0001752724-20-165256.txt : 20200824
0001752724-20-165256.hdr.sgml : 20200824
20200824105433
ACCESSION NUMBER: 0001752724-20-165256
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200630
FILED AS OF DATE: 20200824
PERIOD START: 20201231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Legg Mason ETF Investment Trust
CENTRAL INDEX KEY: 0001645194
IRS NUMBER: 000000000
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1130
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-23096
FILM NUMBER: 201125410
BUSINESS ADDRESS:
STREET 1: 620 EIGHTH AVE
STREET 2: 49TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10018
BUSINESS PHONE: 877-721-1926
MAIL ADDRESS:
STREET 1: 620 EIGHTH AVE
STREET 2: 49TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10018
FORMER COMPANY:
FORMER CONFORMED NAME: Legg Mason ETF InvestmentTrust
DATE OF NAME CHANGE: 20170221
FORMER COMPANY:
FORMER CONFORMED NAME: Legg Mason ETF Equity Trust
DATE OF NAME CHANGE: 20150615
0001645194
S000059365
Western Asset Total Return ETF
C000194756
Western Asset Total Return ETF
WBND
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001645194
XXXXXXXX
S000059365
C000194756
Legg Mason ETF Investment Trust
811-23096
0001645194
549300D7ZZ1A7JJ9G964
620 Eighth Avenue
49thFloor
New York
10018
1-877-721-1926
Western Asset Total Return ETF
S000059365
549300IW55ZZ0YDJ0R05
2020-12-31
2020-06-30
N
157451133.89
18779228.28
138671905.61
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
940736.74000000
11392562.52000000
0.00000000
1841691.94000000
USD
N
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
SWOP IRS USD
000000000
-1440000.00000000
NC
USD
-47150.20000000
-0.03400126348
N/A
DIR
CORP
CH
N
2
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
Put
Written
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
CH
US
2020-09-16
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
93.50000000
USD
2020-09-16
XXXX
-20150.20000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE
000000000
207.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-30
0.00000000
USD
1000.00000000
116.50000000
USD
2020-07-24
XXXX
-4655.06000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2R3
100000.00000000
PA
USD
101581.10000000
0.073252833407
Long
DBT
CORP
US
N
2
2024-06-02
Fixed
1.65400000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AH6
130000.00000000
PA
USD
139808.46000000
0.100819599604
Long
DBT
CORP
US
N
2
2025-03-27
Fixed
2.40000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SG4
1340000.00000000
PA
USD
1819889.32000000
1.312370600226
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1.00000000
N
N
N
N
N
N
CITADEL SECURITIES LP
549300NV5RXBUS3X7L47
Citadel Securities LP
17288YAC6
139650.00000000
PA
USD
135576.83000000
0.097768058644
Long
LON
CORP
US
N
2
2026-02-27
Floating
2.94510000
N
N
N
N
N
N
LifePoint Health Inc
549300G8ZVHRTBBBSZ90
LifePoint Health Inc
75915TAD4
164913.88000000
PA
USD
153679.12000000
0.110822101509
Long
LON
CORP
US
N
2
2025-11-16
Floating
3.94010000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2N2
90000.00000000
PA
USD
93057.06000000
0.067105921412
Long
DBT
CORP
US
N
2
2026-04-30
Fixed
2.18800000
N
N
N
N
N
N
BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The
064159VL7
50000.00000000
PA
USD
50334.92000000
0.036297849790
Long
DBT
CORP
CA
N
2
2025-06-11
Fixed
1.30000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - RUB
000000000
1.00000000
NC
USD
4389.10000000
0.003165096766
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-68808.22000000
USD
5225984.00000000
RUB
2020-07-16
4389.10000000
N
N
N
EYECARE PARTNERS LLC
N/A
Eyecare Partners LLC
30233PAC4
17027.03000000
PA
USD
15274.66000000
0.011014963653
Long
LON
CORP
US
N
2
2027-02-20
Floating
3.94000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBC6
100000.00000000
PA
USD
115145.29000000
0.083034331643
Long
DBT
CORP
US
N
2
2026-02-14
Fixed
4.40000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
-1537.60000000
-0.00110880426
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-36288.67000000
USD
190951.00000000
BRL
2020-07-16
-1537.60000000
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
370.88000000
0.000267451433
N/A
DFE
CORP
US
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
-235578.00000000
USD
210000.00000000
EUR
2020-07-16
370.88000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-5248.33000000
-0.00378471037
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1123269.66000000
USD
904739.00000000
GBP
2020-07-16
-5248.33000000
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc
595112BR3
50000.00000000
PA
USD
51963.16000000
0.037472016967
Long
DBT
CORP
US
N
2
2023-04-24
Fixed
2.49700000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CW3
150000.00000000
PA
USD
177147.85000000
0.127746027013
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAM2
100000.00000000
PA
USD
100018.84000000
0.072126246163
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
4.50000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CX1
40000.00000000
PA
USD
47435.67000000
0.034207123491
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
5.93000000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AQ2
200000.00000000
PA
USD
227140.08000000
0.163796753928
Long
DBT
CORP
IT
N
2
2034-04-02
Fixed
7.29600000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F032674
-100000.00000000
PA
USD
-105175.78000000
-0.07584505277
Short
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
3.50000000
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BU5
40000.00000000
PA
USD
57378.42000000
0.041377105007
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.25000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
330000000.00000000
PA
22807.77000000
0.016447289665
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAU5
150000.00000000
PA
USD
178955.80000000
0.129049787851
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.37500000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBQ1
400000.00000000
PA
USD
424644.67000000
0.306222567672
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
56.77000000
0.000040938357
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-1298100.00000000
ZAR
74628.32000000
USD
2020-07-16
56.77000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JH1
10000.00000000
PA
USD
9746.60000000
0.007028532533
Long
DBT
CORP
US
N
2
2040-08-01
Fixed
3.30000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - ZAR
000000000
1.00000000
NC
USD
3153.20000000
0.002273856399
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-71418.35000000
USD
1298100.00000000
ZAR
2020-07-16
3153.20000000
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAE9
200000.00000000
PA
USD
207263.01000000
0.149462869993
Long
DBT
CORP
ES
N
2
2025-05-28
Fixed
2.74600000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513EAD3
50000.00000000
PA
USD
52075.04000000
0.037552696612
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
2.25000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BU1
20000.00000000
PA
USD
27918.19000000
0.020132549471
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-28875.85000000
-0.02082314357
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-38138837.00000000
PHP
735986.82000000
USD
2020-07-16
-28875.85000000
N
N
N
JETBLUE AIRWAYS CORP
54930070J9H97ZO93T57
JetBlue Airways Corp
47714FAL8
230000.00000000
PA
USD
225016.59000000
0.162265448801
Long
LON
CORP
US
N
2
2024-06-17
Floating
6.25000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XAW5
70000.00000000
PA
USD
69650.00000000
0.050226467786
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.87500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1656.74000000
0.001194719285
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
-5193588.00000000
RUB
74400.31000000
USD
2020-07-16
1656.74000000
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MEY6
20000.00000000
PA
USD
22673.71000000
0.016350615433
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
3.70000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBW8
260000.00000000
PA
USD
286101.72000000
0.206315560993
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EU8
10000.00000000
PA
USD
12036.07000000
0.008679530253
Long
DBT
CORP
US
N
2
2050-03-19
Fixed
3.62500000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CB6
30000.00000000
PA
USD
32942.88000000
0.023755987094
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.70000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AQ1
30000.00000000
PA
USD
31887.59000000
0.022994989403
Long
DBT
CORP
US
N
2
2027-10-27
Fixed
3.87500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HB0
170000.00000000
PA
USD
201589.18000000
0.145371320249
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
5.50000000
N
N
N
N
N
N
Garda World Security Corp
N/A
GARDA SECURITY TL 10/26
000000000
20611.96000000
PA
USD
20199.72000000
0.014566555432
Long
LON
CORP
CA
N
2
2026-10-30
Floating
5.73450000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29279FAA7
50000.00000000
PA
USD
53005.61000000
0.038223755393
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBE5
350000.00000000
PA
USD
375493.31000000
0.270778214482
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
2.73900000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2004-NC7
61744CFP6
88143.01000000
PA
USD
83327.48000000
0.060089662454
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Floating
1.03950000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-105.34000000
-0.00007596347
N/A
DFE
CORP
US
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
-75260.56000000
USD
102357.00000000
CAD
2020-07-16
-105.34000000
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAH5
30000.00000000
PA
USD
30051.30000000
0.021670791836
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5JV6
96423.34000000
PA
USD
102288.62000000
0.073763044900
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
SPRINT CORP
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAF2
20000.00000000
PA
USD
22525.00000000
0.016243376696
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
7.87500000
N
N
N
N
N
N
SLM Student Loan Trust
54930051VPU2HCJB6841
SLM Student Loan Trust 2006-10
78443BAG1
125000.00000000
PA
USD
116606.70000000
0.084088193269
Long
ABS-O
CORP
US
N
2
2044-03-25
Floating
1.14138000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAU5
400000.00000000
PA
USD
406219.34000000
0.292935572070
Long
DBT
CORP
DK
N
2
2022-09-20
Fixed
3.00100000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
-28252.22000000
-0.02037342739
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-274556.74000000
USD
1353400.00000000
BRL
2020-07-16
-28252.22000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-1239.19000000
-0.00089361287
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-2480000.00000000
CNY
349025.40000000
USD
2020-07-16
-1239.19000000
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDX7
20000.00000000
PA
USD
20938.57000000
0.015099359821
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.00000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15137TAA8
10000.00000000
PA
USD
10366.60000000
0.007475631025
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
5.37500000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAB2
50000.00000000
PA
USD
51125.00000000
0.036867597495
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
5.25000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
16140000.00000000
PA
245004.79000000
0.176679471535
Long
DBT
NUSS
RU
N
2
2029-05-23
Fixed
6.90000000
N
N
N
N
N
N
BONCER
549300KPBYGYF7HCHO27
Argentina Treasury Bond BONCER
000000000
1732532.00000000
PA
18154.19000000
0.013091469335
Long
DBT
NUSS
AR
N
2
2021-08-05
Fixed
1.00000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AS0
40000.00000000
PA
USD
35208.80000000
0.025390002282
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.37500000
N
N
N
N
N
N
PFIZER INC
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081EY5
30000.00000000
PA
USD
30495.91000000
0.021991411934
Long
DBT
CORP
US
N
2
2030-05-28
Fixed
1.70000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31339UYY0
1361455.80610000
PA
USD
1445916.67000000
1.042688974121
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AT9
320000.00000000
PA
USD
458000.00000000
0.330275983433
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BW9
1150000.00000000
PA
USD
1104000.00000000
0.796123767928
Long
DBT
NUSS
BR
N
2
2045-01-27
Fixed
5.00000000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
000000000
13311.44000000
PA
USD
12901.01000000
0.009303261495
Long
LON
CORP
CA
N
2
2025-05-31
Floating
4.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DC1
27000.00000000
PA
USD
27535.69000000
0.019856718546
Long
DBT
CORP
US
N
2
2021-03-09
Fixed
3.35000000
N
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764BX7
10000.00000000
PA
USD
10471.10000000
0.007550988755
Long
DBT
CORP
US
N
2
2027-05-11
Fixed
1.99500000
N
N
N
N
N
N
API GROUP DE INC
549300XP4G7B4QYA0G83
APi Group DE Inc
00186XAB9
49875.00000000
PA
USD
48129.38000000
0.034707376226
Long
LON
CORP
US
N
2
2026-10-01
Floating
2.68250000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBH2
10000.00000000
PA
USD
10574.62000000
0.007625639781
Long
DBT
CORP
US
N
2
2023-04-06
Fixed
2.93700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QB4Q8
465513.34200000
PA
USD
496122.55000000
0.357767168351
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.50000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AS9
70000.00000000
PA
USD
79740.04000000
0.057502664039
Long
DBT
CORP
US
N
2
2040-06-01
Fixed
4.35000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114QCG1
100000.00000000
PA
USD
100574.62000000
0.072527033906
Long
DBT
CORP
CA
N
2
2023-06-12
Fixed
0.75000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2D4
100000.00000000
PA
USD
117691.09000000
0.084870175744
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
4.15000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-3030.52000000
-0.00218538858
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
-70000.00000000
EUR
75619.11000000
USD
2020-07-16
-3030.52000000
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
4597000.00000000
PA
991920.58000000
0.715300316698
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CQ6
70000.00000000
PA
USD
62853.39000000
0.045325251516
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.75000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BT5
40000.00000000
PA
USD
46212.90000000
0.033325351517
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
5.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
-2130000.00000000
NC
USD
-0.19000000
-0.00000013701
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2020-08-19
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
1.60000000
USD
2020-08-19
XXXX
9158.81000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - RUB
000000000
1.00000000
NC
USD
-1651.01000000
-0.00119058723
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
-44805.21000000
USD
3081030.00000000
RUB
2020-07-16
-1651.01000000
N
N
N
ALLIED UNIVERSAL HOLDCO LLC
N/A
Allied Universal Holdco LLC
01957TAC1
119223.67000000
PA
USD
115274.39000000
0.083127429087
Long
LON
CORP
US
N
2
2026-07-12
Floating
4.44510000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HHZ6
100000.00000000
PA
USD
102998.75000000
0.074275138534
Long
DBT
CORP
US
N
2
2025-05-12
Fixed
1.45000000
N
N
N
N
N
N
TENNESSEE GAS PIPELINE
N/A
Tennessee Gas Pipeline Co LLC
880451AZ2
30000.00000000
PA
USD
30745.31000000
0.022171260908
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.90000000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2004-W7
040104JB8
66855.61000000
PA
USD
65139.95000000
0.046974150757
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Floating
1.00950000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFH7
200000.00000000
PA
USD
222039.68000000
0.160118719810
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
4.20000000
N
N
N
N
N
N
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
300000.00000000
NC
USD
7.56000000
0.000005451717
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2020-07-30
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
1.92250000
USD
2020-07-30
XXXX
-6901.53000000
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
-75924.45000000
-0.05475114059
N/A
DFE
CORP
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
-1317963.14000000
USD
28765600.00000000
MXN
2020-07-16
-75924.45000000
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LBG0
200000.00000000
PA
USD
213191.86000000
0.153738321444
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
5.50000000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AJ2
50000.00000000
PA
USD
55078.14000000
0.039718311908
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
2.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132XCSJ5
68618.12000000
PA
USD
75104.46000000
0.054159823988
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGU8
330000.00000000
PA
USD
422933.40000000
0.304988525353
Long
DBT
CORP
US
N
2
2046-12-07
Fixed
4.75000000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-3144.65000000
-0.00226769076
N/A
DFE
CORP
US
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
-840000.00000000
CAD
613622.01000000
USD
2020-07-16
-3144.65000000
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZJ0
20000.00000000
PA
USD
18943.40000000
0.013660589660
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.62500000
N
N
N
N
N
N
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
-1540000.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2020-07-30
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
1.55000000
USD
2020-07-30
XXXX
7084.00000000
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CP2
30000.00000000
PA
USD
30911.83000000
0.022291342910
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.10000000
N
N
N
N
N
N
CREDIT AGRICOLE LONDON
969500TJ5KRTCJQWXH05
Credit Agricole SA/London
22535WAG2
250000.00000000
PA
USD
253648.94000000
0.182912998046
Long
DBT
CORP
FR
N
2
2026-06-16
Fixed
1.90700000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BG2
160000.00000000
PA
USD
178915.73000000
0.129020892309
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.50000000
N
N
N
N
N
N
TJX COS INC
V167QI9I69W364E2DY52
TJX Cos Inc/The
872540AR0
20000.00000000
PA
USD
22263.03000000
0.016054463160
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UGE6
122814.07000000
PA
USD
133838.37000000
0.096514408892
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
5.00000000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911UAH3
300000.00000000
PA
USD
289187.40000000
0.208540726925
Long
LON
CORP
US
N
2
2025-11-27
Floating
3.11250000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAD5
160000.00000000
PA
USD
164471.90000000
0.118605062270
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
4.42000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAP3
80000.00000000
PA
USD
91079.80000000
0.065680066628
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
3.77200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JQTK9
194943.69000000
PA
USD
209644.96000000
0.151180557502
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
6220000.00000000
PA
98981.37000000
0.071378098948
Long
DBT
NUSS
RU
N
2
2030-04-10
Fixed
7.65000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCS8
60000.00000000
PA
USD
68756.87000000
0.049582407984
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.95000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-36352.86000000
-0.02621501438
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-11269434.00000000
MXN
450237.83000000
USD
2020-07-16
-36352.86000000
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CN3
60000.00000000
PA
USD
40632.00000000
0.029300816067
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
4.20000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AC1
180000.00000000
PA
USD
173266.20000000
0.124946865940
Long
DBT
CORP
US
N
2
2030-02-01
Variable
4.05000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBL2
130000.00000000
PA
USD
134469.28000000
0.096969374876
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
2.30000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076BS0
10000.00000000
PA
USD
12156.58000000
0.008766433219
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
3.90000000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EQ7
10000.00000000
PA
USD
10687.25000000
0.007706860270
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.25000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BR9
10000.00000000
PA
USD
10712.50000000
0.007725068717
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.37500000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
-41.24000000
-0.00002973926
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-12480.61000000
USD
178035966.00000000
IDR
2020-07-16
-41.24000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H040673
1000000.00000000
PA
USD
1060175.78000000
0.764520957101
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Fixed
4.00000000
N
N
N
N
N
N
NEXSTAR BROADCASTING INC
5493006PK6I4I2OOT688
Nexstar Broadcasting Inc
65336RAW8
163402.57000000
PA
USD
155130.31000000
0.111868593221
Long
LON
CORP
US
N
2
2026-09-19
Floating
2.94010000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBD4
210000.00000000
PA
USD
245183.29000000
0.176808192633
Long
DBT
CORP
US
N
2
2029-02-14
Fixed
4.80000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
-1180.40000000
-0.00085121784
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
-47894.91000000
USD
256688.00000000
BRL
2020-07-16
-1180.40000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
MXN CALL VERSUS USD PUT
000000000
-1150000.00000000
NC
USD
-124065.33000000
-0.08946680977
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Written
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
MXN CALL VERSUS USD PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
MXN
2020-07-25
1.00000000
USD
25.51940000
USD
2020-07-25
XXXX
-80106.58000000
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XYX6
238354.08000000
PA
USD
232572.94000000
0.167714533796
Long
ABS-MBS
CORP
US
N
2
2030-07-25
Floating
2.43450000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9XV0
63489.79000000
PA
USD
68262.18000000
0.049225673866
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BA2
10000.00000000
PA
USD
8050.87000000
0.005805696521
Long
DBT
CORP
US
N
2
2043-04-15
Fixed
4.75000000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
9127962S7
5210000.00000000
PA
USD
5207383.43000000
3.755182714979
Long
DBT
UST
US
N
2
2020-10-22
None
0.00000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
-352.10000000
-0.00025390867
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
-12785.44000000
USD
68319.00000000
BRL
2020-07-16
-352.10000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SN9
1260000.00000000
PA
USD
1210633.59000000
0.873020086278
Long
DBT
UST
US
N
2
2050-05-15
Fixed
1.25000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAS2
40000.00000000
PA
USD
33569.60000000
0.024207931557
Long
DBT
CORP
US
N
2
N/A
Fixed
6.75000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CW8
20000.00000000
PA
USD
21644.00000000
0.015608064160
Long
DBT
CORP
US
N
2
2025-04-22
Fixed
9.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F020471
1500000.00000000
PA
USD
1551796.89000000
1.119042017324
Long
ABS-MBS
USGSE
US
N
2
2035-07-15
Fixed
2.00000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
-2803.69000000
-0.00202181544
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
-126136.27000000
USD
2856381.00000000
MXN
2020-07-16
-2803.69000000
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCT6
150000.00000000
PA
USD
179816.57000000
0.129670511996
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.15000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
33959.45000000
0.024489062763
N/A
DFE
CORP
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
-539988.75000000
USD
13292633.00000000
MXN
2020-07-16
33959.45000000
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CR9
30000.00000000
PA
USD
34403.85000000
0.024809531425
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
3.37500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CD5
110000.00000000
PA
USD
108905.40000000
0.078534580974
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
3.20000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468Q5
130000.00000000
PA
USD
135357.19000000
0.097609670397
Long
DBT
CORP
US
N
2
2026-04-28
Fixed
2.18800000
N
N
N
N
N
N
NOBLE ENERGY INC
02VFQXG2D1LR5ZH3K186
Noble Energy Inc
655044AE5
30000.00000000
PA
USD
29250.07000000
0.021093003569
Long
DBT
CORP
US
N
2
2041-03-01
Fixed
6.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFE9
40000.00000000
PA
USD
44868.83000000
0.032356106885
Long
DBT
CORP
US
N
2
2030-03-22
Fixed
3.15000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAC0
250000.00000000
PA
USD
281374.37000000
0.202906543154
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
4.37500000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFH2
70000.00000000
PA
USD
86482.45000000
0.062364795247
Long
DBT
CORP
US
N
2
2048-09-01
Fixed
4.45000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZV5
1390000.00000000
PA
USD
1391140.23000000
1.003188226108
Long
DBT
UST
US
N
2
2027-06-30
Fixed
0.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K5XW2
14549.94000000
PA
USD
15357.41000000
0.011074636879
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
TRANS UNION LLC
X8NPN6PWJOM1QCTYFV34
Trans Union LLC
89334GAX2
38746.15000000
PA
USD
37030.24000000
0.026703491119
Long
LON
CORP
US
N
2
2026-11-13
Floating
1.94050000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS USD
000000000
1.00000000
NC
USD
1293.49000000
0.000932770047
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Y
2050-03-17
7423.71000000
USD
0.00000000
USD
442000.00000000
USD
-6204.79000000
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B6XU2
99985.33790000
PA
USD
108073.67000000
0.077934798346
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Variable
2.72000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B2HC9
99990.83000000
PA
USD
112209.58000000
0.080917313068
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Variable
3.22844400
N
N
N
N
N
N
PFIZER INC
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081EW9
60000.00000000
PA
USD
66097.19000000
0.047664441985
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.62500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-1.00000000
NC
USD
-1062.50000000
-0.00076619701
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
1000.00000000
180.00000000
USD
2020-07-24
XXXX
513.90000000
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Walmart Inc
931142EK5
20000.00000000
PA
USD
21787.34000000
0.015711430447
Long
DBT
CORP
US
N
2
2023-06-26
Fixed
3.40000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962GXZ2
10000.00000000
PA
USD
12165.54000000
0.008772894514
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
6.75000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-9048.93000000
-0.00652542413
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-343333.37000000
EUR
376708.81000000
USD
2020-07-16
-9048.93000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KA8
30000.00000000
PA
USD
34250.02000000
0.024698600519
Long
DBT
CORP
US
N
2
2027-09-29
Fixed
4.45000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2H6
400000.00000000
PA
USD
489653.78000000
0.353102366226
Long
DBT
CORP
FR
N
2
2030-01-10
Fixed
5.19800000
N
N
N
N
N
N
CONCHO RESOURCES INC
SYHS7HRDXLL4I0IQ8776
Concho Resources Inc
20605PAH4
20000.00000000
PA
USD
21306.19000000
0.015364460383
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9NR0
143051.84000000
PA
USD
157859.50000000
0.113836684731
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAJ3
100000.00000000
PA
USD
118734.14000000
0.085622346846
Long
DBT
CORP
US
N
2
2060-04-01
Fixed
3.70000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-303.41000000
-0.00021879702
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-10000.00000000
EUR
10932.25000000
USD
2020-07-16
-303.41000000
N
N
N
UBS AG LONDON
BFM8T61CT2L1QCEMIK50
UBS AG/London
902674YA2
200000.00000000
PA
USD
203824.13000000
0.146983002146
Long
DBT
CORP
CH
N
2
2022-04-21
Fixed
1.75000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - PHP
000000000
1.00000000
NC
USD
1362.15000000
0.000982282600
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
-67425.45000000
USD
3430000.00000000
PHP
2020-07-16
1362.15000000
N
N
N
PRINCIPAL LFE GLB FND II
635400WSLKBQWSOIIT41
Principal Life Global Funding II
74256LEE5
10000.00000000
PA
USD
10033.46000000
0.007235394909
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
1.25000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAH6
200000.00000000
PA
USD
218904.19000000
0.157857634563
Long
DBT
CORP
GB
N
2
2024-03-12
Fixed
3.90000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - PHP
000000000
1.00000000
NC
USD
6272.22000000
0.004523064691
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-305377.71000000
USD
15540000.00000000
PHP
2020-07-16
6272.22000000
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-1
35563PES4
550000.00000000
PA
USD
512703.57000000
0.369724182951
Long
ABS-MBS
CORP
US
N
2
2057-05-25
Variable
4.75000000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EZ7
40000.00000000
PA
USD
40734.05000000
0.029374407037
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
1.62500000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-1049.05000000
-0.00075649786
N/A
DFE
CORP
US
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
-226880.36000000
USD
307569.00000000
CAD
2020-07-16
-1049.05000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-3771.67000000
-0.00271985156
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-680728493.00000000
IDR
43790.83000000
USD
2020-07-16
-3771.67000000
N
N
N
NATIONAL SECS CLEARING
549300RYC9NELN2ICA34
National Securities Clearing Corp
637639AB1
250000.00000000
PA
USD
255691.41000000
0.184385877496
Long
DBT
CORP
US
N
2
2025-04-23
Fixed
1.50000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPER
549300TPZNMN50BJ3745
Charter Communications Operating LLC
16117LBW8
119389.31000000
PA
USD
114962.00000000
0.082902156348
Long
LON
CORP
US
N
2
2025-04-30
Floating
1.92950000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XBB9
62898.88000000
PA
USD
64148.39000000
0.046259110464
Long
ABS-MBS
CORP
US
N
2
2025-07-25
Floating
5.18450000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPBT9
250000.00000000
PA
USD
258650.00000000
0.186519395448
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.12500000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABA2
210000.00000000
PA
USD
228561.90000000
0.164822066152
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAF3
540000.00000000
PA
USD
710916.35000000
0.512660691343
Long
DBT
CORP
US
N
2
2045-05-22
Fixed
5.15000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BM3
10000.00000000
PA
USD
11385.37000000
0.008210293173
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR CALL VERSUS USD PUT
000000000
1180000.00000000
NC
USD
9248.67000000
0.006669461964
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR CALL VERSUS USD PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
EUR
2020-09-14
1.00000000
USD
1.13850000
USD
2020-09-14
XXXX
-7884.93000000
N
N
N
BERKSHIRE HATHAWAY FIN
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp
084664CR0
70000.00000000
PA
USD
89717.35000000
0.064697567690
Long
DBT
CORP
US
N
2
2049-01-15
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131XYWF2
64694.26000000
PA
USD
68843.57000000
0.049644929661
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
CAESARS RESORT COLLECTIO
549300V3UCT773B1KR38
Caesars Resort Collection LLC
000000000
250000.00000000
PA
USD
232589.25000000
0.167726295370
Long
LON
CORP
US
N
2
2025-06-19
Floating
4.67950000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JE8
70000.00000000
PA
USD
70112.00000000
0.050559628276
Long
DBT
CORP
US
N
2
2022-06-16
Fixed
1.75000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCU3
90000.00000000
PA
USD
110286.24000000
0.079530341430
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.25000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - RUB
000000000
1.00000000
NC
USD
-28490.83000000
-0.02054549540
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
-1531333.70000000
USD
107296724.00000000
RUB
2020-07-16
-28490.83000000
N
N
N
PRIME SECURITY SERVICES BOR
549300O6QPZVWXV2DC15
Prime Security Services Borrower LLC
03765VAJ9
99500.00000000
PA
USD
95437.12000000
0.068822245991
Long
LON
CORP
US
N
2
2026-09-23
Floating
4.25000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746SH5
100000.00000000
PA
USD
108976.79000000
0.078586062202
Long
DBT
CORP
US
N
2
2026-10-23
Fixed
3.00000000
N
N
N
N
N
N
TEVA PHARMACEUT FIN BV
549300Q840R30TDKVK53
Teva Pharmaceutical Finance Co BV
88165FAG7
10000.00000000
PA
USD
9650.00000000
0.006958871703
Long
DBT
CORP
CW
N
2
2022-12-18
Fixed
2.95000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
2329.85000000
0.001680116812
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-81174.71000000
USD
74321.00000000
EUR
2020-07-16
2329.85000000
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BV4
10000.00000000
PA
USD
10235.14000000
0.007380831722
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.45000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWV2
200000.00000000
PA
USD
226090.63000000
0.163039967616
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
3.81400000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BE6
30000.00000000
PA
USD
29925.60000000
0.021580146222
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QADD9
550653.96000000
PA
USD
604526.89000000
0.435940421631
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DJ6
30000.00000000
PA
USD
34563.19000000
0.024924435737
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.75000000
N
N
N
N
N
N
VICI PROPERTIES INC
549300XI4XP4JVS3XU20
VICI Properties 1 LLC
92565EAB9
10000.00000000
PA
USD
9300.00000000
0.006706477392
Long
LON
CORP
US
N
2
2024-12-22
Floating
1.92950000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B35Z9
10000.00000000
PA
USD
11917.51000000
0.008594033483
Long
ABS-MBS
USGSE
US
N
2
2031-02-25
Fixed
3.61000000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AL7
30000.00000000
PA
USD
33576.82000000
0.024213138091
Long
DBT
CORP
US
N
2
2040-03-27
Fixed
3.25000000
N
N
N
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718FF1
30000.00000000
PA
USD
32558.86000000
0.023479060056
Long
DBT
CORP
US
N
2
2025-03-25
Fixed
2.45000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MP3
60000.00000000
PA
USD
71191.17000000
0.051337846470
Long
DBT
CORP
US
N
2
2031-03-31
Fixed
4.41200000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2019-UVIL
12656DAA1
260000.00000000
PA
USD
248889.81000000
0.179481062804
Long
ABS-MBS
CORP
US
N
2
2041-12-15
Fixed
3.15950000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023BY0
10000.00000000
PA
USD
9106.99000000
0.006567292747
Long
DBT
CORP
US
N
2
2038-03-01
Fixed
3.55000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAK2
13000.00000000
PA
USD
13793.41000000
0.009946794874
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.95000000
N
N
N
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBG3
10000.00000000
PA
USD
10300.73000000
0.007428130416
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
3.45000000
N
N
N
N
N
N
Scientific Games International Inc
RLTHESQ0RNFQJWPBJN60
SCIENTIFIC GAMES TL 8/24
80875AAP6
63958.14000000
PA
USD
56219.21000000
0.040541167839
Long
LON
CORP
US
N
2
2024-08-14
Floating
2.94510000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
370000.00000000
PA
USD
484660.27000000
0.349501413331
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAF8
260000.00000000
PA
USD
292961.34000000
0.211262215451
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.70000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA BOND
000000000
-4.00000000
NC
USD
5493.08000000
0.003961206111
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
-878118.08000000
USD
5493.08000000
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BJ6
130000.00000000
PA
USD
168243.61000000
0.121324942683
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MR9
50000.00000000
PA
USD
50996.11000000
0.036774651488
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
1.67800000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87265VAF5
40000.00000000
PA
USD
39940.00000000
0.028801796459
Long
LON
CORP
US
N
2
2027-04-01
Floating
3.17100000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132ADXZ6
103835.16000000
PA
USD
113362.15000000
0.081748461955
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
5.00000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AH3
200000.00000000
PA
USD
236697.79000000
0.170689072857
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RBK7
70000.00000000
PA
USD
78773.67000000
0.056805788925
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
4.35000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CB2
180000.00000000
PA
USD
209700.98000000
0.151220955014
Long
DBT
CORP
US
N
2
2029-07-26
Fixed
3.40000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-30066.73000000
-0.02168191881
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
-41207352.00000000
RUB
547100.71000000
USD
2020-07-16
-30066.73000000
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KHTT3
98080.80000000
PA
USD
103771.42000000
0.074832331425
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.50000000
N
N
N
N
N
N
AMERICAN AIRLINES INC
IWUQB36BXD6OWD6X4T14
American Airlines Inc
02376CBA2
139489.80000000
PA
USD
111791.17000000
0.080615586486
Long
LON
CORP
US
N
2
2023-12-14
Floating
2.38560000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KGFZ6
78653.72000000
PA
USD
85246.99000000
0.061473872176
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
4.50000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CD9
140000.00000000
PA
USD
145888.95000000
0.105204402692
Long
DBT
CORP
US
N
2
2022-11-02
Fixed
2.50000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BX6
60000.00000000
PA
USD
66185.25000000
0.047727944394
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.12500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZT0
850000.00000000
PA
USD
848970.70000000
0.612215355565
Long
DBT
UST
US
N
2
2025-05-31
Fixed
0.25000000
N
N
N
N
N
N
MISSOURI ST HLTH & EDUCTNL FAC
549300IWTBCMX5JB3277
Health & Educational Facilities Authority of the State of Missouri
60636AVL4
40000.00000000
PA
USD
45573.60000000
0.032864335280
Long
DBT
MUN
US
N
2
2050-05-15
Fixed
3.22900000
N
N
N
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Walmart Inc
931142ED1
10000.00000000
PA
USD
11339.66000000
0.008177330476
Long
DBT
CORP
US
N
2
2025-06-26
Fixed
3.55000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
128.00000000
NC
USD
2400.00000000
0.001730703843
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Purchased
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
90 DAY EURO DOLLAR TIME DEPOSIT
90 DAY EURO DOLLAR TIME DEPOSIT
2020-09-14
0.00000000
USD
2500.00000000
99.50000000
USD
2020-09-14
XXXX
-3812.55000000
N
N
N
Motel 6 Trust
N/A
Motel 6 Trust 2017-MTL6
61975FAJ8
561713.64360000
PA
USD
533593.30000000
0.384788322950
Long
ABS-MBS
CORP
US
N
2
2034-08-15
Floating
1.58475000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DW4
60000.00000000
PA
USD
81885.53000000
0.059049833951
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
5.12500000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
ANGGYXNX0JLX3X63JN86
Credit Suisse AG/New York NY
22550L2C4
250000.00000000
PA
USD
271441.43000000
0.195743635890
Long
DBT
CORP
CH
N
2
2025-04-09
Fixed
2.95000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468N2
120000.00000000
PA
USD
182565.09000000
0.131652542883
Long
DBT
CORP
US
N
2
2051-03-24
Fixed
5.59700000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AT7
110000.00000000
PA
USD
130407.19000000
0.094040093720
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131Y7SZ1
54177.62000000
PA
USD
59193.96000000
0.042686339197
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BN9
50000.00000000
PA
USD
73445.41000000
0.052963438900
Long
DBT
CORP
US
N
2
2060-03-25
Fixed
4.95000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
47.16000000
0.000034008330
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-49241.01000000
USD
705426755.00000000
IDR
2020-07-16
47.16000000
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AT7
200000.00000000
PA
USD
213824.46000000
0.154194506132
Long
DBT
CORP
GB
N
2
2027-09-11
Fixed
4.00000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AK3
40000.00000000
PA
USD
40200.00000000
0.028989289375
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
6.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KHL20
278558.22000000
PA
USD
301399.81000000
0.217347420643
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
4.50000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAF1
50000.00000000
PA
USD
51120.93000000
0.036864662510
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
2.24200000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BU7
125000.00000000
PA
USD
126627.69000000
0.091314595730
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.80000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBL3
30000.00000000
PA
USD
34041.49000000
0.024548223989
Long
DBT
CORP
US
N
2
2030-04-06
Fixed
3.63300000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AL5
90000.00000000
PA
USD
86148.00000000
0.062123614456
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
4.50000000
N
N
N
N
N
N
FORTERRA FINANCE LLC
N/A
Forterra Finance LLC
34960TAC7
250000.00000000
PA
USD
242500.00000000
0.174873200835
Long
LON
CORP
US
N
2
2023-10-25
Floating
4.00000000
N
N
N
N
N
N
CINTAS CORPORATION NO. 2
549300QVUQTTKMTE0G41
Cintas Corp No 2
17252MAM2
50000.00000000
PA
USD
51925.44000000
0.037444816072
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
2.90000000
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06367WB85
90000.00000000
PA
USD
93176.78000000
0.067192254689
Long
DBT
CORP
CA
N
2
2025-05-01
Fixed
1.85000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PCP5
20000.00000000
PA
USD
22786.53000000
0.016431972936
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XNX8
107779.99000000
PA
USD
105534.53000000
0.076103756947
Long
ABS-MBS
CORP
US
N
2
2030-01-25
Floating
2.38450000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDU5
30000.00000000
PA
USD
40162.84000000
0.028962492311
Long
DBT
CORP
US
N
2
2037-03-16
Fixed
5.25000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JT9
150000.00000000
PA
USD
167970.77000000
0.121128190501
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
4.40000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFL8
10000.00000000
PA
USD
11470.56000000
0.008271725948
Long
DBT
CORP
US
N
2
2026-10-22
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31329PYK3
127434.14800000
PA
USD
137869.15000000
0.099421111575
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAC8
20000.00000000
PA
USD
19686.23000000
0.014196264133
Long
DBT
CORP
US
N
2
2050-04-05
Fixed
3.57700000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBT4
30000.00000000
PA
USD
34609.94000000
0.024958148406
Long
DBT
CORP
US
N
2
2048-10-06
Fixed
4.43900000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EV6
10000.00000000
PA
USD
12679.33000000
0.009143402150
Long
DBT
CORP
US
N
2
2060-03-19
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0MD8
250000.00000000
PA
USD
252183.53000000
0.181856251913
Long
ABS-MBS
CORP
US
N
2
2029-07-25
Floating
3.43450000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAH7
10000.00000000
PA
USD
10186.95000000
0.007346080631
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
2.49300000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZQ6
1170000.00000000
PA
USD
1166755.08000000
0.841378125488
Long
DBT
UST
US
N
2
2030-05-15
Fixed
0.62500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZL7
90000.00000000
PA
USD
90407.81000000
0.065195476763
Long
DBT
UST
US
N
2
2025-04-30
Fixed
0.37500000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDK4
50000.00000000
PA
USD
56073.49000000
0.040436085271
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.30000000
N
N
N
N
N
N
SUNRUN CALLISTO ISSUER LLC
N/A
Sunrun Atlas Issuer 2019-2 LLC
86772FAA9
98857.57000000
PA
USD
97638.75000000
0.070409899950
Long
ABS-O
CORP
US
N
2
2055-02-01
Fixed
3.61000000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
3161.62000000
0.002279928285
N/A
DFE
CORP
US
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
-613716.16000000
USD
840000.00000000
CAD
2020-10-16
3161.62000000
N
N
N
CASH MGMT BILL
254900HROIFWPRGM1V77
United States Cash Management Bill
9127964H9
6000000.00000000
PA
USD
5997226.68000000
4.324759693478
Long
DBT
UST
US
N
2
2020-10-13
None
0.00000000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZZ4
80000.00000000
PA
USD
77391.85000000
0.055809321765
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
7.37500000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BK2
20000.00000000
PA
USD
21019.80000000
0.015157936935
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
8.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
280000.00000000
NC
USD
9.33000000
0.000006728111
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2020-07-30
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
1.88000000
USD
2020-07-30
XXXX
-7280.00000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X46A9
263247.04700000
PA
USD
284024.32000000
0.204817492592
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
3.50000000
N
N
N
N
N
N
MARS INC
54930073HKEO6GZBSS03
Mars Inc
000000000
10000.00000000
PA
USD
11385.97000000
0.008210725849
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.20000000
N
N
N
N
N
N
HERSHEY COMPANY
21X2CX66SU2BR6QTAD08
Hershey Co/The
427866BF4
10000.00000000
PA
USD
10057.41000000
0.007252665892
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.90000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFL3
110000.00000000
PA
USD
112772.18000000
0.081323018894
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
1.45000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-1531.58000000
-0.00110446308
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-113162.07000000
USD
90335.00000000
GBP
2020-07-16
-1531.58000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CV5
70000.00000000
PA
USD
79688.97000000
0.057465836103
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.70500000
N
N
N
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAF1
20000.00000000
PA
USD
22249.77000000
0.016044901021
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAD21
103334.56200000
PA
USD
109769.12000000
0.079157432442
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2G7
220000.00000000
PA
USD
235354.49000000
0.169720383494
Long
DBT
CORP
US
N
2
2030-10-30
Fixed
2.87900000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFB5
10000.00000000
PA
USD
11315.96000000
0.008160239776
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RR1
60000.00000000
PA
USD
84009.98000000
0.060581831359
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.00000000
N
N
N
N
N
N
COSTCO WHOLESALE CORP
29DX7H14B9S6O3FD6V18
Costco Wholesale Corp
22160KAN5
110000.00000000
PA
USD
112331.62000000
0.081005319358
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
1.37500000
N
N
N
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
Lennar Corp
526057BZ6
40000.00000000
PA
USD
41591.60000000
0.029992809154
Long
DBT
CORP
US
N
2
2024-04-30
Fixed
4.50000000
N
N
N
N
N
N
1011778 BC ULC
549300RHSHNRWI5LLA86
1011778 BC ULC
000000000
139650.00000000
PA
USD
132039.08000000
0.095216893010
Long
LON
CORP
CA
N
2
2026-11-19
Floating
1.94010000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MKK99
99721.71000000
PA
USD
108119.24000000
0.077967660085
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MS7
50000.00000000
PA
USD
51713.02000000
0.037291634359
Long
DBT
CORP
US
N
2
2031-06-03
Fixed
2.57200000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BR6
70000.00000000
PA
USD
71010.46000000
0.051207531682
Long
DBT
CORP
US
N
2
2027-06-03
Fixed
1.20000000
N
N
N
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
141781BL7
40000.00000000
PA
USD
40690.24000000
0.029342814480
Long
DBT
CORP
US
N
2
2023-07-23
Fixed
1.37500000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
Netflix Inc
64110LAT3
40000.00000000
PA
USD
45550.00000000
0.032847316693
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
5.87500000
N
N
N
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBK4
50000.00000000
PA
USD
62694.19000000
0.045210448161
Long
DBT
CORP
US
N
2
2049-07-15
Fixed
4.15000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-118317.33000000
-0.08532177406
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2026-07-31
6330.87000000
USD
0.00000000
USD
1628000.00000000
USD
-125385.26000000
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAN1
70000.00000000
PA
USD
81646.62000000
0.058877549595
Long
DBT
CORP
US
N
2
2035-04-01
Fixed
3.90000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHS1
120000.00000000
PA
USD
155076.37000000
0.111829695653
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
4.33000000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
1380000.00000000
PA
1597536.62000000
1.152026153367
Long
DBT
NUSS
IT
N
2
2021-10-15
Fixed
2.30000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHG7
380000.00000000
PA
USD
435356.41000000
0.313947088334
Long
DBT
CORP
US
N
2
2029-03-05
Fixed
3.97000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AS6
200000.00000000
PA
USD
209000.00000000
0.150715459689
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SQV2
58484.57000000
PA
USD
62163.37000000
0.044827659738
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
3.00000000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZM3
70000.00000000
PA
USD
68074.30000000
0.049090188600
Long
DBT
CORP
US
N
2
2021-04-19
Fixed
3.40000000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AG2
30000.00000000
PA
USD
29896.48000000
0.021559147015
Long
DBT
CORP
US
N
2
2024-08-08
Fixed
3.20000000
N
N
N
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAG9
50000.00000000
PA
USD
58319.14000000
0.042055483223
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJA8
390000.00000000
PA
USD
488693.95000000
0.352410207280
Long
DBT
CORP
US
N
2
2051-03-20
Fixed
4.08300000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-348.51000000
-0.00025131983
N/A
DFE
CORP
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
-5319743.00000000
JPY
48971.21000000
USD
2020-07-16
-348.51000000
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718FH7
30000.00000000
PA
USD
34346.45000000
0.024768138758
Long
DBT
CORP
US
N
2
2030-03-25
Fixed
3.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAS9
60000.00000000
PA
USD
66748.36000000
0.048134017994
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QADF4
64291.79000000
PA
USD
69686.21000000
0.050252579780
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DMEE1
223414.37200000
PA
USD
240542.42000000
0.173461537823
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q95N9
170188.88300000
PA
USD
185825.26000000
0.134003538195
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAF0
200000.00000000
PA
USD
207750.00000000
0.149814051437
Long
DBT
CORP
CH
N
2
N/A
Fixed
7.00000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DQ7
30000.00000000
PA
USD
31757.76000000
0.022901365536
Long
DBT
CORP
US
N
2
2025-06-30
Fixed
2.50000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BD1
80000.00000000
PA
USD
103363.97000000
0.074538508391
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
7.75000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QV3
110000.00000000
PA
USD
149377.14000000
0.107719829292
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.75000000
N
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764CA6
10000.00000000
PA
USD
10617.25000000
0.007656381408
Long
DBT
CORP
US
N
2
2050-05-11
Fixed
3.07800000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
138.92000000
0.000100178907
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
-1700000.00000000
JPY
15899.74000000
USD
2020-07-16
138.92000000
N
N
N
MONDELEZ INTERNATIONAL
549300DV9GIB88LZ5P30
Mondelez International Inc
609207AU9
90000.00000000
PA
USD
91803.74000000
0.066202119020
Long
DBT
CORP
US
N
2
2025-05-04
Fixed
1.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBN5
20000.00000000
PA
USD
21534.69000000
0.015529237811
Long
DBT
CORP
US
N
2
2051-04-22
Fixed
3.10900000
N
N
N
N
N
N
COSTCO WHOLESALE CORP
29DX7H14B9S6O3FD6V18
Costco Wholesale Corp
22160KAP0
50000.00000000
PA
USD
50491.26000000
0.036410590723
Long
DBT
CORP
US
N
2
2030-04-20
Fixed
1.60000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDP4
20000.00000000
PA
USD
23940.90000000
0.017264419851
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.87500000
N
N
N
N
N
N
NADG NNN Operating LP
N/A
NADG NNN Operating LP
629682AA3
149625.00000000
PA
USD
143973.41000000
0.103823055842
Long
ABS-O
CORP
US
N
2
2049-12-28
Fixed
3.36800000
N
N
N
N
N
N
MARS INC
54930073HKEO6GZBSS03
Mars Inc
571676AA3
20000.00000000
PA
USD
21407.11000000
0.015437236479
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.70000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBH5
10000.00000000
PA
USD
10508.14000000
0.007577699285
Long
DBT
CORP
US
N
2
2025-05-06
Fixed
2.35000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JJ7
20000.00000000
PA
USD
19329.60000000
0.013939088754
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
BROOKFIELD WEC HOLDINGS
5493002M6GRSU1IWMG57
Brookfield WEC Holdings Inc
11284EAL7
39848.74000000
PA
USD
38404.22000000
0.027694304647
Long
LON
CORP
US
N
2
2025-08-01
Floating
3.75000000
N
N
N
N
N
N
MSAC 2004-NC8 M1 9/34
N/A
MSAC 2004-NC8 M1 9/34
61744CHP4
229501.28000000
PA
USD
219206.61000000
0.158075717670
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
1.09950000
N
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764BY5
150000.00000000
PA
USD
157088.75000000
0.113280876403
Long
DBT
CORP
US
N
2
2030-05-11
Fixed
2.23600000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AB3
40000.00000000
PA
USD
37900.00000000
0.027330698192
Long
DBT
CORP
US
N
2
2025-02-01
Variable
3.10000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VER1
140000.00000000
PA
USD
168493.16000000
0.121504899827
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.32900000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWZ3
230000.00000000
PA
USD
267602.01000000
0.192974927994
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.22300000
N
N
N
N
N
N
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
SWOP IRS USD
000000000
720000.00000000
NC
USD
49067.53000000
0.035383901147
N/A
DIR
CORP
CH
N
2
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
Put
Purchased
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
CH
US
2020-09-16
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
100.00000000
USD
2020-09-16
XXXX
22427.53000000
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91086QBB3
610000.00000000
PA
USD
646600.00000000
0.466280460454
Long
DBT
NUSS
MX
N
2
2044-03-08
Fixed
4.75000000
N
N
N
N
N
N
SMB Private Education Loan Tru
N/A
SMB Private Education Loan Trust 2019-B
83192CAC1
100000.00000000
PA
USD
97769.79000000
0.070504396380
Long
ABS-O
CORP
US
N
2
2037-06-15
Floating
1.18475000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
000000000
38.00000000
NC
USD
111314.49000000
0.080271839858
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
9361135.51000000
USD
111314.49000000
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31329QBK6
270521.90000000
PA
USD
295966.61000000
0.213429395592
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.50000000
N
N
N
N
N
N
CEOC LLC
N/A
CEOC LLC
12768PAB7
49693.56000000
PA
USD
49457.52000000
0.035665133310
Long
LON
CORP
US
N
2
2024-10-06
Floating
3.13530000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DF6
400000.00000000
PA
USD
426600.00000000
0.307632608150
Long
DBT
NUSS
PE
N
2
2031-01-23
Fixed
2.78300000
N
N
N
N
N
N
CAMERON LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AA8
110000.00000000
PA
USD
117772.49000000
0.084928875450
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.90200000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAC4
180000.00000000
PA
USD
206110.51000000
0.148631771585
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
3.93700000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BW3
20000.00000000
PA
USD
20638.19000000
0.014882747813
Long
DBT
CORP
US
N
2
2022-02-06
Fixed
2.40000000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAT8
30000.00000000
PA
USD
38267.13000000
0.027595445401
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.95000000
N
N
N
N
N
N
WPX ENERGY INC
ZXZE9GCS2BB547GJW219
WPX Energy Inc
98212BAJ2
40000.00000000
PA
USD
37367.50000000
0.026946698277
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.25000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-4.60000000
-0.00000331718
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
-38165.46000000
USD
30881.00000000
GBP
2020-07-16
-4.60000000
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
IRS BRL
000000000
1.00000000
NC
2375.33000000
0.001712913650
N/A
DIR
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Y
2027-04-01
0.00000000
BRL
0.00000000
BRL
300000.00000000
BRL
2375.33000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
ULTRA 10 YEAR US TREASURY NOTE
000000000
-15.00000000
NC
USD
-8706.21000000
-0.00627827962
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
-2353559.42000000
USD
-8706.21000000
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BF8
70000.00000000
PA
USD
79366.42000000
0.057233236718
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.95000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AN7
20000.00000000
PA
USD
20176.39000000
0.014549731548
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.60000000
N
N
N
N
N
N
JAGUAR HOLDING CO II
N/A
Jaguar Holding Co II
47009YAK3
59686.68000000
PA
USD
58599.55000000
0.042257694334
Long
LON
CORP
US
N
2
2022-08-18
Floating
3.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280AU3
200000.00000000
PA
USD
218203.21000000
0.157352139238
Long
DBT
CORP
GB
N
2
2025-08-18
Fixed
4.25000000
N
N
N
N
N
N
CON EDISON CO OF NY INC
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co of New York Inc
209111FX6
10000.00000000
PA
USD
11356.53000000
0.008189495882
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.35000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CE4
900000.00000000
PA
USD
1012622.07000000
0.730228711825
Long
DBT
NUSS
ID
N
2
2048-01-11
Fixed
4.35000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2017-GS8
36254KAU6
401000.00000000
PA
USD
388216.20000000
0.279953028908
Long
ABS-MBS
CORP
US
N
2
2050-11-10
Variable
4.48088100
N
N
N
N
N
N
Sound Point CLO LTD
N/A
SOUND POINT CLO XXII LTD
83611KAG7
250000.00000000
PA
USD
237551.75000000
0.171304886130
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
5.03525000
N
N
N
N
N
N
Marathon CLO LTD
N/A
Marathon CLO 14 Ltd
56578HAJ5
250000.00000000
PA
USD
239542.00000000
0.172740108348
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
5.20250000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B3XY1
110000.00000000
PA
USD
128846.26000000
0.092914465574
Long
ABS-MBS
USGSE
US
N
2
2028-09-25
Variable
3.67308400
N
N
N
N
N
N
ARCELORMITTAL
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LBB9
40000.00000000
PA
USD
39642.72000000
0.028587419943
Long
DBT
CORP
LU
N
2
2024-07-16
Fixed
3.60000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2016-3
64829HAD9
438946.95330000
PA
USD
460109.95000000
0.331797524506
Long
ABS-MBS
CORP
US
N
2
2056-09-25
Variable
3.25000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - COP
000000000
1.00000000
NC
USD
13287.80000000
0.009582186053
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-136560.71000000
USD
561230382.00000000
COP
2020-07-16
13287.80000000
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAB6
90000.00000000
PA
USD
82335.52000000
0.059374333710
Long
DBT
CORP
KY
N
2
2024-02-15
Fixed
5.50000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBE9
20000.00000000
PA
USD
22119.54000000
0.015950988704
Long
DBT
CORP
US
N
2
2026-02-11
Fixed
3.41000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBJ3
10000.00000000
PA
USD
9884.38000000
0.007127889356
Long
DBT
CORP
US
N
2
2034-11-14
Fixed
5.40000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AA5
120000.00000000
PA
USD
103836.00000000
0.074878901781
Long
DBT
CORP
US
N
2
2050-02-01
Variable
5.25000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BV0
80000.00000000
PA
USD
86341.89000000
0.062263433692
Long
DBT
CORP
US
N
2
2024-06-06
Fixed
3.36300000
N
N
N
N
N
N
TARGET CORP
8WDDFXB5T1Z6J0XC1L66
Target Corp
87612EBL9
50000.00000000
PA
USD
53475.49000000
0.038562598361
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.25000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - PHP
000000000
1.00000000
NC
USD
1181.68000000
0.000852140882
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-77810.49000000
USD
3938837.00000000
PHP
2020-07-16
1181.68000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2C6
20000.00000000
PA
USD
21852.97000000
0.015758757986
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
MTRO COMMERCIAL MORTGAGE TRUST
N/A
MTRO Commercial Mortgage Trust 2019-TECH
55378MAG4
100000.00000000
PA
USD
94245.45000000
0.067962901054
Long
ABS-MBS
CORP
US
N
2
2033-12-15
Floating
1.98475000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BW8
70000.00000000
PA
USD
78239.67000000
0.056420707320
Long
DBT
CORP
US
N
2
2027-06-06
Fixed
3.70000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-5448.04000000
-0.00392872656
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-112509.00000000
AUD
72021.62000000
USD
2020-07-16
-5448.04000000
N
N
N
MASTERCARD INC
AR5L2ODV9HN37376R084
Mastercard Inc
57636QAQ7
110000.00000000
PA
USD
136839.26000000
0.098678430499
Long
DBT
CORP
US
N
2
2050-03-26
Fixed
3.85000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
-772.65000000
-0.00055717846
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-12729.54000000
USD
65701.00000000
BRL
2020-07-16
-772.65000000
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XCL6
216649.98000000
PA
USD
227497.04000000
0.164054167280
Long
ABS-MBS
CORP
US
N
2
2028-10-25
Floating
5.48450000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAD9
20000.00000000
PA
USD
20981.82000000
0.015130548547
Long
DBT
CORP
US
N
2
2025-04-05
Fixed
2.05600000
N
N
N
N
N
N
BLUE RACER MID LLC/FINAN
N/A
Blue Racer Midstream LLC / Blue Racer Finance Corp
095796AE8
60000.00000000
PA
USD
53400.00000000
0.038508160513
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
6.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9XL2
72066.28000000
PA
USD
79116.77000000
0.057053207462
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAH7
220000.00000000
PA
USD
251362.10000000
0.181263896889
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
N
LEVI STRAUSS & CO
MB0UERO0RDFKU8258G77
Levi Strauss & Co
52736RBH4
30000.00000000
PA
USD
30112.80000000
0.021715141122
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.00000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAT8
70000.00000000
PA
USD
74502.56000000
0.053725777887
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.15000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AF7
10000.00000000
PA
USD
10854.86000000
0.007827728300
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAH4
20000.00000000
PA
USD
24413.94000000
0.017605541578
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
5.55000000
N
N
N
N
N
N
GRIFOLS WORLDWIDE OPERAT
N/A
Grifols Worldwide Operations USA Inc
39843PAG8
149625.00000000
PA
USD
143764.64000000
0.103672506242
Long
LON
CORP
US
N
2
2027-11-15
Floating
2.19390000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AH4
20000.00000000
PA
USD
20200.00000000
0.014566757347
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
5.75000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CS2
80000.00000000
PA
USD
58528.00000000
0.042206097725
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.50000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78015K7G3
80000.00000000
PA
USD
82067.51000000
0.059181064570
Long
DBT
CORP
CA
N
2
2023-04-17
Fixed
1.60000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
RAYTHEON TECHNOLOGIES CORP
75513EAU5
20000.00000000
PA
USD
21603.42000000
0.015578800842
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.15000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAG8
10000.00000000
PA
USD
10957.48000000
0.007901730312
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HAZ0
200000.00000000
PA
USD
203718.30000000
0.146906685318
Long
DBT
CORP
IT
N
2
2022-07-14
Fixed
3.12500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDZ2
220000.00000000
PA
USD
232325.19000000
0.167535874680
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
2.90000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CP8
100000.00000000
PA
USD
91180.12000000
0.065752410049
Long
DBT
CORP
US
N
2
2035-02-01
Fixed
3.25000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36255TAL6
400000.00000000
PA
USD
380805.16000000
0.274608730820
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Floating
3.93475000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAF2
200000.00000000
PA
USD
216662.00000000
0.156240731709
Long
DBT
CORP
KY
N
2
2025-08-08
Fixed
5.12500000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CC4
50000.00000000
PA
USD
56129.37000000
0.040476381825
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
3.30000000
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BF6
130000.00000000
PA
USD
151251.60000000
0.109071552261
Long
DBT
CORP
US
N
2
2026-11-30
Fixed
3.75000000
N
N
N
N
N
N
Scientific Games International Inc
RLTHESQ0RNFQJWPBJN60
SCIENTIFIC GAMES TL 8/24
80875AAP6
15483.61000000
PA
USD
13610.09000000
0.009814597946
Long
LON
CORP
US
N
2
2024-08-14
Floating
2.94510000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAZ2
1090000.00000000
PA
USD
1118895.90000000
0.806865597669
Long
DBT
CORP
NL
N
2
2029-02-01
Fixed
5.75000000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAF4
60000.00000000
PA
USD
63039.79000000
0.045459669514
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.56500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-21.00000000
NC
USD
-41015.63000000
-0.02957746186
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
1000.00000000
178.00000000
USD
2020-07-24
XXXX
10885.54000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAX4
100000.00000000
PA
USD
119760.58000000
0.086362540035
Long
DBT
CORP
US
N
2
2029-12-05
Fixed
4.45200000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200JY8
100000.00000000
PA
USD
108290.20000000
0.078090943889
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.00000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
5540000.00000000
PA
283789.84000000
0.204648402826
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CQ0
30000.00000000
PA
USD
30507.15000000
0.021999517397
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
1.12500000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CX6
240000.00000000
PA
USD
280696.47000000
0.202417691431
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
28077.26000000
0.020247259079
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2021-04-05
0.00000000
MXN
-18581.42000000
MXN
30500000.00000000
MXN
43158.43000000
N
N
N
CHANGE HEALTHCARE HOLDINGS
549300GHXFJ3EKF50583
Change Healthcare Holdings LLC
15911AAC7
81442.70000000
PA
USD
78032.29000000
0.056271160085
Long
LON
CORP
US
N
2
2024-03-01
Floating
3.50000000
N
N
N
N
N
N
CHANGE HEALTHCARE HOLDINGS
549300GHXFJ3EKF50583
Change Healthcare Holdings LLC
15911AAC7
24732.57000000
PA
USD
23696.89000000
0.017088457749
Long
LON
CORP
US
N
2
2024-03-01
Floating
3.50000000
N
N
N
N
N
N
FOUR SEASONS HOTELS LTD
5493009FUVX8LHYY2202
Four Seasons Hotels Ltd
35100DAR7
49794.21000000
PA
USD
47117.77000000
0.033977877344
Long
LON
CORP
CA
N
2
2023-11-30
Floating
2.29610000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BY3
20000.00000000
PA
USD
20793.84000000
0.014994991168
Long
DBT
CORP
US
N
2
2022-05-16
Fixed
2.60000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AR0
200000.00000000
PA
USD
232067.23000000
0.167349852862
Long
DBT
CORP
GB
N
2
2028-03-22
Fixed
4.37500000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAG5
290000.00000000
PA
USD
325608.02000000
0.234804604846
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
3.65000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CU7
80000.00000000
PA
USD
78183.20000000
0.056379985301
Long
DBT
CORP
US
N
2
2021-08-13
Fixed
2.60000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-104222.64000000
-0.07515771817
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2024-08-15
0.00000000
USD
0.00000000
USD
1870000.00000000
USD
-104222.64000000
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBV4
10000.00000000
PA
USD
10704.03000000
0.007718960775
Long
DBT
CORP
US
N
2
2029-07-31
Fixed
3.12500000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-64.13000000
-0.00004624584
N/A
DFE
CORP
US
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
-220000.00000000
EUR
247657.30000000
USD
2020-10-16
-64.13000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
BRL CALL VERSUS USD PUT
000000000
300000.00000000
NC
USD
538.61000000
0.000388405998
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
MORGAN STANLEY & CO. LLC
G1MLHIS0N32I3QPILB75
MORGAN STANLEY & CO. LLC
G1MLHIS0N32I3QPILB75
BRL CALL VERSUS USD PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
BRL
2020-09-03
1.00000000
USD
4.64400000
USD
2020-09-03
XXXX
-2845.39000000
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CT0
90000.00000000
PA
USD
88667.55000000
0.063940528984
Long
DBT
CORP
US
N
2
2021-02-08
Floating
1.39763000
N
N
N
N
N
N
Invesco Senior Loan ETF
549300SIHU6DQELRNG59
Invesco Senior Loan ETF
46138G508
137763.00000000
NS
USD
2941240.05000000
2.121006441111
Long
EC
RF
US
N
1
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBA0
10000.00000000
PA
USD
10434.84000000
0.007524840705
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
3.49000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO BUND
000000000
-55.00000000
NC
-74583.89000000
-0.05378442711
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2020-09-08
-10829630.50000000
USD
-74583.89000000
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F020679
1100000.00000000
PA
USD
1125695.32000000
0.811768840305
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.00000000
N
N
N
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Walmart Inc
931142EM1
10000.00000000
PA
USD
11293.36000000
0.008143942315
Long
DBT
CORP
US
N
2
2026-07-08
Fixed
3.05000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE A
549300M8ZYFG0OCMTT87
GINNIE MAE
21H042679
100000.00000000
PA
USD
106804.69000000
0.077019703111
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Fixed
4.50000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBB8
10000.00000000
PA
USD
10933.79000000
0.007884646822
Long
DBT
CORP
US
N
2
2024-02-14
Fixed
3.80000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UEA6
94159.85000000
PA
USD
101394.08000000
0.073117968310
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
4.50000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAV5
200000.00000000
PA
USD
220791.16000000
0.159218378826
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
5.85000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WDM8
97056.22700000
PA
USD
103096.11000000
0.074345347420
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
3.00000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AJ8
640000.00000000
PA
USD
672640.00000000
0.485058597155
Long
DBT
CORP
CO
N
2
2045-05-28
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9NZ2
192142.55000000
PA
USD
206302.77000000
0.148770415386
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK
2IGI19DL77OX0HC3ZE78
Canadian Imperial Bank of Commerce
13607GRK2
50000.00000000
PA
USD
50168.40000000
0.036177767788
Long
DBT
CORP
CA
N
2
2023-06-23
Fixed
0.95000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HLL2
230000.00000000
PA
USD
309422.27000000
0.223132629957
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
4.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAKS2
99312.14000000
PA
USD
105348.80000000
0.075969822103
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QDU28
99862.24000000
PA
USD
105802.88000000
0.076297271271
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VFS4
97932.76000000
PA
USD
104671.28000000
0.075481244408
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
4.50000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - ZAR
000000000
1.00000000
NC
USD
-70.94000000
-0.00005115672
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-73962.02000000
USD
1298100.00000000
ZAR
2020-10-16
-70.94000000
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBE2
10000.00000000
PA
USD
12366.67000000
0.008917934707
Long
DBT
CORP
US
N
2
2039-02-14
Fixed
5.80000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CC1
410000.00000000
PA
USD
455138.51000000
0.328212486875
Long
DBT
CORP
GB
N
2
2030-05-22
Fixed
3.97300000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHC6
50000.00000000
PA
USD
52520.50000000
0.037873929667
Long
DBT
CORP
US
N
2
2023-12-20
Fixed
3.00400000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKY7
79713.22000000
PA
USD
85179.35000000
0.061425095173
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
MONDELEZ INTERNATIONAL
549300DV9GIB88LZ5P30
Mondelez International Inc
609207AS4
20000.00000000
PA
USD
20714.65000000
0.014937885153
Long
DBT
CORP
US
N
2
2023-04-13
Fixed
2.12500000
N
N
N
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718FK0
20000.00000000
PA
USD
25131.38000000
0.018122906647
Long
DBT
CORP
US
N
2
2050-03-25
Fixed
3.60000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DL6
110000.00000000
PA
USD
95751.70000000
0.069049097997
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
6.60000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAA8
10000.00000000
PA
USD
9386.73000000
0.006769020703
Long
DBT
CORP
KY
N
2
2022-08-15
Fixed
5.25000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJX1
90000.00000000
PA
USD
93174.34000000
0.067190495140
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
2.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QANJ5
66199.59000000
PA
USD
71911.83000000
0.051857533567
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.50000000
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M Co
88579YBP5
170000.00000000
PA
USD
202495.70000000
0.146025035935
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.70000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FQ4B6
2797747.90400000
PA
USD
185121.10000000
0.133495749687
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Variable
0.94877400
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAD2
10000.00000000
PA
USD
10920.58000000
0.007875120740
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
3.79000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NWU3
417525.06500000
PA
USD
437023.24000000
0.315149083787
Long
ABS-MBS
USGA
US
N
2
2048-06-16
Variable
2.57976000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBQ8
130000.00000000
PA
USD
132169.70000000
0.095311086566
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
1.51400000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAQ4
50000.00000000
PA
USD
60225.54000000
0.043430238976
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
5.20000000
N
N
N
N
N
N
VIRGIN MEDIA SECURED FIN
213800X3RLP4NOTPY579
Virgin Media Secured Finance PLC
92769XAP0
200000.00000000
PA
USD
209000.00000000
0.150715459689
Long
DBT
CORP
GB
N
2
2029-05-15
Fixed
5.50000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAE8
40000.00000000
PA
USD
41931.33000000
0.030237797494
Long
DBT
CORP
N/A
N
2
2025-05-01
Fixed
2.70000000
N
N
N
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AN3
100000.00000000
PA
USD
106792.67000000
0.077011035169
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.25000000
N
N
N
N
N
N
ARCELORMITTAL
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LBA1
100000.00000000
PA
USD
101342.43000000
0.073080722121
Long
DBT
CORP
LU
N
2
2026-03-11
Fixed
4.55000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBG4
110000.00000000
PA
USD
108092.97000000
0.077948716089
Long
DBT
CORP
US
N
2
2050-02-24
Fixed
3.00000000
N
N
N
N
N
N
DEERE & COMPANY
PWFTNG3EI0Y73OXWDH08
Deere & Co
244199BK0
50000.00000000
PA
USD
61510.08000000
0.044356554941
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.75000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BR4
100000.00000000
PA
USD
118040.75000000
0.085122324872
Long
DBT
CORP
US
N
2
2029-03-30
Fixed
5.05000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
817.88000000
0.000589795024
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-123698.00000000
GBP
153676.33000000
USD
2020-07-16
817.88000000
N
N
N
CON EDISON CO OF NY INC
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co of New York Inc
209111FY4
20000.00000000
PA
USD
24074.46000000
0.017360733519
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.95000000
N
N
N
N
N
N
BANCO ACTINVER SA
N/A
Banco Actinver SA / Grupo GICSA SAB de CV
89835RAA2
270000.00000000
PA
USD
195412.50000000
0.140917151992
Long
DBT
CORP
MX
N
2
2032-12-18
Fixed
4.80000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
000000000
-130.00000000
NC
USD
-79810.50000000
-0.05755347461
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
-32355189.50000000
USD
-79810.50000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HBJB5
74659.41000000
PA
USD
82505.03000000
0.059496571880
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132XCRW7
134550.05600000
PA
USD
145934.36000000
0.105237149051
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCYY6
78226.03000000
PA
USD
82627.51000000
0.059584895467
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FL7
50000.00000000
PA
USD
55695.41000000
0.040163441725
Long
DBT
CORP
US
N
2
2070-02-05
Fixed
3.75000000
N
N
N
N
N
N
HalseyPoint CLO I, Ltd.
549300POBLM5RW6LD816
Halsey Point CLO I Ltd
40638CAA7
300000.00000000
PA
USD
251803.80000000
0.181582418509
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
9.60697000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-32527.52000000
-0.02345645994
N/A
DFE
CORP
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
-21096220.30000000
RUB
262954.98000000
USD
2020-07-16
-32527.52000000
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBC8
95000.00000000
PA
USD
93100.00000000
0.067136886588
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.45000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-10057.07000000
-0.00725242070
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-410094.00000000
CAD
291052.82000000
USD
2020-07-16
-10057.07000000
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DMKC8
170789.53000000
PA
USD
186454.01000000
0.134456946545
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XUX0
448017.26000000
PA
USD
437923.83000000
0.315798523193
Long
ABS-MBS
CORP
US
N
2
2030-05-25
Floating
2.58450000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAE1
250000.00000000
PA
USD
223220.00000000
0.160969879960
Long
DBT
CORP
NL
N
2
2026-10-01
Fixed
3.15000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
67054KAA7
200000.00000000
PA
USD
208560.00000000
0.150398163984
Long
DBT
CORP
FR
N
2
2026-05-01
Fixed
7.37500000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CA5
60000.00000000
PA
USD
57790.32000000
0.041674137054
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A5J71
48641.64000000
PA
USD
52316.75000000
0.037727000122
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
SWEDBANK AB
M312WZV08Y7LYUC71685
Swedbank AB
87020PAK3
200000.00000000
PA
USD
202398.04000000
0.145954610712
Long
DBT
CORP
SE
N
2
2023-06-02
Fixed
1.30000000
N
N
N
N
N
N
DELL INTERNATIONAL LLC
N/A
Dell International LLC
24702NBE9
78975.25000000
PA
USD
76839.36000000
0.055410906529
Long
LON
CORP
US
N
2
2025-09-19
Floating
2.75000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBS7
90000.00000000
PA
USD
109095.23000000
0.078671472437
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2019-GS7
52474MAA7
241510.85000000
PA
USD
240211.69000000
0.173223039622
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.25000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DV6
90000.00000000
PA
USD
117347.35000000
0.084622295686
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
5.00000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAF0
40000.00000000
PA
USD
40780.51000000
0.029407910579
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
1.35000000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAC0
40000.00000000
PA
USD
41480.00000000
0.029912331425
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JHYV9
76107.45000000
PA
USD
84105.28000000
0.060650554724
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBC0
200000.00000000
PA
USD
205677.97000000
0.148319855485
Long
DBT
CORP
IT
N
2
2023-01-12
Fixed
3.37500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PBN1
30000.00000000
PA
USD
43801.08000000
0.031586123957
Long
DBT
CORP
US
N
2
2040-10-15
Fixed
5.70000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAD6
20000.00000000
PA
USD
20387.12000000
0.014701694557
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
1.92300000
N
N
N
N
N
N
FRONERI US INC
N/A
Froneri US Inc
000000000
50000.00000000
PA
USD
46958.35000000
0.033862915342
Long
LON
CORP
US
N
2
2027-01-31
Floating
2.43250000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEN0
150000.00000000
PA
USD
166896.32000000
0.120353376025
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.37600000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BN3
120000.00000000
PA
USD
149381.82000000
0.107723204165
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
5.75000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWT7
10000.00000000
PA
USD
10610.54000000
0.007651542649
Long
DBT
CORP
US
N
2
2023-02-23
Fixed
3.20000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEA6
10000.00000000
PA
USD
10704.92000000
0.007719602577
Long
DBT
CORP
US
N
2
2060-05-15
Fixed
3.12500000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAY2
30000.00000000
PA
USD
30549.46000000
0.022030028263
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5F99
71127.36000000
PA
USD
76553.17000000
0.055204527307
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TXW0
181121.66000000
PA
USD
195473.50000000
0.140961140715
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
4.50000000
N
N
N
N
N
N
CAMERON LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AB6
90000.00000000
PA
USD
99228.18000000
0.071556080204
Long
DBT
CORP
US
N
2
2035-01-15
Fixed
3.30200000
N
N
N
N
N
N
CHANGE HEALTHCARE HOLDINGS
549300GHXFJ3EKF50583
Change Healthcare Holdings LLC
15911AAC7
29175.58000000
PA
USD
27953.85000000
0.020158264846
Long
LON
CORP
US
N
2
2024-03-01
Floating
3.50000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114QBZ0
50000.00000000
PA
USD
51366.42000000
0.037041691879
Long
DBT
CORP
CA
N
2
2021-06-11
Fixed
3.25000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAT7
10000.00000000
PA
USD
11082.26000000
0.007991712489
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
5.50000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
IRS USD
000000000
1.00000000
NC
USD
221321.85000000
0.159601073502
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Y
2045-11-15
213443.37000000
USD
0.00000000
USD
3002000.00000000
USD
6634.09000000
N
N
N
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
JAPAN 10 YEAR BOND
000000000
-1.00000000
NC
2680.63000000
0.001933073601
N/A
DIR
CORP
JP
N
1
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
Short
JAPAN (10 YEAR ISSUE)
Japan Government Ten Year Bond
2020-09-14
-1411124.81000000
USD
2680.63000000
N
N
N
BARRICK NA FINANCE LLC
N/A
Barrick North America Finance LLC
06849RAK8
50000.00000000
PA
USD
70635.42000000
0.050937080361
Long
DBT
CORP
US
N
2
2043-05-01
Fixed
5.75000000
N
N
N
N
N
N
Cedar Funding Ltd
549300PTCF9P2JDL1E69
Cedar Funding VIII Clo Ltd
15032EAA7
250000.00000000
PA
USD
245773.50000000
0.177233808765
Long
ABS-CBDO
CORP
KY
N
2
2030-10-17
Floating
2.38488000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962G4B7
380000.00000000
PA
USD
466821.40000000
0.336637329635
Long
DBT
CORP
US
N
2
2039-01-10
Fixed
6.87500000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BG5
2000.00000000
PA
USD
2160.24000000
0.001557806529
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.80000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BJ4
90000.00000000
PA
USD
117079.90000000
0.084429430377
Long
DBT
CORP
US
N
2
2047-08-22
Fixed
4.05000000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
147.23000000
0.000106171469
N/A
DFE
CORP
US
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
-60000.00000000
EUR
67561.20000000
USD
2020-07-16
147.23000000
N
N
N
CONCHO RESOURCES INC
SYHS7HRDXLL4I0IQ8776
Concho Resources Inc
20605PAK7
120000.00000000
PA
USD
131705.31000000
0.094976202584
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.30000000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
36.54000000
0.000026349966
N/A
DFE
CORP
US
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
-247148.00000000
USD
220000.00000000
EUR
2020-07-16
36.54000000
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KG5A2
2270834.05010000
PA
USD
2420153.67000000
1.745237190874
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.50000000
N
N
N
N
N
N
HONEYWELL INTERNATIONAL
ISRPG12PN4EIEOEMW547
Honeywell International Inc
438516CB0
30000.00000000
PA
USD
30724.40000000
0.022156182151
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.35000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - PHP
000000000
1.00000000
NC
USD
1409.06000000
0.001016110648
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-60760.49000000
USD
3100000.00000000
PHP
2020-07-16
1409.06000000
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CX6
110000.00000000
PA
USD
111005.65000000
0.080049127118
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
2.60000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CZ6
40000.00000000
PA
USD
39700.00000000
0.028628726074
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
4.85000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO BTP
000000000
43.00000000
NC
127992.38000000
0.092298709992
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUONI POLIENNALI DEL TES
Italy Buoni Poliennali Del Tesoro
2020-09-08
6820757.18000000
USD
127992.38000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QADC1
352680.32000000
PA
USD
386652.22000000
0.278825201326
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FJ2
40000.00000000
PA
USD
42367.70000000
0.030552475509
Long
DBT
CORP
US
N
2
2027-02-05
Fixed
2.15000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XAF1
209606.02000000
PA
USD
183297.40000000
0.132180631104
Long
ABS-MBS
CORP
US
N
2
2024-05-25
Floating
2.78450000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
-204.04000000
-0.00014713867
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-37781.16000000
USD
537814771.00000000
IDR
2020-07-16
-204.04000000
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CP8
20000.00000000
PA
USD
18619.00000000
0.013426656191
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.70000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
34230000.00000000
PA
523996.51000000
0.377867822393
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
MILEAGE PLUS HLDINGS LLC
N/A
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd
599191AA1
60000.00000000
PA
USD
60150.00000000
0.043375765073
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UQ62
223002.11610000
PA
USD
238331.70000000
0.171867328823
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
4.50000000
N
N
N
N
N
N
VIRGIN MEDIA BRISTOL LLC
N/A
Virgin Media Bristol LLC
000000000
150000.00000000
PA
USD
143175.00000000
0.103247301153
Long
LON
CORP
US
N
2
2028-01-31
Floating
3.25080000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2018-IND
056059AS7
133000.01000000
PA
USD
128339.58000000
0.092549085148
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Floating
2.23475000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
000000000
-100.00000000
NC
USD
-165310.00000000
-0.11920943847
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Short
90 DAY EURO DOLLAR TIME DEPOSIT
90 DAY EURO DOLLAR TIME DEPOSIT
2021-12-13
-24784690.00000000
USD
-165310.00000000
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
6961.38000000
0.005020036300
N/A
DFE
CORP
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
-520000.00000000
EUR
592020.00000000
USD
2020-09-15
6961.38000000
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QDA3
50000.00000000
PA
USD
55279.14000000
0.039863258355
Long
DBT
CORP
GB
N
2
2025-03-17
Fixed
3.50600000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BQ33
65415.38000000
PA
USD
71562.09000000
0.051605326749
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.50000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
4.57000000
0.000003295548
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
-20024.38000000
USD
29088.00000000
AUD
2020-07-16
4.57000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
20000.00000000
PA
USD
22136.44000000
0.015963175743
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X47B6
61125.56000000
PA
USD
64517.58000000
0.046525343194
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HTWT2
10000.00000000
PA
USD
11554.40000000
0.008332185203
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.26000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCM1
80000.00000000
PA
USD
107593.75000000
0.077588715267
Long
DBT
CORP
US
N
2
2048-10-15
Fixed
4.70000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-243.00000000
NC
USD
-141612.09000000
-0.10212024517
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
-33677153.54000000
USD
-141612.09000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VBG8
10000.00000000
PA
USD
12193.64000000
0.008793158171
Long
DBT
CORP
US
N
2
2042-11-01
Fixed
3.85000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0QQ5
980000.00000000
PA
USD
984822.87000000
0.710181969208
Long
ABS-MBS
CORP
US
N
2
2030-03-25
Floating
2.68450000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78015K7H1
50000.00000000
PA
USD
50085.88000000
0.036118260421
Long
DBT
CORP
CA
N
2
2025-06-10
Fixed
1.15000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
150000.00000000
PA
USD
160762.84000000
0.115930360438
Long
DBT
CORP
US
N
2
2024-03-12
Fixed
4.12500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2351.11000000
-0.00169544796
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-80000.00000000
EUR
87534.18000000
USD
2020-07-16
-2351.11000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-20.00000000
NC
USD
-312.50000000
-0.00022535206
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
1000.00000000
150.00000000
USD
2020-07-24
XXXX
902.90000000
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-793732.27000000
-0.57238145427
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2026-06-30
0.00000000
USD
-87215.84000000
USD
11461000.00000000
USD
-709309.15000000
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAU5
80000.00000000
PA
USD
82656.97000000
0.059606139856
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
2.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617JYJ79
97755.54000000
PA
USD
103516.42000000
0.074648444142
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J94B4
68354.77000000
PA
USD
74252.67000000
0.053545575560
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AV2
30000.00000000
PA
USD
33732.97000000
0.024325742010
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.50000000
N
N
N
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718FJ3
30000.00000000
PA
USD
36068.73000000
0.026010120681
Long
DBT
CORP
US
N
2
2040-03-25
Fixed
3.55000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BT2
60000.00000000
PA
USD
61597.19000000
0.044419372279
Long
DBT
CORP
US
N
2
2050-06-03
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD CALL VERSUS BRL PUT
000000000
-300000.00000000
NC
USD
-7640.70000000
-0.00550991202
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
USD CALL VERSUS BRL PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
BRL
N/A
USD
2020-09-03
1.00000000
USD
5.67400000
USD
2020-09-03
XXXX
-2296.20000000
N
N
N
GOLDEN NUGGE FRN 10/23 TL
N/A
GOLDEN NUGGE FRN 10/23 TL
51508PAG9
43019.90000000
PA
USD
34932.16000000
0.025190509819
Long
LON
CORP
US
N
2
2023-10-04
Floating
4.39499880
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AM5
100000.00000000
PA
USD
115593.31000000
0.083357410783
Long
DBT
CORP
US
N
2
2050-03-27
Fixed
3.37500000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
06406RAN7
30000.00000000
PA
USD
31051.78000000
0.022392264578
Long
DBT
CORP
US
N
2
2025-04-24
Fixed
1.60000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAB0
30000.00000000
PA
USD
29292.07000000
0.021123290886
Long
DBT
CORP
US
N
2
2040-04-05
Fixed
3.37700000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HP8
150000.00000000
PA
USD
62251.50000000
0.044891212626
Long
DBT
NUSS
AR
N
2
2023-01-11
Fixed
4.62500000
N
N
N
N
N
N
US Foods Inc
5493000JOOFAOUY1JZ87
US FOODSERVICE 9/26 TL
90351HAD0
40000.00000000
PA
USD
37400.00000000
0.026970134891
Long
LON
CORP
US
N
2
2026-09-13
Floating
2.32090000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9XX6
101770.61000000
PA
USD
109379.43000000
0.078876416617
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - CNY
000000000
1.00000000
NC
USD
727.08000000
0.000524316729
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-86320.73000000
USD
616330.00000000
CNY
2020-07-16
727.08000000
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AQ1
250000.00000000
PA
USD
253199.50000000
0.182588894907
Long
DBT
CORP
CH
N
2
2026-06-05
Fixed
2.19300000
N
N
N
N
N
N
RPI 2019 INTERMEDIATE FI
549300RTICDAOJP6BY55
RPI 2019 Intermediate Finance Trust
74969AAC5
139650.00000000
PA
USD
136216.98000000
0.098229687838
Long
LON
CORP
US
N
2
2027-02-11
Floating
1.94090000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-30.52000000
-0.00002200878
N/A
DFE
CORP
US
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
-43295.00000000
EUR
48614.27000000
USD
2020-07-16
-30.52000000
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAG0
200000.00000000
PA
USD
212935.94000000
0.153553770724
Long
DBT
CORP
ES
N
2
2023-04-12
Fixed
3.84800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HVEA8
100000.00000000
PA
USD
113170.04000000
0.081609926323
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.87000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAU7
180000.00000000
PA
USD
160060.39000000
0.115423805056
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
EYECARE PARTNERS LLC
N/A
Eyecare Partners LLC
30233PAB6
72972.97000000
PA
USD
65462.81000000
0.047206973692
Long
LON
CORP
US
N
2
2027-02-20
Floating
3.94010000
N
N
N
N
N
N
WYNN RESORTS FINANCE LLC
N/A
Wynn Resorts Finance LLC
98313DAC1
126750.00000000
PA
USD
117877.50000000
0.085004600954
Long
LON
CORP
US
N
3
2024-09-20
Floating
1.94010000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DL1
30000.00000000
PA
USD
35848.40000000
0.025851234857
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UEB4
173023.83000000
PA
USD
189216.53000000
0.136449073204
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
5.00000000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BF9
80000.00000000
PA
USD
91573.94000000
0.066036404127
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.65000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKZ4
41900.96200000
PA
USD
45539.62000000
0.032839831398
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
5.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BM5
100000.00000000
PA
USD
120432.72000000
0.086847238069
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
5.37500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
06739GCR8
200000.00000000
PA
USD
203591.89000000
0.146815527705
Long
DBT
CORP
GB
N
2
2022-05-12
Fixed
1.70000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCJ0
450000.00000000
PA
USD
455625.00000000
0.328563307755
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TZ65
98705.38000000
PA
USD
106451.93000000
0.076765318491
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
4.50000000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAV2
39894.84000000
PA
USD
38523.45000000
0.027780284572
Long
LON
CORP
US
N
2
2023-11-03
Floating
3.17100000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBS9
20000.00000000
PA
USD
22344.71000000
0.016113364781
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.15000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABC8
10000.00000000
PA
USD
11081.70000000
0.007991308658
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DD6
50000.00000000
PA
USD
55332.05000000
0.039901413164
Long
DBT
CORP
US
N
2
2025-07-10
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F022675
-300000.00000000
PA
USD
-312750.00000000
-0.22553234458
Short
ABS-MBS
USGSE
US
N
2
2050-07-15
Fixed
2.50000000
N
N
N
N
N
N
PFIZER INC
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081EX7
60000.00000000
PA
USD
59975.28000000
0.043249769833
Long
DBT
CORP
US
N
2
2025-05-28
Fixed
0.80000000
N
N
N
N
N
N
DCERT BUYER INC
549300EF826JEEUCHZ67
Dcert Buyer Inc
24022KAB5
80000.00000000
PA
USD
77166.64000000
0.055646916843
Long
LON
CORP
US
N
2
2026-10-16
Floating
5.13530000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YAZ8
30000.00000000
PA
USD
29965.66000000
0.021609034554
Long
DBT
CORP
US
N
2
2030-06-24
Fixed
1.45000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
-1202.51000000
-0.00086716194
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
-31949.72000000
USD
712105.00000000
MXN
2020-07-16
-1202.51000000
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
EURIBOR 3 MONTH OPTION
000000000
106.00000000
NC
4464.52000000
0.003219484134
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Put
Purchased
ICE FUTURES EUROPE
549300UF4R84F48NCH34
ICE FUTURES EUROPE
549300UF4R84F48NCH34
EURIBOR 3 MONTH
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
GB
US
Short
INTERCONTENTIAL EXCHANGE
EURIBOR 3 MONTH
2021-03-15
0.00000000
USD
2500.00000000
100.12500000
EUR
2021-03-15
XXXX
2137.93000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4ZB5
75587.24000000
PA
USD
82057.99000000
0.059174199445
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.50000000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AB9
40000.00000000
PA
USD
45574.39000000
0.032864904970
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.65000000
N
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764BW9
70000.00000000
PA
USD
71984.30000000
0.051909793612
Long
DBT
CORP
US
N
2
2025-05-11
Fixed
1.55400000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBF1
100000.00000000
PA
USD
108578.19000000
0.078298621139
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2L7
200000.00000000
PA
USD
204803.23000000
0.147689057202
Long
DBT
CORP
FR
N
2
2026-06-09
Fixed
2.21900000
N
N
N
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CQ1
110000.00000000
PA
USD
143646.67000000
0.103587434937
Long
DBT
CORP
US
N
2
2050-03-25
Fixed
4.20000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
27.28000000
0.000019672333
N/A
DFE
CORP
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
-469844.00000000
JPY
4383.24000000
USD
2020-07-16
27.28000000
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773CX6
10000.00000000
PA
USD
10913.06000000
0.007869697868
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
3.65000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2G8
200000.00000000
PA
USD
221361.48000000
0.159629651749
Long
DBT
CORP
FR
N
2
2025-01-10
Fixed
4.70500000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582CG5
40000.00000000
PA
USD
43367.53000000
0.031273479519
Long
DBT
CORP
NL
N
2
2030-04-06
Fixed
2.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030674
800000.00000000
PA
USD
847593.74000000
0.611222393080
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Fixed
3.00000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-638.00000000
-0.00046007877
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-148726.50000000
USD
119838.00000000
GBP
2020-07-16
-638.00000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967EW7
190000.00000000
PA
USD
329045.28000000
0.237283304467
Long
DBT
CORP
US
N
2
2039-07-15
Fixed
8.12500000
N
N
N
N
N
N
CIMAREX ENERGY CO
11KYOFXPU1C4CQL1CL44
Cimarex Energy Co
171798AD3
110000.00000000
PA
USD
111294.29000000
0.080257273101
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.90000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BM1
150000.00000000
PA
USD
211463.98000000
0.152492301212
Long
DBT
CORP
US
N
2
2050-03-25
Fixed
4.75000000
N
N
N
N
N
N
BNY CASH RESERVE
N/A
BNY CASH RESERVE
000000000
389646.23000000
NS
USD
389646.23000000
0.280984261582
Long
STIV
CORP
US
N
2
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AL4
50000.00000000
PA
USD
57705.31000000
0.041612834082
Long
DBT
CORP
US
N
2
2028-04-13
Fixed
4.00000000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
40.56000000
0.000029248894
N/A
DFE
CORP
US
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
-13964.00000000
EUR
15730.04000000
USD
2020-07-16
40.56000000
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B4KJ6
20000.00000000
PA
USD
23058.34000000
0.016627982357
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
3.45000000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-7.46000000
-0.00000537960
N/A
DFE
CORP
US
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
-59168.00000000
EUR
66471.70000000
USD
2020-07-16
-7.46000000
N
N
N
KINDER MORGAN INC/DELAWA
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAJ0
20000.00000000
PA
USD
23012.85000000
0.016595178308
Long
DBT
CORP
US
N
2
2046-02-15
Fixed
5.05000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS CAD
000000000
1.00000000
NC
62326.15000000
0.044945044726
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2024-08-13
0.00000000
CAD
0.00000000
CAD
2470000.00000000
CAD
62326.15000000
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAK8
125000.00000000
PA
USD
133754.04000000
0.096453596286
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
2.70000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPER
549300TPZNMN50BJ3745
Charter Communications Operating LLC
16117LBX6
39899.75000000
PA
USD
38276.07000000
0.027601892273
Long
LON
CORP
US
N
2
2027-02-01
Floating
1.92950000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
-167.45000000
-0.00012075264
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
-58905.41000000
USD
85305.00000000
AUD
2020-07-16
-167.45000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-187.13000000
-0.00013494442
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-1089651.00000000
INR
14221.50000000
USD
2020-07-16
-187.13000000
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAD3
90000.00000000
PA
USD
85021.88000000
0.061311539367
Long
DBT
CORP
NL
N
2
2023-07-21
Fixed
2.80000000
N
N
N
N
N
N
BHP BILLITON FIN USA LTD
5493003NUVITP3TMY274
BHP Billiton Finance USA Ltd
055451AV0
30000.00000000
PA
USD
41487.75000000
0.029917920156
Long
DBT
CORP
AU
N
2
2043-09-30
Fixed
5.00000000
N
N
N
N
N
N
CHANGE HEALTHCARE HOLDINGS
549300GHXFJ3EKF50583
Change Healthcare Holdings LLC
15911AAC7
19171.96000000
PA
USD
18369.13000000
0.013246468287
Long
LON
CORP
US
N
2
2024-03-01
Floating
3.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
-510000.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2020-07-30
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
1.55000000
USD
2020-07-30
XXXX
2524.50000000
N
N
N
ARCELORMITTAL
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LAZ7
100000.00000000
PA
USD
108523.69000000
0.078259319739
Long
DBT
CORP
LU
N
2
2025-06-01
Fixed
6.12500000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
LONG GILT
000000000
-46.00000000
NC
-15795.30000000
-0.01139041100
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Short
UK TSY 4 3/4% 2030
United Kingdom Gilt
2020-09-28
-7807335.90000000
USD
-15795.30000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
398.90000000
0.000287657401
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
-1326343.00000000
RUB
18976.22000000
USD
2020-07-16
398.90000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C4M3
151986.07000000
PA
USD
166089.42000000
0.119771498970
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
7407.22000000
0.005341543384
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-217306.00000000
USD
200000.00000000
EUR
2020-07-16
7407.22000000
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F030678
700000.00000000
PA
USD
737242.18000000
0.531644947660
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
Johnson & Johnson
478160CF9
30000.00000000
PA
USD
35798.27000000
0.025815084780
Long
DBT
CORP
US
N
2
2037-03-03
Fixed
3.62500000
N
N
N
N
N
N
SALESFORCE.COM INC
RCGZFPDMRW58VJ54VR07
salesforce.com Inc
79466LAE4
50000.00000000
PA
USD
53735.20000000
0.038749882150
Long
DBT
CORP
US
N
2
2023-04-11
Fixed
3.25000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAY2
120000.00000000
PA
USD
132227.19000000
0.095352544135
Long
DBT
CORP
US
N
2
2024-12-05
Fixed
4.02300000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CW3
150000.00000000
PA
USD
128172.00000000
0.092428238752
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.90000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
2737.66000000
0.001974199451
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-78029.40000000
USD
110000.00000000
CAD
2020-07-16
2737.66000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
-704.18000000
-0.00050780293
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
-34315.77000000
USD
778444.00000000
MXN
2020-07-16
-704.18000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFC8
100000.00000000
PA
USD
137869.60000000
0.099421436082
Long
DBT
CORP
US
N
2
2044-01-21
Fixed
5.00000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BW2
20000.00000000
PA
USD
20022.61000000
0.014438836700
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.62500000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AP3
250000.00000000
PA
USD
284963.69000000
0.205494897287
Long
DBT
CORP
CH
N
2
2031-04-01
Fixed
4.19400000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BF8
100000.00000000
PA
USD
123032.90000000
0.088722297035
Long
DBT
CORP
NL
N
2
2045-05-11
Fixed
4.37500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-8.00000000
NC
USD
-1000.00000000
-0.00072112660
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
1000.00000000
187.00000000
USD
2020-07-24
XXXX
4361.16000000
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBY8
150000.00000000
PA
USD
157104.68000000
0.113292363949
Long
DBT
CORP
US
N
2
2051-01-31
Fixed
3.70000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBG7
10000.00000000
PA
USD
13337.92000000
0.009618328919
Long
DBT
CORP
US
N
2
2059-02-14
Fixed
6.20000000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-396.80000000
-0.00028614303
N/A
DFE
CORP
US
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
-210000.00000000
EUR
236064.57000000
USD
2020-10-16
-396.80000000
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
17190000.00000000
PA
812543.11000000
0.585946451392
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBU2
40000.00000000
PA
USD
43505.93000000
0.031373283440
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
2.95000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AJ4
40000.00000000
PA
USD
44650.00000000
0.032198302751
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
5.62500000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
85.13000000
0.000061389507
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
-19150.60000000
USD
27936.00000000
AUD
2020-07-16
85.13000000
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BF2
50000.00000000
PA
USD
61910.30000000
0.044645164229
Long
DBT
CORP
US
N
2
2037-08-22
Fixed
3.87500000
N
N
N
N
N
N
LAMB WESTON HLD
5493005SMYID1D2OY946
Lamb Weston Holdings Inc
513272AC8
10000.00000000
PA
USD
10595.10000000
0.007640408454
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5SX2
96273.69000000
PA
USD
102132.70000000
0.073650606841
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.50000000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAJ3
30000.00000000
PA
USD
30262.50000000
0.021823093774
Long
DBT
CORP
CA
N
2
2025-06-01
Fixed
4.25000000
N
N
N
N
N
N
Motel 6 Trust
N/A
Motel 6 Trust 2017-MTL6
61975FAG4
304930.19000000
PA
USD
292718.19000000
0.211086873518
Long
ABS-MBS
CORP
US
N
2
2034-08-15
Floating
1.37475000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SB5
590000.00000000
PA
USD
810305.92000000
0.584333154171
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCK8
20000.00000000
PA
USD
27159.13000000
0.019585171113
Long
DBT
CORP
US
N
2
2046-08-21
Fixed
4.86200000
N
N
N
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718FG9
10000.00000000
PA
USD
11120.60000000
0.008019360483
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
2.80000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
370000.00000000
PA
USD
424050.77000000
0.305794290584
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
9127962R9
4000000.00000000
PA
USD
3998145.00000000
2.883168715690
Long
DBT
UST
US
N
2
2020-10-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QDWP5
119336.77000000
PA
USD
126664.63000000
0.091341234147
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.00000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
-664.31000000
-0.00047905161
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
-59421.55000000
USD
85333.00000000
AUD
2020-07-16
-664.31000000
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAE7
30000.00000000
PA
USD
31328.51000000
0.022591821942
Long
DBT
CORP
US
N
2
2027-04-05
Fixed
2.29300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH54
42705.34000000
PA
USD
45874.85000000
0.033081574669
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
4.50000000
N
N
N
N
N
N
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
SWOP IRS USD
000000000
-1440000.00000000
NC
USD
-55519.79000000
-0.04003679747
N/A
DIR
CORP
CH
N
2
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
Put
Written
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
CH
US
2020-09-16
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
95.00000000
USD
2020-09-16
XXXX
-24055.79000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
-3122.81000000
-0.00225194136
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
-95769.97000000
USD
2145707.00000000
MXN
2020-07-16
-3122.81000000
N
N
N
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
AUSTRALIAN 10 YEAR BOND
000000000
38.00000000
NC
-1947.02000000
-0.00140404791
N/A
DIR
CORP
AU
N
1
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
Long
AUSTRALIAN GOVERNMENT
Australia Government Bond
2020-09-15
3894696.67000000
USD
-1947.02000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-1994.86000000
-0.00143854661
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-174009.74000000
USD
139200.00000000
GBP
2020-07-16
-1994.86000000
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AC1
410000.00000000
PA
USD
598789.90000000
0.431803325530
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
7.37500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2M4
650000.00000000
PA
USD
902188.46000000
0.650592097967
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01300000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38145GAH3
50000.00000000
PA
USD
54987.95000000
0.039653273500
Long
DBT
CORP
US
N
2
2026-11-16
Fixed
3.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDW9
10000.00000000
PA
USD
10184.22000000
0.007344111956
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.25000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - CNY
000000000
1.00000000
NC
USD
-1482.69000000
-0.00106920720
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-829100.56000000
USD
5859834.00000000
CNY
2020-07-16
-1482.69000000
N
N
N
KUWAIT INTL BOND
549300FSC1YD0D9XX589
Kuwait International Government Bond
501499AB3
400000.00000000
PA
USD
446064.00000000
0.321668616319
Long
DBT
NUSS
KW
N
2
2027-03-20
Fixed
3.50000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BF1
210000.00000000
PA
USD
181536.38000000
0.130910712736
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAF3
450000.00000000
PA
USD
436194.77000000
0.314551652031
Long
ABS-MBS
CORP
US
N
2
2039-10-25
Floating
2.28450000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBL9
60000.00000000
PA
USD
63366.32000000
0.045695138983
Long
DBT
CORP
US
N
2
2031-04-22
Fixed
2.52200000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAR4
10000.00000000
PA
USD
12026.29000000
0.008672477634
Long
DBT
CORP
US
N
2
2044-01-31
Fixed
5.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5W39
73950.13000000
PA
USD
79930.26000000
0.057639836741
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
3.00000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAM1
30000.00000000
PA
USD
30163.17000000
0.021751464269
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BM7
10000.00000000
PA
USD
13347.50000000
0.009625237311
Long
DBT
CORP
US
N
2
2057-08-22
Fixed
4.25000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
66414.75000000
0.047893442949
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-428617.49000000
USD
7085047145.00000000
IDR
2020-07-16
66414.75000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-961.85000000
-0.00069361562
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-53082122.00000000
COP
13211.08000000
USD
2020-07-16
-961.85000000
N
N
N
Residential Asset Securities C
N/A
RASC Series 2005-KS12 Trust
753910AD0
15423.99000000
PA
USD
15395.65000000
0.011102212760
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.62450000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCE1
10000.00000000
PA
USD
10200.00000000
0.007355491334
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
20.00000000
NC
USD
625.00000000
0.000450704125
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
1000.00000000
162.00000000
USD
2020-07-24
XXXX
-2534.60000000
N
N
N
Symphony CLO Ltd
N/A
Symphony CLO XIX Ltd
87166DAA6
250000.00000000
PA
USD
196563.00000000
0.141746808147
Long
ABS-CBDO
CORP
KY
N
2
2031-04-16
Floating
6.37613000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FLN91
20000.00000000
PA
USD
23656.19000000
0.017059107896
Long
ABS-MBS
USGSE
US
N
2
2029-03-25
Fixed
3.50500000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - INR
000000000
1.00000000
NC
USD
5036.88000000
0.003632228155
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-142392.87000000
USD
11149362.00000000
INR
2020-07-16
5036.88000000
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448ER5
130000.00000000
PA
USD
142111.76000000
0.102480570505
Long
DBT
CORP
US
N
2
2027-03-19
Fixed
2.62500000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-665.83000000
-0.00048014772
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-37823.27000000
USD
30069.00000000
GBP
2020-07-16
-665.83000000
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCK5
20000.00000000
PA
USD
24319.48000000
0.017537423959
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AQ3
100000.00000000
PA
USD
120829.39000000
0.087133287358
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
4.75000000
N
N
N
N
N
N
HILTON WORLDWIDE FINANCE
549300406TN7EY0NPH20
Hilton Worldwide Finance LLC
43289DAH6
140000.00000000
PA
USD
130550.00000000
0.094143077810
Long
LON
CORP
US
N
2
2026-06-21
Floating
2.05510000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS USD
000000000
1.00000000
NC
USD
55589.94000000
0.040087384503
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Y
2025-03-23
0.00000000
USD
-2189.95000000
USD
2720000.00000000
USD
57773.13000000
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F022675
1600000.00000000
PA
USD
1668000.00000000
1.202839171108
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780099CH8
350000.00000000
PA
USD
382860.44000000
0.276090847901
Long
DBT
CORP
GB
N
2
2024-05-28
Fixed
5.12500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXJ8
50000.00000000
PA
USD
54825.38000000
0.039536039948
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.50000000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BH0
10000.00000000
PA
USD
12458.96000000
0.008984487481
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.25000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
378.84000000
0.000273191601
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
-77346.28000000
USD
112880.00000000
AUD
2020-07-16
378.84000000
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LBD7
10000.00000000
PA
USD
10602.93000000
0.007646054875
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.25000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAV3
20000.00000000
PA
USD
20194.20000000
0.014562574813
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-116896.25000000
-0.08429699547
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2026-11-15
236.53000000
USD
0.00000000
USD
1531000.00000000
USD
-117225.70000000
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DH0
10000.00000000
PA
USD
11229.88000000
0.008098165198
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.62500000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1105.18000000
0.000796974697
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
-3848957.00000000
RUB
55015.28000000
USD
2020-07-16
1105.18000000
N
N
N
DCP MIDSTREAM OPERATING
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
26439XAH6
10000.00000000
PA
USD
9000.00000000
0.006490139412
Long
DBT
CORP
US
N
2
2036-11-03
Fixed
6.45000000
N
N
N
N
N
N
Residential Asset Mortgage Pro
N/A
RAMP Series 2006-NC3 Trust
76112B4P2
270000.00000000
PA
USD
247630.15000000
0.178572688469
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
0.52450000
N
N
N
N
N
N
TEXAS INSTRUMENTS INC
WDJNR2L6D8RWOEB8T652
Texas Instruments Inc
882508BJ2
40000.00000000
PA
USD
40592.24000000
0.029272144073
Long
DBT
CORP
US
N
2
2030-05-04
Fixed
1.75000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2S1
50000.00000000
PA
USD
51660.71000000
0.037253912227
Long
DBT
CORP
US
N
2
2028-06-02
Fixed
2.39300000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAB2
50000.00000000
PA
USD
49154.62000000
0.035446704062
Long
DBT
CORP
US
N
2
2046-06-01
Fixed
4.37500000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
EURIBOR 3 MONTH OPTION
000000000
-106.00000000
NC
-2232.26000000
-0.00160974206
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Put
Written
ICE FUTURES EUROPE
549300UF4R84F48NCH34
ICE FUTURES EUROPE
549300UF4R84F48NCH34
EURIBOR 3 MONTH
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
GB
US
Short
INTERCONTENTIAL EXCHANGE
EURIBOR 3 MONTH
2021-03-15
0.00000000
USD
2500.00000000
99.62500000
EUR
2021-03-15
XXXX
6237.88000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
-2239.42000000
-0.00161490533
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-37083.67000000
USD
191463.00000000
BRL
2020-07-16
-2239.42000000
N
N
N
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
SWOP IRS USD
000000000
720000.00000000
NC
USD
49067.53000000
0.035383901147
N/A
DIR
CORP
CH
N
2
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
Put
Purchased
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
CH
US
2020-09-16
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
100.00000000
USD
2020-09-16
XXXX
22067.53000000
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAW0
20000.00000000
PA
USD
21625.08000000
0.015594420445
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
5.40000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SM1
3700000.00000000
PA
USD
4139756.31000000
2.985288398388
Long
DBT
UST
US
N
2
2050-02-15
Fixed
0.25000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-20.00000000
NC
USD
-625.00000000
-0.00045070412
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
1000.00000000
205.00000000
USD
2020-07-24
XXXX
1527.90000000
N
N
N
VVC HOLDING CORP
549300Z86PUW4ENZCD61
VVC Holding Corp
04685YAK5
169346.23000000
PA
USD
163136.81000000
0.117642293355
Long
LON
CORP
US
N
2
2026-02-11
Floating
4.93350000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SL3
2420000.00000000
PA
USD
2771467.20000000
1.998578722783
Long
DBT
UST
US
N
2
2050-02-15
Fixed
2.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
IRS USD
000000000
1.00000000
NC
USD
37114.56000000
0.026764296514
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Y
2022-03-23
589.84000000
USD
0.00000000
USD
4666000.00000000
USD
36385.27000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - RUB
000000000
1.00000000
NC
USD
-374.38000000
-0.00026997537
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
-15333.98000000
USD
1068053.00000000
RUB
2020-07-16
-374.38000000
N
N
N
TEVA PHARMACEUT FIN BV
549300Q840R30TDKVK53
Teva Pharmaceutical Finance Co BV
88165FAF9
60000.00000000
PA
USD
59592.00000000
0.042973376429
Long
DBT
CORP
CW
N
2
2021-11-10
Fixed
3.65000000
N
N
N
N
N
N
Applebees/IHOP Funding LLC
N/A
Applebee's Funding LLC / IHOP Funding LLC
03789XAD0
300000.00000000
PA
USD
265899.00000000
0.191746842181
Long
ABS-O
CORP
US
N
2
2049-06-07
Fixed
4.19400000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816BY4
90000.00000000
PA
USD
93595.50000000
0.067494204819
Long
DBT
CORP
US
N
2
2021-11-05
Fixed
3.70000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS USD
000000000
1.00000000
NC
USD
49290.32000000
0.035544560942
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Y
2024-08-31
1627.44000000
USD
0.00000000
USD
11018000.00000000
USD
47544.27000000
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBE0
540000.00000000
PA
USD
668358.00000000
0.481970733047
Long
DBT
NUSS
QA
N
2
2050-04-16
Fixed
4.40000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
198.00000000
NC
USD
37195.42000000
0.026822606811
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
35318179.58000000
USD
37195.42000000
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAC5
160000.00000000
PA
USD
156742.40000000
0.113031114204
Long
DBT
CORP
NL
N
2
2021-07-21
Fixed
2.20000000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300V1P5RKG8RJI005
SMB Private Education Loan Trust 2018-C
78449QAC1
244936.90000000
PA
USD
239131.45000000
0.172444049822
Long
ABS-O
CORP
US
N
2
2035-11-15
Floating
0.93475000
N
N
N
N
N
N
VICI PROPERTIES INC
549300XI4XP4JVS3XU20
VICI Properties 1 LLC
92565EAB9
50000.00000000
PA
USD
46500.00000000
0.033532386964
Long
LON
CORP
US
N
2
2024-12-22
Floating
1.92950000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CW8
180000.00000000
PA
USD
203569.60000000
0.146799453793
Long
DBT
CORP
US
N
2
2025-03-25
Fixed
4.10000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO OAT
000000000
5.00000000
NC
10550.87000000
0.007608513024
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
FRANCE (GOVT OF)
French Republic Government Bond OAT
2020-09-08
930929.64000000
USD
10550.87000000
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BM1
40000.00000000
PA
USD
59313.93000000
0.042772852755
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
11410000.00000000
PA
553266.74000000
0.398975363875
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
54416.69000000
0.039241322718
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-2236430.89000000
USD
3120000.00000000
CAD
2020-07-16
54416.69000000
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDS8
140000.00000000
PA
USD
156297.47000000
0.112710263346
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
2.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9NX7
103761.43000000
PA
USD
111518.57000000
0.080419007375
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
EATON CORP
0NZWDMRCE180888QQE14
Eaton Corp
278062AC8
50000.00000000
PA
USD
52590.96000000
0.037924740248
Long
DBT
CORP
US
N
2
2022-11-02
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XAD6
112123.89000000
PA
USD
98714.92000000
0.071185954765
Long
ABS-MBS
CORP
US
N
2
2024-01-25
Floating
4.58450000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
-12.55000000
-0.00000905013
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-12569.03000000
USD
179711974.00000000
IDR
2020-07-16
-12.55000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8W35
115437.31000000
PA
USD
123940.24000000
0.089376604045
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.50000000
N
N
N
N
N
N
UFC HOLDINGS LLC
549300JEOTH7UMZ3C491
UFC Holdings LLC
90266UAF0
79587.63000000
PA
USD
75558.51000000
0.054487251521
Long
LON
CORP
US
N
2
2026-04-29
Floating
4.25000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAT8
60000.00000000
PA
USD
63300.00000000
0.045647313867
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.62500000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BQ4
30000.00000000
PA
USD
35073.41000000
0.025292368952
Long
DBT
CORP
NL
N
2
2046-05-10
Fixed
4.00000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFN9
30000.00000000
PA
USD
33328.09000000
0.024033772272
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBSL3
174038.44000000
PA
USD
184490.10000000
0.133040718802
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.50000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818EY0
30000.00000000
PA
USD
35618.99000000
0.025685801203
Long
DBT
CORP
US
N
2
2028-09-10
Fixed
3.95000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFF6
50000.00000000
PA
USD
58418.48000000
0.042127119940
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.80000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CT0
170000.00000000
PA
USD
185266.62000000
0.133600688030
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.87500000
N
N
N
N
N
N
OHA Loan Funding Ltd
25490072LQI0R2J4XC93
OHA Loan Funding 2015-1 Ltd
67109BCW2
250000.00000000
PA
USD
248238.00000000
0.179011025274
Long
ABS-CBDO
CORP
KY
N
2
2032-11-15
Floating
4.39238000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BY9
290000.00000000
PA
USD
331831.62000000
0.239292608362
Long
DBT
CORP
US
N
2
2027-02-06
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JGKQ7
194373.59000000
PA
USD
211040.44000000
0.152186875251
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBM3
100000.00000000
PA
USD
110743.04000000
0.079859752062
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.45200000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
5304.90000000
0.003825504507
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-174465.68000000
USD
160000.00000000
EUR
2020-07-16
5304.90000000
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFQ2
40000.00000000
PA
USD
46017.58000000
0.033184501069
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
3.60000000
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M Co
88579YBJ9
10000.00000000
PA
USD
10807.51000000
0.007793582955
Long
DBT
CORP
US
N
2
2029-08-26
Fixed
2.37500000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114QCH9
40000.00000000
PA
USD
40479.47000000
0.029190822626
Long
DBT
CORP
CA
N
2
2025-06-12
Fixed
1.15000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFP4
10000.00000000
PA
USD
11354.89000000
0.008188313234
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
3.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JG3
30000.00000000
PA
USD
29349.90000000
0.021164993637
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.50000000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAT7
29904.67000000
PA
USD
29063.60000000
0.020958535091
Long
LON
CORP
US
N
2
2022-08-04
Floating
3.17100000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
8656.82000000
0.006242663185
N/A
DFE
CORP
US
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
-1680413.30000000
USD
2300000.00000000
CAD
2020-10-16
8656.82000000
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
24736CBM5
100000.00000000
PA
USD
97900.00000000
0.070598294275
Long
LON
CORP
US
N
2
2023-04-29
Floating
5.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
IRS USD
000000000
1.00000000
NC
USD
-2206.70000000
-0.00159131007
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Y
2027-05-15
0.00000000
USD
-2974.91000000
USD
886000.00000000
USD
768.21000000
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBX0
300000.00000000
PA
USD
312430.39000000
0.225301865309
Long
DBT
CORP
US
N
2
2030-01-31
Fixed
2.80000000
N
N
N
N
N
N
NEW YORK LIFE GLOBAL FDG
635400DPNHEAUHB7ZI15
New York Life Global Funding
64952WDQ3
40000.00000000
PA
USD
40097.33000000
0.028915251307
Long
DBT
CORP
US
N
2
2025-06-24
Fixed
0.95000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDL3
20000.00000000
PA
USD
25565.11000000
0.018435680888
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
4.25000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
67005.85000000
0.048319700883
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-637935.79000000
USD
1023785.00000000
AUD
2020-07-16
67005.85000000
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EY0
60000.00000000
PA
USD
60545.84000000
0.043661215827
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.75000000
N
N
N
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
CDS VOLKSWAGEN INTERNATIONAL
000000000
1.00000000
NC
-4566.76000000
-0.00329321211
N/A
DCR
CORP
FR
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
VOLKSWAGEN INTERNATIONAL FINANCE NV
VOLKSWAGEN INTERNATIONAL FINANCE NV
Y
Default Event
2024-12-20
6733.67000000
USD
0.00000000
USD
-530000.00000000
EUR
-11369.48000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VES9
30000.00000000
PA
USD
35456.93000000
0.025568935426
Long
DBT
CORP
US
N
2
2029-02-08
Fixed
3.87500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
-1851.27000000
-0.00133500004
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-41906.06000000
USD
220094.00000000
BRL
2020-07-16
-1851.27000000
N
N
N
Sotera Health Holdings LLC
549300OVT7MBXFLOFU20
SOTERA HEALTH H 11/26 TL
83600VAD3
130000.00000000
PA
USD
126871.94000000
0.091490730903
Long
LON
CORP
US
N
2
2026-12-13
Floating
5.50000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BX0
20000.00000000
PA
USD
19901.56000000
0.014351544325
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
4.25000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-60.76000000
-0.00004381565
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-14810.00000000
EUR
16579.25000000
USD
2020-07-16
-60.76000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
24766.85000000
0.017860034367
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-705910.73000000
USD
995140.00000000
CAD
2020-07-16
24766.85000000
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M Co
88579YBN0
110000.00000000
PA
USD
124533.67000000
0.089804542204
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.05000000
N
N
N
N
N
N
OZLM Ltd
5493002SZMQH8ZTTHX49
OZLM XVIII Ltd
67112GAG3
250000.00000000
PA
USD
218903.25000000
0.157856956704
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
4.06888000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-1638.18000000
-0.00118133517
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-113262.49000000
USD
90330.00000000
GBP
2020-07-16
-1638.18000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-11.28000000
-0.00000813430
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-19939.00000000
CNY
2807.32000000
USD
2020-07-16
-11.28000000
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-882.59000000
-0.00063645912
N/A
DFE
CORP
US
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
-301164.25000000
USD
408966.00000000
CAD
2020-07-16
-882.59000000
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBJ7
30000.00000000
PA
USD
30860.86000000
0.022254587087
Long
DBT
CORP
US
N
2
2039-07-15
Fixed
4.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHQ5
360000.00000000
PA
USD
419160.06000000
0.302267469503
Long
DBT
CORP
US
N
2
2030-02-07
Fixed
3.97400000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CY9
100000.00000000
PA
USD
69000.00000000
0.049757735495
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
4.40000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS USD
000000000
1.00000000
NC
USD
-70318.46000000
-0.05070851207
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Y
2027-02-16
600.98000000
USD
0.00000000
USD
3402000.00000000
USD
-70948.25000000
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AG6
50000.00000000
PA
USD
50000.00000000
0.036056330069
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.37500000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFR0
50000.00000000
PA
USD
60621.51000000
0.043715783477
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.20000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
74977RDH4
250000.00000000
PA
USD
250438.30000000
0.180597720135
Long
DBT
CORP
NL
N
2
2026-06-24
Fixed
1.33900000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAT7
10000.00000000
PA
USD
10512.57000000
0.007580893875
Long
DBT
CORP
US
N
2
2049-04-01
Fixed
5.95000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BZ2
140000.00000000
PA
USD
152109.54000000
0.109690235618
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
2.45000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
IRS BRL
000000000
1.00000000
NC
9895.42000000
0.007135850593
N/A
DIR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
Y
2027-04-01
699.63000000
BRL
0.00000000
BRL
1277000.00000000
BRL
9361.83000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2L6
30000.00000000
PA
USD
36264.78000000
0.026151497551
Long
DBT
CORP
US
N
2
2031-04-04
Fixed
4.47800000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBK1
90000.00000000
PA
USD
93475.67000000
0.067407792219
Long
DBT
CORP
US
N
2
2026-04-22
Fixed
2.08300000
N
N
N
N
N
N
DEUTSCHE BORSE AKTIENGESELLSCHAFT
529900G3SW56SHYNPR95
CDS CDX.NA.HY.34.V1
000000000
1.00000000
NC
USD
-21165.55000000
-0.01526304113
N/A
DCR
CORP
DE
N
2
DEUTSCHE BORSE AKTIENGESELLSCHAFT
529900G3SW56SHYNPR95
IHS MARKIT LTD
CDX.NA.HY.34.V1
Y
Default Event
2025-06-20
0.00000000
USD
-126836.31000000
USD
-3657500.00000000
USD
105670.76000000
N
N
N
L3HARRIS TECH INC
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
413875AS4
50000.00000000
PA
USD
63748.39000000
0.045970659824
Long
DBT
CORP
US
N
2
2035-04-27
Fixed
4.85400000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2005-7
45254NQX8
258161.52000000
PA
USD
224085.72000000
0.161594173682
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
0.70450000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LW9
50000.00000000
PA
USD
57043.69000000
0.041135722300
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
4.07500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KHSY3
295147.62000000
PA
USD
311934.59000000
0.224944330740
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
3.00000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
53520000.00000000
PA
879551.58000000
0.634268041627
Long
DBT
NUSS
RU
N
2
2039-03-16
Fixed
7.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9W90
878392.24000000
PA
USD
936189.59000000
0.675111217287
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAD4
60000.00000000
PA
USD
66836.92000000
0.048197880966
Long
DBT
CORP
US
N
2
2025-12-14
Fixed
3.15000000
N
N
N
N
N
N
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
430000.00000000
NC
USD
119.49000000
0.000086167417
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2020-08-19
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
1.91250000
USD
2020-08-19
XXXX
-9125.51000000
N
N
N
Golden Nugget LLC
91D14OD6M4H1RVBN7R43
GOLDEN NUGGE FRN 10/23 TL
51508PAG9
15000.54000000
PA
USD
12180.44000000
0.008783639300
Long
LON
CORP
US
N
2
2023-10-04
Floating
4.16630000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468G7
50000.00000000
PA
USD
59571.38000000
0.042958506799
Long
DBT
CORP
US
N
2
2030-01-23
Fixed
4.43100000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2510.77000000
-0.00181058303
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-3996164.00000000
CNY
561890.33000000
USD
2020-07-16
-2510.77000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
-10417.02000000
-0.00751199022
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
-637933.12000000
USD
14533264.80000000
MXN
2020-07-16
-10417.02000000
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAQ6
100000.00000000
PA
USD
99325.32000000
0.071626130442
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.75000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - PHP
000000000
1.00000000
NC
USD
4761.65000000
0.003433752481
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-238501.78000000
USD
12130000.00000000
PHP
2020-07-16
4761.65000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-1.00000000
NC
USD
-453.12000000
-0.00032675688
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
1000.00000000
175.00000000
USD
2020-07-24
XXXX
1170.15000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
-3360.99000000
-0.00242369929
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
-103444.03000000
USD
2317922.00000000
MXN
2020-07-16
-3360.99000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-64.00000000
NC
USD
-2400.00000000
-0.00173070384
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Written
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
90 DAY EURO DOLLAR TIME DEPOSIT
90 DAY EURO DOLLAR TIME DEPOSIT
2020-09-14
0.00000000
USD
2500.00000000
99.62500000
USD
2020-09-14
XXXX
4440.60000000
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBT9
130000.00000000
PA
USD
148180.32000000
0.106856770553
Long
DBT
CORP
US
N
2
2028-10-16
Fixed
4.15000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CD8
140000.00000000
PA
USD
184687.28000000
0.133182910545
Long
DBT
CORP
US
N
2
2049-10-26
Fixed
4.25000000
N
N
N
N
N
N
ARES CLO Ltd
549300VFCO6SQG8OL714
ARES XLV CLO Ltd
04015VAE6
250000.00000000
PA
USD
215949.00000000
0.155726568442
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
7.31888000
N
N
N
N
N
N
Small Business Administration
N/A
United States Small Business Administration
83162CB51
28607.61000000
PA
USD
30431.15000000
0.021944711775
Long
ABS-MBS
USGA
US
N
2
2039-04-01
Fixed
2.98000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAJ9
110000.00000000
PA
USD
122790.77000000
0.088547690651
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.87500000
N
N
N
N
N
N
Wellfleet CLO Ltd
254900TEETF3L54VTH19
Wellfleet CLO 2017-3 Ltd
94950HAG0
250000.00000000
PA
USD
212339.50000000
0.153123661974
Long
ABS-CBDO
CORP
KY
N
2
2031-01-17
Floating
3.88488000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2020-1
35563PPH6
640000.00000000
PA
USD
567386.50000000
0.409157498416
Long
ABS-MBS
CORP
US
N
2
2059-08-25
Variable
4.25000000
N
N
N
N
N
N
522 Funding CLO LTD
549300HKB0UTKU91DG08
522 Funding Clo I Ltd
33830NAA4
250000.00000000
PA
USD
220316.00000000
0.158875728310
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
8.88885000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BG8
50000.00000000
PA
USD
51250.00000000
0.036957738320
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.87500000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAH2
10000.00000000
PA
USD
10293.73000000
0.007423082530
Long
DBT
CORP
US
N
2
2025-05-31
Fixed
5.37500000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AK9
40000.00000000
PA
USD
44482.64000000
0.032077615003
Long
DBT
CORP
US
N
2
2030-03-27
Fixed
2.85000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCN7
10000.00000000
PA
USD
12427.50000000
0.008961800838
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
4.75000000
N
N
N
N
N
N
MCAFEE LLC
549300713UKUTLV9T378
McAfee LLC
57906PAG4
129343.43000000
PA
USD
125463.13000000
0.090474800535
Long
LON
CORP
US
N
2
2024-09-29
Floating
4.29090000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-81
12668BBN2
205198.55000000
PA
USD
176509.35000000
0.127285587678
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
0.46450000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDC5
30000.00000000
PA
USD
37494.47000000
0.027038259721
Long
DBT
CORP
US
N
2
2046-08-15
Fixed
4.12500000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FQ3Y7
495356.69000000
PA
USD
531796.66000000
0.383492718053
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Fixed
2.19000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD
46591JAL0
400000.00000000
PA
USD
369076.56000000
0.266150925363
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Floating
2.03475000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZX9
250000.00000000
PA
USD
258067.02000000
0.186098993061
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
7.00000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
-4010.85000000
-0.00289233062
N/A
DFE
CORP
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
-281499.78000000
USD
6426640.00000000
MXN
2020-07-16
-4010.85000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468L6
100000.00000000
PA
USD
105928.60000000
0.076387931307
Long
DBT
CORP
US
N
2
2031-01-22
Fixed
2.69900000
N
N
N
N
N
N
CONCHO RESOURCES INC
SYHS7HRDXLL4I0IQ8776
Concho Resources Inc
20605PAG6
90000.00000000
PA
USD
92888.07000000
0.066984058228
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.37500000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-3406.17000000
-0.00245627979
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-340476.00000000
USD
300000.00000000
EUR
2020-07-16
-3406.17000000
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBC2
10000.00000000
PA
USD
10869.23000000
0.007838090889
Long
DBT
CORP
US
N
2
2023-11-14
Fixed
3.75000000
N
N
N
N
N
N
GS Mortgage Securities Corp Trust 2020-DUNE
N/A
GSMS 2020-DUNE A 12/36
36258BAA6
280000.00000000
PA
USD
260849.15000000
0.188105261013
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.28475000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
310000.00000000
PA
58600.69000000
0.042258516418
Long
DBT
NUSS
BR
N
2
2021-01-01
Fixed
10.00000000
N
N
N
N
N
N
FOCUS FINANCIAL PARTNERS LLC
5493007L0E0VKRC2CP39
Focus Financial Partners LLC
34416DAT5
59847.72000000
PA
USD
57154.57000000
0.041215680817
Long
LON
CORP
US
N
2
2024-07-03
Floating
2.17830000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BCW4
71382.63400000
PA
USD
77177.87000000
0.055655015095
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XJ70
282043.76000000
PA
USD
277174.05000000
0.199877580668
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
2.33450000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
14143.70000000
0.010199398311
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-397645.23000000
USD
366501.74000000
EUR
2020-07-16
14143.70000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-16013.42000000
-0.01154770314
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-470000.00000000
EUR
512062.65000000
USD
2020-07-16
-16013.42000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022671
700000.00000000
PA
USD
736859.38000000
0.531368900397
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Fixed
2.50000000
N
N
N
N
N
N
GUARDIAN LIFE GLOB FUND
635400NHILJ5JEKILC36
Guardian Life Global Funding
40139LAG8
20000.00000000
PA
USD
20072.88000000
0.014475087734
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
1.10000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBK0
200000.00000000
PA
USD
227042.84000000
0.163726631577
Long
DBT
CORP
GB
N
2
2030-06-20
Fixed
5.08800000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F040677
700000.00000000
PA
USD
741794.92000000
0.534928049583
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
4.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-50810.26000000
-0.03664063010
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2026-11-15
0.00000000
USD
-2413.50000000
USD
638000.00000000
USD
-48396.76000000
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
000000000
82345.08000000
PA
USD
79806.13000000
0.057550323296
Long
LON
CORP
CA
N
2
2025-05-31
Floating
4.00000000
N
N
N
N
N
N
REPUBLIC SERVICES INC
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759AU4
10000.00000000
PA
USD
10637.13000000
0.007670717405
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.50000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BC8
60000.00000000
PA
USD
45619.54000000
0.032897463836
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
4.25000000
N
N
N
N
N
N
DEERFIELD DAKOTA 03/27 TL
549300FDREJLOIGXY104
DEERFIELD DAKOTA 03/27 TL
24440EAB3
110000.00000000
PA
USD
106562.50000000
0.076845053459
Long
LON
CORP
US
N
2
2027-04-09
Floating
4.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
-1520000.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2020-08-03
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
1.60000000
USD
2020-08-03
XXXX
7001.21000000
N
N
N
INTL LEASE FINANCE CORP
N/A
International Lease Finance Corp
459745GN9
150000.00000000
PA
USD
157820.78000000
0.113808762709
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.87500000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GAT9
50000.00000000
PA
USD
54948.10000000
0.039624536605
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.04300000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAW6
130000.00000000
PA
USD
132555.57000000
0.095589347688
Long
DBT
CORP
US
N
2
2022-04-10
Fixed
3.45000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFF6
10000.00000000
PA
USD
11093.39000000
0.007999738628
Long
DBT
CORP
US
N
2
2027-03-22
Fixed
3.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MD0
240000.00000000
PA
USD
314135.59000000
0.226531530390
Long
DBT
CORP
US
N
2
2048-07-23
Fixed
4.65000000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-2018.29000000
-0.00145544260
N/A
DFE
CORP
US
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
-227110.22000000
USD
306562.00000000
CAD
2020-07-16
-2018.29000000
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AH6
160000.00000000
PA
USD
208264.76000000
0.150185258566
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
7.85000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BY8
30000.00000000
PA
USD
29670.13000000
0.021395920009
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
4.35000000
N
N
N
N
N
N
NOBLE ENERGY INC
02VFQXG2D1LR5ZH3K186
Noble Energy Inc
655044AP0
80000.00000000
PA
USD
77292.24000000
0.055737490344
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.85000000
N
N
N
N
N
N
ZIGGO BV
213800TQASLF9JXH5J59
Ziggo BV
000000000
250000.00000000
PA
USD
235625.00000000
0.169915455451
Long
LON
CORP
US
N
2
2028-04-30
Floating
2.69390000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-13.00000000
NC
USD
-5890.63000000
-0.00424788999
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
1000.00000000
175.00000000
USD
2020-07-24
XXXX
15149.39000000
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KHNK8
194105.15000000
PA
USD
207185.72000000
0.149407134118
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
-13.80000000
-0.00000995154
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-37306.34000000
USD
533741794.00000000
IDR
2020-07-16
-13.80000000
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZU5
50000.00000000
PA
USD
40550.77000000
0.029242238953
Long
DBT
CORP
US
N
2
2024-10-28
Fixed
2.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9HZ9
69708.46000000
PA
USD
76527.97000000
0.055186354916
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-8610.32000000
-0.00620913079
N/A
DFE
CORP
US
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
-2300000.00000000
CAD
1680155.52000000
USD
2020-07-16
-8610.32000000
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AN1
140000.00000000
PA
USD
130902.80000000
0.094397491275
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.80000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141EC23
200000.00000000
PA
USD
220515.39000000
0.159019513743
Long
DBT
CORP
US
N
2
2024-07-08
Fixed
3.85000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAM8
250000.00000000
PA
USD
271117.41000000
0.195509976449
Long
DBT
CORP
US
N
2
2045-07-15
Fixed
5.20000000
N
N
N
N
N
N
CITYCENTER HOLDINGS LLC
54930012KUDSU3GT0X08
CityCenter Holdings LLC
17875LAL3
19923.08000000
PA
USD
18063.60000000
0.013026142476
Long
LON
CORP
US
N
2
2024-04-18
Floating
3.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2A0
100000.00000000
PA
USD
110987.46000000
0.080036009826
Long
DBT
CORP
US
N
2
2028-05-22
Fixed
3.58400000
N
N
N
N
N
N
WELLS FARGO SECURITIES, LLC
VYVVCKR63DVZZN70PB21
CDS CDX.NA.HY.34.V1
000000000
1.00000000
NC
USD
13279.90000000
0.009576489153
N/A
DCR
CORP
US
N
2
WELLS FARGO SECURITIES, LLC
VYVVCKR63DVZZN70PB21
IHS MARKIT LTD
CDX.NA.HY.34.V1
Y
Default Event
2025-06-20
15063.89000000
USD
0.00000000
USD
-1115000.00000000
USD
-1783.99000000
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZP6
10000.00000000
PA
USD
8932.50000000
0.006441463366
Long
DBT
CORP
US
N
2
2023-04-19
Fixed
3.80000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JF5
20000.00000000
PA
USD
19793.00000000
0.014273258821
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
2.10000000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAJ4
130000.00000000
PA
USD
173813.80000000
0.125341754867
Long
DBT
CORP
US
N
2
2039-01-25
Fixed
5.47600000
N
N
N
N
N
N
DIAGEO INVESTMENT CORP
S4G8DPIPDVCF6CB81Z61
Diageo Investment Corp
25245BAB3
50000.00000000
PA
USD
52172.75000000
0.037623157892
Long
DBT
CORP
US
N
2
2022-05-11
Fixed
2.87500000
N
N
N
N
N
N
DEERE & COMPANY
PWFTNG3EI0Y73OXWDH08
Deere & Co
244199BJ3
10000.00000000
PA
USD
11338.49000000
0.008176486758
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.10000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RE0
84000.00000000
PA
USD
122958.28000000
0.088668486568
Long
DBT
UST
US
N
2
2044-02-15
Fixed
3.62500000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AF4
30000.00000000
PA
USD
31500.00000000
0.022715487943
Long
DBT
CORP
CA
N
2
2029-05-30
Fixed
7.25000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZW3
60000.00000000
PA
USD
59882.81000000
0.043183087256
Long
DBT
UST
US
N
2
2025-06-30
Fixed
0.25000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
IRS USD
000000000
1.00000000
NC
USD
87796.78000000
0.063312593573
N/A
DIR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Y
2027-03-24
26097.99000000
USD
0.00000000
USD
3680000.00000000
USD
60645.80000000
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AJ9
100000.00000000
PA
USD
126710.67000000
0.091374434816
Long
DBT
CORP
US
N
2
2038-08-15
Fixed
4.80000000
N
N
N
N
N
N
T-Mobile USA Inc
549300V2JRLO5DIFGE82
T-MOBILE USA INC 4/27 TL
87265VAF5
50000.00000000
PA
USD
49925.00000000
0.036002245574
Long
LON
CORP
US
N
2
2027-04-01
Floating
3.30340000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJB6
60000.00000000
PA
USD
63488.74000000
0.045783419302
Long
DBT
CORP
US
N
2
2031-04-29
Fixed
2.59200000
N
N
N
N
N
N
Tharaldson Hotel Portfolio Tru
N/A
Tharaldson Hotel Portfolio Trust 2018-THPT
88327HAL7
243024.08000000
PA
USD
207472.69000000
0.149614075819
Long
ABS-MBS
CORP
US
N
2
2034-11-11
Floating
2.17525000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBG6
10000.00000000
PA
USD
12472.50000000
0.008994251535
Long
DBT
CORP
US
N
2
2050-03-19
Fixed
4.32700000
N
N
N
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CU2
50000.00000000
PA
USD
51445.03000000
0.037098379642
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
1.45000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR10
45660LKW8
268458.15000000
PA
USD
232948.76000000
0.167985547595
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
0.44450000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BK7
90000.00000000
PA
USD
97479.66000000
0.070295175919
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.12500000
N
N
N
N
N
N
Allegany Park CLO, Ltd.
N/A
Allegany Park CLO Ltd
017154AG0
250000.00000000
PA
USD
246587.50000000
0.177820805818
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
4.38352000
N
N
N
N
N
N
HANESBRANDS INC
GX5LWVWZLL5S4W1L2F20
Hanesbrands Inc
410345AN2
40000.00000000
PA
USD
40450.00000000
0.029169571025
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
5.37500000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAL3
10000.00000000
PA
USD
10005.78000000
0.007215434125
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
2.87500000
N
N
N
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CP3
10000.00000000
PA
USD
12696.77000000
0.009155978598
Long
DBT
CORP
US
N
2
2040-03-25
Fixed
4.12500000
N
N
N
N
N
N
BLUE RACER MID LLC/FINAN
N/A
Blue Racer Midstream LLC / Blue Racer Finance Corp
095796AA6
10000.00000000
PA
USD
9950.00000000
0.007175209683
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
6.12500000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397VU4
200000.00000000
PA
USD
201940.00000000
0.145624305883
Long
DBT
CORP
US
N
2
2021-08-02
Fixed
5.87500000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78013XKG2
50000.00000000
PA
USD
51198.50000000
0.036920600300
Long
DBT
CORP
CA
N
2
2021-04-30
Fixed
3.20000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DU8
20000.00000000
PA
USD
24535.86000000
0.017693461333
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.50000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDG3
30000.00000000
PA
USD
34260.16000000
0.024705912743
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.40000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CA8
40000.00000000
PA
USD
43823.73000000
0.031602457474
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
2.50000000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBK5
130000.00000000
PA
USD
154609.67000000
0.111493145868
Long
DBT
CORP
GB
N
2
2028-05-30
Fixed
4.37500000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAA2
120000.00000000
PA
USD
120521.10000000
0.086910971238
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.72200000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MQ1
180000.00000000
PA
USD
193603.53000000
0.139612655604
Long
DBT
CORP
US
N
2
2026-04-08
Fixed
3.10600000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2019-RPL9 Trust
12654WAC7
243343.81000000
PA
USD
250085.55000000
0.180343342726
Long
ABS-MBS
CORP
US
N
2
2059-10-27
Variable
3.09183900
N
N
N
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
CDS DAIMLER AG
000000000
1.00000000
NC
-1318.82000000
-0.00095103618
N/A
DCR
CORP
FR
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
DAIMLER AG
DAIMLER AG
Y
Default Event
2024-12-20
0.00000000
USD
-11784.58000000
USD
530000.00000000
EUR
12038.77000000
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAG8
30000.00000000
PA
USD
31012.39000000
0.022363859401
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.65000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RCN0
225000.00000000
PA
USD
247265.79000000
0.178309938781
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.40000000
N
N
N
N
N
N
DUKE ENERGY OHIO INC
L6KC0HABGHNFU1Z6QY21
Duke Energy Ohio Inc
26442EAF7
100000.00000000
PA
USD
115562.90000000
0.083335481323
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
3.65000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RF7
470000.00000000
PA
USD
705043.63000000
0.508425716729
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.37500000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAN9
10000.00000000
PA
USD
9685.70000000
0.006984615923
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.50000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BZ0
50000.00000000
PA
USD
54087.10000000
0.039003646601
Long
DBT
CORP
US
N
2
2024-07-26
Fixed
2.90000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KHK62
127299.56000000
PA
USD
134422.32000000
0.096935510771
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CN8
190000.00000000
PA
USD
209099.80000000
0.150787428124
Long
DBT
CORP
US
N
2
2025-03-25
Fixed
2.95000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AH7
10000.00000000
PA
USD
9350.00000000
0.006742533722
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.50000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBB0
180000.00000000
PA
USD
194011.17000000
0.139906615652
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.55700000
N
N
N
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Walmart Inc
931142EE9
70000.00000000
PA
USD
82890.93000000
0.059774854636
Long
DBT
CORP
US
N
2
2028-06-26
Fixed
3.70000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300AGZIS1CJS4RM30
Wells Fargo Commercial Mortgage Trust 2018-C44
95001JAX5
500000.00000000
PA
USD
583396.95000000
0.420703059811
Long
ABS-MBS
CORP
US
N
2
2051-05-15
Fixed
4.21200000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AN8
50000.00000000
PA
USD
53589.11000000
0.038644532765
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
4.00000000
N
N
N
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBH1
30000.00000000
PA
USD
30739.49000000
0.022167063951
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBH4
120000.00000000
PA
USD
130294.18000000
0.093958599203
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.99200000
N
N
N
N
N
N
GENESEE & WYOMING INC
G617XSG94Z7G0RMW3L02
Genesee & Wyoming Inc
55316HAB1
90000.00000000
PA
USD
86580.00000000
0.062435141147
Long
LON
CORP
US
N
2
2026-12-30
Floating
2.17100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HTWQ8
9864.10000000
PA
USD
11282.67000000
0.008136233471
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.16000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBF9
200000.00000000
PA
USD
262318.49000000
0.189164841173
Long
DBT
CORP
US
N
2
2049-02-14
Fixed
5.95000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CD2
90000.00000000
PA
USD
102828.31000000
0.074152229716
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.35000000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YAY1
150000.00000000
PA
USD
149695.72000000
0.107949565805
Long
DBT
CORP
US
N
2
2026-02-24
Fixed
0.75000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CA4
20000.00000000
PA
USD
22443.46000000
0.016184576033
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EP9
20000.00000000
PA
USD
21654.62000000
0.015615722524
Long
DBT
CORP
US
N
2
2049-10-15
Fixed
2.87500000
N
N
N
N
N
N
TJX COS INC
V167QI9I69W364E2DY52
TJX Cos Inc/The
872540AS8
10000.00000000
PA
USD
11420.93000000
0.008235936435
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032670
600000.00000000
PA
USD
633117.19000000
0.456557647502
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Fixed
3.50000000
N
N
N
N
N
N
SENSATA TECH INC
N/A
Sensata Technologies Inc
81728UAA2
40000.00000000
PA
USD
39600.00000000
0.028556613414
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.37500000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAF0
10000.00000000
PA
USD
10738.94000000
0.007744135304
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.95000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CC7
70000.00000000
PA
USD
67039.00000000
0.048343606230
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
3.12500000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CG2
200000.00000000
PA
USD
202064.58000000
0.145714143835
Long
DBT
CORP
GB
N
2
2026-06-04
Fixed
2.09900000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAF7
130000.00000000
PA
USD
131679.60000000
0.094957662419
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
6.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEA8
240000.00000000
PA
USD
298956.20000000
0.215585268468
Long
DBT
CORP
US
N
2
2033-08-10
Fixed
4.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGL8
40000.00000000
PA
USD
45919.18000000
0.033113542211
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
4.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UGD8
182703.75000000
PA
USD
195365.35000000
0.140883150873
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
4.50000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAV5
30000.00000000
PA
USD
29961.69000000
0.021606171681
Long
DBT
CORP
US
N
2
2046-09-16
Fixed
3.87500000
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
Aramark Services Inc
03852JAR2
80000.00000000
PA
USD
75066.64000000
0.054132550980
Long
LON
CORP
US
N
2
2027-01-15
Floating
1.94390000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
6941000000.00000000
PA
485894.29000000
0.350391297979
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BH1
100000.00000000
PA
USD
114964.38000000
0.082903872629
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.55000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR8
92922FR75
70004.40000000
PA
USD
64895.24000000
0.046797683867
Long
ABS-MBS
CORP
US
N
2
2045-07-25
Floating
0.76450000
N
N
N
N
N
N
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-303.21000000
-0.00021865279
N/A
DFE
CORP
US
N
2
BNP PARIBAS (SUISSE) SA
QHSFEYI7HUOXXZ413E03
-75892.37000000
USD
102948.00000000
CAD
2020-07-16
-303.21000000
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FH6
70000.00000000
PA
USD
74574.58000000
0.053777713425
Long
DBT
CORP
US
N
2
2030-02-05
Fixed
2.40000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582CH3
90000.00000000
PA
USD
95695.57000000
0.069008621161
Long
DBT
CORP
NL
N
2
2050-04-06
Fixed
3.25000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468P7
160000.00000000
PA
USD
182779.82000000
0.131807390398
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.62200000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
Elanco Animal Health Inc
000000000
120000.00000000
PA
USD
114350.04000000
0.082460855713
Long
LON
CORP
US
N
2
2027-02-04
Floating
1.94010000
N
N
N
N
N
N
VOC ESCROW LTD
N/A
VOC Escrow Ltd
91832VAA2
40000.00000000
PA
USD
29700.00000000
0.021417460061
Long
DBT
CORP
BM
N
2
2028-02-15
Fixed
5.00000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBK7
50000.00000000
PA
USD
56903.08000000
0.041034324688
Long
DBT
CORP
US
N
2
2030-03-19
Fixed
3.48200000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DK3
10000.00000000
PA
USD
11804.29000000
0.008512387529
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.12500000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBV9
80000.00000000
PA
USD
106655.14000000
0.076911858628
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
5.55000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A5KC8
98178.35000000
PA
USD
105540.09000000
0.076107766411
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50076QAE6
20000.00000000
PA
USD
21072.12000000
0.015195666279
Long
DBT
CORP
US
N
2
2042-06-04
Fixed
5.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
255.00000000
NC
USD
83394.25000000
0.060137812077
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-09-30
31980863.69000000
USD
83394.25000000
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BE4
80000.00000000
PA
USD
70644.85000000
0.050943880585
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HJK42
58110.85000000
PA
USD
62433.16000000
0.045022212484
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RDC4
533837.21000000
PA
USD
564921.54000000
0.407379950188
Long
ABS-MBS
USGA
US
N
2
2057-03-16
Fixed
2.85000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBN1
20000.00000000
PA
USD
20950.00000000
0.015107602298
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.87500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967ME8
200000.00000000
PA
USD
229834.04000000
0.165739440147
Long
DBT
CORP
US
N
2
2030-03-20
Fixed
3.98000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - CNH
000000000
1.00000000
NC
USD
-1.59000000
-0.00000114659
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-2820.19000000
USD
19939.00000000
CNY
2020-07-16
-1.59000000
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAW0
109443.03000000
PA
USD
105475.72000000
0.076061347492
Long
LON
CORP
US
N
2
2024-11-03
Floating
3.17100000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAP8
70000.00000000
PA
USD
71514.40000000
0.051570936222
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.90000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CY9
230000.00000000
PA
USD
256456.89000000
0.184937885487
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.15000000
N
N
N
N
N
N
Reynolds Consumer Products LLC
549300DWNZYMOSR1X343
REYNOLDS CONSUME 2/27 TL
76171JAB7
100000.00000000
PA
USD
95964.30000000
0.069202409513
Long
LON
CORP
US
N
2
2027-02-04
Floating
1.92100000
N
N
N
N
N
N
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
90000.00000000
NC
USD
3.00000000
0.000002163379
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2020-07-30
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
1.88000000
USD
2020-07-30
XXXX
-2438.25000000
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BL3
20000.00000000
PA
USD
26399.34000000
0.019037266332
Long
DBT
CORP
US
N
2
2040-03-25
Fixed
4.60000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2019-IMC
05608BAQ3
300000.00000000
PA
USD
248910.39000000
0.179495903589
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
3.08475000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AH0
120000.00000000
PA
USD
116555.56000000
0.084051314855
Long
DBT
CORP
US
N
2
2025-06-25
Fixed
2.90000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABE4
210000.00000000
PA
USD
233721.60000000
0.168542863078
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BN7
50000.00000000
PA
USD
56879.55000000
0.041017356579
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.87500000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AG5
100000.00000000
PA
USD
114952.68000000
0.082895435448
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.12500000
N
N
N
N
N
N
U.S. FOODSERVICE
5493000JOOFAOUY1JZ87
US Foods Inc
90351HAB4
40000.00000000
PA
USD
37000.00000000
0.026681684251
Long
LON
CORP
US
N
2
2023-06-27
Floating
1.92830000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K1AQ9
270016.23000000
PA
USD
288576.63000000
0.208100284430
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BN1
150000.00000000
PA
USD
167749.85000000
0.120968879213
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.25000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCZ2
40000.00000000
PA
USD
45886.19000000
0.033089752245
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JA4J4
49905.68000000
PA
USD
55915.13000000
0.040321887662
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
2.79000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAV2
30000.00000000
PA
USD
33710.54000000
0.024309567141
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.12500000
N
N
N
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281AAS8
70000.00000000
PA
USD
52850.00000000
0.038111540883
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.87500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-370986.22000000
-0.26752803198
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2044-11-15
0.00000000
USD
-68446.36000000
USD
1716000.00000000
USD
-302857.02000000
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833DT4
100000.00000000
PA
USD
102109.35000000
0.073633768535
Long
DBT
CORP
US
N
2
2025-05-11
Fixed
1.12500000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAF9
80000.00000000
PA
USD
105633.85000000
0.076175379241
Long
DBT
CORP
US
N
2
2045-12-14
Fixed
4.30000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-29066.77000000
-0.02096082106
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-958000.00000000
EUR
1047309.55000000
USD
2020-07-16
-29066.77000000
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F032674
1500000.00000000
PA
USD
1577636.72000000
1.137675806112
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.50000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDH1
10000.00000000
PA
USD
11708.90000000
0.008443599262
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.75000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
240000.00000000
PA
3738.72000000
0.002696090447
Long
DBT
NUSS
RU
N
2
2034-05-10
Fixed
7.25000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBL5
10000.00000000
PA
USD
10263.16000000
0.007401037690
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
1.57100000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAP6
100000.00000000
PA
USD
113331.28000000
0.081726200776
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.30000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFD1
30000.00000000
PA
USD
38371.75000000
0.027670889666
Long
DBT
CORP
US
N
2
2050-03-22
Fixed
4.00000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BQ8
50000.00000000
PA
USD
50437.38000000
0.036371736422
Long
DBT
CORP
US
N
2
2025-06-03
Fixed
0.80000000
N
N
N
N
N
N
CIMAREX ENERGY CO
11KYOFXPU1C4CQL1CL44
Cimarex Energy Co
171798AE1
90000.00000000
PA
USD
92503.06000000
0.066706417275
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378KJP5
16996206.50000000
PA
USD
216259.73000000
0.155950644111
Long
ABS-MBS
USGA
US
N
2
2048-10-16
Variable
0.18871000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AD9
10000.00000000
PA
USD
9177.51000000
0.006618146595
Long
DBT
CORP
US
N
2
2023-01-13
Floating
2.16138000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300V1P5RKG8RJI005
SMB Private Education Loan Trust 2018-C
78449QAB3
116589.96000000
PA
USD
122150.97000000
0.088086313851
Long
ABS-O
CORP
US
N
2
2035-11-15
Fixed
3.63000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAK0
145000.00000000
PA
USD
144575.35000000
0.104257130789
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.70000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-13.00000000
NC
USD
-13812.50000000
-0.00996056118
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
1000.00000000
180.00000000
USD
2020-07-24
XXXX
6446.27000000
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BS4
70000.00000000
PA
USD
70847.12000000
0.051089742863
Long
DBT
CORP
US
N
2
2030-06-03
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCQ90
97396.32000000
PA
USD
102876.11000000
0.074186699567
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
2020-08-20
Legg Mason ETF Investment Trust
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer