Renesas Electronics Corp
75972BAA9
300000.00000000
PA
USD
285926.90000000
0.067358019418
Long
DBT
CORP
JP
N
2
2024-11-26
Fixed
1.54300000
N
N
N
N
N
N
PHOENIX GUARANTOR INC
N/A
Phoenix Guarantor Inc
71913BAE2
222451.31160000
PA
USD
220107.56000000
0.051852446554
Long
LON
CORP
US
N
2
2026-03-05
Floating
3.45860000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBD4
6000.00000000
PA
USD
6300.01000000
0.001484142261
Long
DBT
CORP
US
N
2
2029-02-14
Fixed
4.80000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAS9
250000.00000000
PA
USD
266444.92000000
0.062768498156
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.80000000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KBB1
700000.00000000
PA
USD
695737.57000000
0.163900300218
Long
DBT
CORP
US
N
2
2025-06-02
Fixed
3.45000000
N
N
N
N
N
N
ASTRAZENECA PLC
PY6ZZQWO2IZFZC3IOL08
AstraZeneca PLC
046353AD0
35000.00000000
PA
USD
46631.14000000
0.010985259636
Long
DBT
CORP
GB
N
2
2037-09-15
Fixed
6.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AXVT6
97249.26000000
PA
USD
90415.36000000
0.021299848229
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415TRD4
20168.71000000
PA
USD
20741.75000000
0.004886295061
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LAE43
735808.60000000
PA
USD
659441.53000000
0.155349760317
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
1.27500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
349622.77000000
0.082363349971
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-08-15
33534.56000000
USD
0.00000000
USD
-6054000.00000000
USD
316088.21000000
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638BM3
30000.00000000
PA
USD
38202.90000000
0.008999753713
Long
DBT
NUSS
PE
N
2
2050-11-18
Fixed
5.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M75R3
9823.37000000
PA
USD
10842.68000000
0.002554294296
Long
ABS-MBS
USGSE
US
N
2
2038-07-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KL6J1
94270.72000000
PA
USD
87704.71000000
0.020661279366
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.00000000
N
N
N
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2006-6
073868BE0
37662.31000000
PA
USD
23801.82000000
0.005607179505
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Variable
2.87976100
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAV1
955000.00000000
PA
USD
998877.48000000
0.235313322023
Long
DBT
CORP
NL
N
2
2025-01-27
Fixed
5.29900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J2VV5
500000.00000000
PA
USD
451720.30000000
0.106415257673
Long
ABS-MBS
USGSE
US
N
2
2031-01-01
Fixed
1.56000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325BR5
200000.00000000
PA
USD
181794.00000000
0.042826623805
Long
DBT
NUSS
CO
N
2
2044-02-26
Fixed
5.62500000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DU8
20000.00000000
PA
USD
21426.36000000
0.005047573953
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.50000000
N
N
N
N
N
N
SPRINT SPECTRUM / SPEC I
N/A
Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
85208NAD2
337500.00000000
PA
USD
344732.92000000
0.081211410048
Long
DBT
CORP
US
N
2
2025-03-20
Fixed
4.73800000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
3 Month Euro Euribor
000000000
-104.00000000
NC
-96.58000000
-0.00002275210
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Short
ICE FUTURES EUROPE
3 MONTH EURO INTERBANK OFFER RATE
2022-06-13
-28691500.16000000
USD
-96.58000000
N
N
N
Vericrest Opportunity Loan Tra
N/A
VOLT XCIII LLC
92873CAA2
448330.97000000
PA
USD
435728.52000000
0.102647949918
Long
ABS-MBS
CORP
US
N
2
2051-02-27
Variable
1.89250000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLS2
21320.56000000
PA
USD
21634.73000000
0.005096661291
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CNE0
86451.15000000
PA
USD
89184.59000000
0.021009906186
Long
ABS-MBS
USGSE
US
N
2
2047-08-01
Fixed
4.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
297.00000000
NC
USD
-1403270.54000000
-0.33057933438
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
2022-06-21
45971833.04000000
USD
-1403270.54000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBQ3
2940000.00000000
PA
USD
2718638.67000000
0.640450815669
Long
DBT
UST
US
N
2
2026-02-28
Fixed
0.50000000
N
N
N
N
N
N
Pretium Mortgage Credit Partne
N/A
PRET 2021-RN4 LLC
69359QAA2
425356.75000000
PA
USD
416243.91000000
0.098057809086
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.48710000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AF1
100000.00000000
PA
USD
102626.00000000
0.024176403482
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
4.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q95N9
21041.32000000
PA
USD
22234.19000000
0.005237880737
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKK4
100000.00000000
PA
USD
93806.68000000
0.022098767807
Long
DBT
CORP
US
N
2
2033-02-04
Fixed
2.97200000
N
N
N
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KAE6
330000.00000000
PA
USD
337648.94000000
0.079542581888
Long
DBT
CORP
US
N
2
2025-07-17
Fixed
4.50000000
N
N
N
N
N
N
WEST VA HEALTH SYS OBL
N/A
West Virginia United Health System Obligated Group
956708AB7
55000.00000000
PA
USD
46669.79000000
0.010994364717
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
3.12900000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBC6
421000.00000000
PA
USD
435903.18000000
0.102689095930
Long
DBT
CORP
US
N
2
2026-02-14
Fixed
4.40000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-68.00000000
NC
USD
-72250.00000000
-0.01702049336
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
122.50000000
USD
2022-04-22
XXXX
-38367.64000000
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659BC4
100000.00000000
PA
USD
85126.38000000
0.020053882153
Long
DBT
CORP
US
N
2
2051-05-15
Fixed
2.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LEUY1
300000.00000000
PA
USD
277699.93000000
0.065419928231
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
2.16000000
N
N
N
N
N
N
SUZANO AUSTRIA GMBH
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAJ1
240000.00000000
PA
USD
226372.80000000
0.053328397776
Long
DBT
CORP
AT
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AM5
120000.00000000
PA
USD
119603.84000000
0.028176005046
Long
DBT
CORP
US
N
2
2050-03-27
Fixed
3.37500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MP3
545000.00000000
PA
USD
566821.32000000
0.133530498458
Long
DBT
CORP
US
N
2
2031-03-31
Fixed
4.41200000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RE0
69000.00000000
PA
USD
80321.66000000
0.018921996965
Long
DBT
UST
US
N
2
2044-02-15
Fixed
3.62500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2L6
1240000.00000000
PA
USD
1314680.77000000
0.309709554558
Long
DBT
CORP
US
N
2
2031-04-04
Fixed
4.47800000
N
N
N
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281AAS8
10000.00000000
PA
USD
10138.66000000
0.002388442840
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.87500000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AJ6
430000.00000000
PA
USD
338472.35000000
0.079736558973
Long
DBT
CORP
CA
N
2
2030-01-30
Fixed
5.25000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFL8
1310000.00000000
PA
USD
1349908.51000000
0.318008426735
Long
DBT
CORP
US
N
2
2026-10-22
Fixed
4.25000000
N
N
N
N
N
N
CAMERON LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AB6
230000.00000000
PA
USD
216740.76000000
0.051059303342
Long
DBT
CORP
US
N
2
2035-01-15
Fixed
3.30200000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFU3
280000.00000000
PA
USD
234813.45000000
0.055316827220
Long
DBT
CORP
US
N
2
2050-11-20
Fixed
2.87500000
N
N
N
N
N
N
ALTERRA MOUNTAIN COMPANY
549300C5O4FSVNUEI843
Alterra Mountain Co
46124CAJ6
77784.85010000
PA
USD
77152.85000000
0.018175495794
Long
LON
CORP
US
N
2
2028-08-17
Floating
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133APLD9
93782.51000000
PA
USD
90045.63000000
0.021212748062
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LBJ4
20000.00000000
PA
USD
22810.60000000
0.005373670115
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
5.50000000
N
N
N
N
N
N
Avoca CLO
635400OUIIBSBWG9WH80
Avoca CLO XVII DAC
000000000
300000.00000000
PA
328255.41000000
0.077329675106
Long
ABS-CBDO
CORP
IE
N
2
2032-10-15
Floating
0.82000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPBT9
130000.00000000
PA
USD
130364.00000000
0.030710859466
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31288QFW5
241721.12000000
PA
USD
243118.27000000
0.057273258136
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Floating
3.08900000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AT7
320000.00000000
PA
USD
342986.32000000
0.080799949927
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XB6G0
72636.81000000
PA
USD
73711.52000000
0.017364794972
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
OFFICE PPTY INCOME TRST
N/A
Office Properties Income Trust
67623CAE9
90000.00000000
PA
USD
80191.07000000
0.018891232865
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
2.40000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAM8
150000.00000000
PA
USD
149465.60000000
0.035210771659
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
3.50900000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H24R2
291745.43000000
PA
USD
41373.91000000
0.009746773155
Long
ABS-MBS
USGSE
US
N
2
2049-05-25
Fixed
2.50000000
N
N
N
N
N
N
PIONEER NATURAL RESOURCE
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co
723787AR8
70000.00000000
PA
USD
63173.68000000
0.014882314200
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.15000000
N
N
N
N
N
N
PHYSICIANS REALTY LP
549300P6Q1UMT0X60U20
Physicians Realty LP
71951QAC6
30000.00000000
PA
USD
27118.39000000
0.006388489646
Long
DBT
CORP
US
N
2
2031-11-01
Fixed
2.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8KS1
38765.07000000
PA
USD
41205.13000000
0.009707012340
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LRT40
95874.27000000
PA
USD
92053.94000000
0.021685861239
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAE1
260000.00000000
PA
USD
235872.00000000
0.055566198061
Long
DBT
CORP
NL
N
2
2026-10-01
Fixed
3.15000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAV8
170000.00000000
PA
USD
176011.29000000
0.041464345921
Long
DBT
CORP
US
N
2
2029-07-23
Fixed
4.20300000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCB6
220000.00000000
PA
USD
230424.70000000
0.054282935313
Long
DBT
CORP
MX
N
2
2026-08-04
Fixed
6.87500000
N
N
N
N
N
N
HILTON WORLDWIDE FINANCE
549300406TN7EY0NPH20
Hilton Worldwide Finance LLC
43289DAH6
240000.00000000
PA
USD
237683.28000000
0.055992895351
Long
LON
CORP
US
N
2
2026-06-21
Floating
1.75000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMM1
10000.00000000
PA
USD
8904.40000000
0.002097678630
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
PHILLIPS 66 PARTNERS LP
549300TL5L4IG0H4FX64
Phillips 66 Partners LP
718549AD0
100000.00000000
PA
USD
100099.04000000
0.023581107899
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
3.55000000
N
N
N
N
N
N
Oak Street Investment Grade Ne
N/A
Oak Street Investment Grade Net Lease Fund Series 2020-1
67181DAA9
195349.59000000
PA
USD
183742.21000000
0.043285578758
Long
ABS-O
CORP
US
N
2
2050-11-20
Fixed
1.85000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-2.00000000
NC
USD
-781.25000000
-0.00018404512
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.00000000
USD
2022-04-22
XXXX
434.04000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABML3
293291.93000000
PA
USD
290063.26000000
0.068332453853
Long
ABS-MBS
USGA
US
N
2
2071-12-20
Variable
3.08700000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
-6.00000000
NC
USD
-2062.50000000
-0.00048587913
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
PA
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
122.75000000
USD
2022-04-01
XXXX
-619.75000000
N
N
N
Countrywide Home Loans
N/A
Reperforming Loan REMIC Trust 2006-R1
12669UCN8
107099.50000000
PA
USD
106461.81000000
0.025080035020
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.79657000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KLVJ3
646348.94000000
PA
USD
603423.83000000
0.142153235876
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAE5
200000.00000000
PA
USD
167000.00000000
0.039341486383
Long
DBT
CORP
MA
N
2
2051-06-23
Fixed
5.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM3S2
98441.70000000
PA
USD
96615.93000000
0.022760564637
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F032658
4500000.00000000
PA
USD
4494323.57000000
1.058762691803
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
SPIRIT REALTY LP
549300GTBVIBJRX5BW73
Spirit Realty LP
84861TAF5
800000.00000000
PA
USD
774761.12000000
0.182516491333
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
3.40000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFR0
190000.00000000
PA
USD
198997.29000000
0.046879336376
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.20000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
AUD/USD FORWARD
000000000
1.00000000
NC
USD
-1059.61000000
-0.00024962055
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-435094.25000000
USD
580000.00000000
AUD
2022-04-04
-1059.61000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS JPY
000000000
1.00000000
NC
18548.81000000
0.004369687161
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2046-05-09
250.45000000
USD
0.00000000
USD
-187300000.00000000
JPY
18298.36000000
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LBF2
10000.00000000
PA
USD
10307.80000000
0.002428288463
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.25000000
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
124857AQ6
50000.00000000
PA
USD
50828.42000000
0.011974045468
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.00000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBA0
10000.00000000
PA
USD
10631.99000000
0.002504660418
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
4.85000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAN1
100000.00000000
PA
USD
94874.85000000
0.022350404906
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.10000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XAW5
40000.00000000
PA
USD
39954.60000000
0.009412415280
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.87500000
N
N
N
N
N
N
TEXTRON INC
3PPKBHUG1HD6BO7RNR87
Textron Inc
883203CC3
700000.00000000
PA
USD
634842.78000000
0.149554841825
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5W39
135486.30000000
PA
USD
134710.89000000
0.031734890087
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
3.00000000
N
N
N
N
N
N
FOCUS FINANCIAL PARTNERS LLC
5493007L0E0VKRC2CP39
Focus Financial Partners LLC
34416DAT5
77901.34370000
PA
USD
76872.81000000
0.018109524597
Long
LON
CORP
US
N
2
2024-07-03
Floating
2.10500000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BF2
70000.00000000
PA
USD
74268.34000000
0.017495969382
Long
DBT
CORP
US
N
2
2037-08-22
Fixed
3.87500000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MCN8
300000.00000000
PA
USD
279283.11000000
0.065792890234
Long
DBT
CORP
JP
N
2
2029-01-14
Fixed
2.47200000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
4397000.00000000
PA
844070.52000000
0.198844244725
Long
DBT
NUSS
BR
N
2
2031-01-01
Fixed
10.00000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
000000000
2000000.00000000
PA
542736.57000000
0.127856666936
Long
DBT
NUSS
PE
N
2
2028-08-12
Fixed
6.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNLM2
199672.35000000
PA
USD
190828.29000000
0.044954901632
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
BRITISH AIR 18-1 AA PTT
N/A
British Airways 2018-1 Class AA Pass Through Trust
11042TAA1
388251.88600000
PA
USD
383836.84000000
0.090423424037
Long
DBT
CORP
US
N
2
2031-09-20
Fixed
3.80000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAR9
150000.00000000
PA
USD
162270.63000000
0.038227351979
Long
DBT
CORP
US
N
2
2039-04-22
Fixed
4.45700000
N
N
N
N
N
N
AMER AIRLINE 16-2 AA PTT
N/A
American Airlines 2016-2 Class AA Pass Through Trust
023765AA8
266810.50000000
PA
USD
253859.36000000
0.059803620088
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.20000000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BD8
40000.00000000
PA
USD
44257.32000000
0.010426040431
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
4.90000000
N
N
N
N
N
N
STATE OF ISRAEL
213800T8ZHTFZIBYPE21
Israel Government International Bond
46513YJJ8
600000.00000000
PA
USD
640270.20000000
0.150833421286
Long
DBT
NUSS
IL
N
2
2048-01-17
Fixed
4.12500000
N
N
N
N
N
N
GRAY OAK PIPELINE LLC
N/A
Gray Oak Pipeline LLC
38937LAB7
125000.00000000
PA
USD
120658.98000000
0.028424572567
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
3.45000000
N
N
N
N
N
N
LoanCore 2018-CRE1 Issuer, Ltd
N/A
LoanCore 2018-CRE1 Issuer Ltd
53946MAA5
96507.12000000
PA
USD
96332.06000000
0.022693691178
Long
ABS-CBDO
CORP
KY
N
2
2028-05-15
Floating
1.52657000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAQ1
100000.00000000
PA
USD
101046.54000000
0.023804317829
Long
DBT
CORP
US
N
2
2024-04-24
Fixed
3.73700000
N
N
N
N
N
N
BARRICK GOLD CORP
0O4KBQCJZX82UKGCBV73
Barrick Gold Corp
067901AH1
30000.00000000
PA
USD
34828.78000000
0.008204886072
Long
DBT
CORP
CA
N
2
2042-04-01
Fixed
5.25000000
N
N
N
N
N
N
JP Morgan Mortgage Acquisition
N/A
JP Morgan Mortgage Acquisition Trust 2007-CH2
46630MAY8
160000.00000000
PA
USD
155968.35000000
0.036742674956
Long
ABS-O
CORP
US
N
2
2037-01-25
Floating
0.75657000
N
N
N
N
N
N
EVERGY INC
549300PGTHDQY6PSUI61
Evergy Inc
30034WAB2
130000.00000000
PA
USD
124395.27000000
0.029304759406
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.90000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122DR6
25000.00000000
PA
USD
21150.64000000
0.004982620452
Long
DBT
CORP
US
N
2
2040-11-13
Fixed
2.35000000
N
N
N
N
N
N
SCHLUMBERGER HLDGS CORP
529900IKZG65COT1D505
Schlumberger Holdings Corp
806851AG6
70000.00000000
PA
USD
71199.47000000
0.016773011853
Long
DBT
CORP
US
N
2
2025-12-21
Fixed
4.00000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAT8
750000.00000000
PA
USD
773616.07000000
0.182246743016
Long
DBT
CORP
DK
N
2
2024-01-12
Fixed
5.37500000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAU2
20000.00000000
PA
USD
23242.65000000
0.005475451487
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
6.75000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBD1
64000.00000000
PA
USD
51889.14000000
0.012223927513
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
3.10000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2C6
50000.00000000
PA
USD
50931.86000000
0.011998413632
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DL1
20000.00000000
PA
USD
20822.69000000
0.004905362725
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-29.00000000
NC
USD
-11328.13000000
-0.00266865552
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.00000000
USD
2022-04-22
XXXX
7652.96000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L2PV9
93413.29000000
PA
USD
86980.35000000
0.020490636258
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371LKY4
1327.24000000
PA
USD
1454.89000000
0.000342739731
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132AD2G2
259499.91000000
PA
USD
264963.06000000
0.062419404892
Long
ABS-MBS
USGSE
US
N
2
2037-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132ADUS5
46663.37000000
PA
USD
46135.04000000
0.010868389508
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
3.00000000
N
N
N
N
N
N
BIOGEN INC
W8J5WZB5IY3K0NDQT671
Biogen Inc
09062XAH6
34000.00000000
PA
USD
30640.42000000
0.007218201594
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.25000000
N
N
N
N
N
N
7-ELEVEN INC
549300K23JPL0SS3LB18
7-Eleven Inc
817826AC4
60000.00000000
PA
USD
54610.54000000
0.012865028837
Long
DBT
CORP
US
N
2
2026-02-10
Fixed
0.95000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468L6
80000.00000000
PA
USD
75163.84000000
0.017706929268
Long
DBT
CORP
US
N
2
2031-01-22
Fixed
2.69900000
N
N
N
N
N
N
Continental Credit Card llc
N/A
Continental Finance Credit Card ABS Master Trust
66981PAA6
370000.00000000
PA
USD
356959.39000000
0.084091694497
Long
ABS-O
CORP
US
N
2
2028-12-15
Fixed
2.24000000
N
N
N
N
N
N
ALPHABET INC
5493006MHB84DD0ZWV18
Alphabet Inc
02079KAD9
30000.00000000
PA
USD
26253.92000000
0.006184839737
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
1.10000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-68.00000000
NC
USD
-53125.00000000
-0.01251506864
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.00000000
USD
2022-05-20
XXXX
-17117.64000000
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBP4
55000.00000000
PA
USD
47172.94000000
0.011112895668
Long
DBT
CORP
US
N
2
2051-06-04
Fixed
2.93900000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HLL2
50000.00000000
PA
USD
56789.15000000
0.013378260906
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
4.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKDF2
92621.02000000
PA
USD
90521.21000000
0.021324784135
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
2.50000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BB5
190000.00000000
PA
USD
236511.50000000
0.055716850040
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
7.50000000
N
N
N
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
Targa Resources Corp
87612GAA9
20000.00000000
PA
USD
20210.41000000
0.004761123172
Long
DBT
CORP
US
N
2
2033-02-01
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBYG9
94645.99000000
PA
USD
91021.37000000
0.021442610709
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHS1
20000.00000000
PA
USD
21544.25000000
0.005075346215
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
4.33000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ANC36
95965.17000000
PA
USD
92141.35000000
0.021706453091
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17307GXQ6
3094.91000000
PA
USD
3183.57000000
0.000749978298
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
2.21000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GSRR5
21614.81000000
PA
USD
22251.84000000
0.005242038684
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378KTM1
2527959.41000000
PA
USD
39288.28000000
0.009255445105
Long
ABS-MBS
USGA
US
N
2
2047-04-16
Variable
0.52488000
N
N
N
N
N
N
BOARDWALK PIPELINES LP
549300W6AQ2GHHCGL606
Boardwalk Pipelines LP
096630AF5
85000.00000000
PA
USD
86896.02000000
0.020470769985
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
4.45000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-13.00000000
NC
USD
-2437.50000000
-0.00057422079
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
115.75000000
USD
2022-04-22
XXXX
2008.76000000
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
DKK/USD FORWARD
000000000
1.00000000
NC
USD
-1055.78000000
-0.00024871829
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-1356180.80000000
DKK
201378.00000000
USD
2022-07-01
-1055.78000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJX1
10000.00000000
PA
USD
9544.78000000
0.002248537918
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
2.30000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAU7
460000.00000000
PA
USD
502694.16000000
0.118423565572
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
JPY/USD FORWARD
000000000
1.00000000
NC
USD
3448.01000000
0.000812274481
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-19030387.00000000
JPY
159826.18000000
USD
2022-04-19
3448.01000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CEB3
700000.00000000
PA
USD
675882.82000000
0.159222962633
Long
DBT
UST
US
N
2
2029-02-28
Fixed
1.87500000
N
N
N
N
N
N
Structured Asset Investment Lo
N/A
Structured Asset Investment Loan Trust 2005-HE1
86358EUW4
196309.03000000
PA
USD
193180.77000000
0.045509093607
Long
ABS-O
CORP
US
N
2
2035-07-25
Floating
1.17657000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
GBP/USD FORWARD
000000000
1.00000000
NC
USD
-26540.02000000
-0.00625223853
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-932729.64000000
USD
690000.00000000
GBP
2022-05-18
-26540.02000000
N
N
N
CYRUSONE LP/CYRUSONE FIN
N/A
CyrusOne LP / CyrusOne Finance Corp
23283PAS3
100000.00000000
PA
114393.00000000
0.026948447017
Long
DBT
CORP
US
N
2
2027-01-22
Fixed
1.45000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468P7
690000.00000000
PA
USD
687298.93000000
0.161912344286
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.62200000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SN9
5294000.00000000
PA
USD
3955197.05000000
0.931756472369
Long
DBT
UST
US
N
2
2050-05-15
Fixed
1.25000000
N
N
N
N
N
N
Madison Park Funding Ltd
549300FFTJ3WPTJK8589
Madison Park Funding XXX LTD
55821TAA5
297512.01000000
PA
USD
296198.79000000
0.069777848284
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
0.99129000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
150000.00000000
PA
USD
152129.24000000
0.035838266011
Long
DBT
CORP
US
N
2
2024-03-12
Fixed
4.12500000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AS9
465000.00000000
PA
USD
464781.26000000
0.109492129410
Long
DBT
CORP
GB
N
2
2024-09-11
Fixed
3.62500000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AS0
90000.00000000
PA
USD
91378.80000000
0.021526813268
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
27836.08000000
0.006557561450
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2031-10-20
11118.49000000
USD
0.00000000
USD
-2820000.00000000
USD
16717.59000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KMJ2
9409.81000000
PA
USD
10315.53000000
0.002430109479
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JF5
20000.00000000
PA
USD
18004.44000000
0.004241445695
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
2.10000000
N
N
N
N
N
N
SOUTHERN POWER CO
5LADC78JBG2BMZD5XF57
Southern Power Co
843646AH3
70000.00000000
PA
USD
74533.91000000
0.017558531768
Long
DBT
CORP
US
N
2
2041-09-15
Fixed
5.15000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T4Q5
25977.82000000
PA
USD
27166.72000000
0.006399875119
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
4.50000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBD6
40000.00000000
PA
USD
37285.09000000
0.008783538087
Long
DBT
CORP
US
N
2
2037-08-15
Fixed
4.39000000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EQ7
10000.00000000
PA
USD
9902.27000000
0.002332754612
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.25000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BM1
50000.00000000
PA
USD
58494.26000000
0.013779946905
Long
DBT
CORP
US
N
2
2050-03-25
Fixed
4.75000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
39790000.00000000
PA
24486.15000000
0.005768392435
Long
DBT
NUSS
RU
N
2
2030-04-10
Fixed
7.65000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10YR ULTRA
000000000
-34.00000000
NC
USD
137344.36000000
0.032355277058
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
2022-06-21
-4743281.86000000
USD
137344.36000000
N
N
N
Carlyle Global Market Strategi
549300CVBX8ZUYQV3Q10
Carlyle Global Market Strategies CLO 2013-1 Ltd
14310BAU5
300000.00000000
PA
USD
300096.84000000
0.070696142182
Long
ABS-CBDO
CORP
KY
N
2
2030-08-14
Floating
1.40857000
N
N
N
N
N
N
ATMOS ENERGY CORP
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp
049560AW5
60000.00000000
PA
USD
51146.13000000
0.012048890879
Long
DBT
CORP
US
N
2
2052-02-15
Fixed
2.85000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2S1
900000.00000000
PA
USD
852066.40000000
0.200727896247
Long
DBT
CORP
US
N
2
2028-06-02
Fixed
2.39300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBUL2
60450.89000000
PA
USD
62379.43000000
0.014695206562
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BM7
10000.00000000
PA
USD
11365.18000000
0.002677383677
Long
DBT
CORP
US
N
2
2057-08-22
Fixed
4.25000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDM5
45000.00000000
PA
USD
42759.05000000
0.010073081337
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
1.20000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AQ1
250000.00000000
PA
USD
235037.51000000
0.055369610773
Long
DBT
CORP
CH
N
2
2026-06-05
Fixed
2.19300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407QHE9
6805.85000000
PA
USD
6845.90000000
0.001612741806
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
2.04300000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBH3
130000.00000000
PA
USD
119800.59000000
0.028222354971
Long
DBT
UST
US
N
2
2026-01-31
Fixed
0.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DYB2
729985.98000000
PA
USD
679625.66000000
0.160104692506
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UGD8
77404.18000000
PA
USD
80579.54000000
0.018982747758
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
4.50000000
N
N
N
N
N
N
DIVERSIFIED HEALTHCARE T
N/A
Diversified Healthcare Trust
25525PAA5
600000.00000000
PA
USD
632226.00000000
0.148938386647
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
9.75000000
N
N
N
N
N
N
QATAR ENERGY
254900QTESJKJ3P87J26
Qatar Energy
74730DAE3
200000.00000000
PA
USD
182469.20000000
0.042985685911
Long
DBT
CORP
QA
N
2
2041-07-12
Fixed
3.12500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BC7
30000.00000000
PA
USD
35672.44000000
0.008403633607
Long
DBT
CORP
US
N
2
2055-10-23
Fixed
6.83400000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RBK7
32000.00000000
PA
USD
32392.66000000
0.007630990373
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
4.35000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AA5
50000.00000000
PA
USD
48843.25000000
0.011506383561
Long
DBT
CORP
US
N
2
2050-02-01
Variable
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KVHA1
92139.19000000
PA
USD
85836.63000000
0.020221201259
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KKT82
172151.48000000
PA
USD
164866.51000000
0.038838883582
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.50000000
N
N
N
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAJ3
40000.00000000
PA
USD
40709.95000000
0.009590358943
Long
DBT
CORP
US
N
2
2060-04-01
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHLP5
72657.19000000
PA
USD
72255.33000000
0.017021748989
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABF1
290000.00000000
PA
USD
291526.04000000
0.068677052293
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
PRA HEALTH SCIENCES INC
549300R1HR1VWWHIAK47
PRA Health Sciences Inc
000000000
50644.81690000
PA
USD
50423.25000000
0.011878596426
Long
LON
CORP
US
N
2
2028-07-01
Floating
3.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RT7
50000.00000000
PA
USD
46816.41000000
0.011028905128
Long
DBT
UST
US
N
2
2046-08-15
Fixed
2.25000000
N
N
N
N
N
N
CGI INC
549300WSRCZY73ZG3090
CGI Inc
12532HAA2
300000.00000000
PA
USD
276047.97000000
0.065030763190
Long
DBT
CORP
CA
N
2
2026-09-14
Fixed
1.45000000
N
N
N
N
N
N
CHEVY CHASE MORTGAGE FUNDING C
549300DNEIQWPVRRQF88
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-2
16678RBE6
613954.89000000
PA
USD
536740.06000000
0.126444022526
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
0.60409300
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FG8
130000.00000000
PA
USD
131152.54000000
0.030896621955
Long
DBT
CORP
US
N
2
2060-03-20
Fixed
3.83900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31391HT46
48736.88000000
PA
USD
52071.42000000
0.012266868628
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Fixed
5.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKD0
225000.00000000
PA
USD
204802.04000000
0.048246806394
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.57200000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2007-2
41164LAB5
175929.14000000
PA
USD
156764.19000000
0.036930157163
Long
ABS-MBS
CORP
US
N
2
2038-05-25
Floating
0.61657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SQV2
22703.15000000
PA
USD
22622.06000000
0.005329254284
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
3.00000000
N
N
N
N
N
N
Small Business Administration
N/A
United States Small Business Administration
83162CC68
50295.69000000
PA
USD
50621.00000000
0.011925181929
Long
ABS-O
USGA
US
N
2
2044-07-01
Fixed
2.69000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2018-BIOA
056057AN2
572543.01000000
PA
USD
564500.96000000
0.132983873240
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
2.34805000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAF8
50000.00000000
PA
USD
51408.18000000
0.012110624032
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.30000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCC7
210000.00000000
PA
USD
196099.69000000
0.046196726250
Long
DBT
CORP
US
N
2
2026-03-25
Fixed
1.65000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BG6
20000.00000000
PA
USD
22702.45000000
0.005348192380
Long
DBT
CORP
US
N
2
2047-03-15
Fixed
4.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6EW3
37083.40000000
PA
USD
41442.91000000
0.009763028020
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
6.00000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBH3
500000.00000000
PA
USD
446800.68000000
0.105256304600
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.45000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
Reperforming Loan REMIC Trust 2005-R2
12669GN64
19056.89000000
PA
USD
18623.29000000
0.004387232993
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
0.79657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEEC2
401082.01000000
PA
USD
404438.84000000
0.095276797106
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.50000000
N
N
N
N
N
N
CHENIERE ENERGY INC
MIHC87W9WTYSYZWV1J40
Cheniere Energy Inc
16411RAK5
30000.00000000
PA
USD
30138.75000000
0.007100019297
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.62500000
N
N
N
N
N
N
MF1 Ltd
N/A
MF1 2020-FL3 Ltd
59319WAA9
233392.10000000
PA
USD
233800.07000000
0.055078097427
Long
ABS-MBS
USGSE
US
N
2
2035-07-15
Floating
2.46564000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAA1
260000.00000000
PA
USD
260390.28000000
0.061342159610
Long
DBT
CORP
CH
N
2
2023-05-23
Fixed
3.49100000
N
N
N
N
N
N
UNITED AIR 2016-2 B PTT
N/A
United Airlines 2016-2 Class B Pass Through Trust
90933JAA9
239953.70430000
PA
USD
225303.43000000
0.053076477984
Long
DBT
CORP
US
N
2
2025-10-07
Fixed
3.65000000
N
N
N
N
N
N
NEXSTAR MEDIA INC
5493006PK6I4I2OOT688
Nexstar Media Inc
65336RAW8
233921.70170000
PA
USD
233288.24000000
0.054957521660
Long
LON
CORP
US
N
2
2026-09-19
Floating
2.73060000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CEE0
230284.06000000
PA
USD
230174.84000000
0.054224073854
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L05D5
81547.49000000
PA
USD
75974.82000000
0.017897978122
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CQ6
600000.00000000
PA
USD
536136.17000000
0.126301759470
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.75000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2G7
110000.00000000
PA
USD
104668.69000000
0.024657615822
Long
DBT
CORP
US
N
2
2030-10-30
Fixed
2.87900000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAF7
40000.00000000
PA
USD
45502.21000000
0.010719308833
Long
DBT
CORP
US
N
2
2043-10-02
Fixed
6.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HMRW6
97982.21000000
PA
USD
102752.74000000
0.024206260608
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
Vericrest Opportunity Loan Tra
N/A
VOLT XCIV LLC
92873AAA6
304727.46000000
PA
USD
293840.64000000
0.069222320583
Long
ABS-MBS
CORP
US
N
2
2051-02-27
Variable
2.23950000
N
N
N
N
N
N
ALLIED UNIVERSAL HOLDCO
98450038B4549046D794
Allied Universal Holdco LLC
01957TAH0
295418.34290000
PA
USD
291134.78000000
0.068584880138
Long
LON
CORP
US
N
2
2028-05-14
Floating
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6GM7
80952.76000000
PA
USD
82235.94000000
0.019372958764
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385WUX5
23400.69000000
PA
USD
23412.51000000
0.005515466726
Long
ABS-MBS
USGSE
US
N
2
2032-11-01
Floating
1.75700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A9T23
26136.21000000
PA
USD
26416.66000000
0.006223177662
Long
ABS-MBS
USGSE
US
N
2
2032-09-01
Fixed
3.00000000
N
N
N
N
N
N
KLA CORP
549300H0BF5JCG96TJ81
KLA Corp
482480AJ9
50000.00000000
PA
USD
47306.68000000
0.011144401838
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
3.30000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBL5
10000.00000000
PA
USD
9973.11000000
0.002349442941
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
1.57100000
N
N
N
N
N
N
VASA Trust
N/A
VASA Trust 2021-VASA
92230AAA4
610000.00000000
PA
USD
597829.89000000
0.140835428005
Long
ABS-MBS
CORP
US
N
2
2039-07-15
Floating
1.29700000
N
N
N
N
N
N
BUNGE LTD FINANCE CORP
549300QHC068L40NNM71
Bunge Ltd Finance Corp
120568BC3
95000.00000000
PA
USD
87557.01000000
0.020626484530
Long
DBT
CORP
US
N
2
2031-05-14
Fixed
2.75000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAP0
200000.00000000
PA
USD
171000.00000000
0.040283797434
Long
DBT
CORP
KY
N
2
2029-03-08
Fixed
3.10000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMZJ7
98209.94000000
PA
USD
91491.66000000
0.021553400575
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HA2
70000.00000000
PA
USD
92390.79000000
0.021765215609
Long
DBT
CORP
US
N
2
2043-09-13
Fixed
6.67500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-2.00000000
NC
USD
-62.50000000
-0.00001472361
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
129.00000000
USD
2022-04-22
XXXX
871.54000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BFP0
80000.00000000
PA
USD
93141.00000000
0.021941948402
Long
DBT
CORP
US
N
2
2043-11-02
Fixed
5.37500000
N
N
N
N
N
N
Anchor Mortgage Trust
N/A
Anchor Mortgage Trust 2021-RTL1
03333HAA2
340000.00000000
PA
USD
331622.06000000
0.078122782981
Long
ABS-MBS
CORP
US
N
2
2026-10-25
Fixed
2.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410F2H7
1692.91000000
PA
USD
1854.55000000
0.000436890739
Long
ABS-MBS
USGSE
US
N
2
2036-11-01
Fixed
5.50000000
N
N
N
N
N
N
UNIV OF CALIFORNIA CA RGTS MED
N/A
Regents of the University of California Medical Center Pooled Revenue
913366KD1
120000.00000000
PA
USD
101494.66000000
0.023909884936
Long
DBT
MUN
US
N
2
2120-05-15
Fixed
3.70600000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDX7
250000.00000000
PA
USD
230410.17000000
0.054279512369
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31376KRF5
67522.34000000
PA
USD
73546.89000000
0.017326011805
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAT8
40000.00000000
PA
USD
36886.72000000
0.008689690973
Long
DBT
UST
US
N
2
2025-10-31
Fixed
0.25000000
N
N
N
N
N
N
GoldenTree Loan Management US
549300UYD6YMBA6XSE43
Goldentree Loan Management US Clo 2 Ltd
38136MAU2
400000.00000000
PA
USD
396690.20000000
0.093451389830
Long
ABS-CBDO
CORP
KY
N
2
2030-11-20
Floating
1.16400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HU5A0
100000.00000000
PA
USD
99625.85000000
0.023469634857
Long
ABS-MBS
USGSE
US
N
2
2029-08-01
Fixed
2.79000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A2R38
32592.85000000
PA
USD
33355.29000000
0.007857764594
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9S63
183925.23000000
PA
USD
171304.79000000
0.040355599180
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
RUB/USD FORWARD
000000000
1.00000000
NC
USD
-7540.95000000
-0.00177648013
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-2943499.00000000
RUB
31320.30000000
USD
2022-04-19
-7540.95000000
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2006-6
41161UAE2
82115.35000000
PA
USD
79232.91000000
0.018665511675
Long
ABS-MBS
CORP
US
N
2
2036-08-19
Variable
2.93378300
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CN8
60000.00000000
PA
USD
67925.83000000
0.016001815065
Long
DBT
CORP
US
N
2
2045-07-20
Fixed
5.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
377.59000000
0.000088951807
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-02-09
0.00000000
USD
0.00000000
USD
-16000000.00000000
JPY
377.59000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFUJ8
99262.34000000
PA
USD
92478.03000000
0.021785767413
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
EDISON INTERNATIONAL
549300I7ROF15MAEVP56
Edison International
281020AN7
70000.00000000
PA
USD
75093.93000000
0.017690460027
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CCK8
413203.76000000
PA
USD
413414.41000000
0.097391241806
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
3.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGT1
30000.00000000
PA
USD
31231.34000000
0.007357409205
Long
DBT
CORP
US
N
2
2046-06-14
Fixed
4.40000000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities Inc Asset Back Pass Thr Certs Ser 2004 W3
040104FW6
438652.24000000
PA
USD
424537.60000000
0.100011618021
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Floating
1.27657000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBJ7
100000.00000000
PA
USD
97271.27000000
0.022914948168
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.62500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SY5
1895000.00000000
PA
USD
1790478.91000000
0.421797015912
Long
DBT
UST
US
N
2
2041-05-15
Fixed
2.25000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2017-1
63940NAC4
145221.84000000
PA
USD
143718.79000000
0.033856951016
Long
ABS-O
CORP
US
N
2
2066-07-26
Floating
1.60657000
N
N
N
N
N
N
DCERT BUYER INC
549300EF826JEEUCHZ67
Dcert Buyer Inc
24022KAB5
206096.18860000
PA
USD
204973.79000000
0.048287266875
Long
LON
CORP
US
N
2
2026-10-16
Floating
4.24130000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-23.00000000
NC
USD
-17968.75000000
-0.00423303792
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.00000000
USD
2022-05-20
XXXX
1038.34000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
17.19000000
0.000004049581
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-04-22
0.00000000
USD
0.00000000
USD
10000000.00000000
JPY
17.19000000
N
N
N
DELTA TOPCO INC
N/A
Delta Topco Inc
24780DAC1
29700.00000000
PA
USD
29270.42000000
0.006895460059
Long
LON
CORP
US
N
2
2027-12-01
Floating
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM5J0
99572.84000000
PA
USD
95730.25000000
0.022551918124
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418TE60
13618.12000000
PA
USD
14011.55000000
0.003300809601
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
4.00000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBK5
41000.00000000
PA
USD
32334.61000000
0.007617315083
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
2.95000000
N
N
N
N
N
N
EQUINIX INC
549300EVUN2BTLJ3GT74
Equinix Inc
29444UBR6
109000.00000000
PA
USD
98441.29000000
0.023190578862
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
2.00000000
N
N
N
N
N
N
Drive Auto Receivables Trust
N/A
Drive Auto Receivables Trust 2019-3
26209WAG8
575000.00000000
PA
USD
578281.53000000
0.136230269091
Long
ABS-O
CORP
US
N
2
2026-10-15
Fixed
3.18000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AH7
30000.00000000
PA
USD
30656.25000000
0.007221930790
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QHD36
87019.62000000
PA
USD
83196.26000000
0.019599188801
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FVQG0
86711.98000000
PA
USD
14636.36000000
0.003448000943
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
2.50000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAT7
20000.00000000
PA
USD
22307.88000000
0.005255240462
Long
DBT
CORP
US
N
2
2049-04-01
Fixed
5.95000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
87.00000000
NC
USD
-229546.00000000
-0.05407593313
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
2022-06-21
10919671.00000000
USD
-229546.00000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAE5
200000.00000000
PA
USD
200945.13000000
0.047338204165
Long
DBT
CORP
GB
N
2
2025-03-16
Fixed
3.65000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GV9
95000.00000000
PA
USD
87512.52000000
0.020616003676
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
1.20000000
N
N
N
N
N
N
BARRICK NA FINANCE LLC
N/A
Barrick North America Finance LLC
06849RAG7
90000.00000000
PA
USD
109740.44000000
0.025852407341
Long
DBT
CORP
US
N
2
2041-05-30
Fixed
5.70000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XUW2
450000.00000000
PA
USD
459015.30000000
0.108133797453
Long
ABS-MBS
CORP
US
N
2
2030-05-25
Floating
4.45657000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-25.00000000
NC
USD
-6640.65000000
-0.00156438947
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.50000000
USD
2022-04-22
XXXX
3909.91000000
N
N
N
LEIDOS INC
5493006I78VIN6J1BQ95
Leidos Inc
52532XAH8
35000.00000000
PA
USD
30406.95000000
0.007163201253
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.30000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAG4
200000.00000000
PA
USD
176314.14000000
0.041535690646
Long
DBT
CORP
ES
N
2
2030-12-03
Fixed
2.74900000
N
N
N
N
N
N
AVOLON TLB BORROWER 1 US
635400O84AGITYFZQB55
Avolon TLB Borrower 1 US LLC
05400KAH3
49500.00000000
PA
USD
49128.75000000
0.011573641012
Long
LON
CORP
US
N
2
2027-12-01
Floating
2.75000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BT6
130000.00000000
PA
USD
118748.16000000
0.027974425866
Long
DBT
CORP
US
N
2
2028-08-12
Fixed
1.60000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2020-2
89176UAV6
240000.00000000
PA
USD
225359.78000000
0.053089752791
Long
ABS-MBS
CORP
US
N
2
2060-04-25
Variable
3.00000000
N
N
N
N
N
N
Medline Borrower, LP
N/A
Mozart Borrower LP
58503UAC7
230000.00000000
PA
USD
227843.06000000
0.053674758338
Long
LON
CORP
US
N
2
2028-10-21
Floating
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M8NN0
39690.61000000
PA
USD
43059.22000000
0.010143794714
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAQ6
190000.00000000
PA
USD
187185.44000000
0.044096727179
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.75000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023BU8
30000.00000000
PA
USD
28749.58000000
0.006772761737
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
2.80000000
N
N
N
N
N
N
SCF Equipment Trust Llc
N/A
SCF Equipment Leasing 2021-1 LLC
783897AE1
345000.00000000
PA
USD
322233.35000000
0.075911011684
Long
ABS-O
CORP
US
N
2
2030-10-21
Fixed
1.54000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS Trust 2021-C10
05551VBK8
1942711.66000000
PA
USD
169319.17000000
0.039887831263
Long
ABS-MBS
CORP
US
N
2
2054-07-15
Variable
1.30545300
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGQ7
50000.00000000
PA
USD
55396.51000000
0.013050185891
Long
DBT
CORP
US
N
2
2045-11-17
Fixed
4.90000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJA8
80000.00000000
PA
USD
83172.02000000
0.019593478397
Long
DBT
CORP
US
N
2
2051-03-20
Fixed
4.08300000
N
N
N
N
N
N
KKR GROUP FIN CO II
N/A
KKR Group Finance Co II LLC
48249DAA9
30000.00000000
PA
USD
34322.88000000
0.008085707282
Long
DBT
CORP
US
N
2
2043-02-01
Fixed
5.50000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBK0
500000.00000000
PA
USD
519519.92000000
0.122387340470
Long
DBT
CORP
GB
N
2
2030-06-20
Fixed
5.08800000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2020-SFR4 Trust
66981FAD2
365000.00000000
PA
USD
336264.83000000
0.079216516351
Long
ABS-O
CORP
US
N
2
2037-11-17
Fixed
2.00600000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QW1
600000.00000000
PA
USD
636070.31000000
0.149844020596
Long
DBT
UST
US
N
2
2042-05-15
Fixed
3.00000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAH4
30000.00000000
PA
USD
33637.50000000
0.007924246995
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
5.55000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
000000000
200000.00000000
PA
270288.74000000
0.063674016672
Long
DBT
CORP
GB
N
2
N/A
Fixed
7.25000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDQ2
10000.00000000
PA
USD
11314.48000000
0.002665439885
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
4.45000000
N
N
N
N
N
N
TD SYNNEX CORP
5493004HI6PFLF46NS53
TD SYNNEX Corp
87162WAJ9
400000.00000000
PA
USD
344203.99000000
0.081086805902
Long
DBT
CORP
US
N
2
2031-08-09
Fixed
2.65000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAN0
60000.00000000
PA
USD
60628.71000000
0.014282775861
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6E87
29290.31000000
PA
USD
32349.58000000
0.007620841683
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
5.50000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BW8
200000.00000000
PA
USD
203220.35000000
0.047874195403
Long
DBT
CORP
US
N
2
2027-06-06
Fixed
3.70000000
N
N
N
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GN7
300000.00000000
PA
USD
305237.28000000
0.071907115537
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.70000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CB3
300000.00000000
PA
USD
300043.76000000
0.070683637715
Long
DBT
CORP
DE
N
2
2025-11-26
Fixed
3.96100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617NS5R8
445015.91000000
PA
USD
451446.00000000
0.106350638693
Long
ABS-MBS
USGA
US
N
2
2050-09-20
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-3.00000000
NC
USD
-140.64000000
-0.00003313165
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
128.00000000
USD
2022-04-22
XXXX
2432.33000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132AEFK7
47761.33000000
PA
USD
49273.74000000
0.011607797432
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
3.50000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBS0
40000.00000000
PA
USD
40454.40000000
0.009530157046
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.87500000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2022-B33 Mortgage Trust
08163PBG4
300000.00000000
PA
USD
303458.64000000
0.071488107505
Long
ABS-MBS
CORP
US
N
2
2055-03-15
Fixed
3.45820000
N
N
N
N
N
N
American Home Mortgage Investm
N/A
American Home Mortgage Investment Trust 2006-2
02660YAU6
1313205.62000000
PA
USD
284366.80000000
0.066990494551
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
6.70000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0BK4
93650.64000000
PA
USD
95109.45000000
0.022405671449
Long
ABS-MBS
CORP
US
N
2
2024-08-25
Floating
4.45657000
N
N
N
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216DC1
20000.00000000
PA
USD
16776.94000000
0.003952273991
Long
DBT
CORP
US
N
2
2051-03-15
Fixed
2.50000000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP Carey Inc
92936UAH2
55000.00000000
PA
USD
47078.84000000
0.011090727801
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
2.25000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAN9
320000.00000000
PA
USD
317347.64000000
0.074760047052
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.50000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS ITRAXX.EU.36.5Y.V1
000000000
1.00000000
NC
206101.16000000
0.048552850177
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
ITRAXX.EU.36.5Y.V1
ITRAXX.EU.36.5Y.V1
Y
Default Event
2026-12-20
327660.50000000
USD
0.00000000
USD
2300000.00000000
EUR
-121559.34000000
N
N
N
F&G GLOBAL FUNDI
6354009CCUKJIZ7KFX73
F&G Global Funding
30321L2A9
45000.00000000
PA
USD
41893.01000000
0.009869061571
Long
DBT
CORP
US
N
2
2026-06-30
Fixed
1.75000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAD3
140000.00000000
PA
USD
138264.00000000
0.032571923792
Long
DBT
CORP
NL
N
2
2023-07-21
Fixed
2.80000000
N
N
N
N
N
N
NEW YORK LIFE GLOBAL FDG
635400DPNHEAUHB7ZI15
New York Life Global Funding
64952WDQ3
40000.00000000
PA
USD
37388.72000000
0.008807951010
Long
DBT
CORP
US
N
2
2025-06-24
Fixed
0.95000000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AB7
1100000.00000000
PA
USD
1079401.99000000
0.254283105938
Long
DBT
CORP
JP
N
2
2025-09-17
Fixed
3.52200000
N
N
N
N
N
N
CGI INC
549300WSRCZY73ZG3090
CGI Inc
12532HAD6
90000.00000000
PA
USD
78647.09000000
0.018527505510
Long
DBT
CORP
CA
N
2
2031-09-14
Fixed
2.30000000
N
N
N
N
N
N
TENNESSEE GAS PIPELINE
N/A
Tennessee Gas Pipeline Co LLC
880451AZ2
200000.00000000
PA
USD
187886.96000000
0.044261989691
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.90000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2G8
230000.00000000
PA
USD
234944.56000000
0.055347713820
Long
DBT
CORP
FR
N
2
2025-01-10
Fixed
4.70500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAUG7
378406.52000000
PA
USD
368291.11000000
0.086761195743
Long
ABS-MBS
USGA
US
N
2
2070-10-20
Variable
2.93900000
N
N
N
N
N
N
ALIXPARTNERS LLP
5493005G2MHUFTGARL57
AlixPartners LLP
01642PBB1
248125.00000000
PA
USD
244894.16000000
0.057691618329
Long
LON
CORP
US
N
2
2028-02-04
Floating
3.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QZT2
663611.78000000
PA
USD
688745.41000000
0.162253102808
Long
ABS-MBS
USGA
US
N
2
2071-02-20
Floating
1.72857000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABB0
230000.00000000
PA
USD
231757.82000000
0.054596988741
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDK4
20000.00000000
PA
USD
20258.33000000
0.004772412058
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYV30
58614.88000000
PA
USD
53153.49000000
0.012521780257
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
1.50000000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QCS5
40000.00000000
PA
USD
40662.24000000
0.009579119528
Long
DBT
CORP
GB
N
2
2024-11-04
Fixed
3.53500000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AN8
620000.00000000
PA
USD
622843.37000000
0.146728047663
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
4.00000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/AUD FORWARD
000000000
1.00000000
NC
USD
-16827.34000000
-0.00396414711
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-810000.00000000
AUD
589324.49000000
USD
2022-04-04
-16827.34000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QE1
400000.00000000
PA
USD
524546.88000000
0.123571580460
Long
DBT
UST
US
N
2
2040-02-15
Fixed
4.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AQPP6
288237.16000000
PA
USD
276752.12000000
0.065196645272
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617VUD53
247855.71000000
PA
USD
264899.38000000
0.062404403300
Long
ABS-MBS
USGA
US
N
2
2071-08-20
Floating
2.13600000
N
N
N
N
N
N
PIONEER NATURAL RESOURCE
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co
723787AT4
20000.00000000
PA
USD
18572.69000000
0.004375312758
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.12500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCV6
300000.00000000
PA
USD
294426.19000000
0.069360263142
Long
DBT
CORP
US
N
2
2026-02-24
Fixed
2.59500000
N
N
N
N
N
N
Bear Stearns Adjustable Rate M
N/A
Bear Stearns ARM Trust 2006-4
073882AA0
2559.33000000
PA
USD
2478.97000000
0.000583990206
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
2.96239400
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AM9
50000.00000000
PA
USD
39011.50000000
0.009190241892
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B3XG7
99442.67000000
PA
USD
95481.94000000
0.022493421810
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
FRR Re-Remic Trust
N/A
FRR Re-REMIC Trust 2018-C1
30307WAA4
100000.00000000
PA
USD
95898.38000000
0.022591525814
Long
ABS-MBS
CORP
US
N
2
2046-10-27
Fixed
0.42214000
N
N
N
N
N
N
EMERA US FINANCE LP
N/A
Emera US Finance LP
29103DAM8
100000.00000000
PA
USD
104632.49000000
0.024649087907
Long
DBT
CORP
US
N
2
2046-06-15
Fixed
4.75000000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2020-4
36261EAC1
145000.00000000
PA
USD
142669.04000000
0.033609653260
Long
ABS-O
CORP
US
N
2
2025-11-17
Fixed
1.14000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFSJ1
99668.35000000
PA
USD
98350.99000000
0.023169306190
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TLT0
74730.70000000
PA
USD
77433.64000000
0.018241643674
Long
ABS-MBS
USGA
US
N
2
2047-11-20
Fixed
4.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAB7
2000000.00000000
PA
USD
1854492.18000000
0.436877118846
Long
DBT
UST
US
N
2
2025-07-31
Fixed
0.25000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SD1
300000.00000000
PA
USD
327849.61000000
0.077234077650
Long
DBT
UST
US
N
2
2048-08-15
Fixed
3.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
BRITISH POUND CURRENCY
000000000
2.00000000
NC
USD
444.46000000
0.000104704892
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
BRITISH POUND CURRENCY
BRITISH POUND CURRENCY
2022-06-13
163693.04000000
USD
444.46000000
N
N
N
Hawksmoor Mortgages plc
N/A
Hawksmoor Mortgages
000000000
955029.73000000
PA
1256836.80000000
0.296082801516
Long
ABS-MBS
CORP
GB
N
2
2053-05-25
Floating
1.23986000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L0MH1
473659.06000000
PA
USD
473275.65000000
0.111493218802
Long
ABS-MBS
USGSE
US
N
2
2022-08-01
Fixed
2.31000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131Y2SW9
63611.48000000
PA
USD
67250.42000000
0.015842703489
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WDZM6
68320.27000000
PA
USD
71337.90000000
0.016805622883
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.00000000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAY6
59400.00000000
PA
USD
58273.89000000
0.013728032634
Long
LON
CORP
US
N
2
2027-07-31
Floating
3.70510000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
133018.49000000
0.031336198281
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2051-07-09
0.00000000
USD
-4813.41000000
USD
-1080000.00000000
USD
137831.90000000
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/GBP FORWARD
000000000
1.00000000
NC
USD
5396.85000000
0.001271377849
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-187000.00000000
GBP
250987.37000000
USD
2022-05-18
5396.85000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9SV8
83719.40000000
PA
USD
80090.79000000
0.018867609127
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MN3V3
65230.64000000
PA
USD
64365.05000000
0.015162974479
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
3.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SS8
20300000.00000000
PA
USD
16660273.34000000
3.924789920643
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MKK99
47144.34000000
PA
USD
49290.17000000
0.011611667975
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.00000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B28
1600000.00000000
PA
USD
1565648.00000000
0.368831853131
Long
DBT
CORP
US
N
2
2025-11-13
Fixed
3.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
95333.16000000
0.022458372550
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2026-11-20
0.00000000
USD
-7555.60000000
USD
-4410000.00000000
USD
102888.76000000
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAL5
150000.00000000
PA
USD
136634.25000000
0.032187990933
Long
DBT
CORP
US
N
2
2032-01-31
Fixed
3.25000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
13443.62000000
0.003167017923
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-02-15
0.00000000
USD
0.00000000
USD
-240000.00000000
USD
13443.62000000
N
N
N
SLM Student Loan Trust
5493000NQN5E3MSIIG77
SLM Student Loan Trust 2003-10
78442GJH0
620000.00000000
PA
USD
611901.19000000
0.144150313379
Long
ABS-O
CORP
US
N
2
2068-12-17
Floating
1.49600000
N
N
N
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust 2017-C5
46590TAK1
180000.00000000
PA
USD
174470.94000000
0.041101473714
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Variable
4.00880000
N
N
N
N
N
N
CASH MGMT BILL
254900HROIFWPRGM1V77
United States Cash Management Bill
912796X38
2800000.00000000
PA
USD
2793413.78000000
0.658066168794
Long
DBT
UST
US
N
2
2022-07-26
None
0.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F022667
1100000.00000000
PA
USD
1045402.96000000
0.246273690514
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
2.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFD1
30000.00000000
PA
USD
30573.23000000
0.007202373124
Long
DBT
CORP
US
N
2
2050-03-22
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468Q5
430000.00000000
PA
USD
415799.04000000
0.097953007606
Long
DBT
CORP
US
N
2
2026-04-28
Fixed
2.18800000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AN1
40000.00000000
PA
USD
40192.60000000
0.009468482788
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.80000000
N
N
N
N
N
N
ENERGIZER HOLDINGS INC
5493000D6NN0V57UME20
Energizer Holdings Inc
000000000
39600.00000000
PA
USD
38857.50000000
0.009153962916
Long
LON
CORP
US
N
2
2027-12-22
Floating
2.75000000
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities I Trust 2006-HE10
07389RAQ9
1224766.94000000
PA
USD
1199340.78000000
0.282538017756
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.69657000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172AT6
90000.00000000
PA
USD
90441.92000000
0.021306105174
Long
DBT
CORP
US
N
2
2022-08-22
Fixed
2.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JL6
455000.00000000
PA
USD
461436.18000000
0.108704102947
Long
DBT
CORP
US
N
2
2025-03-26
Fixed
3.87500000
N
N
N
N
N
N
LPMS 3.228 15OCT28 144A
N/A
LPMS 3.228 15OCT28 144A
000000000
246349.96000000
PA
USD
247525.05000000
0.058311397509
Long
DBT
CORP
US
N
2
2028-10-15
Floating
3.22800000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VAM5
220000.00000000
PA
USD
292681.00000000
0.068949135186
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
7.55000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AS9
60000.00000000
PA
USD
62595.93000000
0.014746209148
Long
DBT
CORP
US
N
2
2040-06-01
Fixed
4.35000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-2.00000000
NC
USD
-2000.00000000
-0.00047115552
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
152.00000000
USD
2022-04-22
XXXX
-440.96000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QLMX1
96248.36000000
PA
USD
89514.56000000
0.021087639780
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M3AF7
338564.41000000
PA
USD
324338.40000000
0.076406914653
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-9.00000000
NC
USD
-2671.88000000
-0.00062943551
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
126.00000000
USD
2022-05-20
XXXX
3296.94000000
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAJ4
150000.00000000
PA
USD
170227.89000000
0.040101905487
Long
DBT
CORP
US
N
2
2039-01-25
Fixed
5.47600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617XUSA4
299062.95000000
PA
USD
307117.90000000
0.072350147789
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
4.00000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
254900AE5FEFIJOXWL19
Level 3 Financing Inc
52729KAP1
183972.45000000
PA
USD
180834.98000000
0.042600700019
Long
LON
CORP
US
N
2
2027-03-01
Floating
2.20740000
N
N
N
N
N
N
DEERFIELD DAKOTA HOLDING
549300FDREJLOIGXY104
Deerfield Dakota Holding LLC
24440EAB3
226468.70740000
PA
USD
225817.61000000
0.053197607358
Long
LON
CORP
US
N
2
2027-04-09
Floating
4.75000000
N
N
N
N
N
N
Securitized Asset Backed Recei
N/A
Securitized Asset Backed Receivables LLC Trust 2007-BR5
81379EAA0
54848.27000000
PA
USD
45221.79000000
0.010653248116
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
0.58657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAVL5
34945.14000000
PA
USD
33149.23000000
0.007809221441
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132ACYK0
17063.50000000
PA
USD
18058.46000000
0.004254171605
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
5.00000000
N
N
N
N
N
N
GAINWELL ACQUISITION COR
N/A
Gainwell Acquisition Corp
59909TAC8
187539.90610000
PA
USD
186836.63000000
0.044014555299
Long
LON
CORP
US
N
2
2027-10-01
Floating
4.75000000
N
N
N
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
USD/JPY FORWARD
000000000
1.00000000
NC
USD
196.55000000
0.000046302809
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-34600000.00000000
JPY
284725.15000000
USD
2022-05-18
196.55000000
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAT8
110000.00000000
PA
USD
135224.35000000
0.031855849845
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKY7
185937.75000000
PA
USD
193446.60000000
0.045571717244
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
Foundation Finance Trust
549300MQ65NOVQXYNB21
Foundation Finance Trust 2021-1
35041LAA8
205819.69000000
PA
USD
194585.17000000
0.045839939017
Long
ABS-O
CORP
US
N
2
2041-05-15
Fixed
1.27000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-5.00000000
NC
USD
-2578.13000000
-0.00060735009
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
154.00000000
USD
2022-04-22
XXXX
2960.11000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-193551.16000000
-0.04559634925
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-06-15
0.00000000
USD
-135836.72000000
USD
3800000.00000000
EUR
-57714.44000000
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CL7
160000.00000000
PA
USD
148320.00000000
0.034940893774
Long
DBT
CORP
US
N
2
2047-02-15
Fixed
4.10000000
N
N
N
N
N
N
FHLMC Multifamily WI Certifica
N/A
Freddie Mac Multifamily WI Certificates Series WI-K137
3137H4C99
400000.00000000
PA
USD
368491.52000000
0.086808407882
Long
ABS-MBS
CORP
US
N
2
2032-02-25
Fixed
1.98100000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
118.00000000
NC
USD
-373704.80000000
-0.08803654072
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-12-18
28979854.80000000
USD
-373704.80000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X6NW1
251387.96000000
PA
USD
262038.38000000
0.061730415321
Long
ABS-MBS
USGSE
US
N
2
2043-10-01
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BAS8
161310.77000000
PA
USD
155820.49000000
0.036707842428
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Floating
3.43057000
N
N
N
N
N
N
Ameriquest Mortgage Securities
N/A
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-R10
03072SVW2
362403.76000000
PA
USD
353972.94000000
0.083388153287
Long
ABS-O
CORP
US
N
2
2034-11-25
Floating
2.51157000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BQ8
60000.00000000
PA
USD
56807.57000000
0.013382600249
Long
DBT
CORP
US
N
2
2025-06-03
Fixed
0.80000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAL4
80000.00000000
PA
USD
78100.00000000
0.018398623272
Long
DBT
CORP
US
N
2
N/A
Fixed
6.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617QX4L8
627955.92000000
PA
USD
637565.23000000
0.150196190505
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
3.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JE8
80000.00000000
PA
USD
79917.56000000
0.018826799991
Long
DBT
CORP
US
N
2
2022-06-16
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31400HBK8
2523.26000000
PA
USD
2693.39000000
0.000634502790
Long
ABS-MBS
USGSE
US
N
2
2033-02-01
Fixed
6.00000000
N
N
N
N
N
N
BELRON FINANCE US LLC
N/A
Belron Finance US LLC
000000000
346419.43860000
PA
USD
344398.77000000
0.081132691738
Long
LON
CORP
US
N
2
2025-11-13
Floating
3.00640000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-3.00000000
NC
USD
-796.88000000
-0.00018772720
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.50000000
USD
2022-04-22
XXXX
-5.19000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9NR0
55357.42000000
PA
USD
58019.86000000
0.013668188815
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
Hildene Community Funding CLO
549300845E8YWIPN4S43
Hildene Community Funding CDO Ltd
43133KAC9
280000.00000000
PA
USD
256207.67000000
0.060356829704
Long
ABS-CBDO
CORP
KY
N
2
2035-11-01
Fixed
2.60000000
N
N
N
N
N
N
QATAR ENERGY
254900QTESJKJ3P87J26
Qatar Energy
74730DAD5
200000.00000000
PA
USD
184151.20000000
0.043381927708
Long
DBT
CORP
QA
N
2
2051-07-12
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AF4Q0
1645.38000000
PA
USD
1739.18000000
0.000409712133
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TUD5
-935.28000000
PA
USD
-1000.18000000
-0.00023562016
Short
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
5.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-1.00000000
NC
USD
-125.00000000
-0.00002944722
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
125.50000000
USD
2022-04-22
XXXX
310.77000000
N
N
N
ADVANCED MICRO DEVICES
R2I72C950HOYXII45366
Advanced Micro Devices Inc
983919AK7
153000.00000000
PA
USD
142343.06000000
0.033532859621
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XB2V1
191736.49000000
PA
USD
178396.03000000
0.042026137635
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L3G88
84643.83000000
PA
USD
78886.37000000
0.018583874557
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
VLS Commercial Mortgage Trust
N/A
VLS Commercial Mortgage Trust 2020-LAB
92858TAC0
390000.00000000
PA
USD
344895.14000000
0.081249625472
Long
ABS-MBS
CORP
US
N
2
2042-10-10
Fixed
2.45300000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NBD0
230000.00000000
PA
USD
228890.25000000
0.053921453015
Long
DBT
CORP
NL
N
2
2049-03-19
Fixed
6.90000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382HY87
86998.76000000
PA
USD
12538.91000000
0.002953888365
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
2.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-VIVA
12433XAG4
230000.00000000
PA
USD
207167.10000000
0.048803961938
Long
ABS-MBS
CORP
US
N
2
2044-03-11
Variable
3.54875000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
27608.37000000
0.006503918038
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2051-03-17
0.00000000
USD
0.00000000
USD
-87700000.00000000
JPY
27608.37000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
MXN/USD FORWARD
000000000
1.00000000
NC
USD
-16950.80000000
-0.00399323154
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-8813933.08000000
MXN
424706.46000000
USD
2022-04-19
-16950.80000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RN0
1300000.00000000
PA
USD
1356417.97000000
0.319541910759
Long
DBT
UST
US
N
2
2045-08-15
Fixed
2.87500000
N
N
N
N
N
N
BVRT Financing Trust
N/A
Bayview Financing Trust 2020-3F
07326VAA1
155152.06000000
PA
USD
156046.20000000
0.036761014685
Long
DBT
CORP
US
N
2
2022-11-10
Floating
3.08363000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.HY.38.V1
000000000
1.00000000
NC
USD
232879.10000000
0.054861137374
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.38.V1
Y
Default Event
2027-06-20
210885.15000000
USD
0.00000000
USD
4110000.00000000
USD
21993.95000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418WZD5
1300.86000000
PA
USD
1383.56000000
0.000325935969
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QHNG6
189757.33000000
PA
USD
181423.55000000
0.042739354023
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBT2
60000.00000000
PA
USD
61108.78000000
0.014395869678
Long
DBT
CORP
US
N
2
2027-01-17
Fixed
4.35000000
N
N
N
N
N
N
CARLYLE FINANCE LLC
N/A
Carlyle Finance LLC
14314CAA3
150000.00000000
PA
USD
174366.65000000
0.041076905309
Long
DBT
CORP
US
N
2
2048-09-15
Fixed
5.65000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617UP7M5
1321755.91000000
PA
USD
1280644.09000000
0.301691269632
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
2.50000000
N
N
N
N
N
N
Small Business Administration
N/A
United States Small Business Administration
83162CB51
48987.55000000
PA
USD
49173.04000000
0.011584074752
Long
ABS-MBS
USGA
US
N
2
2039-04-01
Fixed
2.98000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L1TP0
85382.65000000
PA
USD
79621.62000000
0.018757083108
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-26.00000000
NC
USD
-609.39000000
-0.00014355873
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
118.25000000
USD
2022-04-22
XXXX
11126.88000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
371797.46000000
0.087587213831
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-05-15
12349.04000000
USD
0.00000000
USD
-5461000.00000000
USD
359448.42000000
N
N
N
MDC HOLDINGS INC
5299005FV4VNV75R8R35
MDC Holdings Inc
552676AU2
40000.00000000
PA
USD
34983.53000000
0.008241341731
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.50000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
89364MBR4
9873.74500000
PA
USD
9708.67000000
0.002287146758
Long
LON
CORP
US
N
2
2025-12-09
Floating
2.25000000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AB9
30000.00000000
PA
USD
30658.17000000
0.007222383099
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.65000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BT2
580000.00000000
PA
USD
485821.62000000
0.114448770346
Long
DBT
CORP
US
N
2
2050-06-03
Fixed
2.50000000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
Viatris Inc
92556VAE6
60000.00000000
PA
USD
52050.17000000
0.012261862600
Long
DBT
CORP
US
N
2
2040-06-22
Fixed
3.85000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582AY8
50000.00000000
PA
USD
55775.97000000
0.013139578229
Long
DBT
CORP
NL
N
2
2043-08-12
Fixed
4.55000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-14.00000000
NC
USD
-7656.26000000
-0.00180364460
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
114.75000000
USD
2022-04-22
XXXX
-0.78000000
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAH7
60000.00000000
PA
USD
71018.89000000
0.016730471220
Long
DBT
CORP
US
N
2
2040-02-15
Fixed
5.30000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SW9
1400000.00000000
PA
USD
1247667.97000000
0.293922829057
Long
DBT
UST
US
N
2
2041-02-15
Fixed
1.87500000
N
N
N
N
N
N
Vericrest Opportunity Loan Tra
N/A
VOLT XCII LLC
91835MAA9
120741.03000000
PA
USD
117329.91000000
0.027640317704
Long
ABS-MBS
CORP
US
N
2
2051-02-27
Variable
1.89250000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CAH7
126588.11000000
PA
USD
126497.92000000
0.029800096989
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
3.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2R4
200000.00000000
PA
USD
178230.41000000
0.041987121246
Long
DBT
CORP
FR
N
2
2029-09-15
Fixed
2.15900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCZ68
193757.52000000
PA
USD
186037.02000000
0.043826184964
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAW1
10000.00000000
PA
USD
9691.99000000
0.002283217321
Long
DBT
UST
US
N
2
2023-11-15
Fixed
0.25000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-43.00000000
NC
USD
-1007.83000000
-0.00023742233
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
118.25000000
USD
2022-04-22
XXXX
10652.18000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379XGR5
162404.67000000
PA
USD
31121.23000000
0.007331469738
Long
ABS-MBS
USGA
US
N
2
2045-11-16
Fixed
4.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDJ8
20000.00000000
PA
USD
20268.21000000
0.004774739567
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2017-6
89175JAC4
180000.00000000
PA
USD
175447.19000000
0.041331456505
Long
ABS-O
CORP
US
N
2
2057-10-25
Variable
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H4B94
34262.24000000
PA
USD
35739.35000000
0.008419396116
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.50000000
N
N
N
N
N
N
CITICORP SECURITIES SERVICES, INC.
549300N0SOX9OZVKG341
RUB/USD FORWARD
000000000
1.00000000
NC
USD
-23244.74000000
-0.00547594384
N/A
DFE
CORP
US
N
2
CITICORP SECURITIES SERVICES, INC.
549300N0SOX9OZVKG341
-9748290.00000000
RUB
105456.09000000
USD
2022-04-19
-23244.74000000
N
N
N
NRZ Excess Spread Collateraliz
N/A
NRZ Excess Spread-Collateralized Notes
62955MAB2
377694.26000000
PA
USD
357677.48000000
0.084260860533
Long
ABS-O
CORP
US
N
2
2026-07-25
Fixed
3.10400000
N
N
N
N
N
N
GREAT OUTDOORS GROUP LLC
549300IYLDI2E8I2AU46
Great Outdoors Group LLC
07014QAN1
49376.87750000
PA
USD
49261.14000000
0.011604829152
Long
LON
CORP
US
N
2
2028-03-05
Floating
4.50000000
N
N
N
N
N
N
OGE ENERGY CORP
CE5OG6JPOZMDSA0LAQ19
OGE Energy Corp
670837AC7
35000.00000000
PA
USD
34302.25000000
0.008080847313
Long
DBT
CORP
US
N
2
2023-05-26
Fixed
0.70300000
N
N
N
N
N
N
RGA GLOBAL FUNDING
549300Y22K5FOEBMSK42
RGA Global Funding
76209PAA1
300000.00000000
PA
USD
284814.72000000
0.067096014542
Long
DBT
CORP
US
N
2
2026-11-30
Fixed
2.00000000
N
N
N
N
N
N
PRINCIPAL LFE GLB FND II
635400WSLKBQWSOIIT41
Principal Life Global Funding II
74256LEE5
20000.00000000
PA
USD
18777.03000000
0.004423450718
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
1.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
2855.59000000
0.000672713503
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2051-03-20
0.00000000
USD
0.00000000
USD
-10000000.00000000
JPY
2855.59000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CED9
3500000.00000000
PA
USD
3426171.88000000
0.807129906370
Long
DBT
UST
US
N
2
2025-03-15
Fixed
1.75000000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAL1
85000.00000000
PA
USD
75012.28000000
0.017671225102
Long
DBT
CORP
US
N
2
2040-02-15
Fixed
3.11200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418B2M7
102872.29000000
PA
USD
102682.84000000
0.024189793722
Long
ABS-MBS
USGSE
US
N
2
2036-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L06A0
82879.10000000
PA
USD
77316.50000000
0.018214048095
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
GRAPHIC PACKAGING INTERN
SO75N4VY5NXGQSK8YQ65
Graphic Packaging International LLC
38869PAP9
95000.00000000
PA
USD
87383.06000000
0.020585505779
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
1.51200000
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06368BGS1
60000.00000000
PA
USD
59376.40000000
0.013987759473
Long
DBT
CORP
CA
N
2
2032-12-15
Fixed
3.80300000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746SH5
890000.00000000
PA
USD
878565.94000000
0.206970598594
Long
DBT
CORP
US
N
2
2026-10-23
Fixed
3.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LG4
300000.00000000
PA
USD
300139.72000000
0.070706243757
Long
DBT
CORP
US
N
2
2022-04-25
Fixed
2.75000000
N
N
N
N
N
N
PEACEHEALTH OBLIGATED GR
N/A
PeaceHealth Obligated Group
70462GAC2
115000.00000000
PA
USD
102604.61000000
0.024171364474
Long
DBT
CORP
US
N
2
2050-11-15
Fixed
3.21800000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL1 Trust
12660KAC5
535352.70000000
PA
USD
516335.21000000
0.121637093613
Long
ABS-MBS
CORP
US
N
2
2060-09-27
Variable
1.66773000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
138684.07000000
0.032670882943
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-10-20
0.00000000
USD
-1481.25000000
USD
-2820000.00000000
USD
140165.32000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AHAA5
193575.35000000
PA
USD
185323.43000000
0.043658079029
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAVM3
91025.46000000
PA
USD
86741.42000000
0.020434349663
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNS0
36362.37000000
PA
USD
37676.86000000
0.008875830387
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
4.00000000
N
N
N
N
N
N
PETCO HEALTH & WELLNESS
N/A
Petco Health & Wellness Co Inc
000000000
153438.51000000
PA
USD
152153.46000000
0.035843971705
Long
LON
CORP
US
N
2
2028-03-04
Floating
4.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JL2
85000.00000000
PA
USD
83006.59000000
0.019554506767
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.45000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKG6
230000.00000000
PA
USD
209973.82000000
0.049465162756
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAB8
122000.00000000
PA
USD
116055.35000000
0.027340059710
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.20000000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZP6
10000.00000000
PA
USD
10073.10000000
0.002372998362
Long
DBT
CORP
US
N
2
2023-04-19
Fixed
3.80000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AQ4
20000.00000000
PA
USD
19829.63000000
0.004671419872
Long
DBT
CORP
US
N
2
2044-06-01
Fixed
4.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJWA2
24780.07000000
PA
USD
25096.95000000
0.005912283333
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
3.50000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
83367TBJ7
200000.00000000
PA
USD
199061.68000000
0.046894505228
Long
DBT
CORP
FR
N
2
2025-04-14
Fixed
4.25000000
N
N
N
N
N
N
ITC HOLDINGS CORP
549300HTO5U9D3SLE207
ITC Holdings Corp
465685AQ8
65000.00000000
PA
USD
61660.36000000
0.014525809660
Long
DBT
CORP
US
N
2
2030-05-14
Fixed
2.95000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582CH3
190000.00000000
PA
USD
179057.87000000
0.042182052421
Long
DBT
CORP
NL
N
2
2050-04-06
Fixed
3.25000000
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M Co
88579YBN0
10000.00000000
PA
USD
9955.27000000
0.002345240234
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138X5UW5
16564.17000000
PA
USD
17643.51000000
0.004156418613
Long
ABS-MBS
USGSE
US
N
2
2043-08-01
Fixed
4.50000000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300XC4C7GRVLU6076
SMB Private Education Loan Trust 2014-A
784456AD7
404001.83000000
PA
USD
406555.61000000
0.095775461047
Long
ABS-O
CORP
US
N
2
2032-04-15
Floating
1.89657000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMWN1
95366.21000000
PA
USD
91329.81000000
0.021515272314
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2007-4F
362669AK9
202881.73000000
PA
USD
167705.08000000
0.039507587552
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Fixed
6.00000000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AS8
20000.00000000
PA
USD
20353.20000000
0.004794761321
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
5.37500000
N
N
N
N
N
N
SLG Office Trust
N/A
SLG Office Trust 2021-OVA
78449RAA3
235000.00000000
PA
USD
218970.27000000
0.051584526320
Long
ABS-MBS
CORP
US
N
2
2041-07-15
Fixed
2.58540000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LRTA6
95721.17000000
PA
USD
91788.27000000
0.021623275295
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGFP9
1900000.00000000
PA
USD
1861236.73000000
0.438465984846
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90351DAB3
280000.00000000
PA
USD
285469.11000000
0.067250174274
Long
DBT
CORP
CH
N
2
2025-09-24
Fixed
4.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCUK2
755134.31000000
PA
USD
742066.99000000
0.174814481332
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
3.00000000
N
N
N
N
N
N
CLARIOS GLOBAL LP
549300474L1ZLXZY2P98
Clarios Global LP
000000000
163011.47230000
PA
USD
161279.48000000
0.037993859079
Long
LON
CORP
CA
N
2
2026-04-30
Floating
3.45860000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BZ2
250000.00000000
PA
USD
247213.93000000
0.058238104556
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
2.45000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-8F
362341WE5
390750.10000000
PA
USD
229480.42000000
0.054060483944
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
6.00000000
N
N
N
N
N
N
Credit Acceptance Auto Loan Tr
N/A
Credit Acceptance Auto Loan Trust 2021-2
22537CAE9
665000.00000000
PA
USD
629764.64000000
0.148358544965
Long
ABS-O
CORP
US
N
2
2030-06-17
Fixed
1.64000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582CE0
50000.00000000
PA
USD
45684.13000000
0.010762165139
Long
DBT
CORP
NL
N
2
2049-11-07
Fixed
3.12500000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B3YD6
100000.00000000
PA
USD
106820.80000000
0.025164605081
Long
ABS-MBS
USGSE
US
N
2
2036-01-25
Fixed
3.70000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBM0
230000.00000000
PA
USD
230850.02000000
0.054383131247
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
2.30000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FH6
230000.00000000
PA
USD
217947.08000000
0.051343485509
Long
DBT
CORP
US
N
2
2030-02-05
Fixed
2.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LVU3
46637.81000000
PA
USD
47806.96000000
0.011262256681
Long
ABS-MBS
USGSE
US
N
2
2037-12-01
Fixed
3.50000000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2004-W11
040104MG3
469637.53000000
PA
USD
468999.90000000
0.110485947183
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
1.58157000
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities I Trust 2006-HE10
07389RAB2
14585.39000000
PA
USD
14573.27000000
0.003433138342
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.65657000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
JAPANESE YEN CURRENCY
000000000
24.00000000
NC
USD
-128610.00000000
-0.03029765607
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
JAPANESE YEN CURRENCY
JAPANESE YEN CURRENCY
2022-06-13
2599860.00000000
USD
-128610.00000000
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBC2
10000.00000000
PA
USD
10196.49000000
0.002402066302
Long
DBT
CORP
US
N
2
2023-11-14
Fixed
3.75000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
1042.73000000
0.000245644000
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2051-04-07
0.00000000
USD
0.00000000
USD
-4000000.00000000
JPY
1042.73000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LG4Q6
464577.87000000
PA
USD
479592.83000000
0.112981405933
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
3.61000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBF1
160000.00000000
PA
USD
143207.85000000
0.033736584914
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2015-DC1 Mortgage Trust
12629NAL9
90000.00000000
PA
USD
86282.32000000
0.020326195912
Long
ABS-MBS
CORP
US
N
2
2048-02-10
Variable
4.33179400
N
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764CA6
170000.00000000
PA
USD
160981.66000000
0.037923699310
Long
DBT
CORP
US
N
2
2050-05-11
Fixed
3.07800000
N
N
N
N
N
N
Santander Consumer Auto Receiv
N/A
Santander Consumer Auto Receivables Trust 2021-A
80282YAG1
100000.00000000
PA
USD
94143.15000000
0.022178032657
Long
ABS-O
CORP
US
N
2
2027-01-15
Fixed
1.57000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKQY7
276373.44000000
PA
USD
267600.32000000
0.063040684703
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
2.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDK4
10000.00000000
PA
USD
9462.70000000
0.002229201695
Long
DBT
UST
US
N
2
2026-11-30
Fixed
1.25000000
N
N
N
N
N
N
Ajax Mortgage Loan Trust
N/A
Ajax Mortgage Loan Trust 2021-B
00970LAA7
258708.11000000
PA
USD
248999.42000000
0.058658726295
Long
ABS-O
CORP
US
N
2
2066-06-25
Variable
2.23900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NP82
48783.53000000
PA
USD
52217.03000000
0.012301171106
Long
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
5.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABS3
50000.00000000
PA
USD
45704.75000000
0.010767022753
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
2.62500000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBE2
416000.00000000
PA
USD
440558.66000000
0.103785823493
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
5.87500000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKD3
230000.00000000
PA
USD
199147.74000000
0.046914779050
Long
DBT
CORP
US
N
2
2043-02-01
Fixed
3.10000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468G7
10000.00000000
PA
USD
10466.92000000
0.002465773596
Long
DBT
CORP
US
N
2
2030-01-23
Fixed
4.43100000
N
N
N
N
N
N
TPG Real Estate Finance
N/A
TRTX 2019-FL3 Issuer Ltd
87276VAA3
669618.28000000
PA
USD
670423.16000000
0.157936788144
Long
ABS-O
CORP
KY
N
2
2034-10-15
Floating
1.31448000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAG8
270000.00000000
PA
USD
288579.16000000
0.067982832896
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
ACRE COMMERCIAL MORTGAGE TRUST
N/A
ACRE Commercial Mortgage 2021-FL4 Ltd
00489TAA4
360778.12000000
PA
USD
358084.19000000
0.084356672364
Long
ABS-MBS
CORP
KY
N
2
2037-12-18
Floating
1.29757000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-26.79000000
-0.00000631112
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-04-22
0.00000000
USD
0.00000000
USD
-10000000.00000000
JPY
-26.79000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382KQ97
181409.73000000
PA
USD
23707.82000000
0.005585035195
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QYZ8
5454.40000000
PA
USD
5976.15000000
0.001407848047
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
ChaseFlex Trust
5493006ND0ASVXWQFQ18
ChaseFlex Trust Multi-Class Mortgage Pass-Through Certificates Series 2007-M1
16165YAA0
231943.80000000
PA
USD
212204.62000000
0.049990689629
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
0.75657000
N
N
N
N
N
N
ALPHABET INC
5493006MHB84DD0ZWV18
Alphabet Inc
02079KAH0
20000.00000000
PA
USD
18681.18000000
0.004400870590
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
0.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412LMG2
463.83000000
PA
USD
464.23000000
0.000109362264
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
5.50000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2021-RPL1
36261WAB3
620000.00000000
PA
USD
574362.54000000
0.135307042194
Long
ABS-MBS
CORP
US
N
2
2060-12-25
Variable
2.00000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
64072UAK8
29399.99990000
PA
USD
28951.65000000
0.006820364935
Long
LON
CORP
US
N
2
2027-04-15
Floating
2.50000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAN8
460000.00000000
PA
USD
559705.58000000
0.131854188348
Long
DBT
CORP
US
N
2
2038-07-01
Fixed
7.30000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CJ1
430000.00000000
PA
USD
429323.09000000
0.101138973049
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
4.40000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TC2
225000.00000000
PA
USD
203660.16000000
0.047977804859
Long
DBT
UST
US
N
2
2041-11-15
Fixed
2.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZW3
1500000.00000000
PA
USD
1393798.83000000
0.328348010128
Long
DBT
UST
US
N
2
2025-06-30
Fixed
0.25000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAF8
10000.00000000
PA
USD
7870.35000000
0.001854079445
Long
DBT
CORP
NL
N
2
2046-10-01
Fixed
4.10000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS ITRAXX.XO.EU.37.V1.5Y
000000000
1.00000000
NC
32940.16000000
0.007759969198
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
ITRAXX.XO.EU.36.V1
ITRAXX.XO.EU.36.V1
Y
Default Event
2027-06-20
27045.59000000
USD
0.00000000
USD
400000.00000000
EUR
5894.57000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9Y82
60849.31000000
PA
USD
60826.85000000
0.014329453239
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
3.00000000
N
N
N
N
N
N
COX COMMUNICATIONS INC
5493001NEDZNIFRP2R92
Cox Communications Inc
224044CM7
60000.00000000
PA
USD
47416.55000000
0.011170284767
Long
DBT
CORP
US
N
2
2050-10-01
Fixed
2.95000000
N
N
N
N
N
N
LFT CRE 2021-FL1, LLC
N/A
LFT CRE 2021-FL1 Ltd
50203JAG3
250000.00000000
PA
USD
245261.75000000
0.057778214359
Long
ABS-CBDO
CORP
KY
N
2
2039-06-15
Floating
2.34657000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411AY1
10000.00000000
PA
USD
9996.30000000
0.002354905990
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
5.25000000
N
N
N
N
N
N
QATAR ENERGY
254900QTESJKJ3P87J26
Qatar Energy
74730DAC7
280000.00000000
PA
USD
258292.72000000
0.060848021118
Long
DBT
CORP
QA
N
2
2031-07-12
Fixed
2.25000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAS8
530000.00000000
PA
USD
396730.18000000
0.093460808229
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
4.37330000
N
N
N
N
N
N
INEOS US PETROCHEM LLC
N/A
INEOS US Petrochem LLC
000000000
69425.09980000
PA
USD
68224.60000000
0.016072198634
Long
LON
CORP
US
N
2
2026-01-29
Floating
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CS54
20858.66000000
PA
USD
21542.14000000
0.005074849146
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JH1
10000.00000000
PA
USD
8206.02000000
0.001933155832
Long
DBT
CORP
US
N
2
2040-08-01
Fixed
3.30000000
N
N
N
N
N
N
SCENTRE GROUP TRUST 1/2
N/A
Scentre Group Trust 1 / Scentre Group Trust 2
80622GAD6
220000.00000000
PA
USD
221231.49000000
0.052117219469
Long
DBT
CORP
AU
N
2
2026-01-28
Fixed
3.62500000
N
N
N
N
N
N
BROOKFIELD FINANCE INC
549300XH8D8K6OYWGD17
Brookfield Finance Inc
11271LAF9
115000.00000000
PA
USD
102631.08000000
0.024177600217
Long
DBT
CORP
CA
N
2
2051-03-30
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131Y6Q93
142512.55000000
PA
USD
145690.88000000
0.034321531566
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
3.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JG3
30000.00000000
PA
USD
25919.64000000
0.006106090803
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LN5G8
95890.53000000
PA
USD
91950.65000000
0.021661528412
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-6.00000000
NC
USD
-187.50000000
-0.00004417083
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
129.00000000
USD
2022-04-22
XXXX
4614.63000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-72.00000000
NC
USD
-13500.00000000
-0.00318029979
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
115.75000000
USD
2022-04-22
XXXX
11414.54000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SZ2
765000.00000000
PA
USD
690412.50000000
0.162645832141
Long
DBT
UST
US
N
2
2051-08-15
Fixed
2.00000000
N
N
N
N
N
N
KOHL'S CORPORATION
549300JF6LPRTRJ0FH50
Kohl's Corp
500255AX2
96000.00000000
PA
USD
92826.38000000
0.021867830926
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
3.37500000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AH0
690000.00000000
PA
USD
643693.98000000
0.151639987719
Long
DBT
CORP
US
N
2
2025-06-25
Fixed
2.90000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B13 Mortgage Trust
08162DAF5
2149064.44000000
PA
USD
131129.46000000
0.030891184820
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Variable
1.12651700
N
N
N
N
N
N
PETSMART INC
N/A
PetSmart LLC
71677HAL9
248750.00000000
PA
USD
248003.75000000
0.058424168584
Long
LON
CORP
US
N
2
2028-02-12
Floating
4.50000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBU5
10000.00000000
PA
USD
9650.00000000
0.002273325410
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
4.00000000
N
N
N
N
N
N
VERSCEND HOLDING CORP
N/A
Verscend Holding Corp
92531HAD9
58921.81560000
PA
USD
58848.16000000
0.013863317876
Long
LON
CORP
US
N
2
2025-08-27
Floating
4.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAJ9
90000.00000000
PA
USD
100236.90000000
0.023613584649
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
SABRA HEALTH CARE LP
549300OVKLRFSIQG0H81
Sabra Health Care LP
78574MAA1
50000.00000000
PA
USD
44704.24000000
0.010531324845
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
3.20000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375UZZ6
481344.80000000
PA
USD
479556.07000000
0.112972746095
Long
ABS-MBS
USGA
US
N
2
2067-04-20
Floating
1.02900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ADKM0
472480.88000000
PA
USD
68327.02000000
0.016096326508
Long
ABS-MBS
USGSE
US
N
2
2043-04-25
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TV69
13894.01000000
PA
USD
14289.63000000
0.003366319066
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9HZ9
30927.02000000
PA
USD
32473.39000000
0.007650008565
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAH0
120000.00000000
PA
USD
114267.00000000
0.026918764218
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.62500000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BC8
170000.00000000
PA
USD
149142.70000000
0.035134703600
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
4.25000000
N
N
N
N
N
N
AMWINS GROUP INC
549300SJE7MUB8NMRG61
AmWINS Group Inc
03234TAW8
217800.63640000
PA
USD
214601.58000000
0.050555360104
Long
LON
CORP
US
N
2
2028-02-19
Floating
3.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DQ0
30000.00000000
PA
USD
26449.25000000
0.006230855142
Long
DBT
CORP
US
N
2
2031-02-28
Fixed
1.87500000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAV5
20000.00000000
PA
USD
17003.64000000
0.004005679470
Long
DBT
CORP
US
N
2
2046-09-16
Fixed
3.87500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
9.27000000
0.000002183805
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-02-10
0.00000000
USD
0.00000000
USD
-11000000.00000000
JPY
9.27000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132MAVM0
57208.04000000
PA
USD
60877.24000000
0.014341324003
Long
ABS-MBS
USGSE
US
N
2
2044-11-01
Fixed
4.50000000
N
N
N
N
N
N
NATIONAL RETAIL PROP INC
5493008JKH5SOTI0JS97
National Retail Properties Inc
637417AK2
200000.00000000
PA
USD
199463.81000000
0.046989238114
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
3.50000000
N
N
N
N
N
N
NY STATE ELECTRIC & GAS
549300GEC6J0YHUXA160
New York State Electric & Gas Corp
649840CT0
300000.00000000
PA
USD
266657.49000000
0.062818574921
Long
DBT
CORP
US
N
2
2031-10-01
Fixed
2.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9M93
122922.78000000
PA
USD
122704.26000000
0.028906395053
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
3.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
USD/RUB FORWARD
000000000
1.00000000
NC
USD
-34663.19000000
-0.00816587675
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-9877997.00000000
RUB
95750.08000000
USD
2022-04-19
-34663.19000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31288QFR6
397605.65000000
PA
USD
399554.59000000
0.094126176418
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Floating
3.01200000
N
N
N
N
N
N
Preston Ridge Partners Mortgag
N/A
PRPM 2021-1 LLC
693577AA6
296135.30000000
PA
USD
285614.26000000
0.067284368387
Long
ABS-MBS
CORP
US
N
2
2026-01-25
Variable
2.11500000
N
N
N
N
N
N
PIEDMONT HEALTHCARE INC
N/A
Piedmont Healthcare Inc
72014TAE9
55000.00000000
PA
USD
45096.78000000
0.010623798540
Long
DBT
CORP
US
N
2
2052-01-01
Fixed
2.86400000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HS3
52000.00000000
PA
USD
59377.51000000
0.013988020964
Long
DBT
CORP
US
N
2
2044-05-06
Fixed
5.30000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPER
549300TPZNMN50BJ3745
Charter Communications Operating LLC
16117LBW8
214623.86750000
PA
USD
214053.83000000
0.050426322384
Long
LON
CORP
US
N
2
2025-04-30
Floating
1.96000000
N
N
N
N
N
N
ASPLUNDH TREE EXPERT LLC
N/A
Asplundh Tree Expert LLC
04538FAD1
217144.35440000
PA
USD
215190.06000000
0.050693992906
Long
LON
CORP
US
N
2
2027-09-04
Floating
1.75000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
1622000000.00000000
PA
116130.12000000
0.027357673860
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
GRAY OAK PIPELINE LLC
N/A
Gray Oak Pipeline LLC
38937LAC5
300000.00000000
PA
USD
288216.47000000
0.067897391197
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
2.60000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCQ5
90000.00000000
PA
USD
96010.17000000
0.022617861052
Long
DBT
CORP
US
N
2
2034-11-01
Fixed
4.40000000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust 2021-1
91681NAA2
169425.18000000
PA
USD
167902.54000000
0.039554104737
Long
ABS-O
CORP
US
N
2
2031-03-20
Fixed
0.87000000
N
N
N
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
USD/PEN FORWARD
000000000
1.00000000
NC
USD
9292.70000000
0.002189153476
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-338084.00000000
USD
1280560.77000000
PEN
2022-04-25
9292.70000000
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Walmart Inc
931142ES8
60000.00000000
PA
USD
55178.20000000
0.012998756909
Long
DBT
CORP
US
N
2
2028-09-22
Fixed
1.50000000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAX8
196899.18822000
PA
USD
192908.44000000
0.045444938715
Long
LON
CORP
US
N
2
2026-12-23
Floating
3.45860000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMN9
10000.00000000
PA
USD
9163.19000000
0.002158643800
Long
DBT
CORP
US
N
2
2057-12-01
Fixed
3.80000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2H6
200000.00000000
PA
USD
213548.27000000
0.050307223690
Long
DBT
CORP
FR
N
2
2030-01-10
Fixed
5.19800000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CB6
40000.00000000
PA
USD
38802.66000000
0.009141043832
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HWNB4
160000.00000000
PA
USD
156159.64000000
0.036787738626
Long
ABS-MBS
USGSE
US
N
2
2030-10-01
Fixed
2.55000000
N
N
N
N
N
N
CLOUDERA INC
549300PGONC4JOI0RG62
Cloudera Inc
74339VAB4
90000.00000000
PA
USD
89212.50000000
0.021016481161
Long
LON
CORP
US
N
3
2028-10-08
Floating
4.25000000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918CE2
10000.00000000
PA
USD
9411.93000000
0.002217241412
Long
DBT
CORP
US
N
2
2052-03-17
Fixed
2.92100000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CY9
770000.00000000
PA
USD
822357.85000000
0.193729222502
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.15000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBL6
220000.00000000
PA
USD
191647.74000000
0.045147945829
Long
DBT
CORP
US
N
2
2032-02-04
Fixed
2.45000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076BS0
10000.00000000
PA
USD
10460.39000000
0.002464235273
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
3.90000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-86523.58000000
-0.02038303140
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-03-04
0.00000000
USD
-4562.43000000
USD
2938000.00000000
USD
-81961.15000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
AUD/USD FORWARD
000000000
1.00000000
NC
USD
97859.06000000
0.023053418421
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-2227578.23000000
USD
3106925.00000000
AUD
2022-04-19
97859.06000000
N
N
N
CITICORP SECURITIES SERVICES, INC.
549300N0SOX9OZVKG341
USD/IDR FORWARD
000000000
1.00000000
NC
USD
4134.13000000
0.000973909096
N/A
DFE
CORP
US
N
2
CITICORP SECURITIES SERVICES, INC.
549300N0SOX9OZVKG341
-415691.97000000
USD
6028157034.00000000
IDR
2022-04-19
4134.13000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KLWQ6
95890.47000000
PA
USD
89241.92000000
0.021023411859
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 10 Year Euro BUND
000000000
26.00000000
NC
-165515.52000000
-0.03899177590
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-06-08
4704122.24000000
USD
-165515.52000000
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBR5
200000.00000000
PA
USD
179809.46000000
0.042359110312
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
2.25900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXRT1
197765.77000000
PA
USD
195687.73000000
0.046099677635
Long
ABS-MBS
USGSE
US
N
2
2060-07-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131Y7SZ1
21848.68000000
PA
USD
23320.90000000
0.005493885447
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
WISCONSIN ST HLTH & EDUCTNL FA
254900HROIFWPRGM1V77
Wisconsin Health & Educational Facilities Authority
912796X20
300000.00000000
PA
USD
299391.42000000
0.070529960917
Long
DBT
UST
US
N
2
2022-07-19
None
0.00000000
N
N
N
N
N
N
Access Group Inc
635400C9RW3TYNTIJP57
AccessLex Institute
00432CDJ7
535182.75000000
PA
USD
519844.41000000
0.122463783098
Long
ABS-O
CORP
US
N
2
2036-05-25
Floating
0.79757000
N
N
N
N
N
N
DEERE & COMPANY
PWFTNG3EI0Y73OXWDH08
Deere & Co
244199BK0
60000.00000000
PA
USD
63725.36000000
0.015012277740
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.75000000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911363AM1
20000.00000000
PA
USD
18881.60000000
0.004448085085
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.87500000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DC0
210000.00000000
PA
USD
216045.82000000
0.050895590932
Long
DBT
CORP
GB
N
2
2033-03-29
Fixed
4.76200000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17327CAQ6
40000.00000000
PA
USD
37415.88000000
0.008814349302
Long
DBT
CORP
US
N
2
2033-01-25
Fixed
3.05700000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 30 Day Federal Funds
000000000
-89.00000000
NC
USD
-7805.13000000
-0.00183871506
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
-36951474.30000000
USD
-7805.13000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYM0
50000.00000000
PA
USD
46537.33000000
0.010963160086
Long
DBT
CORP
US
N
2
2027-10-21
Fixed
1.94800000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828Z94
95000.00000000
PA
USD
89084.77000000
0.020986390813
Long
DBT
UST
US
N
2
2030-02-15
Fixed
1.50000000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713AZ9
30000.00000000
PA
USD
31818.13000000
0.007495643881
Long
DBT
CORP
US
N
2
2043-09-15
Fixed
6.15000000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAJ2
70000.00000000
PA
USD
70428.12000000
0.016591298945
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.05400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J2TS5
1210000.00000000
PA
USD
1079758.25000000
0.254367032871
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
1.41000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254CF5
300000.00000000
PA
USD
296725.97000000
0.069902040169
Long
DBT
CORP
GB
N
2
2025-11-23
Floating
1.05650800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416NBX9
24084.91000000
PA
USD
24736.88000000
0.005827458848
Long
ABS-MBS
USGSE
US
N
2
2024-08-01
Fixed
4.50000000
N
N
N
N
N
N
CONSTELLATION EN GEN LLC
S2PEWKCZFFECR4533P43
Constellation Energy Generation LLC
30161MAS2
300000.00000000
PA
USD
299072.99000000
0.070454945890
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LDGZ6
350000.00000000
PA
USD
323572.84000000
0.076226565741
Long
ABS-MBS
USGSE
US
N
2
2031-05-01
Fixed
1.87000000
N
N
N
N
N
N
FMC GMSR Issuer Trust
N/A
FMC GMSR Issuer Trust
30259RAH8
300000.00000000
PA
USD
281779.02000000
0.066380871128
Long
ABS-MBS
CORP
US
N
2
2026-07-25
Variable
3.62000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBK7
470000.00000000
PA
USD
483005.67000000
0.113785395145
Long
DBT
CORP
US
N
2
2030-03-19
Fixed
3.48200000
N
N
N
N
N
N
FMC GMSR Issuer Trust
N/A
FMC GMSR Issuer Trust
30259RAK1
210000.00000000
PA
USD
194760.93000000
0.045881344165
Long
ABS-MBS
USGSE
US
N
2
2026-10-25
Variable
3.85000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329QM57
89455.28000000
PA
USD
92401.66000000
0.021767776339
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
Venture CDO Ltd
54930010DKR017G3JK24
Venture XXVIII CLO Ltd
92331AAW4
300000.00000000
PA
USD
296931.63000000
0.069950489092
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
1.24400000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAB6
500000.00000000
PA
USD
463495.00000000
0.109189115157
Long
DBT
NUSS
MX
N
2
2047-01-15
Fixed
4.35000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/ILS FORWARD
000000000
1.00000000
NC
USD
-358.21000000
-0.00008438631
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-1000000.00000000
ILS
315427.56000000
USD
2022-10-07
-358.21000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M33H1
99114.40000000
PA
USD
95287.67000000
0.022447656118
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CDS REPBULIC OF COLOMBIA
000000000
1.00000000
NC
USD
-21705.42000000
-0.00511331428
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
COLOMBIA GOVERNMENT INTERNATIONAL BOND
COLOMBIA GOVERNMENT INTERNATIONAL BOND
Y
Default Event
2027-06-20
0.00000000
USD
-28266.65000000
USD
500000.00000000
USD
6561.23000000
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
26040000.00000000
PA
16024.62000000
0.003775044128
Long
DBT
NUSS
RU
N
2
2023-08-16
Fixed
7.00000000
N
N
N
N
N
N
ALEXANDER FUNDING TRUST
N/A
Alexander Funding Trust
014621AA4
200000.00000000
PA
USD
193968.93000000
0.045694766577
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
1.84100000
N
N
N
N
N
N
Pagaya AI Debt Selection Trust
N/A
Pagaya AI Debt Selection Trust 2021-1
69547JAA1
404311.79000000
PA
USD
398809.75000000
0.093950708677
Long
ABS-O
CORP
US
N
2
2027-11-15
Fixed
1.18000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFT6
866000.00000000
PA
USD
738902.00000000
0.174068880069
Long
DBT
CORP
US
N
2
2040-11-20
Fixed
2.65000000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long Gilt
000000000
1.00000000
NC
-2287.56000000
-0.00053889826
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long
UNITED KINGDOM GILT
United Kingdom Gilt
2022-06-28
167333.31000000
USD
-2287.56000000
N
N
N
AUST & NZ BANKING GROUP
JHE42UYNWWTJB8YTTU19
Australia & New Zealand Banking Group Ltd
052528AK2
205000.00000000
PA
USD
209027.77000000
0.049242294414
Long
DBT
CORP
AU
N
2
2026-05-19
Fixed
4.40000000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EP9
20000.00000000
PA
USD
18586.51000000
0.004378568443
Long
DBT
CORP
US
N
2
2049-10-15
Fixed
2.87500000
N
N
N
N
N
N
Firstkey Homes Trust
N/A
FirstKey Homes 2021-SFR1 Trust
33767WAJ2
300000.00000000
PA
USD
270950.07000000
0.063829811314
Long
ABS-O
CORP
US
N
2
2038-08-17
Fixed
2.38900000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BD4
30000.00000000
PA
USD
33379.43000000
0.007863451442
Long
DBT
CORP
US
N
2
2046-03-01
Fixed
4.75000000
N
N
N
N
N
N
NORFOLK SOUTHERN CORP
54930036C8MWP850MI84
Norfolk Southern Corp
655844CF3
80000.00000000
PA
USD
71489.44000000
0.016841322337
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.05000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFP4
10000.00000000
PA
USD
10181.11000000
0.002398443116
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
3.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAT6
305000.00000000
PA
USD
307063.48000000
0.072337327648
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
3.90000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBM4
350000.00000000
PA
USD
288277.05000000
0.067911662498
Long
DBT
CORP
US
N
2
2041-02-04
Fixed
3.40000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPER
549300TPZNMN50BJ3745
Charter Communications Operating LLC
16117LBX6
197719.59340000
PA
USD
196298.38000000
0.046243533196
Long
LON
CORP
US
N
2
2027-02-01
Floating
1.75000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-2243.81000000
-0.00052859173
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-360000.00000000
EUR
396053.10000000
USD
2022-04-04
-2243.81000000
N
N
N
NORDEA BANK ABP
529900ODI3047E2LIV03
Nordea Bank Abp
65557CBE2
200000.00000000
PA
USD
196032.35000000
0.046180862444
Long
DBT
CORP
FI
N
2
2023-06-09
Fixed
1.00000000
N
N
N
N
N
N
MILEAGE PLUS HLDINGS LLC
N/A
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd
599191AA1
260000.00000000
PA
USD
271375.00000000
0.063929915372
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAP6
70000.00000000
PA
USD
72549.02000000
0.017090935823
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.15000000
N
N
N
N
N
N
AMERICAN HOMES 4 RENT
549300N4PXZ37U8QKI55
American Homes 4 Rent LP
02666TAA5
100000.00000000
PA
USD
101678.78000000
0.023953259514
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.25000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AQ3
210000.00000000
PA
USD
227881.59000000
0.053683835149
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
4.75000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCZ2
20000.00000000
PA
USD
18796.11000000
0.004427945542
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.45000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CD9
80000.00000000
PA
USD
80365.00000000
0.018932206905
Long
DBT
CORP
US
N
2
2022-11-02
Fixed
2.50000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
3000000.00000000
PA
481884.49000000
0.113521270069
Long
DBT
NUSS
CN
N
2
2025-11-30
Fixed
3.31000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162BV1
30000.00000000
PA
USD
30574.65000000
0.007202707644
Long
DBT
CORP
US
N
2
2024-05-22
Fixed
3.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132D9GU2
98990.46000000
PA
USD
93241.24000000
0.021965562717
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXG89
318158.42000000
PA
USD
339711.12000000
0.080028385639
Long
ABS-MBS
USGSE
US
N
2
2057-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L2QJ5
89061.01000000
PA
USD
82954.42000000
0.019542216675
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
ZAYO GROUP HOLDINGS INC
529900Z6OTS7RT0V0I47
Zayo Group Holdings Inc
98919XAB7
90000.00000000
PA
USD
87693.75000000
0.020658697434
Long
LON
CORP
US
N
2
2027-03-09
Floating
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380L2S1
144485.65000000
PA
USD
144107.14000000
0.033948437640
Long
ABS-MBS
USGA
US
N
2
2069-06-20
Floating
0.60629000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS APACHE CORP
000000000
1.00000000
NC
USD
-1220.67000000
-0.00028756270
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
APACHE CORP
Apache Corp
Y
Default Event
2026-06-20
0.00000000
USD
-11403.16000000
USD
220000.00000000
USD
10182.49000000
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDL7
65000.00000000
PA
USD
57339.43000000
0.013507894638
Long
DBT
CORP
US
N
2
2031-06-10
Fixed
2.70000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BF8
100000.00000000
PA
USD
101734.21000000
0.023966317589
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M8C44
2890.41000000
PA
USD
3190.35000000
0.000751575515
Long
ABS-MBS
USGSE
US
N
2
2040-05-01
Fixed
5.50000000
N
N
N
N
N
N
MASCO CORP
5GCSNMQXHEYA1JO8QN11
Masco Corp
574599BP0
125000.00000000
PA
USD
108403.26000000
0.025537397468
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KLGL5
178818.90000000
PA
USD
166698.20000000
0.039270389014
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAV7
430000.00000000
PA
USD
398334.28000000
0.093838698518
Long
DBT
CORP
IE
N
2
2026-10-29
Fixed
2.45000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFR0
70000.00000000
PA
USD
61128.13000000
0.014400428107
Long
DBT
CORP
US
N
2
2031-01-20
Fixed
1.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9QD6
88852.32000000
PA
USD
93853.29000000
0.022109748087
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HV5
250000.00000000
PA
USD
88602.50000000
0.020872778726
Long
DBT
NUSS
AR
N
2
2041-07-09
Variable
2.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36255TAA0
1051967.08000000
PA
USD
952462.78000000
0.224379050838
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Floating
1.94700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X66J5
42175.28000000
PA
USD
44161.24000000
0.010403406120
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
55.00000000
NC
USD
-325984.96000000
-0.07679480757
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-06-19
13645609.96000000
USD
-325984.96000000
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAC0
920000.00000000
PA
USD
935752.70000000
0.220442527575
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
4.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FGSM8
56078.92000000
PA
USD
54829.03000000
0.012916500222
Long
ABS-MBS
USGSE
US
N
2
2048-08-15
Fixed
3.00000000
N
N
N
N
N
N
CBL & Associates Properties In
529900EIVFBRS4PUBZ13
CBL & Associates Properties Inc
124830878
2876.00000000
NS
USD
94591.64000000
0.022283686928
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9AN5
470846.08000000
PA
USD
477520.13000000
0.112493123905
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
3.50000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBN0
20000.00000000
PA
USD
20276.16000000
0.004776612410
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VSK7
472108.65000000
PA
USD
482803.21000000
0.113737700071
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178NF95
48318.96000000
PA
USD
48140.77000000
0.011340894894
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZX9
400000.00000000
PA
USD
428773.55000000
0.101009513645
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
7.00000000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAF9
250000.00000000
PA
USD
281371.78000000
0.066284934440
Long
DBT
CORP
US
N
2
2045-12-14
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9XL2
29597.67000000
PA
USD
31021.49000000
0.007307973212
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B20 Mortgage Trust
08162XBJ2
1632612.47000000
PA
USD
152919.95000000
0.036024539704
Long
ABS-MBS
CORP
US
N
2
2053-10-15
Variable
1.62223800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNL26
99824.99000000
PA
USD
95724.87000000
0.022550650716
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410W7B8
469.59000000
PA
USD
501.74000000
0.000118198786
Long
ABS-MBS
USGSE
US
N
2
2036-08-01
Fixed
6.00000000
N
N
N
N
N
N
JANE STREET GROUP LLC
5493002N1IVX6KHGYO08
Jane Street Group LLC
47077DAG5
196564.49680000
PA
USD
194451.43000000
0.045808432847
Long
LON
CORP
US
N
2
2028-01-26
Floating
2.95860000
N
N
N
N
N
N
KREF 2022-Fl3 Ltd
549300DG0FGL1EU1CT79
KREF 2022-FL3 Ltd
48275EAA4
300000.00000000
PA
USD
299020.80000000
0.070442651086
Long
ABS-CBDO
CORP
KY
N
2
2039-02-17
Floating
1.77979000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HTWQ8
38510.10000000
PA
USD
39254.35000000
0.009247451952
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.16000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBU6
10000.00000000
PA
USD
10709.47000000
0.002522912983
Long
DBT
CORP
US
N
2
2049-02-01
Fixed
4.80000000
N
N
N
N
N
N
NISSAN MTR ACC 4/2 PRIV DISC NT
N/A
NISSAN MTR ACC 4/2 PRIV DISC NT
000000000
250000.00000000
PA
USD
249994.29000000
0.058893095544
Long
DBT
CORP
US
N
2
2022-04-01
None
0.00000000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAH0
30000.00000000
PA
USD
29237.64000000
0.006887737819
Long
DBT
CORP
US
N
2
2025-04-05
Fixed
2.05600000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BW8
30000.00000000
PA
USD
32844.60000000
0.007737457387
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.87500000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
961214EY5
53000.00000000
PA
USD
45588.07000000
0.010739535539
Long
DBT
CORP
AU
N
2
2041-11-18
Fixed
3.13300000
N
N
N
N
N
N
CON EDISON CO OF NY INC
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co of New York Inc
209111FY4
10000.00000000
PA
USD
10326.89000000
0.002432785642
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.95000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818ES3
70000.00000000
PA
USD
71790.81000000
0.016912318407
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.75000000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918CC6
510000.00000000
PA
USD
441848.04000000
0.104089572749
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
2.52500000
N
N
N
N
N
N
FELLS POINT FUNDING TR
N/A
Fells Point Funding Trust
314382AA0
135000.00000000
PA
USD
129634.98000000
0.030539118565
Long
DBT
CORP
US
N
2
2027-01-31
Fixed
3.04600000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCJ8
614000.00000000
PA
USD
573574.34000000
0.135121359801
Long
DBT
UST
US
N
2
2026-06-30
Fixed
0.87500000
N
N
N
N
N
N
Regional Management Issuance T
N/A
Regional Management Issuance Trust 2021-1
75907VAC1
191000.00000000
PA
USD
179325.24000000
0.042245038848
Long
ABS-O
CORP
US
N
2
2031-03-17
Fixed
3.04000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAP5
20000.00000000
PA
USD
20376.77000000
0.004800313889
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
5.15000000
N
N
N
N
N
N
BAPTIST HEALTHCARE
N/A
Baptist Healthcare System Obligated Group
06684QAB8
395000.00000000
PA
USD
362271.37000000
0.085343078861
Long
DBT
CORP
US
N
2
2050-08-15
Fixed
3.54000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBC8
190000.00000000
PA
USD
213142.00000000
0.050211515513
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.45000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortga
N/A
MF1 2022-FL8 Ltd
55284JAA7
300000.00000000
PA
USD
298658.10000000
0.070357207032
Long
ABS-CBDO
CORP
KY
N
2
2037-02-19
Floating
1.40000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-4.00000000
NC
USD
-93.75000000
-0.00002208541
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
118.50000000
USD
2022-04-22
XXXX
407.14000000
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-K62 Mortgage Trust
302949AQ5
415000.00000000
PA
USD
419186.56000000
0.098751031989
Long
ABS-MBS
USGSE
US
N
2
2050-01-25
Variable
3.87950100
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCX5
90000.00000000
PA
USD
91761.78000000
0.021617034840
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CQB3
58659.85000000
PA
USD
60435.91000000
0.014237356469
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394DEV8
258505.49000000
PA
USD
282492.40000000
0.066548927592
Long
ABS-MBS
USGSE
US
N
2
2035-04-25
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379GZ83
392570.37000000
PA
USD
65347.54000000
0.015394427275
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
4.00000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BA9
50000.00000000
PA
USD
50335.46000000
0.011857915055
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
3.15000000
N
N
N
N
N
N
TYSON FOODS INC
WD6L6041MNRW1JE49D58
Tyson Foods Inc
902494BC6
75000.00000000
PA
USD
75712.34000000
0.017836143671
Long
DBT
CORP
US
N
2
2027-06-02
Fixed
3.55000000
N
N
N
N
N
N
PERATON CORP
549300EQPCK07ZW63836
Peraton Corp
71360HAB3
174980.24000000
PA
USD
173792.82000000
0.040941723721
Long
LON
CORP
US
N
2
2028-02-01
Floating
4.50000000
N
N
N
N
N
N
ATRIUM EUROPEAN REAL EST
213800OJ67K27RCO2J56
Atrium European Real Estate Ltd
000000000
800000.00000000
PA
873787.05000000
0.205844798380
Long
DBT
CORP
JE
N
2
2025-09-11
Fixed
3.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
374644.64000000
0.088257946126
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2045-07-20
12421.40000000
USD
0.00000000
USD
-1380000.00000000
USD
362223.24000000
N
N
N
BROWN & BROWN INC
549300PC8KTJ71XKFY89
Brown & Brown Inc
115236AC5
120000.00000000
PA
USD
105599.32000000
0.024876851556
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.37500000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAM8
20000.00000000
PA
USD
21675.00000000
0.005106148008
Long
DBT
CORP
US
N
2
2045-07-15
Fixed
5.20000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WJS8
107777.76000000
PA
USD
106867.07000000
0.025175505264
Long
ABS-MBS
USGA
US
N
2
2051-07-20
Fixed
3.00000000
N
N
N
N
N
N
CITICORP SECURITIES SERVICES, INC.
549300N0SOX9OZVKG341
INR/USD FORWARD
000000000
1.00000000
NC
USD
-4248.52000000
-0.00100085683
N/A
DFE
CORP
US
N
2
CITICORP SECURITIES SERVICES, INC.
549300N0SOX9OZVKG341
-436586.51000000
USD
32903342.00000000
INR
2022-04-19
-4248.52000000
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBS9
30000.00000000
PA
USD
30286.81000000
0.007134898941
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.15000000
N
N
N
N
N
N
UDR INC
P3CH2EG5X6Z1XWU1OO74
UDR Inc
90265EAU4
30000.00000000
PA
USD
25127.40000000
0.005919456676
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
1.90000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBV6
20000.00000000
PA
USD
18475.20000000
0.004352346282
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.95000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
1000000.00000000
PA
160939.73000000
0.037913821534
Long
DBT
NUSS
CN
N
2
2025-05-21
Fixed
3.39000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XEAL8
197295.99000000
PA
USD
185223.22000000
0.043634471781
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BN53
7573.07000000
PA
USD
8300.05000000
0.001955307209
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
5.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGJ7
430000.00000000
PA
USD
400090.95000000
0.094252530907
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
Nomura Resecuritization Trust
N/A
Nomura Resecuritization Trust 2014-5R
65540HAJ1
1833290.68000000
PA
USD
1762565.99000000
0.415221352666
Long
ABS-MBS
CORP
US
N
2
2035-06-26
Variable
5.76988900
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31295MZJ2
891.72000000
PA
USD
893.01000000
0.000210373297
Long
ABS-MBS
USGSE
US
N
2
2031-11-01
Floating
2.34500000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JX6
300000.00000000
PA
USD
300113.19000000
0.070699993879
Long
DBT
CORP
US
N
2
2022-11-14
Floating
1.26376200
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCY5
185000.00000000
PA
USD
176044.04000000
0.041472061092
Long
DBT
CORP
US
N
2
2039-11-01
Fixed
3.25000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBA2
300000.00000000
PA
USD
311710.50000000
0.073432062223
Long
DBT
CORP
GB
N
2
N/A
Fixed
7.75000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F022659
700000.00000000
PA
USD
666514.05000000
0.157015888756
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
2.50000000
N
N
N
N
N
N
BLACKROCK LIQUIDITY FUNDS T-FUND PORTFOLIO
5493002L9DNZ83RX7V61
BLCKRCK LIQ FND T-FND-INST
09248U718
9195786.09000000
NS
USD
9195786.09000000
2.166322714031
Long
STIV
RF
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XUM38
29203.51000000
PA
USD
29759.12000000
0.007010586911
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.50000000
N
N
N
N
N
N
CAESARS RESORT COLLECTIO
549300V3UCT773B1KR38
Caesars Resort Collection LLC
12769LAD1
68950.00000000
PA
USD
68662.69000000
0.016175402896
Long
LON
CORP
US
N
2
2025-07-20
Floating
3.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
348.00000000
NC
USD
-878967.00000000
-0.20706507941
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-12-19
85564767.00000000
USD
-878967.00000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3131XVXG5
859740.73000000
PA
USD
887808.82000000
0.209148015586
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
4.00000000
N
N
N
N
N
N
HEALTHCARE TRUST OF AMER
549300IYGAS4GE6VDL07
Healthcare Trust of America Holdings LP
42225UAH7
200000.00000000
PA
USD
173353.52000000
0.040838234410
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.00000000
N
N
N
N
N
N
L3HARRIS TECH INC
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
413875AT2
40000.00000000
PA
USD
45371.85000000
0.010688598915
Long
DBT
CORP
US
N
2
2045-04-27
Fixed
5.05400000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/GBP FORWARD
000000000
1.00000000
NC
USD
930.10000000
0.000219110877
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-211117.00000000
GBP
278230.38000000
USD
2022-04-19
930.10000000
N
N
N
HOST HOTELS & RESORTS LP
FXB7X4WXVA8QPMNOGS12
Host Hotels & Resorts LP
44107TAV8
200000.00000000
PA
USD
202020.87000000
0.047591624588
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
4.00000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2006-SHL1
17309UAB1
71267.62000000
PA
USD
71146.52000000
0.016760538010
Long
ABS-MBS
CORP
US
N
2
2045-11-25
Floating
1.13157000
N
N
N
N
N
N
OFFICE PPTY INCOME TRST
N/A
Office Properties Income Trust
81618TAC4
50000.00000000
PA
USD
49950.72000000
0.011767278866
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFU8
90000.00000000
PA
USD
93166.92000000
0.021948054578
Long
DBT
CORP
US
N
2
2026-03-03
Fixed
4.45000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-4.00000000
NC
USD
-125.00000000
-0.00002944722
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
129.00000000
USD
2022-04-22
XXXX
3743.08000000
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBD6
70000.00000000
PA
USD
59703.00000000
0.014064699170
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.12500000
N
N
N
N
N
N
EATON CORP
0NZWDMRCE180888QQE14
Eaton Corp
278062AC8
130000.00000000
PA
USD
130747.56000000
0.030801217672
Long
DBT
CORP
US
N
2
2022-11-02
Fixed
2.75000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2016-3
63940HAC7
276014.36000000
PA
USD
281620.10000000
0.066343433110
Long
ABS-O
CORP
US
N
2
2065-06-25
Floating
1.80657000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AH4
20000.00000000
PA
USD
20719.00000000
0.004880935666
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
5.75000000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BH0
10000.00000000
PA
USD
10948.51000000
0.002579225491
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.25000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBL9
590000.00000000
PA
USD
547632.18000000
0.129009963787
Long
DBT
CORP
US
N
2
2031-04-22
Fixed
2.52200000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-2.00000000
NC
USD
-187.50000000
-0.00004417083
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-12-19
0.00000000
USD
1000000.00000000
99.00000000
USD
2022-12-19
XXXX
458.30000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-10139.70000000
-0.00238868784
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-409719.48000000
USD
361000.00000000
EUR
2022-04-19
-10139.70000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381ETV0
697892.40000000
PA
USD
45690.32000000
0.010763623366
Long
ABS-MBS
USGA
US
N
2
2061-02-16
Variable
0.64050000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAQ4
110000.00000000
PA
USD
119898.55000000
0.028245432168
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
5.20000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F040644
100000.00000000
PA
USD
102093.75000000
0.024051017218
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CH6
465000.00000000
PA
USD
457494.09000000
0.107775434204
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
3.10000000
N
N
N
N
N
N
DUPONT DE NEMOURS INC
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAE0
55000.00000000
PA
USD
63365.68000000
0.014927545131
Long
DBT
CORP
US
N
2
2038-11-15
Fixed
5.31900000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135AQ9
60000.00000000
PA
USD
73126.84000000
0.017227057365
Long
DBT
CORP
US
N
2
2044-12-05
Fixed
4.95000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBK1
1020000.00000000
PA
USD
985056.52000000
0.232057411187
Long
DBT
CORP
US
N
2
2026-04-22
Fixed
2.08300000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MEY6
40000.00000000
PA
USD
41007.41000000
0.009660433904
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
3.70000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BG9
70000.00000000
PA
USD
67503.45000000
0.015902311730
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
5.35000000
N
N
N
N
N
N
GARDA WORLD SECURITY
549300ZF1NDXLMCHNO20
Garda World Security Corp
000000000
34353.27000000
PA
USD
34095.62000000
0.008032169879
Long
LON
CORP
CA
N
2
2026-10-30
Floating
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AEBB8
84683.00000000
PA
USD
87117.06000000
0.020522842094
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
4.00000000
N
N
N
N
N
N
National Collegiate Student Lo
635400CI2B1FTO6YXF12
National Collegiate Student Loan Trust 2006-3
63543VAG8
1000000.00000000
PA
USD
783620.20000000
0.184603493580
Long
ABS-O
CORP
US
N
2
2032-01-26
Floating
0.81657000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CS6
75000.00000000
PA
USD
73015.45000000
0.017200816358
Long
DBT
CORP
US
N
2
2027-03-04
Fixed
2.55000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BG3
32000.00000000
PA
USD
34488.48000000
0.008124718959
Long
DBT
CORP
US
N
2
2044-12-15
Fixed
4.68500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
-21.00000000
NC
USD
-6234.38000000
-0.00146868129
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
114.50000000
USD
2022-04-01
XXXX
-2176.96000000
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDH1
140000.00000000
PA
USD
141456.80000000
0.033324076473
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAVN1
88852.27000000
PA
USD
84563.08000000
0.019921181199
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BF5
14000.00000000
PA
USD
14239.05000000
0.003354403543
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.73400000
N
N
N
N
N
N
YAMANA GOLD INC
54930002VY22NXG01418
Yamana Gold Inc
98462YAD2
90000.00000000
PA
USD
91534.48000000
0.021563488015
Long
DBT
CORP
CA
N
2
2027-12-15
Fixed
4.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128QJGY6
5867.46000000
PA
USD
5878.64000000
0.001384876859
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
2.12000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CM5
30000.00000000
PA
USD
28821.13000000
0.006789617326
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
2.70000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 2 Year US Treasury Note
000000000
-47.00000000
NC
USD
95628.11000000
0.022527856212
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
2022-06-30
-10055956.28000000
USD
95628.11000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417V4Y6
4608.59000000
PA
USD
4755.03000000
0.001120179329
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
4.50000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABK2
300000.00000000
PA
USD
317288.00000000
0.074745997195
Long
DBT
CORP
US
N
2
2025-04-07
Fixed
5.87500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDD3
20000.00000000
PA
USD
19581.33000000
0.004612925913
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
2.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5NT6
867864.54000000
PA
USD
896095.16000000
0.211100093025
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
CITICORP SECURITIES SERVICES, INC.
549300N0SOX9OZVKG341
USD/IDR FORWARD
000000000
1.00000000
NC
USD
2.52000000
0.000000593655
N/A
DFE
CORP
US
N
2
CITICORP SECURITIES SERVICES, INC.
549300N0SOX9OZVKG341
-740052915.00000000
IDR
51542.90000000
USD
2022-04-19
2.52000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBK82
186296.90000000
PA
USD
178411.81000000
0.042029855052
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UEA6
26803.90000000
PA
USD
27907.17000000
0.006574308673
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
4.50000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2020-CRE4 Trust
04002RAA8
92089.88000000
PA
USD
91991.16000000
0.021671071667
Long
ABS-MBS
CORP
KY
N
2
2037-04-15
Floating
2.78448000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 30 Year Euro BUXL
000000000
-6.00000000
NC
102585.66000000
0.024166900275
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-06-08
-1348046.63000000
USD
102585.66000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYVX4
387898.54000000
PA
USD
351756.69000000
0.082866054071
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
1.50000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBL3
520000.00000000
PA
USD
530149.98000000
0.124891546223
Long
DBT
CORP
US
N
2
2030-04-06
Fixed
3.63300000
N
N
N
N
N
N
EDELMAN FINANCIAL CENTER
549300Z31KZXNP05U733
Edelman Financial Engines Center LLC/The
27943UAK2
58210.13000000
PA
USD
57646.19000000
0.013580160472
Long
LON
CORP
US
N
2
2028-04-07
Floating
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCGZ5
98586.89000000
PA
USD
94566.97000000
0.022277875224
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
STANDARD CHARTERED PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BZ2
500000.00000000
PA
USD
455288.49000000
0.107255843891
Long
DBT
CORP
GB
N
2
2027-01-14
Fixed
1.45600000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBZ3
20000.00000000
PA
USD
20490.40000000
0.004827082590
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31415SNK4
4103.12000000
PA
USD
4131.86000000
0.000973374334
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
5.50000000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BK4
30000.00000000
PA
USD
33180.33000000
0.007816547909
Long
DBT
CORP
US
N
2
2036-05-15
Fixed
4.50000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B4KB3
30000.00000000
PA
USD
30766.19000000
0.007247830209
Long
ABS-MBS
USGSE
US
N
2
2029-02-25
Fixed
3.27300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617W8GP4
253156.06000000
PA
USD
245592.04000000
0.057856023338
Long
ABS-MBS
USGA
US
N
2
2071-07-20
Variable
2.81500000
N
N
N
N
N
N
Eurosail Plc
213800YCKG3TNT5E1296
Eurosail-UK 2007-3bl PLC
29880YAJ8
218060.64000000
PA
285122.77000000
0.067168584272
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Floating
1.97210000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAV2
45000.00000000
PA
USD
48350.74000000
0.011390359157
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.12500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-4899.51000000
-0.00115421560
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2022-06-15
0.00000000
USD
-24.76000000
USD
5492000.00000000
USD
-4874.75000000
N
N
N
CASTLELAKE AVIATION ONE
2138003EQK2PETKID103
Castlelake Aviation One DAC
14855NAB2
318400.00000000
PA
USD
310838.00000000
0.073226520625
Long
LON
CORP
IE
N
2
2026-10-22
Floating
3.25000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AC2
250000.00000000
PA
USD
249998.91000000
0.058894183913
Long
DBT
CORP
CH
N
2
2028-01-09
Fixed
4.28200000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
-3.00000000
NC
USD
-3468.75000000
-0.00081716036
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
PA
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
121.75000000
USD
2022-04-01
XXXX
-2192.69000000
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMware Inc
928563AF2
165000.00000000
PA
USD
174824.35000000
0.041184729251
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFLM1
99429.78000000
PA
USD
97504.96000000
0.022970000336
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MKM78
123044.05000000
PA
USD
124121.76000000
0.029240326532
Long
ABS-MBS
USGSE
US
N
2
2028-09-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378B2G3
4137515.31000000
PA
USD
43869.25000000
0.010334619769
Long
ABS-MBS
USGA
US
N
2
2053-01-16
Variable
0.33364000
N
N
N
N
N
N
ARES CLO Ltd
N/A
Ares XL CLO Ltd
04016GBB3
284060.23000000
PA
USD
283017.87000000
0.066672716639
Long
ABS-CBDO
CORP
KY
N
2
2029-01-15
Floating
1.11129000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KLS57
94460.08000000
PA
USD
87895.74000000
0.020706281786
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
432785.15000000
0.101954557398
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2052-09-21
409193.62000000
USD
0.00000000
USD
-2000000.00000000
GBP
23591.53000000
N
N
N
UTAH ACQUISITION SUB
254900JOFV74IJ7H9933
Utah Acquisition Sub Inc
62854AAN4
105000.00000000
PA
USD
104344.62000000
0.024581272137
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.95000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCX2
720000.00000000
PA
USD
700099.45000000
0.164927862150
Long
DBT
CORP
US
N
2
2025-06-20
Fixed
2.75000000
N
N
N
N
N
N
NEWELL BRANDS INC
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229AW6
10000.00000000
PA
USD
10075.05000000
0.002373457738
Long
DBT
CORP
US
N
2
2026-04-01
Variable
4.70000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABW4
50000.00000000
PA
USD
47127.00000000
0.011102073226
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9H53
85107.00000000
PA
USD
86839.96000000
0.020457563496
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCQ68
520492.98000000
PA
USD
517035.55000000
0.121802078143
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X62B6
38587.17000000
PA
USD
39212.57000000
0.009237609513
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
3.50000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 5 Year Euro BOBL
000000000
16.00000000
NC
-51118.92000000
-0.01204248080
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-06-08
2320613.88000000
USD
-51118.92000000
N
N
N
FORTIS INC
549300MQYQ9Y065XPR71
Fortis Inc/Canada
349553AM9
135000.00000000
PA
USD
133633.11000000
0.031480989086
Long
DBT
CORP
CA
N
2
2026-10-04
Fixed
3.05500000
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
Johnson & Johnson
478160CN2
40000.00000000
PA
USD
37335.80000000
0.008795484235
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
0.55000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335HWE9
211.37000000
PA
USD
224.66000000
0.000052924900
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B32G4
831895.49000000
PA
USD
846151.43000000
0.199334460847
Long
ABS-MBS
USGSE
US
N
2
2057-11-25
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-4.00000000
NC
USD
-218.76000000
-0.00005153499
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
117.00000000
USD
2022-04-22
XXXX
696.20000000
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAG2
10000.00000000
PA
USD
9850.00000000
0.002320440963
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
4.37500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2A0
100000.00000000
PA
USD
99964.52000000
0.023549417978
Long
DBT
CORP
US
N
2
2028-05-22
Fixed
3.58400000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2007-4
3622EBAA6
385347.09000000
PA
USD
140782.44000000
0.033165212253
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Floating
0.65657000
N
N
N
N
N
N
HOLLYFRONTIER CORP
549300J3U2WK73C9ZK26
HollyFrontier Corp
436106AA6
63000.00000000
PA
USD
65647.64000000
0.015465124162
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
5.87500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29279FAA7
280000.00000000
PA
USD
322531.26000000
0.075981192655
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419LHJ5
7012.96000000
PA
USD
7214.35000000
0.001699540432
Long
ABS-MBS
USGSE
US
N
2
2025-12-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2021-1
35563PWQ8
620000.00000000
PA
USD
592900.23000000
0.139674109731
Long
ABS-MBS
CORP
US
N
2
2060-09-25
Fixed
4.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
7.01000000
0.000001651400
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-04-07
0.00000000
USD
0.00000000
USD
4000000.00000000
JPY
7.01000000
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
DKK/USD FORWARD
000000000
1.00000000
NC
USD
1072.81000000
0.000252730179
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-201378.00000000
USD
1361259.43000000
DKK
2022-04-01
1072.81000000
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAS3
10000.00000000
PA
USD
9184.15000000
0.002163581509
Long
DBT
CORP
US
N
2
2050-04-05
Fixed
3.57700000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAL5
65000.00000000
PA
USD
64191.27000000
0.015122035776
Long
DBT
CORP
KY
N
2
2026-04-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPDJ0
65078.50000000
PA
USD
68727.44000000
0.016190656556
Long
ABS-MBS
USGSE
US
N
2
2045-01-01
Fixed
4.50000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBF9
110000.00000000
PA
USD
119546.85000000
0.028162579469
Long
DBT
CORP
US
N
2
2049-02-14
Fixed
5.95000000
N
N
N
N
N
N
VERTIV GROUP CORPORATION
549300ZT8RQ5VK10E643
Vertiv Group Corp
92535UAB0
30000.00000000
PA
USD
27414.00000000
0.006458128788
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
4.12500000
N
N
N
N
N
N
GLOBAL MEDICAL RESPONSE
549300ZFWD4ZFCEJCQ87
Global Medical Response Inc
00169QAF6
329809.40910000
PA
USD
328160.36000000
0.077307283439
Long
LON
CORP
US
N
2
2025-10-02
Floating
5.75000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F040669
200000.00000000
PA
USD
202805.59000000
0.047776487170
Long
ABS-MBS
USGSE
US
N
2
2051-06-15
Fixed
4.00000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RBA9
30000.00000000
PA
USD
35092.20000000
0.008266941966
Long
DBT
CORP
US
N
2
2041-08-15
Fixed
5.55000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-105022.67000000
-0.02474100563
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-11-18
41155.34000000
USD
0.00000000
USD
3880000.00000000
USD
-146178.01000000
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2018-IND
056059AS7
98000.00000000
PA
USD
97396.67000000
0.022944489620
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Floating
2.44700000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAF0
450000.00000000
PA
USD
469802.25000000
0.110674963001
Long
DBT
CORP
CH
N
2
N/A
Fixed
7.00000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS BRITISH TELECOMMUNICATIONS PL
000000000
1.00000000
NC
-4932.67000000
-0.00116202736
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
British Telecommunications PLC
BRITISH TELECOMMUNICATIO
Y
Default Event
2028-06-20
0.00000000
USD
-1476.67000000
USD
300000.00000000
EUR
-3456.00000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-2.00000000
NC
USD
-93.75000000
-0.00002208541
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
127.50000000
USD
2022-04-22
XXXX
652.79000000
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CR4
60000.00000000
PA
USD
59046.30000000
0.013909995254
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
3.20000000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAW0
145839.19440000
PA
USD
144168.17000000
0.033962814951
Long
LON
CORP
US
N
2
2024-11-03
Floating
3.20860000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F83U5
3235000.00000000
PA
USD
287303.26000000
0.067682259228
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Variable
1.19514900
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F022642
900000.00000000
PA
USD
858726.57000000
0.202296884195
Long
ABS-MBS
USGSE
US
N
2
2052-04-15
Fixed
2.50000000
N
N
N
N
N
N
Gallatin Loan Management, LLC
N/A
Gallatin CLO VIII 2017-1 Ltd
36361UAL4
300000.00000000
PA
USD
298682.04000000
0.070362846764
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
1.17739000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust
92925VAK6
88493.35000000
PA
USD
86867.75000000
0.020464110202
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Variable
3.10999300
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCB3
315000.00000000
PA
USD
328078.04000000
0.077287890678
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
Starwood Commercial Mortgage T
N/A
STWD 2019-FL1 Ltd
78485WAA7
789117.39000000
PA
USD
786147.15000000
0.185198786808
Long
ABS-CBDO
CORP
KY
N
2
2038-07-15
Floating
1.49875000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AZ7
20000.00000000
PA
USD
22640.25000000
0.005333539443
Long
DBT
CORP
US
N
2
2035-10-23
Fixed
6.38400000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAC7
70000.00000000
PA
USD
67053.35000000
0.015796278179
Long
DBT
CORP
US
N
2
2033-11-01
Fixed
3.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379VHX5
849635.16000000
PA
USD
148702.30000000
0.035030955153
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Floating
5.70143000
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BF6
38000.00000000
PA
USD
39476.84000000
0.009299865648
Long
DBT
CORP
US
N
2
2026-11-30
Fixed
3.75000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAH5
30000.00000000
PA
USD
29602.08000000
0.006973591779
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.37500000
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M Co
88579YBJ9
60000.00000000
PA
USD
57128.15000000
0.013458121768
Long
DBT
CORP
US
N
2
2029-08-26
Fixed
2.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9PK5
59980.15000000
PA
USD
61540.89000000
0.014497665185
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
UNITED GROUP BV
213800PC85O8BJ7DU398
United Group BV
000000000
600000.00000000
PA
663776.55000000
0.156370994630
Long
DBT
CORP
NL
N
2
2024-07-01
Fixed
4.87500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SP4
5725000.00000000
PA
USD
4412722.67000000
1.039539334341
Long
DBT
UST
US
N
2
2050-08-15
Fixed
1.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412LMF4
105.04000000
PA
USD
105.11000000
0.000024761578
Long
ABS-MBS
USGSE
US
N
2
2022-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6ZU8
1792688.41000000
PA
USD
1817938.82000000
0.428265960075
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-2.00000000
NC
USD
-1968.76000000
-0.00046379607
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
155.00000000
USD
2022-05-20
XXXX
-237.84000000
N
N
N
COMM Mortgage Trust
N/A
COMM 2020-SBX Mortgage Trust
12598EAH5
300000.00000000
PA
USD
273899.97000000
0.064524742156
Long
ABS-MBS
CORP
US
N
2
2038-01-10
Variable
2.32110000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/AUD FORWARD
000000000
1.00000000
NC
USD
-2670.51000000
-0.00062911277
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-383331.00000000
AUD
284240.89000000
USD
2022-04-19
-2670.51000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-1818.33000000
-0.00042835811
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2052-06-17
0.00000000
USD
-129.57000000
USD
-10000000.00000000
JPY
-1688.76000000
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAK0
700000.00000000
PA
910672.10000000
0.214534095938
Long
DBT
CORP
US
N
2
2023-12-05
Fixed
2.55000000
N
N
N
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PAL2
30000.00000000
PA
USD
30571.86000000
0.007202050382
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
4.25000000
N
N
N
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
NOK/USD FORWARD
000000000
1.00000000
NC
USD
1842.50000000
0.000434052027
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-2825000.00000000
NOK
322583.48000000
USD
2022-05-18
1842.50000000
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFF6
30000.00000000
PA
USD
30924.28000000
0.007285072697
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.80000000
N
N
N
N
N
N
TRITON WATER HOLDINGS IN
5493005IYCEL7QJFZZ63
Triton Water Holdings Inc
89678QAB2
228275.12090000
PA
USD
223210.15000000
0.052583347765
Long
LON
CORP
US
N
2
2028-03-31
Floating
4.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCZ2
596300.00000000
PA
USD
555152.97000000
0.130781694670
Long
DBT
UST
US
N
2
2026-09-30
Fixed
0.87500000
N
N
N
N
N
N
ZOETIS INC
549300HD9Q1LOC9KLJ48
Zoetis Inc
98978VAS2
900000.00000000
PA
USD
808179.15000000
0.190389036077
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.00000000
N
N
N
N
N
N
MARS INC
54930073HKEO6GZBSS03
Mars Inc
571676AA3
40000.00000000
PA
USD
39672.11000000
0.009345866918
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGBJ2
93059.83000000
PA
USD
94752.37000000
0.022321551342
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLV2
30000.00000000
PA
USD
26412.24000000
0.006222136409
Long
DBT
CORP
US
N
2
2059-09-15
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JBUY0
220000.00000000
PA
USD
207040.15000000
0.048774055341
Long
ABS-MBS
USGSE
US
N
2
2032-02-01
Variable
2.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7FP9
78776.46000000
PA
USD
80029.45000000
0.018853158787
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFHS3
99085.08000000
PA
USD
98104.52000000
0.023111243339
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HX1
18460.26709800
PA
USD
6351.62000000
0.001496300429
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
EYECARE PARTNERS LLC
254900ZAACWK09RJ8W93
Eyecare Partners LLC
30233PAB6
49074.74020000
PA
USD
48543.11000000
0.011435677251
Long
LON
CORP
US
N
2
2027-02-20
Floating
3.88150000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AH3
440000.00000000
PA
USD
463522.40000000
0.109195569987
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
HEALTHPEAK PROPERTIES
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties Inc
42250PAD5
79000.00000000
PA
USD
72717.10000000
0.017130531733
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
2.12500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDC5
30000.00000000
PA
USD
30934.86000000
0.007287565110
Long
DBT
CORP
US
N
2
2046-08-15
Fixed
4.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132CWJA3
217124.30000000
PA
USD
223288.49000000
0.052601802927
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
4.00000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AB3
30000.00000000
PA
USD
29844.00000000
0.007030582752
Long
DBT
CORP
US
N
2
2025-02-01
Variable
3.60000000
N
N
N
N
N
N
NGPL PIPECO LLC
549300K3NT1HSQFEM073
NGPL PipeCo LLC
62928CAA0
50000.00000000
PA
USD
46756.19000000
0.011014718636
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
3.25000000
N
N
N
N
N
N
CITICORP SECURITIES SERVICES, INC.
549300N0SOX9OZVKG341
MXN/USD FORWARD
000000000
1.00000000
NC
USD
-134879.36000000
-0.03177457787
N/A
DFE
CORP
US
N
2
CITICORP SECURITIES SERVICES, INC.
549300N0SOX9OZVKG341
-63318015.00000000
MXN
3037922.23000000
USD
2022-04-19
-134879.36000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419A4K0
50636.39000000
PA
USD
56568.63000000
0.013326311298
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
6.00000000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZZ4
50000.00000000
PA
USD
54355.00000000
0.012804829295
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
7.37500000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBZ1
330000.00000000
PA
USD
328021.93000000
0.077274672410
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FVQ54
73594.78000000
PA
USD
11095.75000000
0.002613911961
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
2.50000000
N
N
N
N
N
N
ALI GROUP NORTH AMERICA
N/A
Ali Group North America Corp
000000000
240000.00000000
PA
USD
235950.00000000
0.055584573126
Long
LON
CORP
US
N
2
2028-12-20
Floating
2.44660000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBY8
160000.00000000
PA
USD
146891.43000000
0.034604354450
Long
DBT
CORP
US
N
2
2051-01-31
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDND4
98815.46000000
PA
USD
91879.52000000
0.021644771766
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2M5
900000.00000000
PA
USD
807115.37000000
0.190138433165
Long
DBT
CORP
FR
N
2
2028-09-30
Fixed
1.90400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L6AY0
95059.34000000
PA
USD
91006.89000000
0.021439199543
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
ORBIA ADVANCE CORP SAB
549300MVHZ20SBIOEQ79
Orbia Advance Corp SAB de CV
68560EAA6
220000.00000000
PA
USD
206474.40000000
0.048640777222
Long
DBT
CORP
MX
N
2
2026-05-11
Fixed
1.87500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CD5
90000.00000000
PA
USD
85870.60000000
0.020229203836
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
3.20000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBL4
300000.00000000
PA
USD
278466.47000000
0.065600508010
Long
DBT
CORP
US
N
2
2034-04-15
Fixed
3.46900000
N
N
N
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AH6
250000.00000000
PA
USD
286833.73000000
0.067571648401
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
7.85000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172AP4
30000.00000000
PA
USD
30175.87000000
0.007108763944
Long
DBT
CORP
US
N
2
2042-03-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XCSA4
403573.78000000
PA
USD
418191.96000000
0.098516726346
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XCRW7
164619.63000000
PA
USD
163816.90000000
0.038591618806
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCS8
220000.00000000
PA
USD
227389.05000000
0.053567803678
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.95000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-4.00000000
NC
USD
-375.00000000
-0.00008834166
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
126.00000000
USD
2022-04-22
XXXX
1196.21000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MGNF4
99810.42000000
PA
USD
95834.66000000
0.022576514799
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
NORINCHUKIN BANK
5493007VSMFZCPV1NB83
Norinchukin Bank/The
656029AH8
300000.00000000
PA
USD
269715.46000000
0.063538964652
Long
DBT
CORP
JP
N
2
2031-09-22
Fixed
2.08000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GAY8
180000.00000000
PA
USD
167271.37000000
0.039405415120
Long
DBT
CORP
US
N
2
2039-08-16
Fixed
2.99500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL3 Trust
12661GAA7
456195.49000000
PA
USD
443934.19000000
0.104581023299
Long
ABS-MBS
CORP
US
N
2
2060-01-25
Variable
2.00000000
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M Co
88579YBP5
330000.00000000
PA
USD
334568.09000000
0.078816802137
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.70000000
N
N
N
N
N
N
GENESEE & WYOMING INC
G617XSG94Z7G0RMW3L02
Genesee & Wyoming Inc
55316HAB1
299543.68730000
PA
USD
296772.91000000
0.069913098189
Long
LON
CORP
US
N
2
2026-12-30
Floating
2.22380000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GVR2
1205000.00000000
PA
USD
1235655.97000000
0.291093068971
Long
DBT
CORP
US
N
2
2025-10-21
Fixed
4.25000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS GENERAL ELECTRIC COMPANY
000000000
1.00000000
NC
USD
4878.29000000
0.001149216644
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
GENERAL ELECTRIC CO
General Electric Co
Y
Default Event
2026-06-20
2735.66000000
USD
0.00000000
USD
400000.00000000
USD
2142.63000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X3CE6
59268.45000000
PA
USD
61138.90000000
0.014402965280
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
3.50000000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A2L4
215000.00000000
PA
USD
208827.89000000
0.049195207131
Long
DBT
CORP
US
N
2
2025-01-14
Fixed
2.50000000
N
N
N
N
N
N
Credit Suisse First Boston Mor
N/A
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10
225470FG3
25946.91000000
PA
USD
23119.77000000
0.005446503692
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2020-CNP
61770YAA3
400000.00000000
PA
USD
370702.44000000
0.087329251470
Long
ABS-MBS
CORP
US
N
2
2042-04-05
Variable
2.42760000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RG5
900000.00000000
PA
USD
1011603.52000000
0.238311294056
Long
DBT
UST
US
N
2
2044-05-15
Fixed
3.37500000
N
N
N
N
N
N
PRIME SECURITY SERVICES BOR
549300O6QPZVWXV2DC15
Prime Security Services Borrower LLC
03765VAK6
230737.18040000
PA
USD
229279.15000000
0.054013069207
Long
LON
CORP
US
N
2
2026-09-23
Floating
3.50000000
N
N
N
N
N
N
DAIMLER TRUCKS FINAN NA
5493003HSDTSCZRXBA58
Daimler Trucks Finance North America LLC
233853AA8
400000.00000000
PA
USD
398864.96000000
0.093963714925
Long
DBT
CORP
US
N
2
2023-06-14
Floating
0.74126100
N
N
N
N
N
N
LEAR CORP
549300UPNBTXA1SYTQ33
Lear Corp
521865BC8
25000.00000000
PA
USD
22126.15000000
0.005212428915
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QDWP5
32340.61000000
PA
USD
31855.36000000
0.007504414441
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.00000000
N
N
N
N
N
N
CBAM CLO Management
25490038OT2B8HTRW786
CBAM 2018-5 Ltd
12481QAC9
800000.00000000
PA
USD
794793.44000000
0.187235660462
Long
ABS-CBDO
CORP
KY
N
2
2031-04-17
Floating
1.26129000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP MORGAN MORTGAGE TRUST 2018-5
46649KAA3
221885.13000000
PA
USD
219733.86000000
0.051764411144
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
3.50000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2005-6
36242D4A8
270000.00000000
PA
USD
262535.04000000
0.061847417373
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
1.50657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402C4J8
403.54000000
PA
USD
442.18000000
0.000104167775
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128JRGY6
22820.35000000
PA
USD
23876.04000000
0.005624664087
Long
ABS-MBS
USGSE
US
N
2
2035-06-01
Floating
1.97900000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAN9
80000.00000000
PA
USD
76520.40000000
0.018026504638
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
3.62500000
N
N
N
N
N
N
Helios Issuer, LLC
N/A
SUNNOVA HELIOS II ISSUER LLC 2019-A
86745LAC6
168470.60000000
PA
USD
166070.05000000
0.039122410842
Long
ABS-O
CORP
US
N
2
2046-06-20
Fixed
5.32000000
N
N
N
N
N
N
BROWN GROUP HOLDING LLC
25490094PF4HHK9QS109
Brown Group Holding LLC
11565HAB2
149197.34000000
PA
USD
146881.65000000
0.034602050499
Long
LON
CORP
US
N
2
2028-06-07
Floating
3.25000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AV2
220000.00000000
PA
USD
223396.75000000
0.052627306576
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac - STACR
5493003FQV7GR462GO02
Freddie Mac Stacr Remic Trust 2020-DNA1
35565HBD6
160000.00000000
PA
USD
153147.41000000
0.036078124222
Long
ABS-MBS
CORP
US
N
2
2050-01-25
Floating
2.75657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXJR4
267952.75000000
PA
USD
299249.28000000
0.070496475894
Long
ABS-MBS
USGSE
US
N
2
2058-05-01
Fixed
5.50000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BH9
200000.00000000
PA
USD
179539.00000000
0.042295395950
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
4.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
-2.00000000
NC
USD
-125.00000000
-0.00002944722
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
PA
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
123.50000000
USD
2022-04-01
XXXX
480.92000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-19.00000000
NC
USD
-7421.90000000
-0.00174843459
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.00000000
USD
2022-04-22
XXXX
264.04000000
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust 2007-6
68403KAB1
747272.81000000
PA
USD
624134.73000000
0.147032263363
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
0.58657000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP Carey Inc
92936UAG4
75000.00000000
PA
USD
67702.98000000
0.015949316561
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.40000000
N
N
N
N
N
N
OKLAHOMA G&E CO
549300VJ8YXGPO8EV472
Oklahoma Gas and Electric Co
678858BW0
45000.00000000
PA
USD
44048.58000000
0.010376865929
Long
DBT
CORP
US
N
2
2023-05-26
Fixed
0.55300000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAF6
670000.00000000
PA
USD
669048.60000000
0.157612972375
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.90000000
N
N
N
N
N
N
Jamestown CLO Ltd
N/A
Jamestown CLO XV Ltd
47050EAA7
1100000.00000000
PA
USD
1096249.11000000
0.258251912776
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
1.58129000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617NS4K4
427967.32000000
PA
USD
441259.32000000
0.103950883408
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
3.50000000
N
N
N
N
N
N
Bear Stearns Adjustable Rate M
N/A
Bear Stearns ARM Trust 2003-5
07384MWN8
13129.52000000
PA
USD
13108.83000000
0.003088148843
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Variable
2.59409900
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
48.00000000
NC
USD
-3450.80000000
-0.00081293174
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2022-09-20
11843250.80000000
USD
-3450.80000000
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BP8
80000.00000000
PA
USD
74740.40000000
0.017607176220
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9JE6
505310.36000000
PA
USD
527385.38000000
0.124240267940
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.50000000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAG5
270000.00000000
PA
USD
276259.77000000
0.065080658561
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFU74
398110.15000000
PA
USD
380556.74000000
0.089650705417
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HB0
1110000.00000000
PA
USD
1186228.06000000
0.279448952514
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
5.50000000
N
N
N
N
N
N
College Ave Student Loans
N/A
College Ave Student Loans 2021-C LLC
19424WAD9
390000.00000000
PA
USD
367300.71000000
0.086527879527
Long
ABS-O
CORP
US
N
2
2055-07-26
Fixed
3.06000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50076QAE6
10000.00000000
PA
USD
10693.50000000
0.002519150806
Long
DBT
CORP
US
N
2
2042-06-04
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6C74
71407.02000000
PA
USD
70193.71000000
0.016536077162
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
295025.95000000
0.069501553261
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-08-15
435153.87000000
USD
0.00000000
USD
-3908000.00000000
USD
-140127.92000000
N
N
N
TRACTOR SUPPLY CO
549300OJ9VZHZRO6I137
Tractor Supply Co
892356AA4
100000.00000000
PA
USD
86041.43000000
0.020269447585
Long
DBT
CORP
US
N
2
2030-11-01
Fixed
1.75000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CF4
600000.00000000
PA
USD
641959.12000000
0.151231293282
Long
DBT
CORP
GB
N
2
2030-03-31
Fixed
4.95000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CY3
200000.00000000
PA
USD
182045.29000000
0.042885822141
Long
DBT
CORP
GB
N
2
2032-11-22
Fixed
2.87100000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBN1
10000.00000000
PA
USD
10747.10000000
0.002531777774
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.87500000
N
N
N
N
N
N
CHEVY CHASE MORTGAGE FUNDING C
549300TC8R2SGZ2KM445
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3
16678RBU0
9021.01000000
PA
USD
8830.27000000
0.002080215251
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
0.70657000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50076QAN6
200000.00000000
PA
USD
239500.00000000
0.056420874184
Long
DBT
CORP
US
N
2
2040-02-09
Fixed
6.50000000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BG3
20000.00000000
PA
USD
20178.69000000
0.004753650645
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.10000000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAM6
10000.00000000
PA
USD
9304.17000000
0.002191855553
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
3.50000000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BJ6
30000.00000000
PA
USD
33856.10000000
0.007975744294
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
TRITON CONTAINER
549300O4LZFLCX53XZ54
Triton Container International Ltd
89680YAA3
150000.00000000
PA
USD
140054.53000000
0.032993732843
Long
DBT
CORP
BM
N
2
2026-04-15
Fixed
2.05000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGR4
100000.00000000
PA
USD
100308.67000000
0.023630492065
Long
DBT
CORP
US
N
2
2028-07-21
Fixed
3.59300000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
ZAR/USD FORWARD
000000000
1.00000000
NC
USD
25776.32000000
0.006072327798
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-297551.36000000
USD
4736125.00000000
ZAR
2022-04-19
25776.32000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-6895.38000000
-0.00162439819
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-09-18
0.00000000
USD
0.00000000
USD
120000000.00000000
JPY
-6895.38000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
7723.08000000
0.001819385908
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2051-03-17
5296.74000000
USD
0.00000000
USD
-10000000.00000000
JPY
2426.34000000
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AT8
430000.00000000
PA
USD
470987.60000000
0.110954205102
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
5.75000000
N
N
N
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
PEN/USD FORWARD
000000000
1.00000000
NC
USD
-8619.76000000
-0.00203062377
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-353081.72000000
PEN
85178.45000000
USD
2022-11-29
-8619.76000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371K5Z0
757.78000000
PA
USD
804.86000000
0.000189607118
Long
ABS-MBS
USGSE
US
N
2
2023-06-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XAH96
183515.03000000
PA
USD
170906.35000000
0.040261735576
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFK5
10000.00000000
PA
USD
9602.89000000
0.002262227342
Long
DBT
CORP
US
N
2
2049-09-01
Fixed
3.62500000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
MXN/USD FORWARD
000000000
1.00000000
NC
USD
-28366.13000000
-0.00668242944
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-11470000.00000000
MXN
544841.35000000
USD
2022-05-04
-28366.13000000
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBK5
90000.00000000
PA
USD
94295.83000000
0.022214000670
Long
DBT
CORP
GB
N
2
2028-05-30
Fixed
4.37500000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFN9
30000.00000000
PA
USD
30369.09000000
0.007154282279
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.30000000
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BG4
70000.00000000
PA
USD
81523.32000000
0.019205081339
Long
DBT
CORP
US
N
2
2036-11-30
Fixed
4.75000000
N
N
N
N
N
N
II-VI INC
549300O5C25A0MMHHU33
II-VI Inc
000000000
120000.00000000
PA
USD
118700.04000000
0.027963089864
Long
LON
CORP
US
N
2
2028-12-08
Floating
3.25000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABT1
840000.00000000
PA
USD
758100.00000000
0.178591501959
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.87500000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Funding XIV LLC
68377BAA5
105000.00000000
PA
USD
101984.15000000
0.024025197895
Long
ABS-O
CORP
US
N
2
2028-03-08
Fixed
1.21000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AP4
110000.00000000
PA
USD
99704.55000000
0.023488174827
Long
DBT
CORP
CO
N
2
2031-11-02
Fixed
4.62500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-5.00000000
NC
USD
-78.13000000
-0.00001840569
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
119.00000000
USD
2022-04-22
XXXX
2335.11000000
N
N
N
BERKSHIRE HATHAWAY FIN
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp
084664CR0
120000.00000000
PA
USD
132011.84000000
0.031099053926
Long
DBT
CORP
US
N
2
2049-01-15
Fixed
4.25000000
N
N
N
N
N
N
QUIKRETE HOLDINGS INC
5493007KIN86DIZWZT22
Quikrete Holdings Inc
74839XAF6
247474.75380000
PA
USD
241818.22000000
0.056966995265
Long
LON
CORP
US
N
2
2027-01-31
Floating
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFUH2
99812.62000000
PA
USD
95713.08000000
0.022547873254
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-OC7
23243VAC4
614.20000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
CORP
US
N
3
2046-07-25
Floating
0.79657000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00912XAT1
555000.00000000
PA
USD
552916.61000000
0.130254857984
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
3.00000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BUND
000000000
-3.00000000
NC
-1167.93000000
-0.00027513833
N/A
DIR
CORP
DE
N
2
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Call
Written
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 10 Year Euro BUND
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
DE
US
Long
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-06-08
0.00000000
USD
100000.00000000
162.00000000
EUR
2022-04-22
XXXX
3104.58000000
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAG9
70000.00000000
PA
USD
70672.49000000
0.016648867083
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGGW3
200000.00000000
PA
USD
186455.69000000
0.043924814306
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BY9
130000.00000000
PA
USD
133496.31000000
0.031448762048
Long
DBT
CORP
US
N
2
2027-02-06
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J1S58
506000.00000000
PA
USD
458061.60000000
0.107909126940
Long
ABS-MBS
USGSE
US
N
2
2028-04-01
Fixed
1.09000000
N
N
N
N
N
N
CONSUMERS ENERGY CO
7NKTFWJ1G6MELP9TU740
Consumers Energy Co
210518CZ7
45000.00000000
PA
USD
41569.47000000
0.009792842742
Long
DBT
CORP
US
N
2
2046-08-15
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBS76
87374.70000000
PA
USD
83538.64000000
0.019679845916
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.50000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DR8
100000.00000000
PA
USD
89496.06000000
0.021083281591
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
2.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L9U26
77355.27000000
PA
USD
77590.48000000
0.018278591690
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.93000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPB2
53465.19000000
PA
USD
55624.53000000
0.013103902332
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.50000000
N
N
N
N
N
N
AMERN AIRLINE 16-2 A PTT
N/A
American Airlines 2016-2 Class A Pass Through Trust
023764AA1
137610.00000000
PA
USD
122119.26000000
0.028768582062
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KKJ34
176479.93000000
PA
USD
164418.05000000
0.038733236378
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617BFM90
133849.07000000
PA
USD
136479.35000000
0.032151499937
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SU3
4450000.00000000
PA
USD
3893923.82000000
0.917321861928
Long
DBT
UST
US
N
2
2051-02-15
Fixed
1.87500000
N
N
N
N
N
N
FMC GMSR ISSUER TRUST
N/A
FMC GMSR Issuer Trust
30259RAE5
500000.00000000
PA
USD
482984.55000000
0.113780419743
Long
ABS-MBS
CORP
US
N
2
2026-01-25
Variable
4.45000000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIE
5493007NTUGLGZ8T3526
Hudson Pacific Properties LP
44409MAB2
800000.00000000
PA
USD
839847.58000000
0.197849413967
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
4.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M7HN9
11684.59000000
PA
USD
12903.61000000
0.003039803575
Long
ABS-MBS
USGSE
US
N
2
2038-12-01
Fixed
5.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
21.90000000
0.000005159153
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-12
0.00000000
USD
0.00000000
USD
13260000.00000000
JPY
21.90000000
N
N
N
ZIMMER BIOMET HOLDINGS
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings Inc
98956PAV4
68000.00000000
PA
USD
62141.28000000
0.014639103718
Long
DBT
CORP
US
N
2
2031-11-24
Fixed
2.60000000
N
N
N
N
N
N
Freddie Mac Multifamily Struct
N/A
Freddie Mac Structured Pass-Through Certificates FRESR 2017-SR01
3137FCJG0
200000.00000000
PA
USD
196538.90000000
0.046300194360
Long
ABS-MBS
USGSE
US
N
2
2027-11-25
Fixed
3.08900000
N
N
N
N
N
N
PCI GAMING AUTHORITY
549300KPXAJ1LRW5LP59
PCI Gaming Authority
70455DAG9
32361.53620000
PA
USD
32151.19000000
0.007574105410
Long
LON
CORP
US
N
2
2026-05-31
Floating
2.70860000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BU9
10000.00000000
PA
USD
10909.04000000
0.002569927237
Long
DBT
CORP
US
N
2
2044-03-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNGC0
894824.63000000
PA
USD
878780.77000000
0.207021207765
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFL3
10000.00000000
PA
USD
9570.09000000
0.002254500391
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
1.45000000
N
N
N
N
N
N
NRZ Excess Spread Collateraliz
N/A
NRZ Excess Spread-Collateralized Notes Series 2020-PLS1
433674AA6
260545.58000000
PA
USD
253914.77000000
0.059816673451
Long
ABS-O
CORP
US
N
2
2025-12-25
Fixed
3.84400000
N
N
N
N
N
N
AUTOZONE INC
GA3JGKJ41LJKXDN23E90
AutoZone Inc
053332AY8
100000.00000000
PA
USD
101162.71000000
0.023831684897
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.62500000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE
7D6DIU2QXTUJRFNNJA49
Nissan Motor Acceptance Co LLC
654740BS7
300000.00000000
PA
USD
274819.81000000
0.064741436005
Long
DBT
CORP
US
N
2
2026-03-09
Fixed
2.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
14273.98000000
0.003362632274
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2051-03-20
0.00000000
USD
0.00000000
USD
-48000000.00000000
JPY
14273.98000000
N
N
N
CSX CORP
549300JVQR4N1MMP3Q88
CSX Corp
126408HF3
70000.00000000
PA
USD
69953.26000000
0.016479432489
Long
DBT
CORP
US
N
2
2046-11-01
Fixed
3.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCDC7
49927.60000000
PA
USD
51272.60000000
0.012078684399
Long
ABS-MBS
USGSE
US
N
2
2039-11-01
Fixed
3.50000000
N
N
N
N
N
N
Banc of America Merrill Lynch
N/A
BAMLL Re-REMIC Trust 2016-RRGG10
059427AA2
1624539.57000000
PA
USD
666061.22000000
0.156909212078
Long
ABS-MBS
CORP
US
N
2
2045-08-10
Variable
5.83076400
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F84J9
1490000.00000000
PA
USD
116857.42000000
0.027529009567
Long
ABS-MBS
USGSE
US
N
2
2029-12-25
Fixed
1.36401000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AN5F7
96579.93000000
PA
USD
92492.14000000
0.021789091415
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SQ2
460000.00000000
PA
USD
360974.22000000
0.085037499166
Long
DBT
UST
US
N
2
2040-08-15
Fixed
1.12500000
N
N
N
N
N
N
SCIENTIFIC GAMES INTERNATIO
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80875AAP6
298157.24410000
PA
USD
297080.60000000
0.069985583111
Long
LON
CORP
US
N
2
2024-08-14
Floating
3.18060000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2013-K35 Mortgage Trust
30291VAG1
300000.00000000
PA
USD
302379.96000000
0.071233994484
Long
ABS-MBS
USGSE
US
N
2
2046-12-25
Variable
3.93410000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAZ4
210000.00000000
PA
USD
194188.48000000
0.045746487674
Long
DBT
UST
US
N
2
2025-11-30
Fixed
0.37500000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2021-C60
95003DBP2
1295513.86000000
PA
USD
138199.59000000
0.032556750228
Long
ABS-MBS
CORP
US
N
2
2054-08-15
Variable
1.55487700
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659T2C4
350000.00000000
PA
USD
289246.86000000
0.068140128168
Long
DBT
CORP
FR
N
2
2041-01-26
Fixed
2.82400000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDB2
620000.00000000
PA
USD
611752.51000000
0.144115287677
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
2.39900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YSA6
25572.50000000
PA
USD
26302.38000000
0.006196255836
Long
ABS-MBS
USGSE
US
N
2
2025-09-01
Fixed
4.00000000
N
N
N
N
N
N
CITICORP SECURITIES SERVICES, INC.
549300N0SOX9OZVKG341
BRL/USD FORWARD
000000000
1.00000000
NC
USD
134159.60000000
0.031605018422
N/A
DFE
CORP
US
N
2
CITICORP SECURITIES SERVICES, INC.
549300N0SOX9OZVKG341
-927724.24000000
USD
5082347.72000000
BRL
2022-04-19
134159.60000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
MEXICAN PESO CURRENCY
000000000
91.00000000
NC
USD
160662.50000000
0.037848512311
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
MEXICAN PESO
MEXICAN PESO
2022-06-13
2102052.50000000
USD
160662.50000000
N
N
N
HARBOR FREIGHT TOOLS
549300Y48HLCFTTB4249
Harbor Freight Tools USA Inc
41151PAP0
118598.99880000
PA
USD
116350.60000000
0.027409614045
Long
LON
CORP
US
N
2
2027-10-19
Floating
3.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-4768.89000000
-0.00112344443
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2038-10-22
0.00000000
USD
0.00000000
USD
-10000000.00000000
JPY
-4768.89000000
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAC9
200000.00000000
PA
USD
200922.20000000
0.047332802367
Long
DBT
CORP
MA
N
2
2025-10-22
Fixed
4.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-160592.24000000
-0.03783196061
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-10-20
2441.99000000
USD
0.00000000
USD
2820000.00000000
USD
-163034.23000000
N
N
N
ZIGGO FINANCING PARTNERS
N/A
Ziggo Financing Partnership
000000000
99750.00000000
PA
USD
98331.65000000
0.023164750116
Long
LON
CORP
US
N
2
2028-04-30
Floating
2.69110000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAH2
20000.00000000
PA
USD
18987.60000000
0.004473056328
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
3.87500000
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BM3
40000.00000000
PA
USD
40124.28000000
0.009452388115
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
2.93000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QMT95
294422.59000000
PA
USD
281777.91000000
0.066380609636
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBE2
40000.00000000
PA
USD
43242.83000000
0.010187049147
Long
DBT
CORP
US
N
2
2039-02-14
Fixed
5.80000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCU3
510000.00000000
PA
USD
544813.93000000
0.128346046757
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SJS7
41616.29000000
PA
USD
41467.83000000
0.009768898618
Long
ABS-MBS
USGA
US
N
2
2046-08-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31359FDB1
14274.90000000
PA
USD
14074.19000000
0.003315566193
Long
ABS-MBS
USGSE
US
N
2
2023-11-25
Floating
1.62500000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
USD/MXN FORWARD
000000000
1.00000000
NC
USD
20796.82000000
0.004899268328
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-555758.95000000
USD
11537000.00000000
MXN
2022-05-04
20796.82000000
N
N
N
NEWELL BRANDS INC
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229AV8
20000.00000000
PA
USD
20218.75000000
0.004763087891
Long
DBT
CORP
US
N
2
2023-04-01
Variable
4.35000000
N
N
N
N
N
N
Magnetite CLO Ltd
549300BDVLRWS2SODX97
Magnetite XVIII Ltd
55953TAS6
298196.19000000
PA
USD
296217.00000000
0.069782138155
Long
ABS-CBDO
CORP
KY
N
2
2028-11-15
Floating
1.38643000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
11534.58000000
0.002717290550
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2032-03-18
11842.46000000
USD
0.00000000
USD
-1461000.00000000
USD
-307.88000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410WTV0
150.22000000
PA
USD
150.50000000
0.000035454453
Long
ABS-MBS
USGSE
US
N
2
2022-07-01
Fixed
5.50000000
N
N
N
N
N
N
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
10 YEAR AUSTRALIAN BOND
000000000
28.00000000
NC
-105048.42000000
-0.02474707176
N/A
DIR
CORP
AU
N
1
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
Long
AUSTRALIAN GOVERNMENT
Australia Government Bond
2022-06-15
2699563.02000000
USD
-105048.42000000
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B36
200000.00000000
PA
USD
188658.00000000
0.044443629569
Long
DBT
CORP
US
N
2
2030-11-13
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BH6
200000.00000000
PA
USD
198030.00000000
0.046651464362
Long
DBT
NUSS
PA
N
2
2050-04-16
Fixed
4.50000000
N
N
N
N
N
N
WORKDAY INC
549300J0DYC0N31V7G13
Workday Inc
98138HAH4
30000.00000000
PA
USD
30094.03000000
0.007089484260
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.70000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJB6
1330000.00000000
PA
USD
1229292.15000000
0.289593894492
Long
DBT
CORP
US
N
2
2031-04-29
Fixed
2.59200000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCN1
1480000.00000000
PA
USD
1355828.00000000
0.319402926946
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9AZ8
86144.54000000
PA
USD
82508.62000000
0.019437196109
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325VKQ6
127643.29000000
PA
USD
20444.49000000
0.004816267215
Long
ABS-MBS
USGSE
US
N
2
2044-08-15
Floating
5.70343000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-5616.70000000
-0.00132316962
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-09-24
105.50000000
USD
0.00000000
USD
82000000.00000000
JPY
-5722.20000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVL52
788897.20000000
PA
USD
757477.36000000
0.178444821820
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0UB3
1120000.00000000
PA
USD
1081047.52000000
0.254670756214
Long
ABS-MBS
CORP
US
N
2
2030-07-25
Floating
3.60657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XADE9
91028.68000000
PA
USD
84768.76000000
0.019969634833
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAH5
295000.00000000
PA
USD
272547.23000000
0.064206066693
Long
DBT
CORP
FR
N
2
2026-10-06
Fixed
1.65200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AJX7
39974.48000000
PA
USD
40865.61000000
0.009627028978
Long
ABS-MBS
USGSE
US
N
2
2042-09-01
Fixed
3.50000000
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC 2011-RR5-I Trust
05534AAN1
18554.61000000
PA
USD
18757.10000000
0.004418755654
Long
ABS-MBS
CORP
US
N
2
2037-03-26
Variable
4.79210000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2C4
250000.00000000
PA
USD
247445.25000000
0.058292598404
Long
DBT
CORP
CH
N
2
2025-04-09
Fixed
2.95000000
N
N
N
N
N
N
RACKSPACE TECHNOLOGY
549300QTYCKLMFSE8I97
Rackspace Technology Global Inc
75009XAB6
98999.99000000
PA
USD
97205.62000000
0.022899482488
Long
LON
CORP
US
N
2
2028-02-09
Floating
3.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BN3
10000.00000000
PA
USD
10661.93000000
0.002511713616
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
5.75000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-1.00000000
NC
USD
-796.88000000
-0.00018772720
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
156.00000000
USD
2022-05-20
XXXX
138.90000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QGQ9
75478.84000000
PA
USD
75171.36000000
0.017708700813
Long
ABS-MBS
USGA
US
N
2
2070-07-20
Floating
0.89857000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A2SB9
247395.83000000
PA
USD
252407.33000000
0.059461554109
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
3.50000000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AJ2
240000.00000000
PA
USD
239091.90000000
0.056324734899
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
2.75000000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2007-9
3622EEAA0
161698.38000000
PA
USD
153223.14000000
0.036095964526
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UCC4
105779.10000000
PA
USD
110467.66000000
0.026023724201
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCQ90
52145.61000000
PA
USD
51250.99000000
0.012073593564
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDS2
40000.00000000
PA
USD
36001.53000000
0.008481159893
Long
DBT
CORP
US
N
2
2032-01-12
Fixed
3.10000000
N
N
N
N
N
N
Great Hall Mortgages Plc
213800TM9KICQKGTYR78
Great Hall Mortgages No 1 PLC
39052PAA7
154049.60000000
PA
USD
151626.40000000
0.035719808089
Long
ABS-MBS
CORP
GB
N
2
2039-06-18
Floating
1.07814000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAY4
50000.00000000
PA
USD
53863.41000000
0.012689021623
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
5.87500000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
Countrywide Asset-Backed Certificates
126670UW6
221507.97000000
PA
USD
220592.77000000
0.051966751240
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
1.05657000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
USD/PEN FORWARD
000000000
1.00000000
NC
USD
-43740.28000000
-0.01030423730
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-7750958.45000000
PEN
2037741.79000000
USD
2022-08-08
-43740.28000000
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918CF9
25000.00000000
PA
USD
23433.82000000
0.005520486888
Long
DBT
CORP
US
N
2
2062-03-17
Fixed
3.04100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FTZ38
295847.56000000
PA
USD
301534.85000000
0.071034905361
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.50000000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Funding 2020-1 LLC
68377AAA7
6101.65000000
PA
USD
6102.01000000
0.001437497864
Long
ABS-O
CORP
US
N
2
2024-05-15
Fixed
2.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WN2H4
34953.30000000
PA
USD
36151.95000000
0.008516595500
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
1272.81000000
0.000299845732
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-02-08
0.00000000
USD
0.00000000
USD
-30000000.00000000
JPY
1272.81000000
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HAT4
370000.00000000
PA
USD
373196.66000000
0.087916834237
Long
DBT
CORP
IT
N
2
2024-06-26
Fixed
5.01700000
N
N
N
N
N
N
CHEVRON USA INC
VA8TZDWPEZYU430RZ444
Chevron USA Inc
166756AR7
70000.00000000
PA
USD
73011.56000000
0.017199899961
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.85000000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2021-SFR3 Trust
00180UAE5
128000.00000000
PA
USD
116449.22000000
0.027432846724
Long
ABS-O
CORP
US
N
2
2038-10-17
Fixed
2.32700000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/DKK FORWARD
000000000
1.00000000
NC
USD
15248.55000000
0.003592219294
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-1895000.00000000
DKK
297078.95000000
USD
2022-04-01
15248.55000000
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
000000000
300000.00000000
PA
337125.26000000
0.079419214525
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
3.25000000
N
N
N
N
N
N
PUBLIC STORAGE
549300LMZF40TKJ6DM64
Public Storage
74460DAH2
38000.00000000
PA
USD
35244.01000000
0.008302705026
Long
DBT
CORP
US
N
2
2028-11-09
Fixed
1.95000000
N
N
N
N
N
N
Towd Point Mortgage Funding
N/A
Towd Point Mortgage Funding
000000000
1168215.00000000
PA
1535509.58000000
0.361731911574
Long
ABS-MBS
CORP
GB
N
2
2045-07-20
Floating
0.99156000
N
N
N
N
N
N
ALPHABET INC
5493006MHB84DD0ZWV18
Alphabet Inc
02079KAJ6
30000.00000000
PA
USD
27124.40000000
0.006389905468
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
0.80000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
14635.20000000
0.003447727673
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2051-03-15
0.00000000
USD
-231.35000000
USD
-41000000.00000000
JPY
14866.55000000
N
N
N
BERKSHIRE HATHAWAY FIN
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp
084664DB4
50000.00000000
PA
USD
51192.55000000
0.012059826399
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.85000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308HP5
50000.00000000
PA
USD
47576.19000000
0.011207892401
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
2.95000000
N
N
N
N
N
N
REALPAGE INC
5493001RSFZX4122A604
RealPage Inc
75605VAD4
268650.00130000
PA
USD
266030.66000000
0.062670907712
Long
LON
CORP
US
N
2
2028-04-22
Floating
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VZV5
112936.33000000
PA
USD
117720.61000000
0.027732357936
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
4.50000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAH9
60000.00000000
PA
USD
68507.55000000
0.016138855362
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
6.20000000
N
N
N
N
N
N
Palmer Square European Loan Fu
549300OGFKGCPL337N48
Palmer Square European Loan Funding 2022-1 DAC
000000000
300000.00000000
PA
331875.00000000
0.078182370020
Long
ABS-CBDO
CORP
IE
N
3
2031-10-15
Floating
0.72000000
N
N
N
N
N
N
ENTERGY ARKANSAS LLC
549300A0I5ONUIFMLP35
Entergy Arkansas LLC
29364DAR1
300000.00000000
PA
USD
299898.66000000
0.070649455381
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
3.05000000
N
N
N
N
N
N
MIDWEST CONNECTOR CAPIT
N/A
Midwest Connector Capital Co LLC
59833CAA0
500000.00000000
PA
USD
501812.51000000
0.118215868437
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
3.90000000
N
N
N
N
N
N
KINDER MORGAN INC/DELAWA
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAJ0
30000.00000000
PA
USD
31893.17000000
0.007513321636
Long
DBT
CORP
US
N
2
2046-02-15
Fixed
5.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140H6M71
534586.87000000
PA
USD
549945.61000000
0.129554956451
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828VS6
3000000.00000000
PA
USD
3017988.27000000
0.710970924725
Long
DBT
UST
US
N
2
2023-08-15
Fixed
2.50000000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 5 Ltd
74923EAA6
600000.00000000
PA
USD
596243.70000000
0.140461756914
Long
ABS-CBDO
CORP
KY
N
2
2032-07-24
Floating
1.37886000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617B8HH4
134927.10000000
PA
USD
136630.89000000
0.032187199392
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
-1.00000000
NC
USD
-15.63000000
-0.00000368208
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
PA
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.25000000
USD
2022-04-01
XXXX
217.03000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDLR5
96899.01000000
PA
USD
92607.07000000
0.021816166367
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
ANALOG DEVICES INC
GYVOE5EZ4GDAVTU4CQ61
Analog Devices Inc
032654AW5
20000.00000000
PA
USD
18017.06000000
0.004244418686
Long
DBT
CORP
US
N
2
2041-10-01
Fixed
2.80000000
N
N
N
N
N
N
CITICORP SECURITIES SERVICES, INC.
549300N0SOX9OZVKG341
INR/USD FORWARD
000000000
1.00000000
NC
USD
-148.88000000
-0.00003507281
N/A
DFE
CORP
US
N
2
CITICORP SECURITIES SERVICES, INC.
549300N0SOX9OZVKG341
-4129560.00000000
INR
54112.04000000
USD
2022-04-19
-148.88000000
N
N
N
Business Jet Securities, LLC
N/A
Business Jet Securities 2020-1 LLC
12327FAA5
431821.96000000
PA
USD
416505.84000000
0.098119513969
Long
ABS-O
CORP
US
N
2
2035-11-15
Fixed
2.98100000
N
N
N
N
N
N
CAMERON LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AA8
10000.00000000
PA
USD
9564.92000000
0.002253282454
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.90200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L23B7
92954.32000000
PA
USD
86538.00000000
0.020386428434
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
REPUBLIC SERVICES INC
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759AU4
50000.00000000
PA
USD
49510.14000000
0.011663488015
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F030652
5500000.00000000
PA
USD
5368824.01000000
1.264775549003
Long
ABS-MBS
USGSE
US
N
2
2052-05-15
Fixed
3.00000000
N
N
N
N
N
N
SMITHFIELD FOODS INC
CVTIPZRZJC0JQEZLL598
Smithfield Foods Inc
832248BC1
100000.00000000
PA
USD
90899.84000000
0.021413980943
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
3.00000000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long Gilt
000000000
-2.00000000
NC
3636.68000000
0.000856720938
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Short
UNITED KINGDOM GILT
United Kingdom Gilt
2022-06-28
-333105.97000000
USD
3636.68000000
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281ABA6
113000.00000000
PA
USD
113960.50000000
0.026846559634
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
5.00000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFB5
20000.00000000
PA
USD
20382.93000000
0.004801765048
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BA2
40000.00000000
PA
USD
37886.00000000
0.008925099120
Long
DBT
CORP
US
N
2
2043-04-15
Fixed
4.75000000
N
N
N
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804FE9
160000.00000000
PA
USD
205693.68000000
0.048456856951
Long
DBT
CORP
US
N
2
2037-11-30
Fixed
6.35000000
N
N
N
N
N
N
COTERRA ENERGY INC
FCNMH6O7VWU7LHXMK351
Coterra Energy Inc
127097AH6
280000.00000000
PA
USD
292125.01000000
0.068818156306
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.37500000
N
N
N
N
N
N
Revolving Single Family Home N
N/A
ZH Trust 2021-1
98879EAA9
200000.00000000
PA
USD
198592.00000000
0.046783859064
Long
ABS-MBS
CORP
US
N
2
2027-02-18
Fixed
2.25250000
N
N
N
N
N
N
BRIXMOR OPERATING PART
549300CJHBL7JBUA6503
Brixmor Operating Partnership LP
11120VAL7
25000.00000000
PA
USD
22123.07000000
0.005211703336
Long
DBT
CORP
US
N
2
2031-08-16
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-1
35563PEL9
286514.23000000
PA
USD
288029.66000000
0.067853382915
Long
ABS-MBS
USGSE
US
N
2
2057-05-25
Fixed
3.50000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AH1
200000.00000000
PA
USD
181824.81000000
0.042833881956
Long
DBT
CORP
CH
N
2
2027-08-10
Fixed
1.49400000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-14
12667GCB7
181932.82000000
PA
USD
174180.13000000
0.041032965345
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
0.87657000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJZ6
110000.00000000
PA
USD
101564.65000000
0.023926373023
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
3.50000000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAP4
30000.00000000
PA
USD
27741.00000000
0.006535162717
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
3.50000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CD2
380000.00000000
PA
USD
359634.65000000
0.084721926263
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.35000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
-545.00000000
NC
USD
1634326.22000000
0.385010914550
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
2022-06-21
-68601201.22000000
USD
1634326.22000000
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FJ2
50000.00000000
PA
USD
48138.55000000
0.011340371912
Long
DBT
CORP
US
N
2
2027-02-05
Fixed
2.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XAEW8
92158.51000000
PA
USD
85830.62000000
0.020219785437
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
FHLMC Multifamily WI Certifica
N/A
Freddie Mac Multifamily WI Certificates Series WI-K142
3137H5Y92
400000.00000000
PA
USD
381887.76000000
0.089964264131
Long
ABS-MBS
CORP
US
N
2
2032-05-25
Fixed
2.40000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust Series 2006-FM1
59021AAC2
345023.03000000
PA
USD
225397.27000000
0.053098584602
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
0.77657000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGHT4
102941.89000000
PA
USD
104898.94000000
0.024711857602
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CNH/USD FORWARD
000000000
1.00000000
NC
USD
-9818.44000000
-0.00231300612
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-15706035.00000000
CNY
2458544.82000000
USD
2022-04-19
-9818.44000000
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCK5
10000.00000000
PA
USD
10300.46000000
0.002426559322
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407UMR5
15013.29000000
PA
USD
15739.63000000
0.003707906822
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Floating
2.42300000
N
N
N
N
N
N
GVC HOLDINGS GIBRALTAR L
N/A
GVC Holdings Gibraltar Ltd
000000000
69475.00000000
PA
USD
68707.86000000
0.016186043943
Long
LON
CORP
GI
N
2
2027-03-16
Floating
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382JZK5
90319.12000000
PA
USD
13040.07000000
0.003071950517
Long
ABS-MBS
USGA
US
N
2
2050-09-20
Fixed
2.50000000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YBX6
300000.00000000
PA
USD
291152.74000000
0.068589111114
Long
DBT
CORP
JP
N
2
2030-05-22
Fixed
3.26100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AWH72
98338.43000000
PA
USD
91458.41000000
0.021545567614
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TF5
1330000.00000000
PA
USD
1283242.19000000
0.302303324217
Long
DBT
UST
US
N
2
2042-02-15
Fixed
2.37500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-7.15000000
-0.00000168438
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-04-07
0.00000000
USD
0.00000000
USD
-4000000.00000000
JPY
-7.15000000
N
N
N
Cascade Funding Mortgage Trust
N/A
CFMT 2020-HB4 LLC
12529LAA8
243625.27000000
PA
USD
242014.91000000
0.057013331055
Long
ABS-MBS
CORP
US
N
2
2030-12-26
Variable
0.94610000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376RVV5
482539.26000000
PA
USD
484973.77000000
0.114249035740
Long
ABS-MBS
USGA
US
N
2
2066-06-20
Floating
0.90629000
N
N
N
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
GBP/USD FORWARD
000000000
1.00000000
NC
USD
236005.19000000
0.055597574663
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-6686000.00000000
GBP
9016851.26000000
USD
2022-05-18
236005.19000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CE2
20000.00000000
PA
USD
16591.55000000
0.003908600229
Long
DBT
CORP
US
N
2
2042-03-01
Fixed
3.50000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2007-HY4
02150QAA4
51349.49000000
PA
USD
46190.28000000
0.010881402824
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Variable
2.60939900
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ARUS5
959183.72000000
PA
USD
153352.28000000
0.036126387038
Long
ABS-MBS
USGSE
US
N
2
2045-11-25
Floating
5.54343000
N
N
N
N
N
N
Crossroads Asset Trust
N/A
Crossroads Asset Trust 2021-A
22767CAC4
116000.00000000
PA
USD
113359.17000000
0.026704899658
Long
ABS-O
CORP
US
N
2
2025-06-20
Fixed
1.12000000
N
N
N
N
N
N
REPUBLIC OF POLAND
259400R9L8QEP0TPXS31
Republic of Poland Government International Bond
857524AC6
320000.00000000
PA
USD
328793.92000000
0.077456536087
Long
DBT
NUSS
PL
N
2
2024-01-22
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148YAA6
120000.00000000
PA
USD
121652.77000000
0.028658687391
Long
DBT
CORP
US
N
2
2038-10-31
Fixed
4.01700000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
94973VAX5
30000.00000000
PA
USD
30047.23000000
0.007078459220
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
3.12500000
N
N
N
N
N
N
NASCAR HOLDINGS LLC
254900HRWKQR5V0WN013
Nascar Holdings LLC
63108EAB4
189488.53000000
PA
USD
188541.09000000
0.044416088173
Long
LON
CORP
US
N
2
2026-10-18
Floating
3.00400000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDB4
150000.00000000
PA
USD
143214.84000000
0.033738231603
Long
DBT
UST
US
N
2
2024-10-15
Fixed
0.62500000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CM8
45000.00000000
PA
USD
45357.36000000
0.010685185394
Long
DBT
CORP
US
N
2
2024-07-26
Fixed
2.90000000
N
N
N
N
N
N
CITICORP SECURITIES SERVICES, INC.
549300N0SOX9OZVKG341
AUD/USD FORWARD
000000000
1.00000000
NC
USD
302.11000000
0.000071170397
N/A
DFE
CORP
US
N
2
CITICORP SECURITIES SERVICES, INC.
549300N0SOX9OZVKG341
-125000.00000000
AUD
93860.74000000
USD
2022-04-19
302.11000000
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAM3
45000.00000000
PA
USD
41142.42000000
0.009692239258
Long
DBT
CORP
KY
N
2
2026-02-21
Fixed
2.12500000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140AS9
50000.00000000
PA
USD
51245.18000000
0.012072224857
Long
DBT
CORP
US
N
2
2025-07-29
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418TZ83
18354.00000000
PA
USD
18819.41000000
0.004433434504
Long
ABS-MBS
USGSE
US
N
2
2025-06-01
Fixed
4.50000000
N
N
N
N
N
N
INDIANA MICHIGAN POWER
JHR9V15J0ZRG02MIRD06
Indiana Michigan Power Co
454889AU0
45000.00000000
PA
USD
40338.88000000
0.009502943103
Long
DBT
CORP
US
N
2
2051-05-01
Fixed
3.25000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967EW7
220000.00000000
PA
USD
334115.07000000
0.078710080699
Long
DBT
CORP
US
N
2
2039-07-15
Fixed
8.12500000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAQ2
70000.00000000
PA
USD
70985.67000000
0.016722645327
Long
DBT
CORP
US
N
2
2025-05-14
Fixed
3.60000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AL5
50000.00000000
PA
USD
50680.50000000
0.011939198806
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
4.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
-14.00000000
NC
USD
50128.26000000
0.011809103342
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
2022-06-21
-2151003.26000000
USD
50128.26000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAM2
10000.00000000
PA
USD
9775.00000000
0.002302772631
Long
DBT
CORP
US
N
2
N/A
Fixed
7.12500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEA8
520000.00000000
PA
USD
559299.82000000
0.131758600315
Long
DBT
CORP
US
N
2
2033-08-10
Fixed
4.50000000
N
N
N
N
N
N
ENTERGY ARKANSAS LLC
549300A0I5ONUIFMLP35
Entergy Arkansas LLC
29366MAB4
45000.00000000
PA
USD
36873.43000000
0.008686560145
Long
DBT
CORP
US
N
2
2051-06-15
Fixed
2.65000000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
AmeriCredit Automobile Receivables Trust 2021-1
03063FAF1
540000.00000000
PA
USD
510755.60000000
0.120322661572
Long
ABS-O
CORP
US
N
2
2026-12-18
Fixed
1.21000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397YW7
300000.00000000
PA
320093.44000000
0.075406896473
Long
DBT
CORP
US
N
2
2025-02-07
Fixed
1.35500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BN61
8682.90000000
PA
USD
9516.15000000
0.002241793327
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
5.50000000
N
N
N
N
N
N
BONOS DE TESORERIA
254900STKLK2DBJJZ530
Peru Government Bond
000000000
3000000.00000000
PA
786873.60000000
0.185369922274
Long
DBT
NUSS
PE
N
2
2032-08-12
Fixed
6.15000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BAU3
255000.00000000
PA
USD
243128.22000000
0.057275602134
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Floating
4.43057000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31413HYF9
4164.11000000
PA
USD
4446.08000000
0.001047397579
Long
ABS-MBS
USGSE
US
N
2
2037-09-01
Fixed
6.00000000
N
N
N
N
N
N
TARGET CORP
8WDDFXB5T1Z6J0XC1L66
Target Corp
87612EBL9
30000.00000000
PA
USD
29605.04000000
0.006974289090
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31406XA51
65447.95000000
PA
USD
71463.41000000
0.016835190248
Long
ABS-MBS
USGSE
US
N
2
2035-05-01
Fixed
5.50000000
N
N
N
N
N
N
Basic Asset Backed Securities
N/A
Basic Asset Backed Securities Trust 2006-1
06983NAC1
12933.02000000
PA
USD
12937.43000000
0.003047770815
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
1.07657000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DD6
350000.00000000
PA
USD
356023.73000000
0.083871273807
Long
DBT
CORP
US
N
2
2025-07-10
Fixed
3.75000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAM2
200000.00000000
PA
USD
182640.00000000
0.043025922593
Long
DBT
NUSS
MX
N
2
2031-05-24
Fixed
2.65900000
N
N
N
N
N
N
TERRIER MEDIA BUYER INC
N/A
Terrier Media Buyer Inc
88145LAE4
246875.00000000
PA
USD
243502.44000000
0.057363760045
Long
LON
CORP
US
N
2
2026-12-17
Floating
3.50000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AG5
40000.00000000
PA
USD
41261.33000000
0.009720251810
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.12500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFH7
350000.00000000
PA
USD
358692.04000000
0.084499868308
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
4.20000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGU8
110000.00000000
PA
USD
120041.69000000
0.028279152769
Long
DBT
CORP
US
N
2
2046-12-07
Fixed
4.75000000
N
N
N
N
N
N
MIDMICHIGAN HEALTH
N/A
MidMichigan Health
597861AA1
55000.00000000
PA
USD
48502.15000000
0.011426027986
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
3.40900000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBV9
30000.00000000
PA
USD
36721.94000000
0.008650872469
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
5.55000000
N
N
N
N
N
N
Business Jet Securities, LLC
N/A
Business Jet Securities 2021-1 LLC
12327BAB2
252071.96000000
PA
USD
235037.06000000
0.055369504763
Long
ABS-O
CORP
US
N
2
2036-04-15
Fixed
2.91800000
N
N
N
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust 2005-6
437084NG7
620000.00000000
PA
USD
606974.48000000
0.142989690059
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
1.40157000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ABP45
48899.16000000
PA
USD
50365.91000000
0.011865088397
Long
ABS-MBS
USGSE
US
N
2
2026-04-01
Fixed
4.00000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
FNMA TBA 30YR TBA
000000000
-200000.00000000
NC
USD
-1562.96000000
-0.00036819862
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Put
Written
Fannie Mae or Freddie Mac
Fannie Mae or Freddie Mac
1.00000000
USD
96.40625000
USD
2022-06-06
XXXX
-320.77000000
N
N
N
United Auto Credit Securitizat
N/A
United Auto Credit Securitization Trust
90943UAD6
450000.00000000
PA
USD
437380.16000000
0.103037039574
Long
ABS-O
CORP
US
N
2
2026-06-10
Fixed
1.14000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCE3
340000.00000000
PA
USD
310534.87000000
0.073155109937
Long
DBT
CORP
US
N
2
2031-03-25
Fixed
2.87500000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAJ9
165000.00000000
PA
USD
160126.66000000
0.037722280323
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
3128NHK36
2915.38000000
PA
USD
3003.94000000
0.000707661464
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
1.59500000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDL2
172000.00000000
PA
USD
145694.78000000
0.034322450320
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
2.80000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JP3
200000.00000000
PA
USD
192823.60000000
0.045424952298
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
3.15000000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBB6
600000.00000000
PA
USD
712928.40000000
0.167950077490
Long
DBT
NUSS
QA
N
2
2049-03-14
Fixed
4.81700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132ADXZ6
75403.69000000
PA
USD
79826.68000000
0.018805390684
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
5.00000000
N
N
N
N
N
N
RELIANCE INDUSTRIES LTD
5493003UOETFYRONLG31
Reliance Industries Ltd
759470BD8
310000.00000000
PA
USD
275684.49000000
0.064945135385
Long
DBT
CORP
IN
N
2
2052-01-12
Fixed
3.62500000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
USD/ILS FORWARD
000000000
1.00000000
NC
USD
-5609.03000000
-0.00132136273
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-2399860.00000000
ILS
752232.60000000
USD
2022-10-07
-5609.03000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-5988.33000000
-0.00141071738
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2038-11-12
45.60000000
USD
0.00000000
USD
-13260000.00000000
JPY
-6033.93000000
N
N
N
MHC Commercial Mortgage Trust
N/A
MHC Trust 2021-MHC2
55293AAA5
620000.00000000
PA
USD
608889.60000000
0.143440849744
Long
ABS-MBS
CORP
US
N
2
2023-05-15
Floating
1.24700000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CANADIAN DOLLAR CURRENCY
000000000
12.00000000
NC
USD
28819.44000000
0.006789219199
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
CANADIAN DOLLAR
CANADIAN DOLLAR
2022-06-14
932260.56000000
USD
28819.44000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SX7
1380000.00000000
PA
USD
1353936.32000000
0.318957289204
Long
DBT
UST
US
N
2
2051-05-15
Fixed
2.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376REA0
608041.85000000
PA
USD
608060.09000000
0.143245435634
Long
ABS-MBS
USGA
US
N
2
2065-07-20
Floating
0.70629000
N
N
N
N
N
N
LIFE STORAGE LP
X0MIGH67XZCB7HL1A534
Life Storage LP
53227JAD6
75000.00000000
PA
USD
66223.04000000
0.015600675607
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
2.40000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017CY3
180000.00000000
PA
USD
188414.97000000
0.044386377105
Long
DBT
CORP
US
N
2
2028-11-16
Fixed
4.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KGNJ3
112379.09000000
PA
USD
111750.46000000
0.026325923355
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Banc of America Merrill Lynch
N/A
BAMLL RE-Remic Trust 2014-FRR8
05525QAA5
190000.00000000
PA
USD
180333.03000000
0.042482451761
Long
ABS-MBS
CORP
US
N
2
2047-11-26
Variable
2.26665000
N
N
N
N
N
N
ICON LUXEMBOURG SARL
635400PUWMHSPI2DDA35
ICON Luxembourg Sarl
000000000
203269.87030000
PA
USD
202380.56000000
0.047676359553
Long
LON
CORP
LU
N
2
2028-07-01
Floating
3.00000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
French Government Bond
000000000
11.00000000
NC
-89543.41000000
-0.02109443619
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
FRANCE (GOVT OF)
French Republic Government Bond OAT
2022-06-08
1934104.50000000
USD
-89543.41000000
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PAP0
800000.00000000
PA
USD
797294.60000000
0.187824878139
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.80000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBQ0
250000.00000000
PA
USD
238649.78000000
0.056220581258
Long
DBT
CORP
US
N
2
2042-07-15
Fixed
3.75000000
N
N
N
N
N
N
VMWARE INC
549300BUDHS3LRWBE814
VMware Inc
928563AJ4
100000.00000000
PA
USD
91952.83000000
0.021662041972
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
1.40000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CME Ultra Long Term US Treasury Bond
000000000
-63.00000000
NC
USD
581931.76000000
0.137090182108
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
2022-06-21
-11740806.76000000
USD
581931.76000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LHPM0
38788.44000000
PA
USD
40166.75000000
0.009462393102
Long
ABS-MBS
USGSE
US
N
2
2029-03-01
Fixed
3.45000000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BS1
90000.00000000
PA
USD
76048.39000000
0.017915309578
Long
DBT
CORP
US
N
2
2040-10-01
Fixed
2.60000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust
89171DAG2
300000.00000000
PA
USD
286669.56000000
0.067532973600
Long
ABS-O
CORP
US
N
2
2053-10-25
Variable
3.15976200
N
N
N
N
N
N
DP WORLD PLC
549300M3U2DNF4QVSS04
DP World Ltd/United Arab Emirates
23330JAB7
200000.00000000
PA
USD
217060.60000000
0.051134650534
Long
DBT
CORP
AE
N
2
2048-09-25
Fixed
5.62500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CEF4
4360000.00000000
PA
USD
4369878.10000000
1.029446106393
Long
DBT
UST
US
N
2
2027-03-31
Fixed
2.50000000
N
N
N
N
N
N
PFP III
N/A
PFP 2021-7 Ltd
69290LAE7
261986.93000000
PA
USD
255705.27000000
0.060238475436
Long
ABS-MBS
CORP
KY
N
2
2038-04-14
Floating
1.83057000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST
46652DAQ8
280000.00000000
PA
USD
240164.74000000
0.056577472146
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
7.14700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TZ65
91001.49000000
PA
USD
95164.77000000
0.022418703611
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
4.50000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BF8
280000.00000000
PA
USD
303296.13000000
0.071449823763
Long
DBT
CORP
NL
N
2
2045-05-11
Fixed
4.37500000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GAT9
140000.00000000
PA
USD
141414.26000000
0.033314054995
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.04300000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDT5
27000.00000000
PA
USD
22411.61000000
0.005279676943
Long
DBT
CORP
US
N
2
2056-11-01
Fixed
2.93700000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBC0
220000.00000000
PA
USD
220550.08000000
0.051956694426
Long
DBT
CORP
IT
N
2
2023-01-12
Fixed
3.37500000
N
N
N
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AB3
590000.00000000
PA
USD
595548.14000000
0.140297898445
Long
DBT
CORP
N/A
N
2
2028-10-20
Fixed
4.75000000
N
N
N
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AT9
130000.00000000
PA
USD
175355.05000000
0.041309750370
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
AETNA INC
549300QKBENKLBXQ8968
Aetna Inc
00817YAV0
40000.00000000
PA
USD
40170.23000000
0.009463212913
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
2.80000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAF3
420000.00000000
PA
USD
471109.50000000
0.110982922031
Long
DBT
CORP
US
N
2
2045-05-22
Fixed
5.15000000
N
N
N
N
N
N
TWO FRN 25MAR22
N/A
TWO FRN 25MAR22
000000000
750000.00000000
PA
USD
755700.00000000
0.178026115328
Long
ABS-CBDO
CORP
US
N
2
2023-02-08
Fixed
3.58000000
N
N
N
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JAR9
185000.00000000
PA
USD
168781.99000000
0.039761283600
Long
DBT
CORP
AU
N
2
2027-01-12
Fixed
1.34000000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAF5
210000.00000000
PA
USD
174748.07000000
0.041166759379
Long
DBT
CORP
NL
N
2
2031-07-13
Fixed
3.06100000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
65580000.00000000
PA
40356.92000000
0.009507192926
Long
DBT
NUSS
RU
N
2
2039-03-16
Fixed
7.70000000
N
N
N
N
N
N
Gallatin Funding Ltd
N/A
Gallatin CLO IX 2018-1 Ltd
36361WAC0
300051.01000000
PA
USD
298956.48000000
0.070427498725
Long
ABS-CBDO
CORP
KY
N
2
2028-01-21
Floating
1.30514000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31288QFS4
150063.18000000
PA
USD
151272.00000000
0.035636319330
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Floating
2.87200000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378KYP8
46926.08000000
PA
USD
45746.15000000
0.010776775672
Long
ABS-MBS
CORP
US
N
2
2047-11-16
Variable
2.76409000
N
N
N
N
N
N
DUKE ENERGY OHIO INC
L6KC0HABGHNFU1Z6QY21
Duke Energy Ohio Inc
26442EAF7
20000.00000000
PA
USD
20357.18000000
0.004795698920
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
3.65000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91086QBG2
200000.00000000
PA
USD
210386.00000000
0.049562263199
Long
DBT
NUSS
MX
N
2
2026-01-21
Fixed
4.12500000
N
N
N
N
N
N
IRB HOLDING CORP
549300HVW4WNWYBXN830
IRB Holding Corp
44988LAF4
246786.60420000
PA
USD
244935.70000000
0.057701404229
Long
LON
CORP
US
N
2
2025-02-05
Floating
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X3CH9
50406.70000000
PA
USD
51485.19000000
0.012128765876
Long
ABS-MBS
USGSE
US
N
2
2040-02-01
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-3.00000000
NC
USD
-140.64000000
-0.00003313165
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
128.00000000
USD
2022-04-22
XXXX
1447.96000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KRRC5
83808.12000000
PA
USD
80156.08000000
0.018882989999
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
USD/JPY FORWARD
000000000
1.00000000
NC
USD
401.60000000
0.000094608029
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-34700000.00000000
JPY
285752.54000000
USD
2022-05-18
401.60000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BKY1
51075.49000000
PA
USD
51730.25000000
0.012186496562
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JHYV9
33813.40000000
PA
USD
35462.22000000
0.008354110450
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
GOODMAN US FIN THREE
N/A
Goodman US Finance Three LLC
38239JAA9
200000.00000000
PA
USD
199952.90000000
0.047104456842
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
3.70000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BY5
900000.00000000
PA
USD
853776.00000000
0.201130639990
Long
DBT
NUSS
BR
N
2
2047-02-21
Fixed
5.62500000
N
N
N
N
N
N
Hunter Douglas Inc
529900811T142NS3H544
Hunter Douglas Inc
000000000
350000.00000000
PA
USD
343729.05000000
0.080974920599
Long
LON
CORP
US
N
2
2029-02-25
Floating
4.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABR5
10000.00000000
PA
USD
9434.00000000
0.002222440614
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
2.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WNF1
188180.83000000
PA
USD
186549.34000000
0.043946876164
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
3.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CD4
300000.00000000
PA
USD
270358.37000000
0.063690419951
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
2.25000000
N
N
N
N
N
N
DANONE SA
969500KMUQ2B6CBAF162
Danone SA
23636TAD2
200000.00000000
PA
USD
199868.26000000
0.047084517540
Long
DBT
CORP
FR
N
2
2023-11-02
Fixed
2.58900000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CM5
30000.00000000
PA
USD
29387.55000000
0.006923053282
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X83T2
91563.96000000
PA
USD
87817.66000000
0.020687887874
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
SMB Private Education Loan Tru
N/A
SMB Private Education Loan Trust 2021-A
78448YAD3
150000.00000000
PA
USD
140234.01000000
0.033036014340
Long
ABS-O
CORP
US
N
2
2053-01-15
Fixed
2.31000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133APF79
96022.27000000
PA
USD
92077.17000000
0.021691333711
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412PYH8
13005.84000000
PA
USD
13364.46000000
0.003148369587
Long
ABS-MBS
USGSE
US
N
2
2024-06-01
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/BRL FORWARD
000000000
1.00000000
NC
USD
79798.17000000
0.018798674362
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-373399.12000000
USD
2169075.50000000
BRL
2022-04-19
79798.17000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
JPY/USD FORWARD
000000000
1.00000000
NC
USD
17914.99000000
0.004220373264
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-1392763.26000000
USD
171672000.00000000
JPY
2022-04-19
17914.99000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
USD/NOK FORWARD
000000000
1.00000000
NC
USD
16604.64000000
0.003911683942
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-1623431.99000000
USD
14445000.00000000
NOK
2022-05-18
16604.64000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGE26
14438.27000000
PA
USD
16129.88000000
0.003799841044
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
6.00000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BB7
50000.00000000
PA
USD
53430.75000000
0.012587096548
Long
DBT
CORP
US
N
2
2042-12-01
Fixed
4.62500000
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
Johnson & Johnson
478160CP7
80000.00000000
PA
USD
73286.19000000
0.017264596682
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
0.95000000
N
N
N
N
N
N
DELTA AIRLINES 2015B
N/A
Delta Air Lines 2015-1 Class B Pass Through Trust
24737AAA5
93284.13060000
PA
USD
93513.91000000
0.022029797706
Long
DBT
CORP
US
N
2
2023-07-30
Fixed
4.25000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAL8
10000.00000000
PA
USD
9345.62000000
0.002201620251
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138L9T85
30000.00000000
PA
USD
30001.91000000
0.007067782836
Long
ABS-MBS
USGSE
US
N
2
2025-04-01
Fixed
2.81000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFL74
197899.87000000
PA
USD
184067.95000000
0.043362315859
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.00000000
N
N
N
N
N
N
DEERE & COMPANY
PWFTNG3EI0Y73OXWDH08
Deere & Co
244199BJ3
20000.00000000
PA
USD
20055.46000000
0.004724620398
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.10000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RH3
1800000.00000000
PA
USD
1948007.81000000
0.458907321746
Long
DBT
UST
US
N
2
2044-08-15
Fixed
3.12500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GGM0
190000.00000000
PA
USD
246124.16000000
0.057981378977
Long
DBT
CORP
US
N
2
2041-02-01
Fixed
6.25000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141EC23
160000.00000000
PA
USD
163004.04000000
0.038400127066
Long
DBT
CORP
US
N
2
2024-07-08
Fixed
3.85000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBN5
300000.00000000
PA
USD
266924.39000000
0.062881450626
Long
DBT
CORP
US
N
2
2051-04-22
Fixed
3.10900000
N
N
N
N
N
N
HOLLYFRONTIER CORP
549300J3U2WK73C9ZK26
HollyFrontier Corp
436106AB4
35000.00000000
PA
USD
34661.99000000
0.008165594057
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
2.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AGCY3
89008.92000000
PA
USD
83031.04000000
0.019560266644
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Acres PLC
N/A
ACRES Commercial Realty 2021-FL1 Ltd
00103CAA7
470000.00000000
PA
USD
463655.94000000
0.109227029042
Long
ABS-CBDO
CORP
KY
N
2
2036-06-15
Floating
1.64100000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636ABC4
300000.00000000
PA
USD
302620.50000000
0.071290660359
Long
DBT
CORP
DK
N
2
2028-04-01
Fixed
4.29800000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBV0
540000.00000000
PA
USD
535739.24000000
0.126208251589
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
2.95000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746RF0
400000.00000000
PA
USD
477840.89000000
0.112568687828
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
5.60600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AGKB4
92783.40000000
PA
USD
86436.67000000
0.020362557340
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
FNMA TBA 30YR TBA
000000000
-300000.00000000
NC
USD
-61.38000000
-0.00001445976
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Call
Written
Fannie Mae or Freddie Mac
Fannie Mae or Freddie Mac
1.00000000
USD
99.76953125
USD
2022-05-05
XXXX
1180.81000000
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAE8
460000.00000000
PA
USD
336376.45000000
0.079242811540
Long
DBT
CORP
NL
N
2
2051-02-08
Fixed
3.83200000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
First Franklin Mortgage Loan Trust 2006-FF15
32028GAB1
546338.80000000
PA
USD
521218.31000000
0.122787443386
Long
ABS-O
CORP
US
N
2
2036-11-25
Floating
0.57657000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-18.00000000
NC
USD
-5765.63000000
-0.00135825421
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
114.00000000
USD
2022-04-22
XXXX
953.23000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHF9
90000.00000000
PA
USD
90556.51000000
0.021333100030
Long
DBT
CORP
US
N
2
2024-03-05
Fixed
3.55000000
N
N
N
N
N
N
AIB GROUP PLC
635400AKJBGNS5WNQL34
AIB Group PLC
00135TAB0
200000.00000000
PA
USD
200525.90000000
0.047239442900
Long
DBT
CORP
IE
N
2
2025-04-10
Fixed
4.26300000
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06367WB85
100000.00000000
PA
USD
96177.83000000
0.022657358019
Long
DBT
CORP
CA
N
2
2025-05-01
Fixed
1.85000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAG0
200000.00000000
PA
USD
202718.30000000
0.047755923587
Long
DBT
CORP
ES
N
2
2023-04-12
Fixed
3.84800000
N
N
N
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
USD/GBP FORWARD
000000000
1.00000000
NC
USD
-1310.01000000
-0.00030860922
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-262660.35000000
USD
199000.00000000
GBP
2022-05-18
-1310.01000000
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBE4
40000.00000000
PA
USD
38175.00000000
0.008993181093
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LMUT8
78828.62000000
PA
USD
81408.78000000
0.019178098262
Long
ABS-MBS
USGSE
US
N
2
2030-03-01
Fixed
3.46800000
N
N
N
N
N
N
FLEX INTERMEDIATE HOLDCO
549300290TQIGM30A243
Flex Intermediate Holdco LLC
33939HAB5
35000.00000000
PA
USD
32710.35000000
0.007705831072
Long
DBT
CORP
US
N
2
2039-12-30
Fixed
4.31700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128M6SU3
66151.58000000
PA
USD
73015.42000000
0.017200809291
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
5.50000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BU2
40000.00000000
PA
USD
41372.39000000
0.009746415076
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KA4
115000.00000000
PA
USD
114542.26000000
0.026983609353
Long
DBT
CORP
US
N
2
2024-02-16
Fixed
3.25000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162CY4
43000.00000000
PA
USD
34649.04000000
0.008162543325
Long
DBT
CORP
US
N
2
2053-09-01
Fixed
2.77000000
N
N
N
N
N
N
Fortress CBO Investments Ltd
N/A
FORT CRE 2022-FL3 Issuer LLC
34706CAA7
300000.00000000
PA
USD
301050.00000000
0.070920685483
Long
ABS-CBDO
CORP
US
N
2
2026-12-17
Floating
1.93334000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBH4
40000.00000000
PA
USD
40205.26000000
0.009471465202
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.99200000
N
N
N
N
N
N
Wachovia Mortgage Loan Trust,
N/A
Wachovia Mortgage Loan Trust Series 2005-WMC1
92977YAY7
898336.87000000
PA
USD
859115.93000000
0.202388608753
Long
ABS-O
CORP
US
N
2
2035-10-25
Floating
1.14657000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178DH20
43066.13000000
PA
USD
42800.75000000
0.010082904930
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
64072UAH5
49616.36560000
PA
USD
48814.52000000
0.011499615412
Long
LON
CORP
US
N
2
2026-01-15
Floating
2.49130000
N
N
N
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
USD/EUR FORWARD
000000000
1.00000000
NC
USD
52174.39000000
0.012291126070
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-2857000.00000000
EUR
3213102.91000000
USD
2022-04-04
52174.39000000
N
N
N
HILTON WORLDWIDE FIN LLC
N/A
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp
432891AK5
130000.00000000
PA
USD
131106.30000000
0.030885728839
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
4.87500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-35.00000000
NC
USD
-28984.40000000
-0.00682808010
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
114.75000000
USD
2022-05-20
XXXX
-8263.68000000
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DP9
140000.00000000
PA
USD
154020.67000000
0.036283844859
Long
DBT
CORP
US
N
2
2050-06-30
Fixed
4.37500000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AU5
60000.00000000
PA
USD
56100.00000000
0.013215912491
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
2.26800000
N
N
N
N
N
N
UDR INC
P3CH2EG5X6Z1XWU1OO74
UDR Inc
90265EAT7
200000.00000000
PA
USD
172749.23000000
0.040695877124
Long
DBT
CORP
US
N
2
2032-08-01
Fixed
2.10000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
106227.76000000
0.025024898045
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-11-18
0.00000000
USD
-14294.04000000
USD
-3880000.00000000
USD
120521.80000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QB7
400000.00000000
PA
USD
501312.50000000
0.118098077200
Long
DBT
UST
US
N
2
2039-05-15
Fixed
4.25000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS APACHE CORP
000000000
1.00000000
NC
USD
-5992.33000000
-0.00141165969
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
APACHE CORP
Apache Corp
Y
Default Event
2026-12-20
0.00000000
USD
-15568.01000000
USD
524000.00000000
USD
9575.68000000
N
N
N
NUTRIEN LTD
5493002QQ7GD21OWF963
Nutrien Ltd
67077MAU2
30000.00000000
PA
USD
34929.84000000
0.008228693561
Long
DBT
CORP
CA
N
2
2049-04-01
Fixed
5.00000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017DD8
60000.00000000
PA
USD
61938.57000000
0.014591349750
Long
DBT
CORP
US
N
2
2025-08-16
Fixed
3.95000000
N
N
N
N
N
N
O'REILLY AUTOMOTIVE INC
549300K2RLMQL149Q332
O'Reilly Automotive Inc
67103HAH0
100000.00000000
PA
USD
101625.44000000
0.023940693796
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
3.90000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325EA9
200000.00000000
PA
USD
156752.00000000
0.036927285470
Long
DBT
NUSS
CO
N
2
2042-02-22
Fixed
4.12500000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBB0
330000.00000000
PA
USD
321738.62000000
0.075794464297
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.55700000
N
N
N
N
N
N
PHOENIX GUARANTOR INC
N/A
Phoenix Guarantor Inc
71913BAH5
79200.00000000
PA
USD
78365.55000000
0.018461180947
Long
LON
CORP
US
N
2
2026-03-05
Floating
3.66170000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
2780000.00000000
PA
140816.62000000
0.033173264301
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810QK7
320000.00000000
PA
USD
382500.00000000
0.090108494261
Long
DBT
UST
US
N
2
2040-08-15
Fixed
3.87500000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017BB9
120000.00000000
PA
USD
115090.10000000
0.027112668275
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
0.97200000
N
N
N
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
168863DV7
300000.00000000
PA
USD
296673.00000000
0.069889561615
Long
DBT
NUSS
CL
N
2
2034-01-31
Fixed
3.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NN7
180000.00000000
PA
USD
178643.10000000
0.042084341833
Long
DBT
CORP
US
N
2
2033-03-17
Fixed
3.78500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-522F
126417AA2
560000.00000000
PA
USD
558834.30000000
0.131648934155
Long
ABS-MBS
CORP
US
N
2
2025-09-16
Floating
4.13870000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-42744.28000000
-0.01006960185
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-03-20
0.00000000
USD
-91662.97000000
USD
-260000000.00000000
JPY
48918.69000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QJ37
9963456.57000000
PA
USD
406658.48000000
0.095799694931
Long
ABS-MBS
USGA
US
N
2
2071-03-20
Variable
0.81583000
N
N
N
N
N
N
SKANDINAVISKA ENSKILDA
F3JS33DEI6XQ4ZBPTN86
Skandinaviska Enskilda Banken AB
000000000
400000.00000000
PA
USD
401957.60000000
0.094692272138
Long
DBT
CORP
SE
N
2
N/A
Fixed
5.62500000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZU5
80000.00000000
PA
USD
78327.60000000
0.018452240771
Long
DBT
CORP
US
N
2
2024-10-28
Fixed
2.90000000
N
N
N
N
N
N
ARCELORMITTAL
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LAP9
80000.00000000
PA
USD
94099.60000000
0.022167773245
Long
DBT
CORP
LU
N
2
2039-10-15
Variable
7.00000000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BG2
10000.00000000
PA
USD
10184.85000000
0.002399324177
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKE1
30000.00000000
PA
USD
25810.10000000
0.006080285614
Long
DBT
CORP
US
N
2
2052-02-01
Fixed
3.30000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBQ3
26000.00000000
PA
USD
22624.82000000
0.005329904478
Long
DBT
CORP
US
N
2
2036-11-15
Fixed
3.18700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAKS2
68566.11000000
PA
USD
67723.82000000
0.015954226002
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
3.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LW9
150000.00000000
PA
USD
153036.15000000
0.036051913840
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
4.07500000
N
N
N
N
N
N
TELEFONICA EMISIONES SAU
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
87938WAU7
150000.00000000
PA
USD
161362.08000000
0.038013317802
Long
DBT
CORP
ES
N
2
2047-03-08
Fixed
5.21300000
N
N
N
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AF5
10000.00000000
PA
USD
10156.55000000
0.002392657326
Long
DBT
CORP
CA
N
2
2029-02-01
Fixed
5.87500000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAL0
30000.00000000
PA
USD
30383.51000000
0.007157679311
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
4.25000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ABS5
40000.00000000
PA
USD
36691.30000000
0.008643654367
Long
DBT
CORP
US
N
2
2026-01-08
Fixed
1.30000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023BY0
20000.00000000
PA
USD
17620.25000000
0.004150939074
Long
DBT
CORP
US
N
2
2038-03-01
Fixed
3.55000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ARQV0
459591.92000000
PA
USD
450216.34000000
0.106060958141
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
3.00000000
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BH2
100000.00000000
PA
USD
122138.16000000
0.028773034482
Long
DBT
CORP
US
N
2
2046-11-30
Fixed
4.90000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBX0
140000.00000000
PA
USD
134749.93000000
0.031744087043
Long
DBT
CORP
US
N
2
2030-01-31
Fixed
2.80000000
N
N
N
N
N
N
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
TSE Japanese 10 Year Bond
000000000
-3.00000000
NC
25608.67000000
0.006032833186
N/A
DIR
CORP
JP
N
1
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
Short
JAPAN (10 YEAR ISSUE)
Japan Government Ten Year Bond
2022-06-13
-3911916.96000000
USD
25608.67000000
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AN3
105000.00000000
PA
USD
96458.81000000
0.022723550659
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.25000000
N
N
N
N
N
N
JAPAN GOVT CPI LINKED
353800WZS8AXZXFUC241
Japanese Government CPI Linked Bond
000000000
138673187.00000000
PA
1192744.32000000
0.280984038467
Long
DBT
NUSS
JP
N
2
2026-03-10
Fixed
0.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418B6J0
193253.42000000
PA
USD
192816.48000000
0.045423274984
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
3.00000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
FNMA TBA 30YR TBA
000000000
-200000.00000000
NC
USD
-1383.90000000
-0.00032601606
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Call
Written
Fannie Mae or Freddie Mac
Fannie Mae or Freddie Mac
1.00000000
USD
98.40625000
USD
2022-06-06
XXXX
-321.40000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCK96
13829.41000000
PA
USD
14283.67000000
0.003364915022
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L1UQ6
91231.28000000
PA
USD
84909.88000000
0.020002879567
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
26439XAH6
20000.00000000
PA
USD
23087.60000000
0.005438925155
Long
DBT
CORP
US
N
2
2036-11-03
Fixed
6.45000000
N
N
N
N
N
N
KUWAIT INTL BOND
549300FSC1YD0D9XX589
Kuwait International Government Bond
501499AB3
270000.00000000
PA
USD
281499.30000000
0.066314975316
Long
DBT
NUSS
KW
N
2
2027-03-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FXC89
90779.76000000
PA
USD
12719.15000000
0.002996348901
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Fixed
2.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFX2
110000.00000000
PA
USD
111468.78000000
0.026259565811
Long
DBT
CORP
US
N
2
2026-04-19
Fixed
3.50000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78015K7H1
130000.00000000
PA
USD
122830.08000000
0.028936035447
Long
DBT
CORP
CA
N
2
2025-06-10
Fixed
1.15000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-6.00000000
NC
USD
-1125.00000000
-0.00026502498
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
127.00000000
USD
2022-05-20
XXXX
4349.00000000
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
USD/PEN FORWARD
000000000
1.00000000
NC
USD
1313.21000000
0.000309363073
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-126000.00000000
USD
469665.00000000
PEN
2022-05-03
1313.21000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RB6
1700000.00000000
PA
USD
1761591.80000000
0.414991855165
Long
DBT
UST
US
N
2
2043-05-15
Fixed
2.87500000
N
N
N
N
N
N
GLS Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2020-4
36261EAB3
150000.00000000
PA
USD
149520.26000000
0.035223648340
Long
ABS-O
CORP
US
N
2
2024-12-16
Fixed
0.87000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CX4
90000.00000000
PA
USD
90747.49000000
0.021378090671
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
3.55000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
13702.53000000
0.003228011361
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-03-20
24873.77000000
USD
0.00000000
USD
166000000.00000000
JPY
-11171.24000000
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AL0
100000.00000000
PA
USD
86518.49000000
0.020381832312
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
1.75000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAR2
1273000.00000000
PA
USD
1126769.74000000
0.265441894510
Long
DBT
CORP
KY
N
2
2027-11-18
Fixed
2.52800000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DAU4
200000.00000000
PA
USD
183673.23000000
0.043269328604
Long
DBT
CORP
NL
N
2
2027-06-16
Fixed
1.54200000
N
N
N
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
CommScope Inc
20338QAD5
40000.00000000
PA
USD
40512.00000000
0.009543726325
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
6.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
1031.00000000
NC
USD
-2651611.31000000
-0.62466066015
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
2022-06-30
120894423.81000000
USD
-2651611.31000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
JPY/USD FORWARD
000000000
1.00000000
NC
USD
-66034.24000000
-0.01555619852
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-1342657.98000000
USD
155358283.00000000
JPY
2022-04-19
-66034.24000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-5.00000000
NC
USD
-234.38000000
-0.00005521471
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
128.00000000
USD
2022-04-22
XXXX
3006.98000000
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AK3
110000.00000000
PA
USD
90376.55000000
0.021290705456
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
6.25000000
N
N
N
N
N
N
COSTCO WHOLESALE CORP
29DX7H14B9S6O3FD6V18
Costco Wholesale Corp
22160KAP0
40000.00000000
PA
USD
35887.69000000
0.008454341721
Long
DBT
CORP
US
N
2
2030-04-20
Fixed
1.60000000
N
N
N
N
N
N
MEDTRONIC INC
D56MRZY2INAN94ZONZ37
Medtronic Inc
585055BS4
36000.00000000
PA
USD
36764.20000000
0.008660827986
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VBG8
20000.00000000
PA
USD
20041.58000000
0.004721350578
Long
DBT
CORP
US
N
2
2042-11-01
Fixed
3.85000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-14.00000000
NC
USD
-328.14000000
-0.00007730248
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
118.50000000
USD
2022-04-22
XXXX
6194.53000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-30.00000000
NC
USD
-2343.80000000
-0.00055214716
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
130.00000000
USD
2022-05-20
XXXX
13776.30000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFPJ4
199015.30000000
PA
USD
191088.47000000
0.045016194254
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
DELTA AIR LINES 2020-A
N/A
Delta Air Lines 2020-1 Class A Pass Through Trust
247361ZW1
129669.24470000
PA
USD
120496.46000000
0.028386286469
Long
DBT
CORP
US
N
2
2028-06-10
Fixed
2.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2019-RIO
12597HAA4
430000.00000000
PA
USD
429413.39000000
0.101160245721
Long
ABS-MBS
CORP
US
N
2
2022-12-15
Floating
4.02351100
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
USD/ILS FORWARD
000000000
1.00000000
NC
USD
-3036.47000000
-0.00071532480
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-1600160.00000000
ILS
501538.94000000
USD
2022-09-07
-3036.47000000
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718FG9
10000.00000000
PA
USD
10017.42000000
0.002359881392
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
2.80000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
460000.00000000
PA
USD
477470.10000000
0.112481337949
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AT6
60000.00000000
PA
USD
60008.70000000
0.014136715292
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AC1
60000.00000000
PA
USD
59810.70000000
0.014090070895
Long
DBT
CORP
US
N
2
2030-02-01
Variable
4.55000000
N
N
N
N
N
N
7-ELEVEN INC
549300K23JPL0SS3LB18
7-Eleven Inc
817826AF7
49000.00000000
PA
USD
39687.84000000
0.009349572556
Long
DBT
CORP
US
N
2
2041-02-10
Fixed
2.50000000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BH1
70000.00000000
PA
USD
71738.80000000
0.016900066008
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.55000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132ADGQ5
204008.97000000
PA
USD
208579.53000000
0.049136699037
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VQU7
543396.35000000
PA
USD
547836.23000000
0.129058033430
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Fixed
3.50000000
N
N
N
N
N
N
ACRE COMMERCIAL MORTGAGE TRUST
N/A
ACRE Commercial Mortgage 2021-FL4 Ltd
00489TAE6
180000.00000000
PA
USD
177526.62000000
0.041821323972
Long
ABS-MBS
CORP
KY
N
2
2037-12-18
Floating
1.86757000
N
N
N
N
N
N
FMMSR FRN 25FEB24
N/A
FMMSR FRN 25FEB24
000000000
630000.00000000
PA
USD
634725.00000000
0.149527095476
Long
ABS-CBDO
CORP
US
N
2
2024-02-25
Floating
3.65000000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAC0
50000.00000000
PA
USD
51065.00000000
0.012029778456
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.75000000
N
N
N
N
N
N
BROOKFIELD WEC HOLDINGS
5493002M6GRSU1IWMG57
Brookfield WEC Holdings Inc
11284EAM5
39500.00000000
PA
USD
38855.87000000
0.009153578925
Long
LON
CORP
US
N
2
2025-08-01
Floating
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KRF46
404753.59000000
PA
USD
396497.31000000
0.093405949235
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
3.00000000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAQ6
240000.00000000
PA
USD
246112.98000000
0.057978745218
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XD6Y7
97978.19000000
PA
USD
92239.16000000
0.021729494952
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
2.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHD4
203000.00000000
PA
USD
201099.96000000
0.047374678670
Long
DBT
CORP
US
N
2
2028-12-20
Fixed
3.41900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371MDT1
15423.38000000
PA
USD
16908.10000000
0.003983172370
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
5.50000000
N
N
N
N
N
N
INTL LEASE FINANCE CORP
N/A
International Lease Finance Corp
459745GN9
150000.00000000
PA
USD
151863.79000000
0.035775731894
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.87500000
N
N
N
N
N
N
AMSR Trust
N/A
AMSR 2021-SFR1 Trust
00179DAE6
350000.00000000
PA
USD
309332.00000000
0.072871740514
Long
ABS-O
CORP
US
N
2
2038-06-17
Variable
2.75100000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-9.00000000
NC
USD
-7031.25000000
-0.00165640614
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.00000000
USD
2022-05-20
XXXX
265.68000000
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAM1
160000.00000000
PA
USD
160003.12000000
0.037693177046
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KK3X5
84745.37000000
PA
USD
81071.16000000
0.019098562498
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS ROLLS-ROYCE PLC SNR
000000000
1.00000000
NC
-8729.60000000
-0.00205649963
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
ROLLS-ROYCE PLC
ROLLS-ROYCE PLC
Y
Default Event
2024-12-20
0.00000000
USD
-4034.21000000
USD
800000.00000000
EUR
-4695.39000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFNJ6
298231.50000000
PA
USD
285155.56000000
0.067176308867
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBL5
10000.00000000
PA
USD
10538.00000000
0.002482518464
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
6.50000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBW2
130000.00000000
PA
USD
129439.56000000
0.030493081959
Long
DBT
CORP
US
N
2
2050-01-31
Fixed
4.20000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XAY1
10000.00000000
PA
USD
9947.45000000
0.002343398016
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
7.75000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F030660
12300000.00000000
PA
USD
11989283.43000000
2.824408567704
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.00000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NBJ7
160000.00000000
PA
USD
137523.20000000
0.032397407785
Long
DBT
CORP
NL
N
2
2051-06-10
Fixed
5.50000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
14560000.00000000
PA
698528.62000000
0.164557809533
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBJ0
20000.00000000
PA
USD
20638.50000000
0.004861971657
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WDM8
86299.57000000
PA
USD
85981.28000000
0.020255277582
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AJKJ1
97408.01000000
PA
USD
90729.92000000
0.021373951570
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAD7
90000.00000000
PA
USD
91138.35000000
0.021470168595
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.75000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
EUR/USD FORWARD
000000000
1.00000000
NC
USD
104.29000000
0.000024568404
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-64065.77000000
USD
58000.00000000
EUR
2022-04-04
104.29000000
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AP3
420000.00000000
PA
USD
415055.59000000
0.097777867319
Long
DBT
CORP
CH
N
2
2031-04-01
Fixed
4.19400000
N
N
N
N
N
N
Bear Stearns Adjustable Rate M
N/A
Bear Stearns ARM Trust 2004-10
07384M3X8
137109.21000000
PA
USD
143382.60000000
0.033777752128
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Variable
2.63228200
N
N
N
N
N
N
FRONERI US INC
N/A
Froneri US Inc
000000000
207065.59120000
PA
USD
203804.31000000
0.048011763393
Long
LON
CORP
US
N
2
2027-01-31
Floating
2.45860000
N
N
N
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAF1
30000.00000000
PA
USD
29553.11000000
0.006962055536
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.85000000
N
N
N
N
N
N
Madison Park Euro Funding
635400XLHN7OVUSEV112
Madison Park Euro Funding XIV DAC
000000000
300000.00000000
PA
328330.67000000
0.077347404688
Long
ABS-CBDO
CORP
IE
N
2
2032-07-15
Floating
0.80000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CD6
700000.00000000
PA
USD
719065.17000000
0.169395764037
Long
DBT
NUSS
ID
N
2
2028-01-11
Fixed
3.50000000
N
N
N
N
N
N
CITICORP SECURITIES SERVICES, INC.
549300N0SOX9OZVKG341
CAD/USD FORWARD
000000000
1.00000000
NC
USD
-8235.21000000
-0.00194003234
N/A
DFE
CORP
US
N
2
CITICORP SECURITIES SERVICES, INC.
549300N0SOX9OZVKG341
-1445580.00000000
CAD
1147978.15000000
USD
2022-04-19
-8235.21000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCE9
1350000.00000000
PA
USD
1257082.04000000
0.296140574606
Long
DBT
UST
US
N
2
2028-05-31
Fixed
1.25000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAQ2
300000.00000000
PA
USD
255315.00000000
0.060146536502
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
4.37330000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AK6
200000.00000000
PA
USD
225079.01000000
0.053023609623
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
4.90000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382HM98
87564.70000000
PA
USD
12719.05000000
0.002996325343
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust 2017-4
35563PDB2
299797.43000000
PA
USD
301376.16000000
0.070997521526
Long
ABS-MBS
USGSE
US
N
2
2057-06-25
Fixed
3.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACB9
390000.00000000
PA
USD
354268.70000000
0.083457827766
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.55000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/CAD FORWARD
000000000
1.00000000
NC
USD
166494.50000000
0.039222401824
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-9301708.50000000
USD
11837819.32000000
CAD
2022-04-19
166494.50000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZR8
50000.00000000
PA
USD
49992.28000000
0.011777069478
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
3.61500000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAG8
70000.00000000
PA
USD
67380.20000000
0.015873276771
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.65000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBZ3
450000.00000000
PA
USD
419291.01000000
0.098775638087
Long
DBT
UST
US
N
2
2028-04-30
Fixed
1.25000000
N
N
N
N
N
N
ATHENAHEALTH GROUP INC
254900AA3KZN4Q7A5Z33
AthenaHealth Group Inc
000000000
57971.01000000
PA
USD
57481.85000000
0.013541445623
Long
LON
CORP
US
N
2
2029-02-15
Floating
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VFS4
22740.40000000
PA
USD
23553.03000000
0.005548570113
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
4.50000000
N
N
N
N
N
N
Multifamily Structured Credit
N/A
Freddie Mac Multifamily Structured Credit Risk
35563JAA1
372091.37000000
PA
USD
354805.05000000
0.083584179899
Long
ABS-MBS
CORP
US
N
2
2041-07-25
Floating
1.89900000
N
N
N
N
N
N
FLEX INTERMEDIATE HOLDCO
549300290TQIGM30A243
Flex Intermediate Holdco LLC
33939HAA7
45000.00000000
PA
USD
41883.78000000
0.009866887188
Long
DBT
CORP
US
N
2
2031-06-30
Fixed
3.36300000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAL7
380000.00000000
PA
USD
382161.29000000
0.090028701717
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.27900000
N
N
N
N
N
N
SOUTHERN COPPER CORP
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAE5
210000.00000000
PA
USD
268508.10000000
0.063254537484
Long
DBT
CORP
US
N
2
2040-04-16
Fixed
6.75000000
N
N
N
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AA5
70000.00000000
PA
USD
70461.76000000
0.016599223781
Long
DBT
CORP
N/A
N
2
2025-10-20
Fixed
4.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-8.00000000
NC
USD
-3125.01000000
-0.00073618286
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.00000000
USD
2022-04-22
XXXX
-763.85000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-NQM2
12662EAC7
371845.30000000
PA
USD
359464.79000000
0.084681911024
Long
ABS-MBS
CORP
US
N
2
2066-02-25
Variable
1.53800000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND WEEK 1
000000000
-1.00000000
NC
USD
-78.13000000
-0.00001840569
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND WEEK 1
000000000
0.00000000
PA
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
152.00000000
USD
2022-04-01
XXXX
248.28000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCK8
20000.00000000
PA
USD
23042.02000000
0.005428187521
Long
DBT
CORP
US
N
2
2046-08-21
Fixed
4.86200000
N
N
N
N
N
N
UNION ELECTRIC CO
QMPJLLDULY5C1M8PNY21
Union Electric Co
906548CU4
51000.00000000
PA
USD
52829.03000000
0.012445344696
Long
DBT
CORP
US
N
2
2052-04-01
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F030645
2000000.00000000
PA
USD
1956562.50000000
0.460922616477
Long
ABS-MBS
USGSE
US
N
2
2051-04-15
Fixed
3.00000000
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities I Trust 2005-FR1
073879G69
173079.13000000
PA
USD
171789.21000000
0.040469717760
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
1.46157000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2N2
80000.00000000
PA
USD
77225.18000000
0.018192535134
Long
DBT
CORP
US
N
2
2026-04-30
Fixed
2.18800000
N
N
N
N
N
N
ALABAMA POWER CO
0RL818ELFOHP5JHOFU19
Alabama Power Co
010392FU7
400000.00000000
PA
USD
347381.44000000
0.081835342464
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
1.45000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBG6
110000.00000000
PA
USD
123210.32000000
0.029025611536
Long
DBT
CORP
US
N
2
2050-03-19
Fixed
4.32700000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AJ8
220000.00000000
PA
USD
193153.40000000
0.045502645844
Long
DBT
CORP
CO
N
2
2045-05-28
Fixed
5.87500000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS BOEING CO
000000000
1.00000000
NC
USD
-5466.35000000
-0.00128775050
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
BOEING CO
Boeing Co/The
Y
Default Event
2026-12-20
0.00000000
USD
-1694.61000000
USD
300000.00000000
USD
-3771.74000000
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FL7
70000.00000000
PA
USD
68539.36000000
0.016146349090
Long
DBT
CORP
US
N
2
2070-02-05
Fixed
3.75000000
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Mortgage Finance Trust Series 2007-A1
161630AA6
85794.67000000
PA
USD
86425.78000000
0.020359991898
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Variable
2.32557100
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B35Z9
70000.00000000
PA
USD
74110.61000000
0.017458811701
Long
ABS-MBS
USGSE
US
N
2
2031-02-25
Fixed
3.61000000
N
N
N
N
N
N
BOSTON SCIENTIFIC CORP
Y6ZDD9FP4P8JSSJMW954
Boston Scientific Corp
101137AT4
30000.00000000
PA
USD
32534.69000000
0.007664449482
Long
DBT
CORP
US
N
2
2039-03-01
Fixed
4.55000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F72T1
2700000.00000000
PA
USD
240367.23000000
0.056625174287
Long
ABS-MBS
USGSE
US
N
2
2030-10-25
Variable
1.21118200
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
9084000000.00000000
PA
663705.98000000
0.156354369908
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932RAJ3
217800.00000000
PA
USD
215622.00000000
0.050795748364
Long
LON
CORP
US
N
2
2028-04-21
Floating
4.50000000
N
N
N
N
N
N
DataBank Issuer LLC
N/A
DataBank Issuer
23802WAA9
250000.00000000
PA
USD
232738.25000000
0.054827956246
Long
ABS-O
CORP
US
N
2
2051-02-27
Fixed
2.06000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAXX7
710489.34000000
PA
USD
729908.95000000
0.171950317469
Long
ABS-MBS
USGA
US
N
2
2051-01-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKDU9
184291.33000000
PA
USD
178704.66000000
0.042098844000
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
2.50000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DE2
90000.00000000
PA
USD
87101.78000000
0.020519242466
Long
DBT
CORP
US
N
2
2024-02-04
Fixed
1.43300000
N
N
N
N
N
N
FLEETCOR TECHNOLOGIES INC
549300FKKKZCXLK48427
FleetCor Technologies Operating Co LLC
33903RAY5
129025.64130000
PA
USD
127159.41000000
0.029955929323
Long
LON
CORP
US
N
2
2028-04-30
Floating
1.95860000
N
N
N
N
N
N
Securitized Asset Backed Recei
N/A
Securitized Asset Backed Receivables LLC Trust 2006-FR3
813765AB0
146216.39000000
PA
USD
94997.89000000
0.022379390394
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
0.73657000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
104460000.00000000
PA
4899273.79000000
1.154159958666
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TD0
750000.00000000
PA
USD
719531.25000000
0.169505562121
Long
DBT
UST
US
N
2
2052-02-15
Fixed
2.25000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBN9
100000.00000000
PA
USD
83880.53000000
0.019760387597
Long
DBT
CORP
US
N
2
2050-11-10
Fixed
2.77200000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BN3
300000.00000000
PA
USD
265743.00000000
0.062603141412
Long
DBT
NUSS
PA
N
2
2032-09-29
Fixed
2.25200000
N
N
N
N
N
N
WHATABRANDS LLC
254900HMMX4HTWIP0085
Whatabrands LLC
96244UAF4
299250.00000000
PA
USD
296033.06000000
0.069738805981
Long
LON
CORP
US
N
2
2028-08-03
Floating
3.75000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDG3
30000.00000000
PA
USD
30431.18000000
0.007168909302
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.40000000
N
N
N
N
N
N
SUZANO AUSTRIA G
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAK8
50000.00000000
PA
USD
44379.50000000
0.010454823323
Long
DBT
CORP
AT
N
2
2032-01-15
Fixed
3.12500000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CN0
80000.00000000
PA
USD
75321.30000000
0.017744023343
Long
DBT
CORP
US
N
2
2025-12-02
Fixed
2.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CP8
290000.00000000
PA
USD
259483.35000000
0.061128507070
Long
DBT
CORP
US
N
2
2035-02-01
Fixed
3.25000000
N
N
N
N
N
N
ACTIVISION BLIZZARD
549300TPQQDBP9GNOF40
Activision Blizzard Inc
00507VAP4
58000.00000000
PA
USD
50349.05000000
0.011861116556
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
1.35000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAP3
10000.00000000
PA
USD
10086.88000000
0.002376244623
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
3.77200000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162CF5
11000.00000000
PA
USD
12157.39000000
0.002864010737
Long
DBT
CORP
US
N
2
2051-06-15
Fixed
4.66300000
N
N
N
N
N
N
QUIKRETE HOLDINGS INC
5493007KIN86DIZWZT22
Quikrete Holdings Inc
74839XAG4
120000.00000000
PA
USD
118041.72000000
0.027808004311
Long
LON
CORP
US
N
2
2028-06-11
Floating
3.44660000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BT8
50000.00000000
PA
USD
50154.15000000
0.011815202450
Long
DBT
CORP
NL
N
2
2026-05-10
Fixed
2.87500000
N
N
N
N
N
N
API GROUP DE INC
549300XP4G7B4QYA0G83
APi Group DE Inc
00186XAB9
226973.56000000
PA
USD
224490.92000000
0.052885068696
Long
LON
CORP
US
N
2
2026-10-01
Floating
2.70860000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
AUSTRALIAN DOLLAR CURRENCY
000000000
75.00000000
NC
USD
139591.00000000
0.032884535483
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
CHICAGO MERCANTILE EXCHANGE
AUD USD EURO CURRENCY
2022-06-13
5482784.00000000
USD
139591.00000000
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BS4
30000.00000000
PA
USD
26882.54000000
0.006332928630
Long
DBT
CORP
US
N
2
2030-06-03
Fixed
1.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/GBP FORWARD
000000000
1.00000000
NC
USD
-72550.65000000
-0.01709131981
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-2322082.66000000
USD
1712636.00000000
GBP
2022-04-19
-72550.65000000
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBD4
6000.00000000
PA
USD
6222.31000000
0.001465837869
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.25000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RHW5
30000.00000000
PA
USD
30712.53000000
0.007235189106
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.80000000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BC0
18000.00000000
PA
USD
23669.91000000
0.005576104442
Long
DBT
CORP
US
N
2
2039-12-16
Fixed
6.85000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136BBAR3
4999746.32000000
PA
USD
615493.77000000
0.144996645338
Long
ABS-MBS
USGSE
US
N
2
2031-01-25
Variable
2.25081000
N
N
N
N
N
N
Eurosail Plc
213800YCKG3TNT5E1296
Eurosail-UK 2007-3bl PLC
000000000
218060.64000000
PA
285122.77000000
0.067168584272
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Floating
1.97210000
N
N
N
N
N
N
JETBLUE AIRWAYS CORP
N/A
JetBlue 2020-1 Class A Pass Through Trust
477164AA5
280368.90650000
PA
USD
281059.51000000
0.066211370572
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J2RQ1
715000.00000000
PA
USD
640822.16000000
0.150963450788
Long
ABS-MBS
USGSE
US
N
2
2030-12-01
Fixed
1.46000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BR6
70000.00000000
PA
USD
64658.06000000
0.015232001120
Long
DBT
CORP
US
N
2
2027-06-03
Fixed
1.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410PVC4
1439.43000000
PA
USD
1606.86000000
0.000378540483
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
6.00000000
N
N
N
N
N
N
XPO LOGISTICS INC
54930096DB9LCLPN7H13
XPO Logistics Inc
98379EAE6
215000.00000000
PA
USD
213137.89000000
0.050210547288
Long
LON
CORP
US
N
2
2025-02-23
Floating
1.99240000
N
N
N
N
N
N
PACIFICORP
SGY07Y7FNYBNLM6Z1M11
PacifiCorp
695114CV8
80000.00000000
PA
USD
83677.86000000
0.019712643052
Long
DBT
CORP
US
N
2
2050-02-15
Fixed
4.15000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VER1
5000.00000000
PA
USD
5282.34000000
0.001244401839
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.32900000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BF9
160000.00000000
PA
USD
162872.38000000
0.038369110898
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.65000000
N
N
N
N
N
N
EATON CORP
0NZWDMRCE180888QQE14
Eaton Corp
278062AE4
20000.00000000
PA
USD
20863.06000000
0.004914872999
Long
DBT
CORP
US
N
2
2042-11-02
Fixed
4.15000000
N
N
N
N
N
N
Ludgate Funding Plc
213800LADM2GPWI3P269
Ludgate Funding PLC
000000000
389175.84000000
PA
485854.16000000
0.114456436047
Long
ABS-MBS
CORP
GB
N
2
2061-01-01
Floating
0.63820000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AF5
300000.00000000
PA
USD
293167.46000000
0.069063734344
Long
DBT
CORP
CH
N
2
2029-01-12
Fixed
3.86900000
N
N
N
N
N
N
BPR Trust
N/A
BPR Trust 2021-KEN
05591QAA4
320000.00000000
PA
USD
318000.06000000
0.074913742696
Long
ABS-MBS
CORP
US
N
2
2029-02-15
Floating
1.64700000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BG1
50000.00000000
PA
USD
44464.09000000
0.010474750845
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.30000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAG3
85000.00000000
PA
USD
76474.08000000
0.018015592676
Long
DBT
CORP
N/A
N
2
2031-05-11
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-2.00000000
NC
USD
-2437.50000000
-0.00057422079
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
122.25000000
USD
2022-04-22
XXXX
-737.83000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBD6
200000.00000000
PA
USD
209508.30000000
0.049355496596
Long
DBT
CORP
GB
N
2
2029-05-16
Fixed
4.97200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133A63Y5
455628.94000000
PA
USD
449484.95000000
0.105888658921
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
JETBLUE 2020-1 CLASS B
N/A
JetBlue 2020-1 Class B Pass Through Trust
477164AB3
116435.97880000
PA
USD
127406.44000000
0.030014124098
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
7.75000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PCP5
80000.00000000
PA
USD
82344.03000000
0.019398422365
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.75000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DH0
10000.00000000
PA
USD
10182.02000000
0.002398657492
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9YP4
452440.15000000
PA
USD
447818.38000000
0.105496052089
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
3.00000000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAF7
830000.00000000
PA
USD
762047.90000000
0.179521539408
Long
DBT
NUSS
AE
N
2
2049-09-30
Fixed
3.12500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CJ2
20000.00000000
PA
USD
19038.20000000
0.004484976563
Long
DBT
CORP
US
N
2
2046-04-15
Fixed
4.40000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAV3
10000.00000000
PA
USD
9427.00000000
0.002220791569
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.37500000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAA8
4000.00000000
PA
USD
4026.38000000
0.000948525592
Long
DBT
CORP
KY
N
2
2022-08-15
Fixed
5.25000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
BRL/USD FORWARD
000000000
1.00000000
NC
USD
-5778.76000000
-0.00136134735
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-2810486.00000000
BRL
581432.08000000
USD
2022-04-19
-5778.76000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBS68
96509.90000000
PA
USD
92395.17000000
0.021766247439
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AH6
30000.00000000
PA
USD
29819.19000000
0.007024738067
Long
DBT
CORP
US
N
2
2025-03-27
Fixed
2.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371NSN6
1240.57000000
PA
USD
1319.61000000
0.000310870771
Long
ABS-MBS
USGSE
US
N
2
2028-03-01
Fixed
5.50000000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AG6
20000.00000000
PA
USD
20488.00000000
0.004826517203
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KNNT6
248630.38000000
PA
USD
243499.47000000
0.057363060379
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
HUDSON RIVER TRADING LLC
549300SMOBUC8O5UOE10
Hudson River Trading LLC
44413EAF5
69300.00000000
PA
USD
68368.75000000
0.016106157168
Long
LON
CORP
US
N
2
2028-03-18
Floating
3.30490000
N
N
N
N
N
N
Small Business Administration
N/A
SBA Small Business Investment Cos
831641FL4
168767.89000000
PA
USD
169995.64000000
0.040047192552
Long
ABS-MBS
USGA
US
N
2
2028-09-10
Fixed
3.54800000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AD9
20000.00000000
PA
USD
19802.31000000
0.004664983887
Long
DBT
CORP
US
N
2
2023-01-13
Floating
1.84443000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2021-SAVE
95003LAA8
199984.80000000
PA
USD
198372.48000000
0.046732145034
Long
ABS-MBS
CORP
US
N
2
2040-02-15
Floating
1.54700000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAF0
50000.00000000
PA
USD
52584.64000000
0.012387771847
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.95000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.38
000000000
1.00000000
NC
USD
671185.98000000
0.158116491573
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.38.V1
Y
Default Event
2027-06-20
568119.17000000
USD
0.00000000
USD
41026000.00000000
USD
103066.81000000
N
N
N
L3HARRIS TECH INC
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
502431AN9
80000.00000000
PA
USD
69613.84000000
0.016399472685
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.80000000
N
N
N
N
N
N
MAGALLANES INC
549300DXR29GD4N0A520
Magallanes Inc
55903VAG8
60000.00000000
PA
USD
59990.87000000
0.014132514941
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.75500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
13.00000000
NC
USD
-70939.80000000
-0.01671183937
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-09-18
3219539.80000000
USD
-70939.80000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2JL4
17124.00000000
PA
USD
18231.72000000
0.004294987809
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-27.00000000
NC
USD
-16453.13000000
-0.00387599155
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
124.50000000
USD
2022-05-20
XXXX
-1937.34000000
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AR1
200000.00000000
PA
USD
207778.92000000
0.048948093125
Long
DBT
CORP
GB
N
2
2027-04-10
Fixed
4.75000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJE0
420000.00000000
PA
USD
355944.03000000
0.083852498260
Long
DBT
CORP
US
N
2
2041-06-19
Fixed
2.67600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UMK5
35123.17000000
PA
USD
35644.70000000
0.008397098680
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
3.50000000
N
N
N
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
JPY/USD FORWARD
000000000
1.00000000
NC
USD
-3415.21000000
-0.00080454753
N/A
DFE
CORP
US
N
2
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
-110800000.00000000
JPY
907734.19000000
USD
2022-05-18
-3415.21000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YTV9
25175.69000000
PA
USD
25913.76000000
0.006104705605
Long
ABS-MBS
USGSE
US
N
2
2030-11-01
Fixed
4.00000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAZ9
30000.00000000
PA
USD
31646.40000000
0.007455188111
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31408EUA8
17572.62000000
PA
USD
18682.84000000
0.004401261649
Long
ABS-MBS
USGSE
US
N
2
2035-12-01
Fixed
5.50000000
N
N
N
N
N
N
LYB INT FINANCE III
N/A
LYB International Finance III LLC
50249AAF0
59000.00000000
PA
USD
54680.95000000
0.012881615867
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
1.25000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
77586RAK6
300000.00000000
PA
USD
292481.40000000
0.068902113865
Long
DBT
NUSS
RO
N
2
2027-02-27
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-14.00000000
NC
USD
-1203.13000000
-0.00028343067
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
116.50000000
USD
2022-04-22
XXXX
4460.15000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-25.00000000
NC
USD
-19921.88000000
-0.00469315192
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-21
0.00000000
USD
100000.00000000
123.00000000
USD
2022-04-22
XXXX
-3871.38000000
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDR9
110000.00000000
PA
USD
93195.02000000
0.021954674313
Long
DBT
CORP
US
N
2
2051-11-01
Fixed
2.88700000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
101116.30000000
0.023820751733
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-11-01
0.00000000
USD
-111.33000000
USD
-1908000.00000000
USD
101227.63000000
N
N
N
STATION CASINOS LLC
5493004E7Q60TX54WL62
Station Casinos LLC
85769EAZ4
118747.29430000
PA
USD
117337.17000000
0.027642027998
Long
LON
CORP
US
N
2
2027-02-08
Floating
2.70510000
N
N
N
N
N
N
DBGS Mortgage Trust
N/A
DBGS 2019-1735 Mortgage Trust
23307EAA9
900000.00000000
PA
USD
902460.96000000
0.212599733947
Long
ABS-MBS
CORP
US
N
2
2037-04-10
Fixed
3.84300000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-126646.28000000
-0.02983504730
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-07-18
26768.68000000
USD
0.00000000
USD
63630000.00000000
MXN
-153414.96000000
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582CG5
20000.00000000
PA
USD
19424.17000000
0.004575902512
Long
DBT
CORP
NL
N
2
2030-04-06
Fixed
2.75000000
N
N
N
N
N
N
PUBLIC STORAGE
549300LMZF40TKJ6DM64
Public Storage
74460DAJ8
32000.00000000
PA
USD
29300.36000000
0.006902513257
Long
DBT
CORP
US
N
2
2031-11-09
Fixed
2.25000000
N
N
N
N
N
N
Dividend Solar Loans LLC
N/A
Dividend Solar Loans 2019-1 LLC
255388AA8
192552.56000000
PA
USD
191070.77000000
0.045012024528
Long
ABS-O
CORP
US
N
2
2039-08-22
Fixed
3.67000000
N
N
N
N
N
N
Waterfall Commercial Mortgage
N/A
Waterfall Commercial Mortgage Trust 2015-SBC5
94132LAA5
78702.26000000
PA
USD
77986.40000000
0.018371861638
Long
ABS-MBS
CORP
US
N
2
2022-09-14
Variable
4.10370000
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BN1
360000.00000000
PA
USD
360671.67000000
0.084966225114
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.25000000
N
N
N
N
N
N
Ashford Hospitality Trust
N/A
Ashford Hospitality Trust 2018-KEYS
04410CAA7
600000.00000000
PA
USD
595293.00000000
0.140237793135
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
1.39700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGDU0
99757.65000000
PA
USD
92939.56000000
0.021894493618
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2021-1 Ltd
75279YAC5
590000.00000000
PA
USD
556570.19000000
0.131115560186
Long
ABS-MBS
CORP
BM
N
2
2033-12-27
Floating
2.79900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402QYY1
9587.51000000
PA
USD
10504.47000000
0.002474619541
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6BP5
173262.07000000
PA
USD
179756.02000000
0.042346521036
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BSJ6
45421.69000000
PA
USD
45302.07000000
0.010672160299
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
3.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NAF8
20000.00000000
PA
USD
24005.65000000
0.005655197320
Long
DBT
CORP
US
N
2
2035-06-15
Fixed
5.65000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-30.30000000
-0.00000713800
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-12
0.00000000
USD
0.00000000
USD
-13260000.00000000
JPY
-30.30000000
N
N
N
Towd Point Mortgage Funding
635400655NWVVZHH1395
Towd Point Mortgage Funding 2019 - Granite4 PLC
000000000
788498.11000000
PA
1038480.86000000
0.244642997682
Long
ABS-MBS
CORP
GB
N
2
2051-10-20
Floating
1.23625000
N
N
N
N
N
N
New Century Home Equity Loan T
N/A
New Century Home Equity Loan Trust Series 2005-B
64352VNK3
663983.99000000
PA
USD
656068.64000000
0.154555182437
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
1.17657000
N
N
N
N
N
N
DSLA Mortgage Loan Trust
N/A
DSLA Mortgage Loan Trust 2007-AR1
23333YAD7
68139.72000000
PA
USD
81908.01000000
0.019295705749
Long
ABS-MBS
CORP
US
N
2
2047-04-19
Floating
0.62857000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAU5
30000.00000000
PA
USD
32526.60000000
0.007662543658
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.37500000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BA7
140000.00000000
PA
USD
139472.66000000
0.032856657210
Long
DBT
CORP
US
N
2
2045-02-09
Fixed
3.45000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
172652.02000000
0.040672976610
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-08-15
0.00000000
USD
-1417.44000000
USD
-3309000.00000000
USD
174069.46000000
N
N
N
MLCC Mortgage Investors Inc
N/A
Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3
59020UL52
176368.21000000
PA
USD
176308.79000000
0.041534430305
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
2.08773500
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CBT0
71396.24000000
PA
USD
69073.62000000
0.016272208866
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
2.50000000
N
N
N
N
N
N
MASTERCARD INC
AR5L2ODV9HN37376R084
Mastercard Inc
57636QAQ7
110000.00000000
PA
USD
116766.06000000
0.027507487182
Long
DBT
CORP
US
N
2
2050-03-26
Fixed
3.85000000
N
N
N
N
N
N
VOC ESCROW LTD
N/A
VOC Escrow Ltd
91832VAA2
140000.00000000
PA
USD
130499.60000000
0.030742803810
Long
DBT
CORP
BM
N
2
2028-02-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFUG4
99819.90000000
PA
USD
95712.93000000
0.022547837917
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
COSTCO WHOLESALE CORP
29DX7H14B9S6O3FD6V18
Costco Wholesale Corp
22160KAN5
60000.00000000
PA
USD
55840.92000000
0.013154879004
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
1.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KVHC7
87960.17000000
PA
USD
81936.39000000
0.019302391445
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.00000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKJ0
170000.00000000
PA
USD
149814.96000000
0.035293073106
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
3.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABD6
10000.00000000
PA
USD
10075.20000000
0.002373493075
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2020-NET
126438AA8
978833.85000000
PA
USD
931880.07000000
0.219530222064
Long
ABS-MBS
CORP
US
N
2
2037-08-15
Fixed
2.25690000
N
N
N
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp
058498AX4
80000.00000000
PA
USD
71672.00000000
0.016884329413
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
3.12500000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WBC9
330000.00000000
PA
USD
286945.21000000
0.067597910610
Long
DBT
CORP
KY
N
2
2051-04-22
Fixed
3.84000000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AG2
350000.00000000
PA
USD
334400.44000000
0.078777307525
Long
DBT
CORP
US
N
2
2024-08-08
Fixed
3.20000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335HXF5
964.27000000
PA
USD
1028.25000000
0.000242232834
Long
ABS-MBS
USGSE
US
N
2
2023-03-01
Fixed
6.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2015-2
89171YAG6
610000.00000000
PA
USD
579706.42000000
0.136565941489
Long
ABS-O
CORP
US
N
2
2060-11-25
Variable
3.30591800
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BZ6
40000.00000000
PA
USD
33344.80000000
0.007855293384
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
3.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659T2A8
250000.00000000
PA
USD
248394.70000000
0.058516267710
Long
DBT
CORP
FR
N
2
2033-03-01
Fixed
4.37500000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
Vale Overseas Ltd
91911TAH6
48000.00000000
PA
USD
57992.16000000
0.013661663311
Long
DBT
CORP
KY
N
2
2036-11-21
Fixed
6.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31295NJR0
4960.26000000
PA
USD
4980.53000000
0.001173302114
Long
ABS-MBS
USGSE
US
N
2
2032-04-01
Floating
2.37500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IrS JPY
000000000
1.00000000
NC
476.38000000
0.000112224534
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-12-15
470.99000000
USD
0.00000000
USD
-3000000.00000000
JPY
5.39000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWT7
60000.00000000
PA
USD
60558.22000000
0.014266169985
Long
DBT
CORP
US
N
2
2023-02-23
Fixed
3.20000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHQ5
240000.00000000
PA
USD
244146.12000000
0.057515396739
Long
DBT
CORP
US
N
2
2030-02-07
Fixed
3.97400000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-S3
466247ZP1
10767.83000000
PA
USD
6686.98000000
0.001575303788
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Fixed
5.75000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCA5
100000.00000000
PA
USD
103043.94000000
0.024274860852
Long
DBT
CORP
US
N
2
2039-11-21
Fixed
4.05000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2018-KBX1 Mortgage Trust
30307LAA8
350000.00000000
PA
USD
335769.39000000
0.079099801704
Long
ABS-MBS
CORP
US
N
2
2026-01-25
Variable
3.57620000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
53.00000000
NC
USD
36437.50000000
0.008583864731
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-06-30
0.00000000
USD
100000.00000000
114.50000000
USD
2022-04-22
XXXX
9064.54000000
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAL3
40000.00000000
PA
USD
41342.80000000
0.009739444330
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.00000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BW9
60000.00000000
PA
USD
53615.91000000
0.012630716126
Long
DBT
CORP
US
N
2
2051-08-12
Fixed
3.05000000
N
N
N
N
N
N
MAGENTA BUYER LLC
N/A
Magenta Buyer LLC
55910RAB9
399000.00000000
PA
USD
396131.99000000
0.093319887967
Long
LON
CORP
US
N
2
2028-07-27
Floating
5.75000000
N
N
N
N
N
N
MEDSTAR HEALTH INC
549300ICFOCGDEPVJE31
MedStar Health Inc
58506YAS1
90000.00000000
PA
USD
84503.15000000
0.019907063024
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
3.62600000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCE9
51000.00000000
PA
USD
51661.32000000
0.012170258187
Long
DBT
CORP
US
N
2
2049-11-01
Fixed
3.99900000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CC4
40000.00000000
PA
USD
38665.64000000
0.009108764967
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
3.30000000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QDA3
130000.00000000
PA
USD
132573.17000000
0.031231290792
Long
DBT
CORP
GB
N
2
2025-03-17
Fixed
3.50600000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TB4
2494000.00000000
PA
USD
2188485.00000000
0.515558400164
Long
DBT
UST
US
N
2
2051-11-15
Fixed
1.87500000
N
N
N
N
N
N
2022-04-01
Pacific Funds Series Trust
Trevor Smith
Trevor Smith
VP and Treasurer