0001752724-20-096717.txt : 20200520
0001752724-20-096717.hdr.sgml : 20200520
20200520141532
ACCESSION NUMBER: 0001752724-20-096717
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200331
FILED AS OF DATE: 20200520
PERIOD START: 20200930
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
CENTRAL INDEX KEY: 0001299393
IRS NUMBER: 510522808
FISCAL YEAR END: 0930
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-21609
FILM NUMBER: 20897475
BUSINESS ADDRESS:
STREET 1: 620 EIGHTH AVENUE
STREET 2: 49TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10018
BUSINESS PHONE: 888-777-0102
MAIL ADDRESS:
STREET 1: 620 EIGHTH AVENUE
STREET 2: 49TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10018
FORMER COMPANY:
FORMER CONFORMED NAME: Salomon Brothers Variable Rate Strategic Fund Inc.
DATE OF NAME CHANGE: 20040903
FORMER COMPANY:
FORMER CONFORMED NAME: Salomon Brothers Floating Rate Strategic Fund Inc.
DATE OF NAME CHANGE: 20040803
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001299393
XXXXXXXX
Western Asset Variable Rate Strategic Fund Inc.
811-21609
0001299393
549300X81BNRSZYKAG98
620 Eighth Avenue
49thFloor
New York
10018
1-888-777-0102
Western Asset Variable Rate Strategic Fund Inc.
549300X81BNRSZYKAG98
2020-09-30
2020-03-31
N
73099192.51
1894402.87
71204789.64
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
1902490.05000000
USD
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BFC9
450000.00000000
PA
USD
459131.07000000
0.644803632341
Long
DBT
CORP
US
N
2
2022-03-08
Fixed
3.50000000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust 2004-OPT
36242DNX7
47651.10000000
PA
USD
31074.54000000
0.043641081108
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
4.02291800
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HQ7
570000.00000000
PA
USD
539188.65000000
0.757236490306
Long
DBT
CORP
US
N
2
N/A
Fixed
6.30000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust 2006-8
52522HAF9
1076957.73000000
PA
USD
880379.99000000
1.236405576719
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
1.20663000
N
N
N
N
N
N
CFK Trust
N/A
CFK Trust 2020-MF2
12529AAL8
210000.00000000
PA
USD
129690.75000000
0.182137677332
Long
ABS-MBS
CORP
US
N
2
2039-03-15
Fixed
3.57200000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-673200.00000000
PA
USD
-673200.00000000
-0.94544201788
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
660000.00000000
USD
695794.00000000
USD
CDS
N
N
N
WACHOVIA CAP TRUST III
529900IS945AVTZGWM53
Wachovia Capital Trust III
92978AAA0
1800000.00000000
PA
USD
1748736.00000000
2.455924677035
Long
DBT
CORP
US
N
2
N/A
Floating
5.56975000
N
N
N
N
N
N
CHEVY CHASE MORTGAGE FUNDING C
549300DNEIQWPVRRQF88
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-2
16678RBC0
136772.16000000
PA
USD
126975.99000000
0.178325068639
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
1.21663000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
000000000
17.00000000
NC
USD
70522.80000000
0.099042213812
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Long
90 DAY EURO DOLLAR TIME DEPOSIT
90 DAY EURO DOLLAR TIME DEPOSIT
2020-12-14
4165027.20000000
USD
70522.80000000
N
N
N
Seneca Park CLO Ltd
N/A
Seneca Park CLO Ltd 2014-1
817176AL4
64849.65000000
PA
USD
64662.17000000
0.090811545581
Long
ABS-CBDO
CORP
KY
N
2
2026-07-17
Floating
2.95613000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE
000000000
-11.00000000
NC
USD
-1375.00000000
-0.00193104987
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-06-30
0.00000000
USD
100000.00000000
124.25000000
USD
2020-04-24
XXXX
6355.98000000
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2015-C31
94989WBB2
364630.00000000
PA
USD
285511.23000000
0.400971945066
Long
ABS-MBS
CORP
US
N
2
2048-11-15
Fixed
3.85200000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-658125.00000000
PA
USD
-658125.00000000
-0.92427068927
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
650000.00000000
USD
678962.00000000
USD
CDS
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp
86359DEX1
120357.63000000
PA
USD
99735.81000000
0.140068962360
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
1.29663000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132AEEZ5
68141.36000000
PA
USD
72694.21000000
0.102091741816
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.00000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-84000.00000000
PA
USD
-84000.00000000
-0.11796959224
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.88000000
2020-05-22
88844.00000000
USD
306563.00000000
USD
AMBS
N
N
N
AMER AIRLINE 16-1 A PTT
N/A
American Airlines 2016-1 Class A Pass Through Trust
02376WAA9
208277.97000000
PA
USD
205398.63000000
0.288461817018
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.10000000
N
N
N
N
N
N
MortgageIT Trust
N/A
MortgageIT Trust 2005-3
61915RAK2
138192.13000000
PA
USD
126257.50000000
0.177316021349
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
1.54663000
N
N
N
N
N
N
Washington Mutual Mortgage Pas
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust
9393366D0
315080.82000000
PA
USD
251314.13000000
0.352945540982
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
1.34663000
N
N
N
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Walmart Inc
931142EA7
560000.00000000
PA
USD
561788.08000000
0.788975127713
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
1.90000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA
000000000
-191000.00000000
PA
USD
-191000.00000000
-0.26824038237
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.79000000
2020-05-22
196854.66000000
USD
210290.83980000
USD
AMBS
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36208A4P3
42422.92000000
PA
USD
43625.83000000
0.061268111626
Long
ABS-MBS
USGA
US
N
2
2059-10-20
Floating
2.97000000
N
N
N
N
N
N
EQUATE PETROCHEMICAL BV
635400Y3Z5R4NJSMQ630
Equate Petrochemical BV
29441WAB1
280000.00000000
PA
USD
270058.88000000
0.379270666152
Long
DBT
CORP
NL
N
2
2022-03-03
Fixed
3.00000000
N
N
N
N
N
N
MASTR Reperforming Loan Trust
N/A
MASTR Reperforming Loan Trust 2006-2
57645LAB0
70381.02000000
PA
USD
59375.49000000
0.083386932677
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
3.94777100
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3620E0DZ6
78578.54000000
PA
USD
80017.16000000
0.112376092120
Long
ABS-MBS
USGA
US
N
2
2060-07-20
Floating
2.95700000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136ACKK6
5132175.60000000
PA
USD
414979.51000000
0.582797185551
Long
ABS-MBS
USGSE
US
N
2
2033-03-25
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BXV9
445422.45000000
PA
USD
441667.09000000
0.620277220441
Long
ABS-MBS
USGA
US
N
2
2062-10-20
Floating
2.18188000
N
N
N
N
N
N
OneMain Financial Issuance Tru
N/A
OneMain Financial Issuance Trust 2016-3
68268HAA4
925000.00000000
PA
USD
856820.66000000
1.203318855840
Long
ABS-O
CORP
US
N
2
2031-06-18
Fixed
3.83000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3620E0DY9
82311.42000000
PA
USD
84009.18000000
0.117982484640
Long
ABS-MBS
USGA
US
N
2
2060-07-20
Floating
2.75600000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300ZVNWG0TX42H716
Wells Fargo Commercial Mortgage Trust 2015-NXS3
94989VAE9
140000.00000000
PA
USD
145062.18000000
0.203725312206
Long
ABS-MBS
CORP
US
N
2
2057-09-15
Fixed
3.37100000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-BXLP
05607QAA6
320000.00000000
PA
USD
302382.56000000
0.424666039361
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.50463000
N
N
N
N
N
N
US BANK NA CINCINNATI
6BYL5QZYBDK8S7L73M02
US Bank NA/Cincinnati OH
90331HNQ2
640000.00000000
PA
USD
630344.49000000
0.885255743591
Long
DBT
CORP
US
N
2
2021-04-26
Floating
2.11413000
N
N
N
N
N
N
CHANGE HEALTHCARE HOLDINGS
549300GHXFJ3EKF50583
Change Healthcare Holdings LLC
15911AAC7
119685.71990000
PA
USD
110509.77000000
0.155199910790
Long
LON
CORP
US
N
2
2024-03-01
Floating
3.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-3672410.10000000
-5.15753240556
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2028-07-05
0.00000000
USD
-108943.00000000
USD
-19100000.00000000
USD
-3563467.10000000
N
N
N
Bear Stearns Alt-A Trust
N/A
Bear Stearns ALT-A Trust 2004-3
07386HGG0
187526.31000000
PA
USD
173014.59000000
0.242981674231
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Floating
1.58663000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CAD/USD FORWARD
000000000
1.00000000
NC
USD
-66257.33000000
-0.09305178813
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-856121.04000000
USD
1111353.00000000
CAD
2020-04-17
-66257.33000000
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 2 YEAR TREASURY NOTE
000000000
-33.00000000
NC
USD
-87439.70000000
-0.12280030661
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-06-30
-7185193.09000000
USD
-87439.70000000
N
N
N
Residential Asset Securities C
N/A
RASC Series 2005-KS12 Trust
753910AG3
460000.00000000
PA
USD
300913.14000000
0.422602386049
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
1.58663000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BU2
250000.00000000
PA
USD
233886.19000000
0.328469743654
Long
DBT
CORP
US
N
2
2022-06-06
Floating
2.03063000
N
N
N
N
N
N
Ameriquest Mortgage Securities
N/A
Ameriquest Mort Sec Inc Asset Bckd Ps Thr Cert Ser 2002-AR1
03072SDB8
60970.04000000
PA
USD
58476.88000000
0.082124924876
Long
ABS-MBS
CORP
US
N
2
2032-09-25
Floating
2.69775000
N
N
N
N
N
N
Renaissance Home Equity Loan T
N/A
Renaissance Home Equity Loan Trust 2003-2
759950AW8
52378.68000000
PA
USD
46633.24000000
0.065491717952
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
1.82663000
N
N
N
N
N
N
TEVA PHARM FIN IV BV
549300P1YOE2RRPSGG38
Teva Pharmaceutical Finance IV BV
88166JAA1
30000.00000000
PA
USD
29018.70000000
0.040753859602
Long
DBT
CORP
CW
N
2
2021-11-10
Fixed
3.65000000
N
N
N
N
N
N
VIRGIN MEDIA BRISTOL LLC
N/A
Virgin Media Bristol LLC
000000000
257809.00000000
PA
USD
245563.07000000
0.344868752848
Long
LON
CORP
US
N
2
2028-01-31
Floating
4.16900000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-258125.00000000
PA
USD
-258125.00000000
-0.36251072618
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
250000.00000000
USD
228995.00000000
USD
CDS
N
N
N
SOTERA HEALTH HOLDINGS LLC
549300OVT7MBXFLOFU20
Sotera Health Holdings LLC
000000000
120000.00000000
PA
USD
107000.04000000
0.150270846302
Long
LON
CORP
US
N
2
2026-12-13
Floating
5.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XAB0
243149.47000000
PA
USD
240417.52000000
0.337642342903
Long
ABS-MBS
CORP
US
N
2
2023-10-25
Floating
6.19663000
N
N
N
N
N
N
Countrywide Asset-Backed Certi
N/A
CWABS Asset-Backed Certificates Trust 2007-13
126698AC3
502569.31000000
PA
USD
439208.84000000
0.616824854368
Long
ABS-MBS
CORP
US
N
2
2047-10-25
Floating
1.84663000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA
000000000
-96000.00000000
PA
USD
-96000.00000000
-0.13482239114
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.79000000
2020-05-22
99336.33400000
USD
104851.45320000
USD
AMBS
N
N
N
Tryon Park CLO LTD
549300XSFFA9X5E6Q356
Tryon Park CLO Ltd
89852TAM0
250000.00000000
PA
USD
242931.50000000
0.341172976183
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
2.72125000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
Elanco Animal Health Inc
000000000
140000.00000000
PA
USD
134312.50000000
0.188628462606
Long
LON
CORP
US
N
2
2027-02-04
Floating
2.67360000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32
61691GAQ3
350000.00000000
PA
USD
370584.94000000
0.520449455540
Long
ABS-MBS
CORP
US
N
2
2049-12-15
Fixed
3.51400000
N
N
N
N
N
N
TRANS UNION LLC
X8NPN6PWJOM1QCTYFV34
Trans Union LLC
89334GAX2
119691.08910000
PA
USD
115402.20000000
0.162070839031
Long
LON
CORP
US
N
2
2026-11-13
Floating
2.56140000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2017-1
36416UAJ4
94551.30000000
PA
USD
93878.84000000
0.131843434233
Long
ABS-MBS
CORP
US
N
2
2056-07-25
Variable
3.00000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BG8
380000.00000000
PA
USD
386485.03000000
0.542779540469
Long
DBT
CORP
JP
N
2
2022-03-07
Fixed
3.21800000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXE9
650000.00000000
PA
USD
678962.16000000
0.953534394852
Long
DBT
CORP
US
N
2
2024-02-20
Fixed
3.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36241LNK8
71857.41000000
PA
USD
84279.15000000
0.118361630483
Long
ABS-MBS
USGA
US
N
2
2034-08-15
Fixed
6.50000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA
000000000
-292000.00000000
PA
USD
-292000.00000000
-0.41008477305
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.79000000
2020-05-22
290244.00000000
USD
430581.00000000
USD
AMBS
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-196000.00000000
PA
USD
-196000.00000000
-0.27526238191
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.10000000
2020-04-20
230689.00000000
USD
497239.00000000
USD
AMBS
N
N
N
FANNIE MAE
N/A
Fannie Mae REMICS
3136B5EY7
801447.78000000
PA
USD
795240.89000000
1.116836232535
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Floating
1.39663000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
000000000
-116.00000000
NC
USD
-11606.10000000
-0.01629960576
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Short
90 DAY EURO DOLLAR TIME DEPOSIT
90 DAY EURO DOLLAR TIME DEPOSIT
2021-03-15
-28905743.90000000
USD
-11606.10000000
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-135000.00000000
PA
USD
-135000.00000000
-0.18959398754
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.10000000
2020-04-20
158111.56990000
USD
396339.85710000
USD
AMBS
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BKD3
158111.57000000
PA
USD
156656.07000000
0.220007770252
Long
ABS-MBS
USGA
US
N
2
2060-12-20
Floating
2.16188000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36208A6F3
416522.34000000
PA
USD
425544.71000000
0.597634951456
Long
ABS-MBS
USGA
US
N
2
2059-12-20
Floating
2.94000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2005-HYB9
126670JX7
171671.50000000
PA
USD
140728.74000000
0.197639429470
Long
ABS-MBS
CORP
US
N
2
2036-02-20
Floating
3.71138000
N
N
N
N
N
N
Halcyon Loan Advisors Funding
5493006GMMSBMRMTK635
Halcyon Loan Advisors Funding 2015-2 Ltd
40538KAL6
189240.80000000
PA
USD
186111.51000000
0.261374987470
Long
ABS-CBDO
CORP
KY
N
2
2027-07-25
Floating
2.87413000
N
N
N
N
N
N
RUSSIAN FEDERATION
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
254000.00000000
PA
USD
422275.00000000
0.593042971034
Long
DBT
NUSS
RU
N
2
2028-06-24
Fixed
12.75000000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2016-CD2 Mortgage Trust
12515ABE9
250000.00000000
PA
USD
272145.00000000
0.382200412887
Long
ABS-MBS
CORP
US
N
2
2049-11-10
Variable
3.52600000
N
N
N
N
N
N
GOLDMAN SACHS CAP III
N/A
Goldman Sachs Capital III
38144QAA7
43000.00000000
PA
USD
30605.04000000
0.042981715351
Long
DBT
CORP
US
N
2
N/A
Floating
4.00000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
Reperforming Loan REMIC Trust 2005-R2
12669GN98
70379.38000000
PA
USD
70728.80000000
0.099331520193
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Fixed
7.00000000
N
N
N
N
N
N
RPI 2019 INTERMEDIATE FI
549300RTICDAOJP6BY55
RPI 2019 Intermediate Finance Trust
74969AAC5
109725.00000000
PA
USD
102409.96000000
0.143824538374
Long
LON
CORP
US
N
2
2027-02-11
Floating
2.54660000
N
N
N
N
N
N
GENESEE & WYOMING INC
G617XSG94Z7G0RMW3L02
Genesee & Wyoming Inc
55316HAB1
120000.00000000
PA
USD
116250.00000000
0.163261489273
Long
LON
CORP
US
N
2
2026-12-30
Floating
2.98450000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAD5
340000.00000000
PA
USD
340043.62000000
0.477557228550
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
4.42000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78013XKH0
240000.00000000
PA
USD
234641.53000000
0.329530543080
Long
DBT
CORP
CA
N
2
2021-04-30
Floating
2.15950000
N
N
N
N
N
N
DCERT BUYER INC
N/A
Dcert Buyer Inc
24022KAB5
120000.00000000
PA
USD
107900.04000000
0.151534806219
Long
LON
CORP
US
N
2
2026-10-16
Floating
4.88940000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XAP9
319067.65000000
PA
USD
307336.94000000
0.431623970176
Long
ABS-MBS
CORP
US
N
2
2024-11-25
Floating
5.84663000
N
N
N
N
N
N
API GROUP DE INC
549300XP4G7B4QYA0G83
APi Group DE Inc
00186XAB9
120000.00000000
PA
USD
110400.00000000
0.155045749812
Long
LON
CORP
US
N
2
2026-10-01
Floating
3.48450000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE
000000000
-2.00000000
NC
USD
-250.00000000
-0.00035109997
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-06-30
0.00000000
USD
100000.00000000
124.25000000
USD
2020-04-24
XXXX
1215.29000000
N
N
N
MONROE CAPITAL BSL CLO LTD
5493006OIQNDV6I29R71
MONROE CAPITAL BSL CLO 2015-1 LTD
610332AW8
100000.00000000
PA
USD
94169.10000000
0.132251075350
Long
ABS-CBDO
CORP
KY
N
2
2027-05-22
Floating
3.43275000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE
000000000
-6.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-06-30
0.00000000
USD
100000.00000000
120.00000000
USD
2020-03-27
XXXX
505.25000000
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR13 Trust
93363RAB2
221651.07000000
PA
USD
178708.30000000
0.250977920029
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
2.48400000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-76000.00000000
PA
USD
-76000.00000000
-0.10673439298
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.88000000
2020-05-22
80621.00000000
USD
204044.00000000
USD
AMBS
N
N
N
Argent Securities Inc.
N/A
Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2003-W7
040104BF7
24093.47000000
PA
USD
19501.85000000
0.027388396340
Long
ABS-MBS
CORP
US
N
2
2033-09-25
Floating
2.07163000
N
N
N
N
N
N
MEDTRONIC INC
D56MRZY2INAN94ZONZ37
Medtronic Inc
585055BS4
196000.00000000
PA
USD
211218.17000000
0.296634778457
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.50000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-29
12669GJB8
14803.24000000
PA
USD
12217.78000000
0.017158649104
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
1.60663000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-315547.33000000
-0.44315464113
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2023-07-09
0.00000000
USD
-20893.11000000
USD
-3860000.00000000
USD
-294654.22000000
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-119756.53000000
-0.16818605968
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2026-06-30
5904.24000000
USD
0.00000000
USD
-1869000.00000000
USD
-125660.77000000
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BAQ2
400000.00000000
PA
USD
323730.80000000
0.454647505647
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Floating
3.20463000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BXT4
323600.44000000
PA
USD
360602.86000000
0.506430623309
Long
ABS-MBS
USGA
US
N
2
2062-10-20
Floating
2.19188000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XAJ4
190000.00000000
PA
USD
186040.40000000
0.261275120593
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AEMX2
3905880.07000000
PA
USD
373620.86000000
0.524713101308
Long
ABS-MBS
USGSE
US
N
2
2033-06-25
Fixed
3.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599BY0
40000.00000000
PA
USD
34009.41000000
0.047762812265
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
4.10000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE
000000000
-2.00000000
NC
USD
-203.12000000
-0.00028526170
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-06-30
0.00000000
USD
100000.00000000
124.00000000
USD
2020-04-24
XXXX
1277.80000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEP5
380000.00000000
PA
USD
346600.71000000
0.486766005141
Long
DBT
CORP
US
N
2
2025-05-15
Floating
2.79163000
N
N
N
N
N
N
Morgan Stanley ReRemic Trust
N/A
Morgan Stanley Resecuritization Trust 2015-R2
61690HAE9
1441235.17000000
PA
USD
1013527.01000000
1.423397239320
Long
ABS-MBS
CORP
US
N
2
2046-12-27
Floating
2.76329600
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-1000000.00000000
PA
USD
-1000000.00000000
-1.40439990772
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
1000000.00000000
USD
905452.00000000
USD
CDS
N
N
N
SPRINT CORP
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAE5
530000.00000000
PA
USD
549164.80000000
0.771246994445
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
7.25000000
N
N
N
N
N
N
GSRPM Mortgage Loan Trust
N/A
GSRPM Mortgage Loan Trust 2007-1
362707AA9
223599.01000000
PA
USD
135974.72000000
0.190962884220
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Floating
1.34663000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AM2
320000.00000000
PA
USD
315426.54000000
0.442985003670
Long
DBT
CORP
GB
N
2
2021-04-15
Fixed
4.12500000
N
N
N
N
N
N
CHEVY CHASE MORTGAGE FUNDING C
549300TC8R2SGZ2KM445
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3
16678RBU0
119447.04000000
PA
USD
109035.16000000
0.153128968642
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
1.19663000
N
N
N
N
N
N
MICHAELS STORES INC
BV4WJ23XIGNG4UDYEK73
Michaels Stores Inc
594088AQ9
233170.61866100
PA
USD
197029.17000000
0.276707748167
Long
LON
CORP
US
N
3
2023-01-28
Floating
4.17930000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076BU5
200000.00000000
PA
USD
194329.66000000
0.272916556572
Long
DBT
CORP
US
N
2
2022-03-01
Floating
1.89038000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0AB5
336701.63000000
PA
USD
323190.13000000
0.453888188749
Long
ABS-MBS
CORP
US
N
2
2023-07-25
Floating
8.09663000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-533400.00000000
PA
USD
-533400.00000000
-0.74910691078
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
560000.00000000
USD
561788.00000000
USD
CDS
N
N
N
DELTA AIR LINES 2007-1 B
N/A
Delta Air Lines 2007-1 Class B Pass Through Trust
247367BJ3
20002.61000000
PA
USD
20579.51000000
0.028901861945
Long
DBT
CORP
US
N
2
2022-08-10
Fixed
8.02100000
N
N
N
N
N
N
Freddie Mac - STACR
549300D2VO9JVX6KU482
STACR Trust 2018-HRP1
3137G0VB2
245698.57000000
PA
USD
139059.96000000
0.195295794992
Long
ABS-MBS
CORP
US
N
2
2043-04-25
Floating
12.69663000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-197000.00000000
PA
USD
-197000.00000000
-0.27666678182
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.40000000
2020-06-05
230857.00000000
USD
693617.00000000
USD
AMBS
N
N
N
One Market Plaza Trust
N/A
One Market Plaza Trust 2017-1MKT
68245HAA2
320000.00000000
PA
USD
318114.37000000
0.446759791874
Long
ABS-MBS
CORP
US
N
2
2032-02-10
Fixed
3.61390000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAK2
920000.00000000
PA
USD
917305.30000000
1.288263478675
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.95000000
N
N
N
N
N
N
Novastar Home Equity Loan
N/A
NovaStar Mortgage Funding Trust Series 2004-1
66987XEC5
428128.73000000
PA
USD
409444.46000000
0.575023761842
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
1.77163000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAL0
1000000.00000000
PA
USD
905451.93000000
1.271616606941
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
4.25000000
N
N
N
N
N
N
Tharaldson Hotel Portfolio Tru
N/A
Tharaldson Hotel Portfolio Trust 2018-THPT
88327HAL7
267326.49000000
PA
USD
231552.24000000
0.325191944489
Long
ABS-MBS
CORP
US
N
2
2034-11-11
Floating
3.00513000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36208AZY0
85454.13000000
PA
USD
86700.48000000
0.121762146111
Long
ABS-MBS
USGA
US
N
2
2058-08-20
Floating
2.61800000
N
N
N
N
N
N
IndyMac Seconds Asset Backed T
N/A
Home Equity Mortgage Loan Asset-Backed Trust Series INDS- 2006-A
43709UAA5
1976958.05000000
PA
USD
173907.07000000
0.244235073060
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
1.20663000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT 2020-FL2 LTD
12434LAA2
290000.00000000
PA
USD
248496.65000000
0.348988672329
Long
ABS-MBS
CORP
KY
N
2
2037-02-16
Floating
1.70013000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R01
20754CAA7
247385.31000000
PA
USD
238542.74000000
0.335009402044
Long
ABS-MBS
CORP
US
N
2
2040-01-25
Floating
1.74663000
N
N
N
N
N
N
Venture CDO Ltd
54930010DKR017G3JK24
Venture XXVIII CLO Ltd
92331AAC8
300000.00000000
PA
USD
282008.40000000
0.396052570937
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
2.92913000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BCN0
64799.65000000
PA
USD
64907.58000000
0.091156199362
Long
ABS-MBS
USGA
US
N
2
2060-05-20
Floating
2.61263000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BAS8
400000.00000000
PA
USD
324684.24000000
0.455986516695
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Floating
3.70463000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XCB8
212121.13000000
PA
USD
209218.76000000
0.293826807238
Long
ABS-MBS
CORP
US
N
2
2028-09-25
Floating
6.94663000
N
N
N
N
N
N
Allegro CLO Ltd
635400R1GOVCHJ4SNX58
Allegro CLO II-S Ltd
01751EAC2
250000.00000000
PA
USD
237904.75000000
0.334113408947
Long
ABS-CBDO
CORP
KY
N
2
2028-10-21
Floating
2.89913000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAC5
60000.00000000
PA
USD
57638.40000000
0.080947363641
Long
DBT
CORP
NL
N
2
2021-07-21
Fixed
2.20000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BUL4
371212.07000000
PA
USD
367827.17000000
0.516576443606
Long
ABS-MBS
USGA
US
N
2
2062-08-20
Floating
2.18188000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-81000.00000000
PA
USD
-81000.00000000
-0.11375639252
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.40000000
2020-06-05
85720.00000000
USD
202879.00000000
USD
AMBS
N
N
N
Freddie Mac - STACR
549300YG8OJES76WL398
STACR Trust 2018-HRP2
35564ACC3
520000.00000000
PA
USD
287717.04000000
0.404069784426
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
11.44663000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BKP6
230689.07000000
PA
USD
229142.21000000
0.321807298579
Long
ABS-MBS
USGA
US
N
2
2061-02-20
Floating
2.16188000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-255675.00000000
PA
USD
-255675.00000000
-0.35906994640
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
210000.00000000
USD
239531.00000000
USD
CDS
N
N
N
Acis CLO LTD
549300NKJE41Z1IPW197
Acis CLO 2014-3 Ltd
00100FAE5
55721.63000000
PA
USD
56159.27000000
0.078870073605
Long
ABS-CBDO
CORP
KY
N
2
2026-02-01
Floating
3.31325000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2019-GS1
52473VAA8
635338.43000000
PA
USD
582809.73000000
0.818497931033
Long
ABS-MBS
CORP
US
N
2
2059-01-25
Variable
4.00000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BQ5
1312000.00000000
PA
USD
1084860.00000000
1.523577283894
Long
DBT
CORP
US
N
2
N/A
Fixed
5.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
000000000
84.00000000
NC
USD
214172.80000000
0.300784260557
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Long
90 DAY EURO DOLLAR TIME DEPOSIT
90 DAY EURO DOLLAR TIME DEPOSIT
2020-06-15
20675577.20000000
USD
214172.80000000
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DAJ9
200000.00000000
PA
USD
199070.86000000
0.279575097414
Long
DBT
CORP
NL
N
2
2020-06-04
Fixed
2.45000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-372000.00000000
PA
USD
-372000.00000000
-0.52243676567
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.10000000
2020-04-20
436775.45330000
USD
990783.45370000
USD
AMBS
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust
92922F4V7
97590.98000000
PA
USD
85909.92000000
0.120651883720
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Floating
1.43663000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-304575.00000000
PA
USD
-304575.00000000
-0.42774510189
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
310000.00000000
USD
315811.00000000
USD
CDS
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XAD6
310430.54000000
PA
USD
292297.24000000
0.410502216884
Long
ABS-MBS
CORP
US
N
2
2024-01-25
Floating
5.34663000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-391000.00000000
PA
USD
-391000.00000000
-0.54912036392
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
400000.00000000
USD
368579.00000000
USD
CDS
N
N
N
Structured Asset Mortgage Inve
N/A
Structured Asset Mortgage Investments II Trust 2004-AR3
86359LBX6
127915.52000000
PA
USD
112813.95000000
0.158435900970
Long
ABS-MBS
CORP
US
N
2
2034-07-19
Floating
1.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DKT8
98882.44000000
PA
USD
103813.32000000
0.145795417028
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
Residential Asset Mortgage Pro
N/A
RAMP Series 2003-RS7 Trust
760985YC9
16775.67000000
PA
USD
15883.59000000
0.022306912330
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
2.07163000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE
000000000
3.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Purchased
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-06-30
0.00000000
USD
100000.00000000
120.50000000
USD
2020-03-27
XXXX
-591.13000000
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-315150.00000000
PA
USD
-315150.00000000
-0.44259663091
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
330000.00000000
USD
330210.00000000
USD
CDS
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAE5
200000.00000000
PA
USD
190904.88000000
0.268106795856
Long
DBT
CORP
ES
N
2
2023-02-23
Fixed
3.12500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2019-NQM1
12655VAB0
296601.24000000
PA
USD
289314.55000000
0.406313327323
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Fixed
2.86000000
N
N
N
N
N
N
Acis CLO LTD
549300NKJE41Z1IPW197
Acis CLO 2014-3 Ltd
00100FAA3
78577.91000000
PA
USD
78128.92000000
0.109724248038
Long
ABS-CBDO
CORP
KY
N
2
2026-02-01
Floating
3.27325000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAB1
40000.00000000
PA
USD
41631.54000000
0.058467330934
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
4.03000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2017-ASHF
61691KAA9
112563.90000000
PA
USD
101147.62000000
0.142051708194
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
1.55463000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPER
549300TPZNMN50BJ3745
Charter Communications Operating LLC
16117LBW8
119693.87760000
PA
USD
115504.59000000
0.162214635537
Long
LON
CORP
US
N
2
2025-04-30
Floating
2.67490000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
1885000.00000000
PA
380158.31000000
0.533894295484
Long
DBT
NUSS
BR
N
2
2021-01-01
Fixed
10.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HSZR5
540000.00000000
PA
USD
624689.45000000
0.877313805936
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
3.52500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-245995.23000000
-0.34547567831
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2026-11-15
96.82000000
USD
0.00000000
USD
-3018000.00000000
USD
-246092.05000000
N
N
N
Deutsche Bank Commercial Mortg
N/A
DBJPM 16-C1 Mortgage Trust
23312LAQ1
250000.00000000
PA
USD
258033.45000000
0.362382153369
Long
ABS-MBS
CORP
US
N
2
2049-05-10
Fixed
3.03800000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AG2
290000.00000000
PA
USD
283237.02000000
0.397778044752
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
2.85000000
N
N
N
N
N
N
Bowman Park CLO Ltd
549300RY1CYH5GR2HE67
Bowman Park CLO Ltd
10302VBA2
103665.60000000
PA
USD
102816.68000000
0.144395735904
Long
ABS-CBDO
CORP
KY
N
2
2025-11-23
Floating
2.86275000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-210650.00000000
PA
USD
-210650.00000000
-0.29583684056
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
220000.00000000
USD
207614.00000000
USD
CDS
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DC1
478000.00000000
PA
USD
480765.65000000
0.675187234497
Long
DBT
CORP
US
N
2
2021-03-09
Fixed
3.35000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2004-AR7
45660NT96
106063.02000000
PA
USD
90354.03000000
0.126893191394
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
1.80663000
N
N
N
N
N
N
SACO I Trust
N/A
SACO I Trust 2006-4
785778RD5
61350.13000000
PA
USD
60587.50000000
0.085089079409
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
1.28663000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
108000.00000000
PA
23607.10000000
0.033153809061
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135AT3
370000.00000000
PA
USD
369880.32000000
0.519459887277
Long
DBT
CORP
US
N
2
2020-08-21
Fixed
1.90000000
N
N
N
N
N
N
ARES CLO Ltd
N/A
ARES XLIV CLO Ltd
04016NAF0
250000.00000000
PA
USD
199583.00000000
0.280294346783
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
5.28125000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAD2
210000.00000000
PA
USD
207742.50000000
0.291753547830
Long
DBT
NUSS
AE
N
2
2024-09-30
Fixed
2.12500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE
000000000
-8.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-06-30
0.00000000
USD
100000.00000000
119.50000000
USD
2020-03-27
XXXX
1423.66000000
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2004-AR11 Trust
92922FYA0
57337.86000000
PA
USD
53051.29000000
0.074505226780
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Variable
4.21527900
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBN9
220000.00000000
PA
USD
207613.83000000
0.291572843694
Long
DBT
CORP
GB
N
2
2024-01-16
Floating
2.83263000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XBQ6
257529.45000000
PA
USD
182859.07000000
0.256807261034
Long
ABS-MBS
CORP
US
N
2
2028-08-25
Floating
12.69663000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-18.00000000
NC
USD
-254156.97000000
-0.35693802521
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-06-19
-2968968.03000000
USD
-254156.97000000
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-509245.00000000
PA
USD
-509245.00000000
-0.71518363100
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.40000000
2020-06-02
517000.00000000
USD
523038.00000000
USD
CDS
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BKE1
157286.95000000
PA
USD
155466.23000000
0.218336759066
Long
ABS-MBS
USGA
US
N
2
2060-12-20
Floating
2.16188000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0EJ4
150434.56000000
PA
USD
144507.77000000
0.202946698853
Long
ABS-MBS
CORP
US
N
2
2025-03-25
Floating
4.74663000
N
N
N
N
N
N
ANADARKO PETROLEUM CORP
B78FQ7XBQFLP4AYJ6F79
Anadarko Petroleum Corp
032511BM8
351000.00000000
PA
USD
294747.80000000
0.413943783122
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
4.85000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BS0
600000.00000000
PA
USD
597546.65000000
0.839194460121
Long
DBT
CORP
NL
N
2
2021-05-10
Fixed
1.87500000
N
N
N
N
N
N
Recette CLO LLC
549300392I5L5XOJ0016
Recette Clo Ltd
75620TAR9
185078.28000000
PA
USD
181429.65000000
0.254799783718
Long
ABS-CBDO
CORP
KY
N
2
2027-10-20
Floating
2.73913000
N
N
N
N
N
N
BHMS Mortgage Trust
N/A
BHMS 2018-ATLS
05549GAA9
100000.00000000
PA
USD
86158.52000000
0.121001017537
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
1.95463000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-83000.00000000
PA
USD
-83000.00000000
-0.11656519234
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.88000000
2020-05-22
98114.00000000
USD
197625.00000000
USD
AMBS
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-283475.00000000
PA
USD
-283475.00000000
-0.39811226384
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
290000.00000000
USD
283237.00000000
USD
CDS
N
N
N
GSMPS Mortgage Loan Trust
N/A
GSMPS Mortgage Loan Trust 2006-RP2
36298XAA0
188102.54000000
PA
USD
143586.81000000
0.201653302714
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
1.34663000
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2019-TRUE
63874DAA0
410000.00000000
PA
USD
394137.10000000
0.553526106871
Long
ABS-MBS
CORP
US
N
2
2024-04-18
Floating
2.62213000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-408000.00000000
PA
USD
-408000.00000000
-0.57299516235
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.90000000
2020-05-04
456398.60850000
USD
1003441.53300000
USD
AMBS
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36208A6M8
88700.03000000
PA
USD
90699.00000000
0.127377667230
Long
ABS-MBS
USGA
US
N
2
2059-12-20
Floating
2.90400000
N
N
N
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2006-5
362334GT5
611207.35000000
PA
USD
363416.07000000
0.510381495173
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
1.21663000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JNA26
175780.47000000
PA
USD
186223.88000000
0.261532799888
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
3.50000000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-352425.00000000
PA
USD
-352425.00000000
-0.49494563748
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
370000.00000000
USD
361255.00000000
USD
CDS
N
N
N
Nomura Resecuritization Trust
N/A
Nomura Resecuritization Trust 2015-1R
65540TBV7
213477.05000000
PA
USD
213908.68000000
0.300413330453
Long
ABS-MBS
CORP
US
N
2
2036-10-26
Floating
3.57530400
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2001-3
542514BA1
11413.79000000
PA
USD
11330.82000000
0.015913002562
Long
ABS-MBS
CORP
US
N
2
2031-09-25
Floating
1.77163000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust
92922FJ25
247585.85000000
PA
USD
229583.86000000
0.322427551799
Long
ABS-MBS
CORP
US
N
2
2045-04-25
Floating
1.40663000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-421300.00000000
PA
USD
-421300.00000000
-0.59167368112
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
440000.00000000
USD
430824.00000000
USD
CDS
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-807975.00000000
PA
USD
-807975.00000000
-1.13472001544
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
810000.00000000
USD
833260.00000000
USD
CDS
N
N
N
ANHEUSER-BUSCH INBEV FIN
5493000EYEKDT0FBSQ91
Anheuser-Busch InBev Finance Inc
035242AK2
440000.00000000
PA
USD
430824.30000000
0.605049607165
Long
DBT
CORP
US
N
2
2021-02-01
Floating
3.02325000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36208A7L9
371719.38000000
PA
USD
380800.67000000
0.534796425809
Long
ABS-MBS
USGA
US
N
2
2060-01-20
Floating
2.97000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
BARCLAYS CAPITAL INC.
000000000
-85743.75000000
PA
USD
-85743.75000000
-0.12041851458
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.60000000
2034-09-27
85000.00000000
USD
112200.85000000
USD
N
N
N
AMERICAN AIRLINES INC
IWUQB36BXD6OWD6X4T14
American Airlines Inc
02376CBA2
272193.88000000
PA
USD
227554.08000000
0.319576928954
Long
LON
CORP
US
N
2
2023-12-14
Floating
3.69180000
N
N
N
N
N
N
MASTR Reperforming Loan Trust
N/A
MASTR Reperforming Loan Trust 2005-2
57643QAE5
630460.80000000
PA
USD
290157.98000000
0.407497840337
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
1.29663000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
USD/BRL FORWARD
000000000
1.00000000
NC
USD
6227.48000000
0.008745872337
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-119000.00000000
BRL
29102.47000000
USD
2020-04-17
6227.48000000
N
N
N
SLM Student Loan Trust
549300T563MF7L069881
SLM Private Credit Student Loan Trust 2007-A
78443DAD4
474010.63000000
PA
USD
420240.57000000
0.590185817730
Long
ABS-O
CORP
US
N
2
2041-12-16
Floating
0.98050000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2013-375P
17320QAA7
340000.00000000
PA
USD
341257.49000000
0.479261987466
Long
ABS-MBS
CORP
US
N
2
2035-05-10
Fixed
3.25100000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-353000.00000000
PA
USD
-353000.00000000
-0.49575316742
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.88000000
2020-05-22
372447.00000000
USD
921538.00000000
USD
AMBS
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BW1
120000.00000000
PA
USD
119523.45000000
0.167858722150
Long
DBT
CORP
NL
N
2
2021-09-12
Fixed
1.75000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA
000000000
-79000.00000000
PA
USD
-79000.00000000
-0.11094759271
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.79000000
2020-05-22
73210.00000000
USD
703731.00000000
USD
AMBS
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2015-10R
12650VBL2
1110000.00000000
PA
USD
1055978.30000000
1.483015827079
Long
ABS-MBS
CORP
US
N
2
2046-10-27
Floating
2.89333000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XJ21
105977.41000000
PA
USD
104247.70000000
0.146405460260
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
1.62663000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DAV7
450000.00000000
PA
USD
442812.10000000
0.621885272379
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.76400000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-333680.00000000
PA
USD
-333680.00000000
-0.46862016120
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.40000000
2020-06-02
344000.00000000
USD
219788.00000000
USD
CDS
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
FED FUND 30DAY
000000000
10.00000000
NC
USD
52672.72000000
0.073973563107
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
FEDERAL RESERVE BANK OF NEW YORK
30 DAY FEDERAL FUNDS
2020-05-29
4111410.39000000
USD
52672.72000000
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BBQ1
390000.00000000
PA
USD
326800.50000000
0.458958592044
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Variable
4.68819000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2005-14
41161PWU3
34692.16000000
PA
USD
29880.87000000
0.041964691070
Long
ABS-MBS
CORP
US
N
2
2035-12-19
Variable
4.26135300
N
N
N
N
N
N
HILTON WORLDWIDE FINANCE
549300406TN7EY0NPH20
Hilton Worldwide Finance LLC
43289DAH6
120000.00000000
PA
USD
112500.00000000
0.157994989619
Long
LON
CORP
US
N
2
2026-06-21
Floating
2.95410000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
FED FUND 30DAY
000000000
10.00000000
NC
USD
46651.40000000
0.065517221855
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
FEDERAL RESERVE BANK OF NEW YORK
30 DAY FEDERAL FUNDS
2020-07-31
4117848.40000000
USD
46651.40000000
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp Mortgage Loan Trust 2006-GEL4
86361NAD3
830000.00000000
PA
USD
768427.20000000
1.079179088773
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
1.51663000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2019-SST2
17327XAA5
270000.00000000
PA
USD
262303.22000000
0.368378617963
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.62463000
N
N
N
N
N
N
TERRIER MEDIA BUYER INC
N/A
Terrier Media Buyer Inc
88145LAB0
109725.00000000
PA
USD
95117.86000000
0.133583513807
Long
LON
CORP
US
N
2
2026-12-17
Floating
5.00000000
N
N
N
N
N
N
BROOKFIELD WEC HOLDINGS
5493002M6GRSU1IWMG57
Brookfield WEC Holdings Inc
11284EAL7
119952.26530000
PA
USD
114404.47000000
0.160669627111
Long
LON
CORP
US
N
2
2025-08-01
Floating
3.75000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
13670000.00000000
PA
622501.46000000
0.874240992982
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816BD0
517000.00000000
PA
USD
523037.89000000
0.734554364452
Long
DBT
CORP
US
N
2
2022-12-02
Fixed
2.65000000
N
N
N
N
N
N
New Residential Mortgage Loan
549300RCJSGOC0A85G53
New Residential Mortgage Loan Trust 2015-1
64829CAD0
255702.25000000
PA
USD
264597.57000000
0.371600802892
Long
ABS-MBS
CORP
US
N
2
2052-05-28
Variable
3.75000000
N
N
N
N
N
N
Ameriquest Mortgage Securities
N/A
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R7
03072SJ97
196574.11000000
PA
USD
193891.84000000
0.272301682204
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
1.44663000
N
N
N
N
N
N
Residential Asset Mortgage Pro
N/A
RAMP Series 2006-NC3 Trust
76112B4P2
800000.00000000
PA
USD
681312.88000000
0.956835745803
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
1.28663000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-410650.00000000
PA
USD
-410650.00000000
-0.57671682210
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
430000.00000000
USD
418474.00000000
USD
CDS
N
N
N
Carlyle Global Market Strategi
549300VC6J79YJCFU884
Carlyle US Clo 2017-2 Ltd
14315JAL3
250000.00000000
PA
USD
233711.75000000
0.328224760134
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
3.03913000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAQ9
400000.00000000
PA
USD
368579.37000000
0.517632833217
Long
DBT
CORP
US
N
2
2021-09-25
Fixed
4.37500000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91086QBE7
210000.00000000
PA
USD
238087.50000000
0.334370063030
Long
DBT
NUSS
MX
N
2
2045-01-21
Fixed
5.55000000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-331500.00000000
PA
USD
-331500.00000000
-0.46555856941
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
340000.00000000
USD
340044.00000000
USD
CDS
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BF4
370000.00000000
PA
USD
361255.33000000
0.507346952117
Long
DBT
CORP
US
N
2
2021-05-11
Floating
2.11088000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-240000.00000000
PA
USD
-240000.00000000
-0.33705597785
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
250000.00000000
USD
233886.00000000
USD
CDS
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAR0
418000.00000000
PA
USD
420481.25000000
0.590523828700
Long
DBT
CORP
NL
N
2
2022-01-17
Fixed
6.12500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48124BAC9
1320000.00000000
PA
USD
1254646.80000000
1.762025850147
Long
DBT
CORP
US
N
2
N/A
Fixed
5.15000000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2017-CD6 Mortgage Trust
125039AG2
6504763.35000000
PA
USD
316309.73000000
0.444225355624
Long
ABS-MBS
CORP
US
N
2
2050-11-13
Variable
0.95964900
N
N
N
N
N
N
Banc of America Funding Corpor
54930023UHZHF7UJ8596
Banc of America Funding Corp
05990QAE3
1631474.95000000
PA
USD
1290648.41000000
1.812586507909
Long
ABS-MBS
CORP
US
N
2
2037-02-27
Variable
1.75675000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XDY7
1007460.30000000
PA
USD
613328.53000000
0.861358530937
Long
ABS-MBS
CORP
US
N
2
2029-04-25
Floating
10.19663000
N
N
N
N
N
N
AMBAC LSNI LLC
N/A
Ambac LSNI LLC
02315QAA6
15993.01788000
PA
USD
15312.98000000
0.021505547698
Long
DBT
CORP
KY
N
2
2023-02-12
Floating
6.94463000
N
N
N
N
N
N
LCM Ltd Partnership
549300VQTTD2PAP2Y421
LCM XX LP
50188WAE8
250000.00000000
PA
USD
245533.50000000
0.344827224743
Long
ABS-CBDO
CORP
KY
N
2
2027-10-20
Floating
2.85913000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XAK0
232382.29000000
PA
USD
215141.89000000
0.302145250463
Long
ABS-MBS
CORP
US
N
2
2024-07-25
Floating
3.94663000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE
000000000
-10.00000000
NC
USD
-546.88000000
-0.00076803822
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-06-30
0.00000000
USD
100000.00000000
122.50000000
USD
2020-04-24
XXXX
1857.70000000
N
N
N
NEXSTAR BROADCASTING INC
5493006PK6I4I2OOT688
Nexstar Broadcasting Inc
65336RAW8
115563.91950000
PA
USD
109207.90000000
0.153371564682
Long
LON
CORP
US
N
2
2026-09-19
Floating
3.67360000
N
N
N
N
N
N
Grippen Park CLO LTD
549300P7KR0IARP7PG22
Grippen Park CLO Ltd
39862EAD6
500000.00000000
PA
USD
403358.50000000
0.566476640180
Long
ABS-CBDO
CORP
KY
N
2
2030-01-20
Floating
5.11913000
N
N
N
N
N
N
MSCG Trust
N/A
MSCG Trust 2016-SNR
61691CAA7
56178.85000000
PA
USD
55758.39000000
0.078307077770
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Variable
3.34800000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-40000.00000000
PA
USD
-40000.00000000
-0.05617599630
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.88000000
2020-05-22
42318.00000000
USD
205478.00000000
USD
AMBS
N
N
N
ABB FINANCE USA INC
5493002Y01YAFV45F528
ABB Finance USA Inc
00037BAD4
140000.00000000
PA
USD
140000.56000000
0.196616773545
Long
DBT
CORP
US
N
2
2020-04-03
Fixed
2.80000000
N
N
N
N
N
N
RAAC Series
N/A
RAAC Series 2006-RP3 Trust
74919RAA3
272683.33000000
PA
USD
265005.99000000
0.372174387902
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
1.21663000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2013-C17
46640UAE2
114521.96000000
PA
USD
118341.20000000
0.166198370360
Long
ABS-MBS
CORP
US
N
2
2047-01-15
Fixed
3.70500000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-385000.00000000
PA
USD
-385000.00000000
-0.54069396447
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.88000000
2020-05-22
452611.00000000
USD
931918.00000000
USD
AMBS
N
N
N
CIMAREX ENERGY CO
11KYOFXPU1C4CQL1CL44
Cimarex Energy Co
171798AC5
120000.00000000
PA
USD
94736.93000000
0.133048535750
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
4.37500000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-380000.00000000
PA
USD
-380000.00000000
-0.53367196493
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.40000000
2020-06-02
380000.00000000
USD
386485.00000000
USD
CDS
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2005-E Trust
05946XXW8
185683.35000000
PA
USD
126253.96000000
0.177311049773
Long
ABS-MBS
CORP
US
N
2
2035-06-20
Floating
2.41400000
N
N
N
N
N
N
SCIENTIFIC GAMES INTERNATIO
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80875AAP6
119694.66000000
PA
USD
97251.91000000
0.136580573430
Long
LON
CORP
US
N
2
2024-08-14
Floating
4.44180000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2015-2R
12649QBE3
1200245.18000000
PA
USD
798570.41000000
1.121512210115
Long
ABS-MBS
CORP
US
N
2
2036-08-27
Variable
3.85092000
N
N
N
N
N
N
LifePoint Health Inc
549300G8ZVHRTBBBSZ90
LifePoint Health Inc
000000000
120000.00000000
PA
USD
112599.96000000
0.158135373433
Long
LON
CORP
US
N
2
2025-11-16
Floating
4.67850000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-20
12669F2H5
204573.24000000
PA
USD
148464.34000000
0.208503305396
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
3.25497700
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XAW5
270000.00000000
PA
USD
264263.85000000
0.371132126555
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.87500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
17.00000000
NC
USD
25853.47000000
0.036308610882
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-06-30
2105255.99000000
USD
25853.47000000
N
N
N
AMERICAN AIRLINES INC
IWUQB36BXD6OWD6X4T14
American Airlines Inc
02376CAT2
120000.00000000
PA
USD
100320.00000000
0.140889398742
Long
LON
CORP
US
N
2
2023-04-28
Floating
4.25110000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-336000.00000000
PA
USD
-336000.00000000
-0.47187836899
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.90000000
2020-05-04
381637.42680000
USD
819982.79670000
USD
AMBS
N
N
N
MASTR Adjustable Rate Mortgage
N/A
MASTR Adjustable Rate Mortgages Trust 2003-6
576433GC4
32132.34000000
PA
USD
28172.30000000
0.039565175520
Long
ABS-MBS
CORP
US
N
2
2033-12-25
Variable
3.59265500
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2004-B Trust
05946XJP9
266953.11000000
PA
USD
190459.94000000
0.267481922161
Long
ABS-MBS
CORP
US
N
2
2034-12-20
Variable
2.52935200
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAC4
270000.00000000
PA
USD
271664.55000000
0.381525668952
Long
DBT
NUSS
AE
N
2
2022-10-11
Fixed
2.50000000
N
N
N
N
N
N
Carlyle Global Market Strategi
N/A
Carlyle Global Market Strategies CLO 2014-3-R Ltd
14315LAA2
250000.00000000
PA
USD
237519.25000000
0.333572012782
Long
ABS-CBDO
CORP
KY
N
2
2031-07-27
Floating
2.84413000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-609600.00000000
PA
USD
-609600.00000000
-0.85612218374
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
640000.00000000
USD
630344.00000000
USD
CDS
N
N
N
Countrywide Home Loans
N/A
Reperforming Loan REMIC Trust 2006-R2
125435AA5
55903.32000000
PA
USD
47440.98000000
0.066626107934
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
1.36663000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust
92922F4S4
228831.33000000
PA
USD
208048.66000000
0.292183518906
Long
ABS-MBS
CORP
US
N
2
2045-10-25
Floating
1.30663000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAW0
119695.43150000
PA
USD
112713.24000000
0.158294463855
Long
LON
CORP
US
N
2
2024-11-03
Floating
3.72490000
N
N
N
N
N
N
GreenPoint Home Equity Loan Tr
N/A
GreenPoint Home Equity Loan Trust 2004-4
395385AZ0
28699.22000000
PA
USD
27062.24000000
0.038006207358
Long
ABS-MBS
CORP
US
N
2
2030-08-15
Floating
0.98463000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XDB7
896041.49000000
PA
USD
635169.76000000
0.892032352333
Long
ABS-MBS
CORP
US
N
2
2029-01-25
Floating
11.19663000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-967500.00000000
PA
USD
-967500.00000000
-1.35875691072
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.40000000
2020-06-02
900000.00000000
USD
942770.00000000
USD
CDS
N
N
N
BANCO SANTANDER CHILE
3YJP8HORPAEXJ80D6368
Banco Santander Chile
05970FAA9
210000.00000000
PA
USD
210252.00000000
0.295277889399
Long
DBT
CORP
CL
N
2
2020-12-15
Fixed
2.50000000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
000000000
200000.00000000
PA
USD
206252.80000000
0.289661413288
Long
DBT
NUSS
QA
N
2
2023-04-23
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9NZ2
280771.32000000
PA
USD
303226.16000000
0.425850791123
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-134000.00000000
PA
USD
-134000.00000000
-0.18818958763
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.10000000
2020-04-20
157286.95370000
USD
365345.64050000
USD
AMBS
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114QBZ0
50000.00000000
PA
USD
51051.24000000
0.071696356745
Long
DBT
CORP
CA
N
2
2021-06-11
Fixed
3.25000000
N
N
N
N
N
N
SLM Student Loan Trust
54930051VPU2HCJB6841
SLM Student Loan Trust 2006-10
78443BAG1
960000.00000000
PA
USD
863630.59000000
1.212882720904
Long
ABS-O
CORP
US
N
2
2044-03-25
Floating
1.94413000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0LH0
140515.57000000
PA
USD
138720.20000000
0.194818636079
Long
ABS-MBS
CORP
US
N
2
2029-03-25
Floating
2.24663000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE
000000000
-39.00000000
NC
USD
-3960.96000000
-0.00556277185
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-06-30
0.00000000
USD
100000.00000000
124.00000000
USD
2020-04-24
XXXX
25362.20000000
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-469635.00000000
PA
USD
-469635.00000000
-0.65955535066
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.40000000
2020-06-02
478000.00000000
USD
480766.00000000
USD
CDS
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2019-UVIL
12656DAA1
490000.00000000
PA
USD
456653.64000000
0.641324329878
Long
ABS-MBS
CORP
US
N
2
2041-12-15
Fixed
3.15950000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR1 Trust
939336X81
50224.11000000
PA
USD
46176.63000000
0.064850454911
Long
ABS-MBS
CORP
US
N
2
2045-01-25
Floating
1.74663000
N
N
N
N
N
N
Acis CLO LTD
549300KBPN4VDPV9ZF83
ACIS CLO 2015-6 Ltd
00452PAA5
270177.85000000
PA
USD
267597.65000000
0.375814114967
Long
ABS-CBDO
CORP
KY
N
2
2027-05-01
Floating
3.35325000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan T
N/A
Morgan Stanley Mortgage Loan Trust 2006-6AR
61749CAF8
271230.44000000
PA
USD
219764.22000000
0.308636850289
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
3.71433200
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BLE0
436775.45000000
PA
USD
432656.53000000
0.607622790808
Long
ABS-MBS
USGA
US
N
2
2061-03-20
Floating
2.16188000
N
N
N
N
N
N
Nomura Asset Acceptance Corpor
N/A
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2007-1
65538PAE8
268199.15000000
PA
USD
253650.98000000
0.356227412906
Long
ABS-MBS
CORP
US
N
2
2047-03-25
Variable
6.13800000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397VU4
250000.00000000
PA
USD
246250.00000000
0.345833477277
Long
DBT
CORP
US
N
2
2021-08-02
Fixed
5.87500000
N
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764BG4
330000.00000000
PA
USD
330210.18000000
0.463747146321
Long
DBT
CORP
US
N
2
2021-05-16
Fixed
2.10000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-345000.00000000
PA
USD
-345000.00000000
-0.48451796816
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.90000000
2020-05-04
391082.01580000
USD
890141.75140000
USD
AMBS
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BF5
139000.00000000
PA
USD
142749.31000000
0.200477117791
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.73400000
N
N
N
N
N
N
TEVA PHARMACEUT FIN BV
549300Q840R30TDKVK53
Teva Pharmaceutical Finance Co BV
88165FAG7
100000.00000000
PA
USD
92216.00000000
0.129508141890
Long
DBT
CORP
CW
N
2
2022-12-18
Fixed
2.95000000
N
N
N
N
N
N
STATE STREET CORP
549300ZFEEJ2IP5VME73
State Street Corp
857477608
49000.00000000
NS
USD
1192660.00000000
1.674971593947
Long
EP
CORP
US
N
1
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-571500.00000000
PA
USD
-571500.00000000
-0.80261454726
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
600000.00000000
USD
597547.00000000
USD
CDS
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AH4
344000.00000000
PA
USD
219787.77000000
0.308669923907
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
5.00000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2004-AR12 Trust
92922FZF8
58976.77000000
PA
USD
53506.28000000
0.075144214694
Long
ABS-MBS
CORP
US
N
2
2044-10-25
Floating
1.72663000
N
N
N
N
N
N
FIRST EAGLE HOLDINGS INC
549300ZKYR56QRODD510
First Eagle Holdings Inc
000000000
120000.00000000
PA
USD
101850.00000000
0.143038130601
Long
LON
CORP
US
N
2
2027-02-02
Floating
3.48450000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-70000.00000000
PA
USD
-70000.00000000
-0.09830799354
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.40000000
2020-06-05
81710.00000000
USD
198520.00000000
USD
AMBS
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-195000.00000000
PA
USD
-195000.00000000
-0.27385798200
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
200000.00000000
USD
199183.00000000
USD
CDS
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA
000000000
-176000.00000000
PA
USD
-176000.00000000
-0.24717438375
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.79000000
2020-05-22
179056.21800000
USD
212295.22320000
USD
AMBS
N
N
N
Residential Asset Securities C
N/A
RASC Series 2006-KS2 Trust
75406BAG2
1260000.00000000
PA
USD
990356.72000000
1.390856886182
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
1.35663000
N
N
N
N
N
N
IndyMac Residential Asset Back
N/A
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2005-C
456606HV7
790000.00000000
PA
USD
702712.19000000
0.986888934793
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
1.44663000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE
000000000
-10.00000000
NC
USD
-625.00000000
-0.00087774994
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-06-30
0.00000000
USD
100000.00000000
122.75000000
USD
2020-04-24
XXXX
2404.58000000
N
N
N
UNIVISION COMMUNICATIONS
549300YQDE2JSGTL8V47
Univision Communications Inc
914908AX6
719663.59150000
PA
USD
615312.37000000
0.864144635650
Long
LON
CORP
US
N
2
2024-03-15
Floating
3.75000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91086QAS7
85000.00000000
PA
USD
112200.85000000
0.157574863386
Long
DBT
NUSS
MX
N
2
2034-09-27
Fixed
6.75000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-70914.82000000
-0.09959276666
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2023-06-28
0.00000000
USD
-2347.33000000
USD
-2500000.00000000
USD
-68567.49000000
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475AM7
990000.00000000
PA
USD
841985.10000000
1.182483796745
Long
DBT
CORP
US
N
2
N/A
Fixed
4.85000000
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
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
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
2020-06-19
0.00000000
USD
100000.00000000
134.00000000
USD
2020-03-27
XXXX
4111.17000000
N
N
N
Morgan Stanley ReRemic Trust
N/A
Morgan Stanley Resecuritization Trust 2015-R2
61690HAA7
93485.91000000
PA
USD
94720.11000000
0.133024913743
Long
ABS-MBS
CORP
US
N
2
2046-12-27
Floating
2.76329600
N
N
N
N
N
N
ZF NA CAPITAL
529900JYGMS9CW9IQX78
ZF North America Capital Inc
98877DAC9
200000.00000000
PA
USD
168037.45000000
0.235991779274
Long
DBT
CORP
US
N
2
2025-04-29
Fixed
4.75000000
N
N
N
N
N
N
SUDBURY MILL CLO LTD
2549002BXC788OTPUW39
Sudbury Mill CLO Ltd
864662AM3
276657.78000000
PA
USD
274972.10000000
0.386170791866
Long
ABS-CBDO
CORP
KY
N
2
2026-01-17
Floating
2.98613000
N
N
N
N
N
N
Apex Credit CLO LLC
549300RQCC84IFW6Y440
Apex Credit CLO 2017 Ltd
46619UAA7
200000.00000000
PA
USD
191548.40000000
0.269010555284
Long
ABS-CBDO
CORP
KY
N
2
2029-04-24
Floating
3.27088000
N
N
N
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AH6
210000.00000000
PA
USD
239531.27000000
0.336397693485
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
7.85000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-75000.00000000
PA
USD
-75000.00000000
-0.10532999307
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.40000000
2020-06-05
87822.00000000
USD
197826.00000000
USD
AMBS
N
N
N
Option One Mortgage Loan Trust
N/A
Option One Mortgage Loan Trust 2005-3
68389FHV9
520000.00000000
PA
USD
308460.31000000
0.433201630900
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
1.87663000
N
N
N
N
N
N
LCM Ltd Partnership
549300PYL1KC7BYM8G75
LCM XVIII LP
50188QAJ0
250000.00000000
PA
USD
246440.75000000
0.346101366559
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
3.07125000
N
N
N
N
N
N
Prime Mortgage Trust
N/A
Prime Mortgage Trust 2006-DR1
74159UAD9
358898.27000000
PA
USD
205514.95000000
0.288625176816
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Fixed
6.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO LLC
FOR8UP27PHTHYVLBNG30
MXN/USD FORWARD
000000000
1.00000000
NC
USD
-145642.06000000
-0.20453969562
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO LLC
FOR8UP27PHTHYVLBNG30
-737042.82000000
USD
14070000.00000000
MXN
2020-04-17
-145642.06000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5CD3
196332.72000000
PA
USD
206167.49000000
0.289541603931
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
BRL/USD FORWARD
000000000
1.00000000
NC
USD
3.96000000
0.000005561423
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-3330.00000000
BRL
644.08000000
USD
2020-04-17
3.96000000
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
00084DAS9
430000.00000000
PA
USD
418474.05000000
0.587704917205
Long
DBT
CORP
NL
N
2
2021-08-27
Floating
2.20763000
N
N
N
N
N
N
Wind River CLO Ltd
635400WBNY8VGBBADK15
THL Credit Wind River 2016-1 CLO Ltd
88433AAL3
250000.00000000
PA
USD
231862.00000000
0.325626971404
Long
ABS-CBDO
CORP
KY
N
2
2028-07-15
Floating
3.48125000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-7.00000000
NC
USD
-1750.00000000
-0.00245769983
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
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
2020-06-19
0.00000000
USD
100000.00000000
141.00000000
USD
2020-04-24
XXXX
1300.39000000
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XDA9
881400.67000000
PA
USD
838118.87000000
1.177054063690
Long
ABS-MBS
CORP
US
N
2
2029-01-25
Floating
5.19663000
N
N
N
N
N
N
Zais CLO 13, Limited
549300GODB02F7ODZK39
Zais Clo 13 Ltd
98876NAA2
250000.00000000
PA
USD
233968.50000000
0.328585339810
Long
ABS-CBDO
CORP
KY
N
2
2032-07-15
Floating
3.32125000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BJN3
875692.52000000
PA
USD
865301.46000000
1.215229290578
Long
ABS-MBS
USGA
US
N
2
2060-11-20
Floating
2.11188000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BW9
250000.00000000
PA
USD
228995.23000000
0.321600879881
Long
DBT
CORP
US
N
2
2024-06-24
Fixed
4.55000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2017-C4
90276RBE7
410000.00000000
PA
USD
437386.28000000
0.614265251272
Long
ABS-MBS
CORP
US
N
2
2050-10-15
Fixed
3.56300000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-739000.00000000
PA
USD
-739000.00000000
-1.03785153180
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.15000000
2020-04-23
875692.51600000
USD
1678684.83200000
USD
AMBS
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BKL5
372182.91000000
PA
USD
367705.29000000
0.516405275346
Long
ABS-MBS
USGA
US
N
2
2061-02-20
Floating
2.11188000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2004-6CB
12667FCW3
25640.09000000
PA
USD
25299.12000000
0.035530081793
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Floating
1.52663000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-A3
466247QA4
77642.27000000
PA
USD
72019.10000000
0.101143617394
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Variable
3.88413200
N
N
N
N
N
N
Countrywide Home Loans
N/A
Reperforming Loan REMIC Trust 2004-R1
12669F7L1
23820.89000000
PA
USD
23012.75000000
0.032319103976
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Fixed
6.50000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
USD/GBP FORWARD
000000000
1.00000000
NC
USD
4890.97000000
0.006868877816
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-69376.80000000
GBP
91094.44000000
USD
2020-04-17
4890.97000000
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-190000.00000000
PA
USD
-190000.00000000
-0.26683598246
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
200000.00000000
USD
199071.00000000
USD
CDS
N
N
N
SPRINT CORP
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAJ4
740000.00000000
PA
USD
823250.00000000
1.156172224034
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
7.62500000
N
N
N
N
N
N
PMT CREDIT RISK TRANSFER TRUST
N/A
PMT Credit Risk Transfer Trust 2019-1R
73021CAA3
388170.00000000
PA
USD
373469.30000000
0.524500250458
Long
ABS-MBS
CORP
US
N
2
2024-03-27
Floating
3.61263000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-436500.00000000
PA
USD
-436500.00000000
-0.61302055972
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
450000.00000000
USD
442812.00000000
USD
CDS
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-352425.00000000
PA
USD
-352425.00000000
-0.49494563748
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
370000.00000000
USD
369880.00000000
USD
CDS
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-7.00000000
NC
USD
-437.50000000
-0.00061442495
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
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
2020-06-19
0.00000000
USD
100000.00000000
131.00000000
USD
2020-04-24
XXXX
3316.02000000
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2017-1
64829JAA1
389344.37000000
PA
USD
405800.75000000
0.569906535854
Long
ABS-MBS
CORP
US
N
2
2057-02-25
Variable
4.00000000
N
N
N
N
N
N
COOPERAT RABOBANK UA/NY
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA/NY
21688AAP7
600000.00000000
PA
USD
573204.88000000
0.805008880579
Long
DBT
CORP
US
N
2
2021-04-26
Floating
2.22413000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BLQ3
96419.19000000
PA
USD
95470.97000000
0.134079421458
Long
ABS-MBS
USGA
US
N
2
2061-04-20
Floating
2.16188000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FCDE3
534851.45000000
PA
USD
101602.27000000
0.142690218612
Long
ABS-MBS
USGSE
US
N
2
2034-01-25
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0PS2
367641.72000000
PA
USD
236459.10000000
0.332083138220
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
12.19663000
N
N
N
N
N
N
Residential Funding Mortgage S
N/A
Home Equity Loan Trust 2006-HSA3
76113JAA0
308501.52000000
PA
USD
294566.66000000
0.413689390122
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
1.07663000
N
N
N
N
N
N
Dreyfus Government Cash Management
549300F7IDB6WRO7VJ11
Dreyfus Government Cash Management
262006208
1020005.51000000
NS
USD
1020005.51000000
1.432495644123
Long
STIV
RF
US
N
1
N
N
N
Morgan Stanley ReRemic Trust
N/A
Morgan Stanley Resecuritization Trust 2015-R6
61690XAA2
97579.64000000
PA
USD
91977.66000000
0.129173417216
Long
ABS-MBS
CORP
US
N
2
2045-07-26
Floating
2.14675000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-394000.00000000
PA
USD
-394000.00000000
-0.55333356364
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.88000000
2020-05-22
416691.00000000
USD
919177.00000000
USD
AMBS
N
N
N
Deutsche Mortgage Securities,
N/A
Deutsche Mortgage Securities Inc Mortgage Loan Trust 2004-4
251563EZ1
163091.75000000
PA
USD
148855.78000000
0.209053043696
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
4.79603600
N
N
N
N
N
N
SACO I Trust
N/A
SACO I Trust 2006-3
785778QL8
68079.46000000
PA
USD
66543.48000000
0.093453657171
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
1.40663000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JT9
900000.00000000
PA
USD
942770.03000000
1.324026143137
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
4.40000000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BK9
20000.00000000
PA
USD
20411.00000000
0.028665206516
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
6.50000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2015-1
63939FAB6
113204.09000000
PA
USD
108350.74000000
0.152167769257
Long
ABS-O
CORP
US
N
2
2040-04-25
Floating
1.54663000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
1233000.00000000
PA
264045.01000000
0.370824787679
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
10.00000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAK1
150000.00000000
PA
USD
129201.40000000
0.181450434237
Long
DBT
CORP
IE
N
2
2024-01-16
Fixed
4.87500000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
BARCLAYS CAPITAL INC.
000000000
-180075.00000000
PA
USD
-180075.00000000
-0.25289731338
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.60000000
2045-01-21
210000.00000000
USD
238087.50000000
USD
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR8
92922FS25
382997.10000000
PA
USD
318281.93000000
0.446995113122
Long
ABS-MBS
CORP
US
N
2
2045-07-25
Floating
2.34675000
N
N
N
N
N
N
Jamestown CLO Ltd
254900DHYESSX5WQUA23
Jamestown CLO X Ltd
47048HAE7
250000.00000000
PA
USD
230345.25000000
0.323496847844
Long
ABS-CBDO
CORP
KY
N
2
2029-07-17
Floating
3.68613000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505EH3
650000.00000000
PA
USD
660201.75000000
0.927187276779
Long
DBT
CORP
US
N
2
N/A
Fixed
6.25000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17307GNR5
197937.44000000
PA
USD
179004.49000000
0.251393889238
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
1.57663000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFM6
660000.00000000
PA
USD
695793.73000000
0.977172650207
Long
DBT
CORP
US
N
2
2025-01-22
Fixed
4.00000000
N
N
N
N
N
N
AMBAC ASSURANCE CORP
549300RYYRVPPB8NC636
Ambac Assurance Corp
023138AA8
4065.82000000
PA
USD
5646.05000000
0.007929312099
Long
DBT
CORP
US
N
2
2020-06-07
Fixed
5.10000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XAY1
75000.00000000
PA
USD
77478.75000000
0.108811149350
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
7.75000000
N
N
N
N
N
N
BANK OF NEW YORK MELLON
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
064058AB6
1340000.00000000
PA
USD
1126531.30000000
1.582100453769
Long
DBT
CORP
US
N
2
N/A
Fixed
4.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2018-J1
12653TBW0
829419.56000000
PA
USD
763673.30000000
1.072502712052
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
3.66700600
N
N
N
N
N
N
INTL LEASE FINANCE CORP
N/A
International Lease Finance Corp
459745GN9
190000.00000000
PA
USD
175110.41000000
0.245925043645
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.87500000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2002-1
542514BY9
44405.77000000
PA
USD
43909.87000000
0.061667017376
Long
ABS-MBS
CORP
US
N
2
2032-05-25
Floating
2.07163000
N
N
N
N
N
N
METLIFE INC
C4BXATY60WC6XEOZDX54
MetLife Inc
59156RBP2
680000.00000000
PA
USD
592875.00000000
0.832633595292
Long
DBT
CORP
US
N
2
N/A
Fixed
5.25000000
N
N
N
N
N
N
GRIFOLS WORLDWIDE OPERAT
N/A
Grifols Worldwide Operations USA Inc
39843PAG8
120000.00000000
PA
USD
114999.96000000
0.161505933212
Long
LON
CORP
US
N
2
2027-11-15
Floating
2.80010000
N
N
N
N
N
N
FOCUS FINANCIAL PARTNERS LLC
5493007L0E0VKRC2CP39
Focus Financial Partners LLC
34416DAT5
119695.43150000
PA
USD
110119.80000000
0.154652236958
Long
LON
CORP
US
N
2
2024-07-03
Floating
2.98940000
N
N
N
N
N
N
INTL LEASE FINANCE CORP
N/A
International Lease Finance Corp
459745GK5
290000.00000000
PA
USD
289075.72000000
0.405977914493
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
8.62500000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QBU1
190000.00000000
PA
USD
191712.33000000
0.269240778561
Long
DBT
CORP
GB
N
2
2021-11-01
Fixed
3.56100000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE
000000000
-25.00000000
NC
USD
-5468.75000000
-0.00768031199
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-06-30
0.00000000
USD
100000.00000000
124.00000000
USD
2020-05-22
XXXX
11698.94000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376XNT6
80408.70000000
PA
USD
79727.02000000
0.111968619531
Long
ABS-MBS
USGA
US
N
2
2060-03-20
Floating
2.16263000
N
N
N
N
N
N
Carlyle Global Market Strategi
549300VC6J79YJCFU884
Carlyle US Clo 2017-2 Ltd
14315JAJ8
250000.00000000
PA
USD
176550.50000000
0.247947505908
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
5.51913000
N
N
N
N
N
N
Lanark Master Issuer plc
213800KIOPB5OYXIVY33
Lanark Master Issuer PLC
513770AY3
375200.00000000
PA
USD
358744.85000000
0.503821234236
Long
ABS-MBS
CORP
GB
N
2
2069-12-22
Floating
2.10275000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-369550.00000000
PA
USD
-369550.00000000
-0.51899598589
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
380000.00000000
USD
346601.00000000
USD
CDS
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216AZ4
170000.00000000
PA
USD
165313.31000000
0.232165997309
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
3.25000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2G8
200000.00000000
PA
USD
208693.47000000
0.293089090010
Long
DBT
CORP
FR
N
2
2025-01-10
Fixed
4.70500000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-306675.00000000
PA
USD
-306675.00000000
-0.43069434170
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
290000.00000000
USD
289076.00000000
USD
CDS
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-443250.00000000
PA
USD
-443250.00000000
-0.62250025909
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
450000.00000000
USD
459131.00000000
USD
CDS
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773CX6
40000.00000000
PA
USD
41669.98000000
0.058521316066
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
3.65000000
N
N
N
N
N
N
Origen Manufactured Housing
5493001P8LORMOBBQA95
Origen Manufactured Housing Contract Trust 2007-A
68620CAB6
255474.23000000
PA
USD
232107.79000000
0.325972158858
Long
ABS-O
CORP
US
N
2
2037-04-15
Variable
4.35520000
N
N
N
N
N
N
SANTANDER UK GROUP HLDGS
549300F5XIFGNNW4CF72
Santander UK Group Holdings PLC
80281LAF2
200000.00000000
PA
USD
199182.77000000
0.279732263808
Long
DBT
CORP
GB
N
2
2023-01-10
Fixed
3.57100000
N
N
N
N
N
N
SMB Private Education Loan Tru
54930027GONY06ZX8P67
SMB Private Education Loan Trust 2016-C
78449KAB6
522006.40000000
PA
USD
523394.36000000
0.735054990887
Long
ABS-O
CORP
US
N
2
2034-09-15
Fixed
2.34000000
N
N
N
N
N
N
BHMS Mortgage Trust
N/A
BHMS 2018-ATLS
05549GAL5
280000.00000000
PA
USD
191297.34000000
0.268657966644
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
2.95463000
N
N
N
N
N
N
M&T BANK CORPORATION
549300WYXDDBYRASEG81
M&T Bank Corp
55261FAG9
1190000.00000000
PA
USD
1130375.05000000
1.587498615914
Long
DBT
CORP
US
N
2
N/A
Fixed
6.45000000
N
N
N
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust 2005-11
007036UQ7
74202.99000000
PA
USD
44010.25000000
0.061807991038
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
1.48663000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2004-10
41161PJN4
73799.78000000
PA
USD
63766.13000000
0.089553147087
Long
ABS-MBS
CORP
US
N
2
2035-01-19
Variable
3.82856000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-571500.00000000
PA
USD
-571500.00000000
-0.80261454726
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
600000.00000000
USD
573205.00000000
USD
CDS
N
N
N
Terwin Mortgage Trust
N/A
Terwin Mortgage Trust Series TMTS 2004-5HE
881561FP4
445682.21000000
PA
USD
401581.55000000
0.563981091764
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
1.83163000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US TREASURY 10 YEAR NOTE
000000000
161.00000000
NC
USD
892695.53000000
1.253701519958
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-06-19
21435991.97000000
USD
892695.53000000
N
N
N
Elevation CLO Ltd
54930016BEN63TU0GK59
Elevation CLO 2014-3 Ltd
04280TAJ8
218985.23000000
PA
USD
218985.34000000
0.307542991289
Long
ABS-CBDO
CORP
KY
N
2
2026-10-15
Floating
3.01125000
N
N
N
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-349245.00000000
PA
USD
-349245.00000000
-0.49047964577
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.40000000
2020-06-02
351000.00000000
USD
294748.00000000
USD
CDS
N
N
N
SPRINT SPECTRUM / SPEC I
N/A
Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC
85208NAA8
206250.00000000
PA
USD
205992.19000000
0.289295412628
Long
DBT
CORP
US
N
2
2021-09-20
Variable
3.36000000
N
N
N
N
N
N
Conseco Financial Corp
N/A
Conseco Finance Corp
393505UW0
249922.04000000
PA
USD
192982.45000000
0.271024534972
Long
ABS-O
CORP
US
N
2
2029-02-15
Variable
7.22000000
N
N
N
N
N
N
Credit-Based Asset Servicing a
N/A
Credit-Based Asset Servicing & Securitization LLC
1248MAAD9
139363.67000000
PA
USD
138778.76000000
0.194900877738
Long
ABS-MBS
CORP
US
N
2
2037-12-25
Variable
5.26019800
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RCS9
810000.00000000
PA
USD
833260.22000000
1.170230576078
Long
DBT
CORP
US
N
2
2023-02-17
Fixed
3.60000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE
000000000
-1.00000000
NC
USD
-351.56000000
-0.00049373083
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-06-30
0.00000000
USD
100000.00000000
124.75000000
USD
2020-05-22
XXXX
334.21000000
N
N
N
New Century Home Equity Loan T
N/A
New Century Home Equity Loan Trust 2004-3
64352VHV6
555714.82000000
PA
USD
499228.41000000
0.701116332937
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
1.87663000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-57000.00000000
PA
USD
-57000.00000000
-0.08005079474
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.40000000
2020-06-05
66347.00000000
USD
170058.00000000
USD
AMBS
N
N
N
RBC Capital Markets, LLC
549300LCO2FLSSVFFR64
RBC Capital Markets, LLC
000000000
-196500.00000000
PA
USD
-196500.00000000
-0.27596458186
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2020-05-29
200000.00000000
USD
190905.00000000
USD
CDS
N
N
N
CGDB Commercial Mortgage Trust
N/A
CGDB Commercial Mortgage Trust 2019-MOB
125284AA7
210000.00000000
PA
USD
195472.35000000
0.274521350302
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
1.65463000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BKX9
229061.86000000
PA
USD
226672.22000000
0.318338444851
Long
ABS-MBS
USGA
US
N
2
2061-02-20
Floating
2.16188000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDJ0
108000.00000000
PA
USD
106832.22000000
0.150035159910
Long
ABS-O
CORP
US
N
2
2023-03-20
Fixed
4.53000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
ROYAL BANK OF CANADA
000000000
-71000.00000000
PA
USD
-71000.00000000
-0.09971239344
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.79000000
2020-05-22
71615.00000000
USD
106860.00000000
USD
AMBS
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-BPR
61769GAA5
160000.00000000
PA
USD
149286.70000000
0.209658227704
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
2.10463000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE
000000000
-12.00000000
NC
USD
-3562.50000000
-0.00500317467
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-06-30
0.00000000
USD
100000.00000000
124.50000000
USD
2020-05-22
XXXX
2088.62000000
N
N
N
REYNOLDS CONSUMER PRODUC
549300DWNZYMOSR1X343
REYNOLDS CONSUMER PRODUCTS LLC
76171JAB7
120000.00000000
PA
USD
113925.00000000
0.159996259487
Long
LON
CORP
US
N
2
2027-02-04
Floating
2.73450000
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities Trust 2007-SD1
07389QAC2
441725.51000000
PA
USD
295891.73000000
0.415550318308
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Fixed
6.00000000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-275000.00000000
PA
USD
-275000.00000000
-0.38620997462
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.40000000
2020-06-05
323330.00000000
USD
847417.00000000
USD
AMBS
N
N
N
Countrywide Home Equity Loan T
N/A
Countrywide Home Equity Loan Trust
126686AH7
263219.09000000
PA
USD
207626.17000000
0.291590173989
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
0.85463000
N
N
N
N
N
N
NORDEA BANK ABP
529900ODI3047E2LIV03
Nordea Bank Abp
65557FAA4
310000.00000000
PA
USD
315811.29000000
0.443525346534
Long
DBT
CORP
FI
N
2
2021-05-13
Fixed
4.87500000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan
N/A
GMACM Mortgage Loan Trust 2005-AF2
36185MDB5
687271.21000000
PA
USD
631928.83000000
0.887480790540
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BDG4
447094.39000000
PA
USD
447964.97000000
0.629121962532
Long
ABS-MBS
USGA
US
N
2
2060-06-20
Floating
2.61263000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION
000000000
-78000.00000000
PA
USD
-78000.00000000
-0.10954319280
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.88000000
2020-05-22
82685.00000000
USD
204142.00000000
USD
AMBS
N
N
N
Chase Funding Mortgage Loan As
N/A
Chase Funding Trust Series 2004-1
161546HU3
157089.99000000
PA
USD
156797.91000000
0.220206970335
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Variable
4.98500000
N
N
N
N
N
N
Structured Asset Investment Lo
N/A
Structured Asset Investment Loan Trust 2004-9
86358EMW3
117618.78000000
PA
USD
93671.68000000
0.131552498748
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
2.89663000
N
N
N
N
N
N
Dominos Pizza Master Issuer LL
N/A
Domino's Pizza Master Issuer LLC
25755TAF7
488750.00000000
PA
USD
463782.01000000
0.651335412048
Long
ABS-O
CORP
US
N
2
2047-07-25
Floating
3.04413000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375BJS2
87315.74000000
PA
USD
86386.83000000
0.121321656080
Long
ABS-MBS
USGA
US
N
2
2061-01-20
Floating
2.16188000
N
N
N
N
N
N
2020-05-20
Western Asset Variable Rate Strategic Fund Inc.
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer