0001752724-22-038900.txt : 20220222
0001752724-22-038900.hdr.sgml : 20220222
20220222151342
ACCESSION NUMBER: 0001752724-22-038900
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20211231
FILED AS OF DATE: 20220222
PERIOD START: 20211231
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: 22657708
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
47thFloor
New York
10018
1-877-721-1926
Western Asset Total Return ETF
S000059365
549300IW55ZZ0YDJ0R05
2021-12-31
2021-12-31
N
162572259.00
38009420.17
124562838.83
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
2127902.37000000
0.00000000
3574556.32000000
AUD
BRL
CAD
EUR
GBP
IDR
JPY
MXN
RUB
USD
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132WN2H4
182191.99000000
PA
USD
195765.79000000
0.157162273948
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BSJ6
24710.93000000
PA
USD
26082.27000000
0.020939045902
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
3.00000000
N
N
N
N
N
N
HalseyPoint CLO 3, Ltd.
N/A
HalseyPoint CLO 3 Ltd
40638UAA7
250000.00000000
PA
USD
250432.06000000
0.201048773737
Long
ABS-CBDO
CORP
KY
N
2
2032-11-30
Floating
1.57850000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BH9
200000.00000000
PA
USD
197500.00000000
0.158554511004
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
4.50000000
N
N
N
N
N
N
Air Canada
4B4HI3CGXMBDC0G6BM51
AIR CANADA 07/27/28
000000000
40000.00000000
PA
USD
39835.60000000
0.031980324448
Long
LON
CORP
CA
N
2
2028-08-11
Floating
4.25000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBG6
10000.00000000
PA
USD
10536.98000000
0.008459168158
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.00000000
N
N
N
N
N
N
Cold Storage Trust
N/A
Cold Storage Trust 2020-ICE5
193051AA7
501325.17000000
PA
USD
500871.27000000
0.402103287549
Long
ABS-MBS
CORP
US
N
2
2037-11-15
Floating
1.00975000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2017-C41
95001ABH8
70000.00000000
PA
USD
74335.39000000
0.059677019806
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
4.18800000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABD6
10000.00000000
PA
USD
10829.00000000
0.008693604048
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFR0
60000.00000000
PA
USD
56787.27000000
0.045589254815
Long
DBT
CORP
US
N
2
2031-01-20
Fixed
1.75000000
N
N
N
N
N
N
PARSLEY ENERGY LLC/FINAN
N/A
Parsley Energy LLC / Parsley Finance Corp
701885AJ4
10000.00000000
PA
USD
10062.50000000
0.008078251984
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.12500000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD CALL VERSUS BRL PUT
000000000
-468000.00000000
NC
USD
-247.01000000
-0.00019830151
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Call
Written
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD CALL VERSUS BRL PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
BRL
N/A
USD
2022-01-27
1.00000000
USD
6.22600000
USD
2022-01-26
XXXX
6595.62000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9WD3
304261.17000000
PA
USD
322391.63000000
0.258818467071
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382KQ97
185037.55000000
PA
USD
24484.54000000
0.019656376034
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
Regatta Funding
254900TUAAER6MTE4E64
Regatta XI Funding Ltd
75887XAJ6
250000.00000000
PA
USD
249137.61000000
0.200009579373
Long
ABS-CBDO
CORP
KY
N
2
2031-07-17
Floating
2.97225000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2016-3
64829HAD9
278239.91330000
PA
USD
288200.12000000
0.231369261255
Long
ABS-MBS
CORP
US
N
2
2056-09-25
Variable
3.25000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AQ3
10000.00000000
PA
USD
11639.36000000
0.009344167256
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D5G3
49231.40000000
PA
USD
50316.85000000
0.040394752136
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
2.00000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BW9
10000.00000000
PA
USD
10228.91000000
0.008211847205
Long
DBT
CORP
US
N
2
2051-08-12
Fixed
3.05000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RBA9
10000.00000000
PA
USD
13110.90000000
0.010525530826
Long
DBT
CORP
US
N
2
2041-08-15
Fixed
5.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L1UQ6
93384.11000000
PA
USD
93183.76000000
0.074808635444
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKDF2
95093.50000000
PA
USD
99236.24000000
0.079667612694
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
2.50000000
N
N
N
N
N
N
ADVANTAGE FUTURES LLC
N/A
10 YEAR US TREASURY NOTE WEEK 1
000000000
33.00000000
NC
USD
12890.63000000
0.010348696385
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Put
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
0.00000000
USD
1000.00000000
130.50000000
USD
2022-01-07
XXXX
-2119.59000000
N
N
N
522 Funding CLO LTD
N/A
ASSURANT CLO LTD
33830NAA4
250000.00000000
PA
USD
249431.20000000
0.200245275671
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
7.46375000
N
N
N
N
N
N
SUZANO AUSTRIA G
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAK8
10000.00000000
PA
USD
9675.10000000
0.007767244300
Long
DBT
CORP
AT
N
2
2032-01-15
Fixed
3.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31288QFW5
102410.42000000
PA
USD
105787.79000000
0.084927247157
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Floating
3.09000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
USD CALL VERSUS MXN PUT
000000000
-490000.00000000
NC
USD
-1185.20000000
-0.00095148762
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
USD CALL VERSUS MXN PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
MXN
N/A
USD
2022-02-25
1.00000000
USD
22.38310000
USD
2022-02-24
XXXX
7644.60000000
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAT8
60000.00000000
PA
USD
64707.60000000
0.051947756335
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.62500000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDK4
50000.00000000
PA
USD
53741.19000000
0.043143838487
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.30000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BU7
50000.00000000
PA
USD
49474.61000000
0.039718595421
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.80000000
N
N
N
N
N
N
HalseyPoint CLO I, Ltd.
549300POBLM5RW6LD816
Halsey Point CLO I Ltd
40638CAA7
300000.00000000
PA
USD
294833.37000000
0.236694485104
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
7.83150000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBK1
90000.00000000
PA
USD
91347.18000000
0.073334214969
Long
DBT
CORP
US
N
2
2026-04-22
Fixed
2.08300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCDQ8
252939.83000000
PA
USD
264350.33000000
0.212222467377
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
3.00000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDS8
50000.00000000
PA
USD
52892.20000000
0.042462262819
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
2.87500000
N
N
N
N
N
N
BROOKFIELD WEC HOLDINGS
5493002M6GRSU1IWMG57
Brookfield WEC Holdings Inc
11284EAM5
29250.63000000
PA
USD
29003.75000000
0.023284432397
Long
LON
CORP
US
N
2
2025-08-01
Floating
3.25000000
N
N
N
N
N
N
Wellfleet CLO Ltd
254900TEETF3L54VTH19
Wellfleet CLO 2017-3 Ltd
94950HAG0
250000.00000000
PA
USD
243358.88000000
0.195370370718
Long
ABS-CBDO
CORP
KY
N
2
2031-01-17
Floating
2.87225000
N
N
N
N
N
N
SALESFORCE.COM INC
RCGZFPDMRW58VJ54VR07
salesforce.com Inc
79466LAE4
50000.00000000
PA
USD
51573.30000000
0.041403439809
Long
DBT
CORP
US
N
2
2023-04-11
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XCL6
142915.06000000
PA
USD
148036.95000000
0.118845196039
Long
ABS-MBS
CORP
US
N
2
2028-10-25
Floating
5.40275000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AF7
4000.00000000
PA
USD
4159.64000000
0.003339390815
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2020-DUNE
36258BAA6
280000.00000000
PA
USD
279693.76000000
0.224540290368
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
1.21000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHG7
200000.00000000
PA
USD
218845.35000000
0.175690721290
Long
DBT
CORP
US
N
2
2029-03-05
Fixed
3.97000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2C6
20000.00000000
PA
USD
20999.16000000
0.016858286305
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFU3
265000.00000000
PA
USD
251455.03000000
0.201870021879
Long
DBT
CORP
US
N
2
2050-11-20
Fixed
2.87500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CS2
80000.00000000
PA
USD
82184.00000000
0.065977943961
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.50000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBE4
20000.00000000
PA
USD
20315.70000000
0.016309599388
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
5.25000000
N
N
N
N
N
N
ADVANTAGE FUTURES LLC
N/A
US TREASURY LONG BOND
000000000
-22.00000000
NC
USD
-24406.25000000
-0.01959352422
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
0.00000000
USD
1000.00000000
161.00000000
USD
2022-01-21
XXXX
11415.07000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XB2V1
97599.26000000
PA
USD
97664.70000000
0.078405968358
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.00000000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QDA3
20000.00000000
PA
USD
21298.62000000
0.017098695084
Long
DBT
CORP
GB
N
2
2025-03-17
Fixed
3.50600000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHC6
50000.00000000
PA
USD
51033.48000000
0.040970068183
Long
DBT
CORP
US
N
2
2023-12-20
Fixed
3.00400000
N
N
N
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Walmart Inc
931142ET6
10000.00000000
PA
USD
9899.73000000
0.007947578983
Long
DBT
CORP
US
N
2
2031-09-22
Fixed
1.80000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKJ0
50000.00000000
PA
USD
50444.75000000
0.040497431235
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
3.50000000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZP6
30000.00000000
PA
USD
30672.62000000
0.024624214001
Long
DBT
CORP
US
N
2
2023-04-19
Fixed
3.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6ZK0
355078.68000000
PA
USD
379649.44000000
0.304785474998
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBD6
50000.00000000
PA
USD
45500.00000000
0.036527748104
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.12500000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBL3
80000.00000000
PA
USD
88266.41000000
0.070860949243
Long
DBT
CORP
US
N
2
2030-04-06
Fixed
3.63300000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-861.85000000
-0.00069189977
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-143360.27000000
USD
180000.00000000
CAD
2022-01-18
-861.85000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 MONTH EURODOLLAR
000000000
-24.00000000
NC
USD
5143.93000000
0.004129586358
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-03-14
-5984443.93000000
USD
5143.93000000
N
N
N
ADVANTAGE FUTURES LLC
N/A
US TREASURY LONG BOND
000000000
-22.00000000
NC
USD
-36781.25000000
-0.02952826890
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
0.00000000
USD
1000.00000000
161.00000000
USD
2022-01-21
XXXX
3649.45000000
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AG5
30000.00000000
PA
USD
32808.51000000
0.026338922834
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.12500000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CQ0
30000.00000000
PA
USD
30129.68000000
0.024188337615
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
1.12500000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBF1
80000.00000000
PA
USD
83665.78000000
0.067167528281
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8CP0
87298.98000000
PA
USD
89742.81000000
0.072046214459
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MP3
60000.00000000
PA
USD
68523.58000000
0.055011254274
Long
DBT
CORP
US
N
2
2031-03-31
Fixed
4.41200000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-293597.67000000
-0.23570245569
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-07-01
3116.22000000
USD
0.00000000
USD
6330000.00000000
USD
-297064.99000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6PH8
45341.53000000
PA
USD
46682.73000000
0.037477252797
Long
ABS-MBS
USGSE
US
N
2
2038-03-01
Fixed
2.50000000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WBB1
400000.00000000
PA
USD
415145.44000000
0.333281935366
Long
DBT
CORP
KY
N
2
2041-04-22
Fixed
3.68000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAH6
200000.00000000
PA
USD
211261.91000000
0.169602677639
Long
DBT
CORP
GB
N
2
2024-03-12
Fixed
3.90000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFT6
150000.00000000
PA
USD
142532.58000000
0.114426245691
Long
DBT
CORP
US
N
2
2040-11-20
Fixed
2.65000000
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
114480.43000000
0.091905765054
Long
DBT
CORP
US
N
2
2029-03-30
Fixed
5.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YK2P7
40099.83000000
PA
USD
43038.84000000
0.034551910027
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
3.50000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
74977RDH4
250000.00000000
PA
USD
246407.09000000
0.197817497027
Long
DBT
CORP
NL
N
2
2026-06-24
Fixed
1.33900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RDC4
351018.85000000
PA
USD
357865.54000000
0.287297193417
Long
ABS-MBS
USGA
US
N
2
2057-03-16
Fixed
2.85000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2G7
310000.00000000
PA
USD
322272.37000000
0.258722724230
Long
DBT
CORP
US
N
2
2030-10-30
Fixed
2.87900000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LBF2
10000.00000000
PA
USD
11371.20000000
0.009128886357
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.25000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAP6
110000.00000000
PA
USD
122232.00000000
0.098128784754
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CBT0
51272.81000000
PA
USD
52788.96000000
0.042379380958
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Fixed
2.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-43.00000000
NC
USD
-2418.75000000
-0.00194179100
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 MONTH EURODOLLAR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-03-14
0.00000000
USD
2500.00000000
99.75000000
USD
2022-03-14
XXXX
5015.95000000
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CD9
140000.00000000
PA
USD
141996.44000000
0.113995828397
Long
DBT
CORP
US
N
2
2022-11-02
Fixed
2.50000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513EAD3
170000.00000000
PA
USD
169516.86000000
0.136089432122
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
2.25000000
N
N
N
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281AAS8
70000.00000000
PA
USD
72275.00000000
0.058022922951
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.87500000
N
N
N
N
N
N
NCL CORPORATION LTD
UNZWILHE4KMRP9K2L524
NCL Corp Ltd
62886HBA8
250000.00000000
PA
USD
248892.50000000
0.199812803190
Long
DBT
CORP
BM
N
2
2026-03-15
Fixed
5.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NWU3
73090.24500000
PA
USD
76724.99000000
0.061595408968
Long
ABS-MBS
USGA
US
N
2
2048-06-16
Variable
3.36731000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAF0
10000.00000000
PA
USD
11249.00000000
0.009030783262
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.95000000
N
N
N
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2005-7
45254NQX8
162848.37000000
PA
USD
154281.58000000
0.123858432779
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
0.62188000
N
N
N
N
N
N
Castlelake Aviation One DAC
2138003EQK2PETKID103
CASTLELAKE AVIATI 10/26TL
14855NAB2
119700.00000000
PA
USD
119064.39000000
0.095585803212
Long
LON
CORP
IE
N
2
2026-10-22
Floating
3.25000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CDS VOLKSWAGEN INTERNATIONAL
000000000
1.00000000
NC
11633.36000000
0.009339350410
N/A
DCR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
VOLKSWAGEN INTERNATIONAL FINANCE NV
VOLKSWAGEN INTERNATIONAL FINANCE NV
Y
Default Event
2024-12-20
6733.67000000
USD
0.00000000
USD
-530000.00000000
EUR
4745.54000000
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1932.36000000
0.001551313391
N/A
DFE
CORP
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
-188546.00000000
GBP
257297.79000000
USD
2022-01-18
1932.36000000
N
N
N
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
JPN 10Y BOND(OSE)
000000000
-1.00000000
NC
4595.54000000
0.003689334670
N/A
DIR
CORP
JP
N
1
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
Short
JAPAN (10 YEAR ISSUE)
Japan Government Ten Year Bond
2022-03-14
-1321010.21000000
USD
4595.54000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMWN1
97305.00000000
PA
USD
99916.22000000
0.080213505840
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBG7
4000.00000000
PA
USD
5213.84000000
0.004185710641
Long
DBT
CORP
US
N
2
2059-02-14
Fixed
6.20000000
N
N
N
N
N
N
Caesars Resort Collection LLC
549300V3UCT773B1KR38
CAESARS RESORT C 6/25 TL
12769LAD1
164166.67000000
PA
USD
164125.63000000
0.131761311432
Long
LON
CORP
US
N
2
2025-07-20
Floating
4.60350000
N
N
N
N
N
N
ROCHE HOLDINGS INC
PVJRP0EQNV6OGDPZGY95
Roche Holdings Inc
771196BY7
200000.00000000
PA
USD
196400.85000000
0.157672104975
Long
DBT
CORP
US
N
2
2051-12-13
Fixed
2.60700000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BK7
90000.00000000
PA
USD
94295.11000000
0.075700835727
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.12500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38145GAH3
50000.00000000
PA
USD
53284.95000000
0.042777565524
Long
DBT
CORP
US
N
2
2026-11-16
Fixed
3.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2H6
200000.00000000
PA
USD
232686.59000000
0.186802574656
Long
DBT
CORP
FR
N
2
2030-01-10
Fixed
5.19800000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-28446.25000000
-0.02283686713
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-02-15
530.25000000
USD
0.00000000
USD
1729000.00000000
USD
-29092.40000000
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Walmart Inc
931142ES8
20000.00000000
PA
USD
19876.16000000
0.015956733313
Long
DBT
CORP
US
N
2
2028-09-22
Fixed
1.50000000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBK5
80000.00000000
PA
USD
90014.85000000
0.072264610252
Long
DBT
CORP
GB
N
2
2028-05-30
Fixed
4.37500000
N
N
N
N
N
N
Applebees/IHOP Funding LLC
N/A
Applebee's Funding LLC / IHOP Funding LLC
03789XAD0
297000.00000000
PA
USD
300272.94000000
0.241061413516
Long
ABS-O
CORP
US
N
2
2049-06-05
Fixed
4.19400000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BY9
210000.00000000
PA
USD
228842.07000000
0.183716164587
Long
DBT
CORP
US
N
2
2027-02-06
Fixed
3.30000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KHK39
202903.48000000
PA
USD
215184.18000000
0.172751506003
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.50000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MEY6
10000.00000000
PA
USD
10758.78000000
0.008637230895
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KHPF2
74020.64000000
PA
USD
77384.15000000
0.062124587659
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
MARS INC
54930073HKEO6GZBSS03
Mars Inc
571676AB1
70000.00000000
PA
USD
75380.31000000
0.060515889576
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.20000000
N
N
N
N
N
N
MKS CLO Ltd
549300JCIKT6NT8T1275
MKS CLO 2017-2 Ltd
12662CAG2
250000.00000000
PA
USD
237863.81000000
0.190958886481
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
2.78150000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAE8
400000.00000000
PA
USD
373063.61000000
0.299498320288
Long
DBT
CORP
NL
N
2
2051-02-08
Fixed
3.83200000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
163.00000000
NC
USD
19356.25000000
0.015539345587
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 MONTH EURODOLLAR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-03-14
0.00000000
USD
2500.00000000
99.62500000
USD
2022-03-14
XXXX
5201.45000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CY9
90000.00000000
PA
USD
104859.09000000
0.084181679692
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.15000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKE1
20000.00000000
PA
USD
19585.77000000
0.015723605999
Long
DBT
CORP
US
N
2
2052-02-01
Fixed
3.30000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CDS DAIMLER AG
000000000
1.00000000
NC
-14274.71000000
-0.01145984639
N/A
DCR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
DAIMLER AG
DAIMLER AG
Y
Default Event
2024-12-20
0.00000000
USD
-7575.84000000
USD
530000.00000000
EUR
-750.02000000
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBT4
30000.00000000
PA
USD
35856.65000000
0.028785992946
Long
DBT
CORP
US
N
2
2048-10-06
Fixed
4.43900000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
4314.33000000
0.003463577131
N/A
DFE
CORP
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
-350000.00000000
CAD
281394.59000000
USD
2022-01-18
4314.33000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UGD8
247165.98000000
PA
USD
261492.33000000
0.209928043111
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
4.50000000
N
N
N
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAF1
20000.00000000
PA
USD
21242.85000000
0.017053922501
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.85000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325CU7
330000.00000000
PA
USD
297825.00000000
0.239096188556
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EUREX 10 YEAR EURO BUND
000000000
-44.00000000
NC
110430.34000000
0.088654321816
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-03-08
-8684863.07000000
USD
110430.34000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
1035.32000000
0.000831162816
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-323544.41000000
USD
410000.00000000
CAD
2022-01-18
1035.32000000
N
N
N
Phoenix Newco Inc
254900PHGVI5379Z9791
PAREXEL 08/11/28
71911KAC8
250000.00000000
PA
USD
249887.50000000
0.200611596802
Long
LON
CORP
US
N
2
2028-11-15
Floating
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBUL2
188550.93000000
PA
USD
200763.53000000
0.161174497856
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - COP
000000000
1.00000000
NC
USD
-8648.10000000
-0.00694276084
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-133220.14000000
USD
508148260.00000000
COP
2022-01-18
-8648.10000000
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAD3
90000.00000000
PA
USD
90311.83000000
0.072503028068
Long
DBT
CORP
NL
N
2
2023-07-21
Fixed
2.80000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DD6
50000.00000000
PA
USD
53500.97000000
0.042950988033
Long
DBT
CORP
US
N
2
2025-07-10
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BLU8
19373.12000000
PA
USD
20719.50000000
0.016633773117
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
3.50000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DH0
10000.00000000
PA
USD
10851.00000000
0.008711265817
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.62500000
N
N
N
N
N
N
MARS INC
54930073HKEO6GZBSS03
Mars Inc
000000000
10000.00000000
PA
USD
10768.62000000
0.008645130522
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.20000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
959000000.00000000
PA
67757.45000000
0.054396199248
Long
DBT
NUSS
ID
N
2
2032-04-15
Fixed
6.37500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TC2
990000.00000000
PA
USD
1001292.19000000
0.803845030672
Long
DBT
UST
US
N
2
2041-11-15
Fixed
2.00000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AL8
80000.00000000
PA
USD
95561.60000000
0.076717583588
Long
DBT
CORP
US
N
2
2048-08-15
Fixed
5.50000000
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
10231.90000000
0.008214247600
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.50000000
N
N
N
N
N
N
MARS INC
54930073HKEO6GZBSS03
Mars Inc
571676AA3
20000.00000000
PA
USD
20797.14000000
0.016696103103
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.70000000
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
22375.60000000
0.017963302867
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.87500000
N
N
N
N
N
N
API GROUP DE INC
549300XP4G7B4QYA0G83
APi Group DE Inc
00186XAB9
47500.00000000
PA
USD
47428.75000000
0.038076163360
Long
LON
CORP
US
N
2
2026-10-01
Floating
2.60190000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
330000000.00000000
PA
24253.64000000
0.019471007748
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
CONOCOPHILLIPS
WPTL2Z3FIYTHSP5V2253
ConocoPhillips
20825CAV6
20000.00000000
PA
USD
21923.85000000
0.017600634511
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.75000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJX1
90000.00000000
PA
USD
91561.84000000
0.073506545660
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
2.30000000
N
N
N
N
N
N
HONEYWELL INTERNATIONAL
ISRPG12PN4EIEOEMW547
Honeywell International Inc
438516CB0
30000.00000000
PA
USD
30121.09000000
0.024181441498
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.35000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDG3
80000.00000000
PA
USD
79468.75000000
0.063798120487
Long
DBT
UST
US
N
2
2026-10-31
Fixed
1.12500000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAK8
65000.00000000
PA
USD
66419.13000000
0.053321785713
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
2.70000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAW5
150000.00000000
PA
USD
152120.36000000
0.122123388828
Long
DBT
CORP
IE
N
2
2028-10-29
Fixed
3.00000000
N
N
N
N
N
N
ADVANTAGE FUTURES LLC
N/A
US TREASURY LONG BOND WEEK 5
000000000
66.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
US TREASURY LONG BOND WEEK 5
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
0.00000000
USD
1000.00000000
162.00000000
USD
2021-12-31
XXXX
-34536.06000000
N
N
N
ADVANTAGE FUTURES LLC
N/A
10 YEAR US TREASURY NOTE WEEK 5
000000000
99.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
10 YEAR US TREASURY NOTE WEEK 5
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
0.00000000
USD
1000.00000000
132.00000000
USD
2021-12-31
XXXX
-19983.78000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-NQM6
12662KAC3
244561.67000000
PA
USD
241707.78000000
0.194044855006
Long
ABS-MBS
CORP
US
N
2
2066-07-25
Variable
1.58500000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAG8
30000.00000000
PA
USD
30366.63000000
0.024378562888
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.65000000
N
N
N
N
N
N
NATIONAL SECS CLEARING
549300RYC9NELN2ICA34
National Securities Clearing Corp
637639AB1
250000.00000000
PA
USD
251500.00000000
0.201906124139
Long
DBT
CORP
US
N
2
2025-04-23
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BCAY6
87024.57000000
PA
USD
12652.38000000
0.010157427462
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Fixed
2.50000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCE3
130000.00000000
PA
USD
130828.08000000
0.105029783544
Long
DBT
CORP
US
N
2
2031-03-25
Fixed
2.87500000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XJ62
320000.00000000
PA
USD
332673.41000000
0.267072758717
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
3.85275000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHS1
70000.00000000
PA
USD
86597.67000000
0.069521272004
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
4.33000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-169.96000000
-0.00013644518
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-15619.00000000
CAD
12194.94000000
USD
2022-01-18
-169.96000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GSRR5
24062.20000000
PA
USD
25772.79000000
0.020690592990
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDJ7
280000.00000000
PA
USD
276456.25000000
0.221941192571
Long
DBT
UST
US
N
2
2031-11-15
Fixed
1.37500000
N
N
N
N
N
N
BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The
064159VL7
50000.00000000
PA
USD
49709.88000000
0.039907471977
Long
DBT
CORP
CA
N
2
2025-06-11
Fixed
1.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CCK8
147652.47000000
PA
USD
155354.19000000
0.124719532293
Long
ABS-MBS
USGSE
US
N
2
2036-10-01
Fixed
3.00000000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
LONG GILT
000000000
-26.00000000
NC
3906.39000000
0.003136079778
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Short
UNITED KINGDOM GILT
United Kingdom Gilt
2022-03-29
-4402383.61000000
USD
3906.39000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.37.V1
000000000
1.00000000
NC
USD
165991.05000000
0.133258884880
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.37.V1
Y
Default Event
2026-12-20
157612.93000000
USD
0.00000000
USD
-6748000.00000000
USD
8378.12000000
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962GXZ2
6000.00000000
PA
USD
8182.52000000
0.006568989657
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
6.75000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XUX0
340166.07000000
PA
USD
345579.17000000
0.277433601582
Long
ABS-MBS
CORP
US
N
2
2030-05-25
Floating
2.50188000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-3824.74000000
-0.00307053053
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-4760160480.00000000
IDR
329714.94000000
USD
2022-01-18
-3824.74000000
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AC1
120000.00000000
PA
USD
131884.80000000
0.105878126445
Long
DBT
CORP
US
N
2
2030-02-01
Variable
5.30000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CL0
20000.00000000
PA
USD
20165.98000000
0.016189403026
Long
DBT
CORP
US
N
2
2022-05-16
Fixed
2.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JA4J4
49552.71000000
PA
USD
53453.78000000
0.042913103540
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
2.79000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAJ9
90000.00000000
PA
USD
98483.37000000
0.079063202898
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.87500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 MONTH EURODOLLAR
000000000
25.00000000
NC
USD
-38249.73000000
-0.03070717587
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-06-19
6202624.73000000
USD
-38249.73000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-152.40000000
-0.00012234788
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-551768.22000000
USD
696785.60000000
CAD
2022-01-18
-152.40000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JADP0
103475.22000000
PA
USD
114791.86000000
0.092155783440
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA6
35564KKY4
190000.00000000
PA
USD
189885.87000000
0.152441829187
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
1.54967000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAV2
130000.00000000
PA
USD
149334.79000000
0.119887111920
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9Y82
65519.37000000
PA
USD
68792.30000000
0.055226984746
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A5H40
158395.13000000
PA
USD
167887.60000000
0.134781449730
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
II-VI INC
549300O5C25A0MMHHU33
II-VI Inc
000000000
80000.00000000
PA
USD
79800.00000000
0.064064050522
Long
LON
CORP
US
N
2
2028-12-08
Floating
3.25000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DQ7
30000.00000000
PA
USD
30932.87000000
0.024833144692
Long
DBT
CORP
US
N
2
2025-06-30
Fixed
2.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABS3
40000.00000000
PA
USD
39400.00000000
0.031630621435
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
2.62500000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2017-GS8
36254KAU6
401000.00000000
PA
USD
424925.30000000
0.341133281796
Long
ABS-MBS
CORP
US
N
2
2050-11-10
Variable
4.33514200
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFC8
100000.00000000
PA
USD
131316.81000000
0.105422139727
Long
DBT
CORP
US
N
2
2044-01-21
Fixed
5.00000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B28
500000.00000000
PA
USD
519460.00000000
0.417026462209
Long
DBT
CORP
US
N
2
2025-11-13
Fixed
3.37500000
N
N
N
N
N
N
ALPHABET INC
5493006MHB84DD0ZWV18
Alphabet Inc
02079KAJ6
30000.00000000
PA
USD
29047.99000000
0.023319948608
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
0.80000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBT1
80000.00000000
PA
USD
76843.05000000
0.061690188439
Long
DBT
CORP
US
N
2
2040-09-25
Fixed
3.73400000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B36
200000.00000000
PA
USD
215160.00000000
0.172732094114
Long
DBT
CORP
US
N
2
2030-11-13
Fixed
4.00000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAB6
90000.00000000
PA
USD
96509.29000000
0.077478396371
Long
DBT
CORP
KY
N
2
2024-02-15
Fixed
5.50000000
N
N
N
N
N
N
Marathon CLO LTD
N/A
Marathon CLO 14 Ltd
56578HAJ5
250000.00000000
PA
USD
249637.75000000
0.200411095592
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
3.43150000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833DT4
100000.00000000
PA
USD
99685.91000000
0.080028611210
Long
DBT
CORP
US
N
2
2025-05-11
Fixed
1.12500000
N
N
N
N
N
N
GLOBAL MEDICAL RESPONSE
549300ZFWD4ZFCEJCQ87
Global Medical Response Inc
00169QAF6
73495.85000000
PA
USD
73110.00000000
0.058693267339
Long
LON
CORP
US
N
2
2025-10-02
Floating
5.25000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BF8
50000.00000000
PA
USD
60747.84000000
0.048768830712
Long
DBT
CORP
NL
N
2
2045-05-11
Fixed
4.37500000
N
N
N
N
N
N
REPUBLIC SERVICES INC
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759AU4
10000.00000000
PA
USD
10290.64000000
0.008261404522
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.50000000
N
N
N
N
N
N
Invesco Senior Loan ETF
549300SIHU6DQELRNG59
Invesco Senior Loan ETF
46138G508
14600.00000000
NS
USD
322660.00000000
0.259033916560
Long
EC
RF
US
N
1
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZU5
60000.00000000
PA
USD
61178.10000000
0.049114246732
Long
DBT
CORP
US
N
2
2024-10-28
Fixed
2.90000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CDS CDX.NA.IG.37.V1
000000000
1.00000000
NC
USD
-170156.25000000
-0.13660273930
N/A
DCR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
IHS MARKIT LTD
CDX.NA.IG.37.V1
Y
Default Event
2026-12-20
0.00000000
USD
-168557.21000000
USD
1831000.00000000
USD
7228.38000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCN1
450000.00000000
PA
USD
462937.50000000
0.371649766774
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
4.50000000
N
N
N
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AA5
90000.00000000
PA
USD
94591.04000000
0.075938410595
Long
DBT
CORP
N/A
N
2
2025-10-20
Fixed
4.50000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BZ8
20000.00000000
PA
USD
20272.18000000
0.016274661199
Long
DBT
CORP
US
N
2
2031-05-12
Fixed
2.10000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FQ4B6
2888191.45200000
PA
USD
168112.09000000
0.134961672019
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Variable
0.83544100
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UGE6
39814.67000000
PA
USD
42561.51000000
0.034168705851
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
5.00000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
6848.68000000
0.005498172700
N/A
DFE
CORP
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
-32208726.30000000
RUB
434475.11000000
USD
2022-01-18
6848.68000000
N
N
N
Virgin Media Bristol LLC
N/A
VIRGIN/O2 01/29 TL
000000000
20000.00000000
PA
USD
19978.20000000
0.016038651806
Long
LON
CORP
US
N
2
2029-01-31
Floating
3.35860000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AC1
290000.00000000
PA
USD
391326.00000000
0.314159506700
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
7.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4JD9
27156.21000000
PA
USD
29287.20000000
0.023511988226
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-1478.79000000
-0.00118718392
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1911239735.00000000
IDR
132439.87000000
USD
2022-01-18
-1478.79000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-90.00000000
NC
USD
-2812.50000000
-0.00225789651
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
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-31
0.00000000
USD
1000.00000000
118.00000000
USD
2022-02-18
XXXX
9289.63000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBE5
200000.00000000
PA
USD
205496.67000000
0.164974298860
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
2.73900000
N
N
N
N
N
N
CINTAS CORPORATION NO. 2
549300QVUQTTKMTE0G41
Cintas Corp No 2
17252MAM2
50000.00000000
PA
USD
50201.17000000
0.040301883347
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
2.90000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBY8
200000.00000000
PA
USD
209826.61000000
0.168450407818
Long
DBT
CORP
US
N
2
2051-01-31
Fixed
3.70000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-11997.30000000
-0.00963152422
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2031-10-20
4511.78000000
USD
0.00000000
USD
1170000.00000000
USD
-16600.46000000
N
N
N
Grippen Park CLO LTD
549300P7KR0IARP7PG22
Grippen Park CLO Ltd
39862DAA4
250000.00000000
PA
USD
246563.43000000
0.197943007975
Long
ABS-CBDO
CORP
KY
N
2
2030-01-20
Floating
5.83150000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XAD6
51392.73000000
PA
USD
53231.02000000
0.042734270108
Long
ABS-MBS
CORP
US
N
2
2024-01-25
Floating
4.50275000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
SWOP IRS USD
000000000
-15900000.00000000
NC
USD
-39772.48000000
-0.03192965122
N/A
DIR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
Put
Written
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2022-05-03
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
1.30000000
USD
2022-05-03
XXXX
8051.70000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AGCY3
92173.60000000
PA
USD
92163.98000000
0.073989948258
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
9460000.00000000
PA
112940.59000000
0.090669569721
Long
DBT
NUSS
RU
N
2
2027-10-06
Fixed
6.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HLL2
110000.00000000
PA
USD
143145.11000000
0.114917989461
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
4.95000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AL4
40000.00000000
PA
USD
44492.01000000
0.035718526021
Long
DBT
CORP
US
N
2
2028-04-13
Fixed
4.00000000
N
N
N
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AP8
100000.00000000
PA
USD
105400.91000000
0.084616656933
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.25000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-1427.84000000
-0.00114628087
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-11-01
0.00000000
USD
-44.52000000
USD
763000.00000000
USD
-1383.32000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
RUB CALL VERSUS USD PUT
000000000
-800000.00000000
NC
USD
-35.31000000
-0.00002834713
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Written
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
RUB CALL VERSUS USD PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
RUB
2022-01-13
1.00000000
USD
70.82500000
USD
2022-01-12
XXXX
5463.09000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGJ7
140000.00000000
PA
USD
141247.83000000
0.113394838562
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CP2
30000.00000000
PA
USD
29355.91000000
0.023567149139
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.10000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
IRS USD
000000000
1.00000000
NC
USD
-1769.40000000
-0.00142048785
N/A
DIR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Y
2022-06-15
0.00000000
USD
-18.76000000
USD
4161000.00000000
USD
-1750.64000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
SWOP IRS USD
000000000
2500000.00000000
NC
USD
52455.13000000
0.042111379680
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2022-03-14
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
1.85000000
USD
2022-03-14
XXXX
-16294.87000000
N
N
N
SMB Private Education Loan Tru
549300V1P5RKG8RJI005
SMB Private Education Loan Trust 2018-C
78449QAB3
79187.78000000
PA
USD
82159.47000000
0.065958251089
Long
ABS-O
CORP
US
N
2
2035-11-15
Fixed
3.63000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617JYJ79
38598.25000000
PA
USD
40287.61000000
0.032343201534
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
3.50000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BV0
37000.00000000
PA
USD
38737.06000000
0.031098408131
Long
DBT
CORP
US
N
2
2024-06-06
Fixed
3.36300000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAF6
285000.00000000
PA
USD
305668.20000000
0.245392769521
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.90000000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAT8
10000.00000000
PA
USD
13584.85000000
0.010906021512
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.95000000
N
N
N
N
N
N
Whatabrands LLC
254900HMMX4HTWIP0085
WHATABRANDS LLC 8/28 TL
96244UAF4
230000.00000000
PA
USD
228953.50000000
0.183805621444
Long
LON
CORP
US
N
2
2028-08-03
Floating
3.75000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HB0
150000.00000000
PA
USD
169638.59000000
0.136187157898
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
5.50000000
N
N
N
N
N
N
PRIME SECURITY SERVICES BOR
549300O6QPZVWXV2DC15
Prime Security Services Borrower LLC
03765VAK6
16077.17000000
PA
USD
16053.38000000
0.012887776282
Long
LON
CORP
US
N
2
2026-09-23
Floating
3.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
3394.05000000
0.002724769306
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-08-15
0.00000000
USD
-117.73000000
USD
853000.00000000
USD
3511.78000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KKT82
88497.33000000
PA
USD
90974.93000000
0.073035369821
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
2.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-3078.87000000
-0.00247174039
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-2321000.00000000
MXN
109984.95000000
USD
2022-01-18
-3078.87000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CQB3
65846.53000000
PA
USD
70471.32000000
0.056574914847
Long
ABS-MBS
USGSE
US
N
2
2047-10-01
Fixed
4.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CT0
90000.00000000
PA
USD
98466.36000000
0.079049547140
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.87500000
N
N
N
N
N
N
SPIRIT LOYALTY KY LTD/IP
N/A
Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd
84859BAA9
42000.00000000
PA
USD
46371.57000000
0.037227451168
Long
DBT
CORP
KY
N
2
2025-09-20
Fixed
8.00000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BF8
20000.00000000
PA
USD
21858.20000000
0.017547930189
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.95000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SQ2
1860000.00000000
PA
USD
1624012.50000000
1.303769659758
Long
DBT
UST
US
N
2
2040-08-15
Fixed
1.12500000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BM1
60000.00000000
PA
USD
79900.97000000
0.064145110010
Long
DBT
CORP
US
N
2
2050-03-25
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JQTK9
127917.15000000
PA
USD
135446.17000000
0.108737221527
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9JE6
58527.03000000
PA
USD
62952.13000000
0.050538451589
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
4.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
12515.45000000
0.010047499011
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-10-20
0.00000000
USD
-612.21000000
USD
1170000.00000000
USD
13127.66000000
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HHZ6
100000.00000000
PA
USD
100411.80000000
0.080611361256
Long
DBT
CORP
US
N
2
2025-05-12
Fixed
1.45000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
2485.31000000
0.001995225882
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1586199.00000000
BRL
285981.97000000
USD
2022-01-18
2485.31000000
N
N
N
BARRICK NA FINANCE LLC
N/A
Barrick North America Finance LLC
06849RAK8
50000.00000000
PA
USD
67931.13000000
0.054535630881
Long
DBT
CORP
US
N
2
2043-05-01
Fixed
5.75000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAL3
20000.00000000
PA
USD
22150.00000000
0.017782189462
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.00000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAQ4
320000.00000000
PA
USD
313699.20000000
0.251840117764
Long
DBT
CORP
NL
N
2
2029-05-09
Fixed
5.12500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
15974.44000000
0.012824402646
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-05-15
0.00000000
USD
0.00000000
USD
886000.00000000
USD
15974.44000000
N
N
N
NEW YORK LIFE GLOBAL FDG
635400DPNHEAUHB7ZI15
New York Life Global Funding
64952WDQ3
40000.00000000
PA
USD
39413.56000000
0.031641507507
Long
DBT
CORP
US
N
2
2025-06-24
Fixed
0.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAKS2
72795.56000000
PA
USD
75400.15000000
0.060531817280
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
3.00000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBH5
10000.00000000
PA
USD
10234.74000000
0.008216527574
Long
DBT
CORP
US
N
2
2025-05-06
Fixed
2.35000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CW3
70000.00000000
PA
USD
94788.81000000
0.076097181864
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCH2
460000.00000000
PA
USD
455292.19000000
0.365512053415
Long
DBT
UST
US
N
2
2028-06-30
Fixed
1.25000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2M4
450000.00000000
PA
USD
614490.30000000
0.493317514093
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01300000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F012411
-200000.00000000
PA
USD
-200535.20000000
-0.16099119278
Short
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
1.50000000
N
N
N
N
N
N
SWEDBANK AB
M312WZV08Y7LYUC71685
Swedbank AB
87020PAK3
200000.00000000
PA
USD
201184.91000000
0.161512784944
Long
DBT
CORP
SE
N
2
2023-06-02
Fixed
1.30000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-9943.93000000
-0.00798306308
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-10686280.56000000
MXN
510621.20000000
USD
2022-01-18
-9943.93000000
N
N
N
PRIME SECURITY SERVICES BOR
549300O6QPZVWXV2DC15
Prime Security Services Borrower LLC
03765VAK6
24374.86000000
PA
USD
24338.79000000
0.019539366819
Long
LON
CORP
US
N
2
2026-09-23
Floating
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYVS5
195547.61000000
PA
USD
198697.00000000
0.159515471762
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
2.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCC8
130000.00000000
PA
USD
131670.42000000
0.105706020540
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.58000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABR5
10000.00000000
PA
USD
10025.00000000
0.008048146697
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
2.25000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2C4
250000.00000000
PA
USD
261683.41000000
0.210081443597
Long
DBT
CORP
CH
N
2
2025-04-09
Fixed
2.95000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YDB2
60000.00000000
PA
USD
74836.68000000
0.060079459253
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
4.75000000
N
N
N
N
N
N
ADVANTAGE FUTURES LLC
N/A
5 YEAR US TREASURY NOTE WEEK 5
000000000
9.00000000
NC
USD
70.32000000
0.000056453433
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
5 YEAR US TREASURY NOTE WEEK 5
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-31
0.00000000
USD
1000.00000000
121.50000000
USD
2021-12-31
XXXX
-999.94000000
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582CH3
20000.00000000
PA
USD
21278.68000000
0.017082687099
Long
DBT
CORP
NL
N
2
2050-04-06
Fixed
3.25000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBP5
220000.00000000
PA
USD
221310.82000000
0.177670019468
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
3.13700000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACE3
40000.00000000
PA
USD
41615.20000000
0.033409000943
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
3.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36255TAL6
383607.95000000
PA
USD
123368.32000000
0.099041031144
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Floating
4.11000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KRRC5
86441.11000000
PA
USD
88382.30000000
0.070953986622
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.50000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAE1
340000.00000000
PA
USD
319600.00000000
0.256577325149
Long
DBT
CORP
NL
N
2
2026-10-01
Fixed
3.15000000
N
N
N
N
N
N
Fanniemae-Aces
B1V7KEBTPIMZEU4LTD58
Fannie Mae-Aces
3136B2HC9
97677.88000000
PA
USD
105772.90000000
0.084915293351
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Variable
3.12075400
N
N
N
N
N
N
VOC ESCROW LTD
N/A
VOC Escrow Ltd
91832VAA2
40000.00000000
PA
USD
39600.00000000
0.031791182965
Long
DBT
CORP
BM
N
2
2028-02-15
Fixed
5.00000000
N
N
N
N
N
N
AVOLON TLB BORROWER 1 US
635400O84AGITYFZQB55
Avolon TLB Borrower 1 US LLC
05400KAH3
208425.00000000
PA
USD
208556.31000000
0.167430601260
Long
LON
CORP
US
N
2
2027-12-01
Floating
2.75000000
N
N
N
N
N
N
RADIOLOGY PARTNERS INC
549300SFTAG2177WUZ08
Radiology Partners Inc
75041EAB8
134596.79000000
PA
USD
132466.12000000
0.106344814588
Long
LON
CORP
US
N
2
2025-07-09
Floating
4.35190000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAU5
100000.00000000
PA
USD
115557.14000000
0.092770156079
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VDP2
191193.90000000
PA
USD
199078.71000000
0.159821911470
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CAW1
10000.00000000
PA
USD
9917.58000000
0.007961909099
Long
DBT
UST
US
N
2
2023-11-15
Fixed
0.25000000
N
N
N
N
N
N
ADVANTAGE FUTURES LLC
N/A
10 YEAR US TREASURY NOTE WEEK 5
000000000
79.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
10 YEAR US TREASURY NOTE WEEK 5
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
0.00000000
USD
1000.00000000
130.25000000
USD
2021-12-31
XXXX
-20027.31000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDK4
10000.00000000
PA
USD
9993.75000000
0.008023058958
Long
DBT
UST
US
N
2
2026-11-30
Fixed
1.25000000
N
N
N
N
N
N
LETRA TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Letras do Tesouro Nacional
000000000
8063000.00000000
PA
1173539.97000000
0.942126866265
Long
DBT
NUSS
BR
N
2
2024-01-01
None
0.00000000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAF7
130000.00000000
PA
USD
141375.00000000
0.113496931611
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBNZ9
83795.74000000
PA
USD
88177.90000000
0.070789892738
Long
ABS-MBS
USGSE
US
N
2
2038-04-01
Fixed
3.00000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FL7
50000.00000000
PA
USD
56642.69000000
0.045473184885
Long
DBT
CORP
US
N
2
2070-02-05
Fixed
3.75000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - NOK
000000000
1.00000000
NC
USD
-1983.91000000
-0.00159269812
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-379948.12000000
USD
3334120.00000000
NOK
2022-01-18
-1983.91000000
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CA5
60000.00000000
PA
USD
63412.50000000
0.050908040147
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AH7
10000.00000000
PA
USD
10875.00000000
0.008730533200
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.50000000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZX9
370000.00000000
PA
USD
423061.59000000
0.339637081150
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329QBK6
110322.86000000
PA
USD
119859.81000000
0.096224372474
Long
ABS-MBS
USGSE
US
N
2
2049-03-01
Fixed
4.50000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
150000.00000000
PA
USD
157724.99000000
0.126622828671
Long
DBT
CORP
US
N
2
2024-03-12
Fixed
4.12500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CY9
100000.00000000
PA
USD
101250.00000000
0.081284274628
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
4.40000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBK7
40000.00000000
PA
USD
43798.30000000
0.035161610325
Long
DBT
CORP
US
N
2
2030-03-19
Fixed
3.48200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCQ68
34503.79000000
PA
USD
36159.59000000
0.029029195496
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CB6
30000.00000000
PA
USD
31477.32000000
0.025270233318
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.70000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
2694000.00000000
PA
463896.70000000
0.372419819873
Long
DBT
NUSS
BR
N
2
2031-01-01
Fixed
10.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5NT6
30235.17000000
PA
USD
32370.67000000
0.025987421532
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBH3
80000.00000000
PA
USD
77393.75000000
0.062132294612
Long
DBT
UST
US
N
2
2026-01-31
Fixed
0.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS IFS USD
000000000
1.00000000
NC
USD
-388615.95000000
-0.31198385782
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2026-09-17
52181.30000000
USD
0.00000000
USD
15730000.00000000
USD
-443831.05000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KMFR1
290668.72000000
PA
USD
298814.06000000
0.239890213491
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BT6
30000.00000000
PA
USD
29636.26000000
0.023792216264
Long
DBT
CORP
US
N
2
2028-08-12
Fixed
1.60000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114QCH9
40000.00000000
PA
USD
39663.46000000
0.031842129139
Long
DBT
CORP
CA
N
2
2025-06-12
Fixed
1.15000000
N
N
N
N
N
N
SCIENTIFIC GAMES INTERNATIO
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80875AAP6
117985.92000000
PA
USD
117488.02000000
0.094320281316
Long
LON
CORP
US
N
2
2024-08-14
Floating
2.85750000
N
N
N
N
N
N
MISTER CAR WASH HOLDINGS IN
549300BARUQU0U2GQE05
Mister Car Wash Holdings Inc
60646CAF4
51706.44000000
PA
USD
51383.27000000
0.041250882271
Long
LON
CORP
US
N
2
2026-05-14
Floating
3.10190000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EZ7
40000.00000000
PA
USD
38790.38000000
0.031141213835
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
1.62500000
N
N
N
N
N
N
PRIME SECURITY SERVICES BOR
549300O6QPZVWXV2DC15
Prime Security Services Borrower LLC
03765VAK6
32154.34000000
PA
USD
32106.75000000
0.025775544537
Long
LON
CORP
US
N
2
2026-09-23
Floating
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAD21
43144.87200000
PA
USD
45831.14000000
0.036793589830
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CDS CDX.NA.IG.37.V1
000000000
1.00000000
NC
USD
39328.39000000
0.031573132379
N/A
DCR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
IHS MARKIT LTD
CDX.NA.IG.37.V1
Y
Default Event
2031-12-20
30653.97000000
USD
0.00000000
USD
-3950000.00000000
USD
8674.42000000
N
N
N
ZAYO GROUP HOLDINGS INC
529900Z6OTS7RT0V0I47
Zayo Group Holdings Inc
98919XAB7
71621.26000000
PA
USD
70606.39000000
0.056683350077
Long
LON
CORP
US
N
2
2027-03-09
Floating
3.10190000
N
N
N
N
N
N
BHP BILLITON FIN USA LTD
5493003NUVITP3TMY274
BHP Billiton Finance USA Ltd
055451AV0
30000.00000000
PA
USD
39672.91000000
0.031849715671
Long
DBT
CORP
AU
N
2
2043-09-30
Fixed
5.00000000
N
N
N
N
N
N
ZIGGO FINANCING PARTNERS
N/A
Ziggo Financing Partnership
000000000
250000.00000000
PA
USD
247082.50000000
0.198359721342
Long
LON
CORP
US
N
2
2028-04-30
Floating
2.60250000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YBF1
60000.00000000
PA
USD
59369.72000000
0.047662465433
Long
DBT
CORP
US
N
2
2051-12-10
Fixed
2.75000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFE9
40000.00000000
PA
USD
42318.05000000
0.033973254300
Long
DBT
CORP
US
N
2
2030-03-22
Fixed
3.15000000
N
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764BW9
50000.00000000
PA
USD
50423.86000000
0.040480660583
Long
DBT
CORP
US
N
2
2025-05-11
Fixed
1.55400000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746SH5
100000.00000000
PA
USD
105059.18000000
0.084342313475
Long
DBT
CORP
US
N
2
2026-10-23
Fixed
3.00000000
N
N
N
N
N
N
NEXSTAR BROADCASTING INC
5493006PK6I4I2OOT688
Nexstar Media Inc
65336RAW8
146753.28000000
PA
USD
146332.10000000
0.117476529416
Long
LON
CORP
US
N
2
2026-09-19
Floating
2.85250000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBC2
10000.00000000
PA
USD
10469.52000000
0.008405010754
Long
DBT
CORP
US
N
2
2023-11-14
Fixed
3.75000000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAG2
10000.00000000
PA
USD
10427.35000000
0.008371156356
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
4.37500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
06739GCR8
200000.00000000
PA
USD
200680.07000000
0.161107495529
Long
DBT
CORP
GB
N
2
2022-05-12
Fixed
1.70000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
89364MBR4
88866.50000000
PA
USD
87567.27000000
0.070299674302
Long
LON
CORP
US
N
2
2025-12-09
Floating
2.35190000
N
N
N
N
N
N
HILTON WORLDWIDE FINANCE
549300406TN7EY0NPH20
Hilton Worldwide Finance LLC
43289DAH6
140000.00000000
PA
USD
138730.20000000
0.111373665936
Long
LON
CORP
US
N
2
2026-06-21
Floating
1.96600000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
86870000.00000000
PA
1117750.01000000
0.897338259547
Long
DBT
NUSS
RU
N
2
2030-04-10
Fixed
7.65000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
190000.00000000
PA
USD
248413.19000000
0.199428009455
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AR0
200000.00000000
PA
USD
224368.24000000
0.180124539635
Long
DBT
CORP
GB
N
2
2028-03-22
Fixed
4.37500000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAF3
310000.00000000
PA
USD
403144.81000000
0.323647737789
Long
DBT
CORP
US
N
2
2045-05-22
Fixed
5.15000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
-5181.83000000
-0.00416001276
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-1522433.96000000
USD
2086738.00000000
AUD
2022-01-18
-5181.83000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKY7
24534.87000000
PA
USD
25946.84000000
0.020830321662
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAG0
200000.00000000
PA
USD
206868.54000000
0.166075646591
Long
DBT
CORP
ES
N
2
2023-04-12
Fixed
3.84800000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAX4
100000.00000000
PA
USD
113489.42000000
0.091110174644
Long
DBT
CORP
US
N
2
2029-12-05
Fixed
4.45200000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-8618.42000000
-0.00691893351
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1528601.57000000
USD
1920000.00000000
CAD
2022-01-18
-8618.42000000
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAR4
10000.00000000
PA
USD
11542.40000000
0.009266327026
Long
DBT
CORP
US
N
2
2044-01-31
Fixed
5.37500000
N
N
N
N
N
N
L3HARRIS TECH INC
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
413875AS4
50000.00000000
PA
USD
60961.16000000
0.048940085640
Long
DBT
CORP
US
N
2
2035-04-27
Fixed
4.85400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBX62
96629.17000000
PA
USD
99154.40000000
0.079601910916
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.50000000
N
N
N
N
N
N
CHENIERE ENERGY INC
MIHC87W9WTYSYZWV1J40
Cheniere Energy Inc
16411RAK5
30000.00000000
PA
USD
31911.60000000
0.025618876624
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SQV2
25022.01000000
PA
USD
26119.93000000
0.020969279638
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
3.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29279FAA7
60000.00000000
PA
USD
78375.69000000
0.062920603557
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAW0
20000.00000000
PA
USD
21407.22000000
0.017185879995
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
5.40000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
8787.54000000
0.007054704342
N/A
DFE
CORP
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
-13690000.00000000
RUB
190545.92000000
USD
2022-01-18
8787.54000000
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HX1
4442.68000000
PA
USD
1610.52000000
0.001292937777
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABT1
30000.00000000
PA
USD
29628.00000000
0.023785585073
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.87500000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAQ4
50000.00000000
PA
USD
61757.23000000
0.049579176727
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
5.20000000
N
N
N
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718FH7
30000.00000000
PA
USD
32606.52000000
0.026176763717
Long
DBT
CORP
US
N
2
2030-03-25
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
16664.50000000
0.013378388094
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1040000.00000000
CAD
839988.70000000
USD
2022-01-18
16664.50000000
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBX0
80000.00000000
PA
USD
83411.42000000
0.066963326127
Long
DBT
CORP
US
N
2
2030-01-31
Fixed
2.80000000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448ER5
60000.00000000
PA
USD
62823.20000000
0.050434945598
Long
DBT
CORP
US
N
2
2027-03-19
Fixed
2.62500000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DCH6
20000.00000000
PA
USD
21450.00000000
0.017220224106
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WKZ24
28642.98000000
PA
USD
31057.04000000
0.024932829318
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGU8
270000.00000000
PA
USD
336974.13000000
0.270525409636
Long
DBT
CORP
US
N
2
2046-12-07
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CR89
67583.41000000
PA
USD
71651.01000000
0.057521979005
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDU5
30000.00000000
PA
USD
38983.87000000
0.031296549088
Long
DBT
CORP
US
N
2
2037-03-16
Fixed
5.25000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 2 YEAR US TREASURY NOTE
000000000
-5.00000000
NC
USD
381.97000000
0.000306648438
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-31
-1091241.35000000
USD
381.97000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR UNITED STATES ULTRA BOND
000000000
-23.00000000
NC
USD
-48500.48000000
-0.03893655640
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
-3319562.02000000
USD
-48500.48000000
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBM3
140000.00000000
PA
USD
151657.52000000
0.121751817335
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.45200000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
SWOP IRS USD
000000000
3350000.00000000
NC
USD
27699.53000000
0.022237394603
N/A
DIR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
Put
Purchased
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2022-05-03
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
1.89000000
USD
2022-05-03
XXXX
-20068.99000000
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YAZ8
30000.00000000
PA
USD
28722.67000000
0.023058779223
Long
DBT
CORP
US
N
2
2030-06-24
Fixed
1.45000000
N
N
N
N
N
N
OZLM Ltd
5493002SZMQH8ZTTHX49
OZLM XVIII Ltd
67112GAG3
250000.00000000
PA
USD
242625.84000000
0.194781880598
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
2.97375000
N
N
N
N
N
N
BAUSCH HEALTH AME 6/25 TL
KOO0397YRO83WY5MGD97
BAUSCH HEALTH AME 6/25 TL
000000000
177474.95000000
PA
USD
176543.21000000
0.141730239659
Long
LON
CORP
US
N
2
2025-06-01
Floating
3.17460000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBT9
70000.00000000
PA
USD
78579.86000000
0.063084512795
Long
DBT
CORP
US
N
2
2028-10-16
Fixed
4.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FTZ38
143780.69000000
PA
USD
153682.64000000
0.123377599164
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.50000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFF6
50000.00000000
PA
USD
54933.84000000
0.044101307031
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.80000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAH5
30000.00000000
PA
USD
31302.60000000
0.025129966765
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.37500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-35601.18000000
-0.02858089967
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1628271.40000000
USD
1400000.00000000
EUR
2022-01-18
-35601.18000000
N
N
N
CITADEL SECURITIES LP
549300NV5RXBUS3X7L47
CITADEL SECURITIES LP
17288YAD4
137560.50000000
PA
USD
136596.20000000
0.109660474410
Long
LON
CORP
US
N
2
2028-02-02
Floating
2.60190000
N
N
N
N
N
N
ADVANTAGE FUTURES LLC
N/A
US 5 YEAR TREASURY NOTE
000000000
-3.00000000
NC
USD
-703.12000000
-0.00056447011
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-31
0.00000000
USD
1000.00000000
121.25000000
USD
2022-01-21
XXXX
487.00000000
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2020-1
35563PPH6
640000.00000000
PA
USD
653708.61000000
0.524802273406
Long
ABS-MBS
CORP
US
N
2
2059-08-25
Variable
4.25000000
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M Co
88579YBJ9
10000.00000000
PA
USD
10258.05000000
0.008235241020
Long
DBT
CORP
US
N
2
2029-08-26
Fixed
2.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
EURODOLLAR 1 YEAR MIDCURVE
000000000
226.00000000
NC
USD
57912.50000000
0.046492598068
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
EURODOLLAR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
INTERCONTENTIAL EXCHANGE
3 MONTH EURO INTERBANK OFFER RATE
2023-06-19
0.00000000
USD
2500.00000000
98.25000000
USD
2022-06-10
XXXX
32300.40000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CG2
200000.00000000
PA
USD
201296.14000000
0.161602081239
Long
DBT
CORP
GB
N
2
2026-06-04
Fixed
2.09900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9M93
66027.52000000
PA
USD
69312.86000000
0.055644894296
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
3.00000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAN9
40000.00000000
PA
USD
41500.00000000
0.033316517502
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
3.62500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-11036.77000000
-0.00886040339
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-10-20
987.31000000
USD
0.00000000
USD
1170000.00000000
USD
-12044.27000000
N
N
N
Garda World Security Corp
549300ZF1NDXLMCHNO20
GARDA SECURITY 10/26 TL
000000000
20611.96000000
PA
USD
20543.32000000
0.016492334465
Long
LON
CORP
CA
N
2
2026-10-30
Floating
4.35250000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAL5
10000.00000000
PA
USD
10100.00000000
0.008108357271
Long
DBT
CORP
US
N
2
2032-01-31
Fixed
3.25000000
N
N
N
N
N
N
ADVANTAGE FUTURES LLC
N/A
10 YEAR US TREASURY NOTE
000000000
33.00000000
NC
USD
11343.75000000
0.009106849287
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
0.00000000
USD
1000.00000000
131.00000000
USD
2022-01-21
XXXX
-8822.72000000
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAE9
60000.00000000
PA
USD
60600.00000000
0.048650143629
Long
DBT
CORP
US
N
2
2022-10-01
Fixed
3.00000000
N
N
N
N
N
N
APOLLO CMMRL REAL EST FIN IN
549300E0AN7M2AQHSY29
Apollo Commercial Real Estate Finance Inc
03768DAB3
207341.77000000
PA
USD
204231.64000000
0.163958723097
Long
LON
CORP
US
N
3
2026-05-15
Floating
2.90790000
N
N
N
N
N
N
CAMERON LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AA8
100000.00000000
PA
USD
104113.38000000
0.083583017999
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.90200000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MQ1
130000.00000000
PA
USD
136282.50000000
0.109408633650
Long
DBT
CORP
US
N
2
2026-04-08
Fixed
3.10600000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-43.00000000
NC
USD
-12631.25000000
-0.01014046413
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 MONTH EURODOLLAR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-03-14
0.00000000
USD
2500.00000000
99.75000000
USD
2022-03-14
XXXX
-4121.55000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
US TREASURY LONG BOND
000000000
-1.00000000
NC
USD
-234.38000000
-0.00018816205
N/A
DIR
CORP
US
N
1
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
0.00000000
USD
1000.00000000
169.00000000
USD
2022-02-18
XXXX
670.14000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L2PV9
95373.10000000
PA
USD
95265.55000000
0.076479912383
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCV1
620000.00000000
PA
USD
607987.50000000
0.488097016502
Long
DBT
UST
US
N
2
2028-08-31
Fixed
1.12500000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
MXN CALL VERSUS USD PUT
000000000
490000.00000000
NC
USD
17021.38000000
0.013664894088
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Put
Purchased
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
MXN CALL VERSUS USD PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
MXN
2022-02-25
1.00000000
USD
21.23920000
USD
2022-02-24
XXXX
9994.78000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
6880.09000000
0.005523388889
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-285400.35000000
USD
6000000.00000000
MXN
2022-01-18
6880.09000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622A2SB9
217845.72000000
PA
USD
230313.86000000
0.184897728859
Long
ABS-MBS
USGA
US
N
2
2046-02-20
Fixed
3.50000000
N
N
N
N
N
N
Pilot Travel Centers LLC
549300115UILLXNE1Z49
PILOT TRAVEL CEN 07/28 TL
72165NBH1
199500.00000000
PA
USD
198145.40000000
0.159072643062
Long
LON
CORP
US
N
2
2028-08-06
Floating
2.10190000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468P7
110000.00000000
PA
USD
119866.24000000
0.096229534527
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.62200000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCB5
60000.00000000
PA
USD
60759.38000000
0.048778095113
Long
DBT
UST
US
N
2
2031-05-15
Fixed
1.62500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SP4
2060000.00000000
PA
USD
1804511.71000000
1.448675806484
Long
DBT
UST
US
N
2
2050-08-15
Fixed
1.37500000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
06406RAN7
30000.00000000
PA
USD
30275.49000000
0.024305394999
Long
DBT
CORP
US
N
2
2025-04-24
Fixed
1.60000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAU7
330000.00000000
PA
USD
398878.07000000
0.320222366274
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CV5
130000.00000000
PA
USD
166972.97000000
0.134047177768
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.70500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9SV8
87774.66000000
PA
USD
90064.32000000
0.072304325147
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLJ9
67000.00000000
PA
USD
67243.13000000
0.053983299217
Long
DBT
CORP
US
N
2
2055-09-15
Fixed
3.55000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50076QAE6
20000.00000000
PA
USD
24879.15000000
0.019973171961
Long
DBT
CORP
US
N
2
2042-06-04
Fixed
5.00000000
N
N
N
N
N
N
CREDIT AGRICOLE LONDON
969500TJ5KRTCJQWXH05
Credit Agricole SA/London
22535WAG2
250000.00000000
PA
USD
250480.30000000
0.201087501178
Long
DBT
CORP
FR
N
2
2026-06-16
Fixed
1.90700000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CP8
130000.00000000
PA
USD
130993.86000000
0.105162872996
Long
DBT
CORP
US
N
2
2035-02-01
Fixed
3.25000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAS9
60000.00000000
PA
USD
68509.05000000
0.054999589479
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.80000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAV3
20000.00000000
PA
USD
20367.80000000
0.016351425667
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.37500000
N
N
N
N
N
N
Residential Asset Mortgage Pro
N/A
RAMP Series 2006-NC3 Trust
76112B4P2
270000.00000000
PA
USD
266792.56000000
0.214183108305
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
0.61188000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDF5
790000.00000000
PA
USD
786790.63000000
0.631641537227
Long
DBT
UST
US
N
2
2028-10-31
Fixed
1.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDKM7
99569.76000000
PA
USD
99597.02000000
0.079957249638
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AT7
80000.00000000
PA
USD
98625.45000000
0.079177265809
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
4.50000000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK
2IGI19DL77OX0HC3ZE78
Canadian Imperial Bank of Commerce
13607GRK2
50000.00000000
PA
USD
50060.95000000
0.040189313659
Long
DBT
CORP
CA
N
2
2023-06-23
Fixed
0.95000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAV5
30000.00000000
PA
USD
29017.47000000
0.023295446918
Long
DBT
CORP
US
N
2
2046-09-16
Fixed
3.87500000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AJ8
190000.00000000
PA
USD
181689.40000000
0.145861640362
Long
DBT
CORP
CO
N
2
2045-05-28
Fixed
5.87500000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AB3
40000.00000000
PA
USD
41800.80000000
0.033558002043
Long
DBT
CORP
US
N
2
2025-02-01
Variable
4.35000000
N
N
N
N
N
N
ALPHABET INC
5493006MHB84DD0ZWV18
Alphabet Inc
02079KAH0
20000.00000000
PA
USD
19540.31000000
0.015687110364
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
0.45000000
N
N
N
N
N
N
AVAYA INC
J6LB5QIFSP2MFEFG4U76
Avaya Inc
05349UBC5
52496.86000000
PA
USD
52418.11000000
0.042081659740
Long
LON
CORP
US
N
2
2024-12-15
Floating
4.35250000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HTWQ8
9663.73000000
PA
USD
10553.47000000
0.008472406456
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.16000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XYW8
230000.00000000
PA
USD
237398.27000000
0.190585147408
Long
ABS-MBS
CORP
US
N
2
2030-07-25
Floating
3.65275000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPA4
393813.19000000
PA
USD
416967.25000000
0.334744498372
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.00000000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912796K81
700000.00000000
PA
USD
699995.87000000
0.561962039862
Long
DBT
UST
US
N
2
2022-01-20
None
0.00000000
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BN1
130000.00000000
PA
USD
139128.32000000
0.111693279718
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.25000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
04650NAB0
20000.00000000
PA
USD
25337.06000000
0.020340785613
Long
DBT
CORP
US
N
2
2040-09-01
Fixed
5.35000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023BY0
10000.00000000
PA
USD
10169.23000000
0.008163935645
Long
DBT
CORP
US
N
2
2038-03-01
Fixed
3.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KLH47
85805.46000000
PA
USD
87957.81000000
0.070613202802
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.50000000
N
N
N
N
N
N
Allied Universal Holdco LLC
98450038B4549046D794
ALLIED UNIVERSAL 5/28 TL
01957TAH0
226905.61000000
PA
USD
225914.03000000
0.181365511674
Long
LON
CORP
US
N
2
2028-05-14
Floating
4.25000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCR0
900000.00000000
PA
USD
876199.22000000
0.703419437313
Long
DBT
UST
US
N
2
2028-07-31
Fixed
1.00000000
N
N
N
N
N
N
PIONEER NATURAL RESOURCE
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co
723787AR8
60000.00000000
PA
USD
57889.42000000
0.046474069267
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.15000000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAK7
10000.00000000
PA
USD
10489.50000000
0.008421050851
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
1321.00000000
NC
USD
268870.92000000
0.215851631614
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-31
157604283.75000000
USD
268870.92000000
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AV2
20000.00000000
PA
USD
21921.03000000
0.017598370594
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.50000000
N
N
N
N
N
N
R.J. O'BRIEN LIMITED
549300OHLZ0RR2TSKH90
US 5 YEAR TREASURY NOTE
000000000
-11.00000000
NC
USD
-1632.82000000
-0.00131084038
N/A
DIR
CORP
US
N
1
R.J. O'BRIEN LIMITED
549300OHLZ0RR2TSKH90
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-31
0.00000000
USD
1000.00000000
121.50000000
USD
2022-01-21
XXXX
1098.15000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31288QFR6
183056.52000000
PA
USD
188953.56000000
0.151693363586
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Floating
3.01600000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH54
13616.87000000
PA
USD
14404.47000000
0.011564018719
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
4.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-7352.47000000
-0.00590261916
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-02-15
0.00000000
USD
0.00000000
USD
99000.00000000
USD
-7352.47000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEF8
30000.00000000
PA
USD
28888.50000000
0.023191908815
Long
DBT
CORP
US
N
2
2036-09-16
Fixed
2.48400000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAM2
100000.00000000
PA
USD
111985.18000000
0.089902559263
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
4.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-6079.50000000
-0.00488066911
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-02-15
0.00000000
USD
-17904.82000000
USD
8071000.00000000
USD
10142.62000000
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CU2
50000.00000000
PA
USD
49707.04000000
0.039905192003
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
1.45000000
N
N
N
N
N
N
COTERRA ENERGY INC
FCNMH6O7VWU7LHXMK351
Coterra Energy Inc
127097AH6
140000.00000000
PA
USD
156433.51000000
0.125586018646
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.37500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DE2
220000.00000000
PA
USD
219664.01000000
0.176347947801
Long
DBT
CORP
US
N
2
2024-02-04
Fixed
1.43300000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCZ2
930000.00000000
PA
USD
913398.05000000
0.733282942633
Long
DBT
UST
US
N
2
2026-09-30
Fixed
0.87500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
60.00000000
NC
USD
25500.00000000
0.020471595091
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 MONTH EURODOLLAR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-06-13
0.00000000
USD
2500.00000000
99.50000000
USD
2022-06-13
XXXX
11874.00000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJT7
690000.00000000
PA
USD
700230.16000000
0.562150129667
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.68700000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AN8
150000.00000000
PA
USD
161823.79000000
0.129913376669
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
4.00000000
N
N
N
N
N
N
KINDER MORGAN INC/DELAWA
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAJ0
20000.00000000
PA
USD
23971.01000000
0.019244110221
Long
DBT
CORP
US
N
2
2046-02-15
Fixed
5.05000000
N
N
N
N
N
N
MONTREAL EXCHANGE
N/A
3 MONTH CANADIAN BANKERS ACCEPTANCE
000000000
16.00000000
NC
6067.12000000
0.004870730353
N/A
DIR
CORP
CA
N
1
MONTREAL EXCHANGE
N/A
Long
THOMSON REUTERS CORP
3 MONTH CANADIAN BANKERS ACCEPTANCE
2022-12-19
3104823.84000000
USD
6067.12000000
N
N
N
Hertz Vehicle Financing LLC
N/A
Hertz Vehicle Financing III LP
42806MAE9
310000.00000000
PA
USD
305345.91000000
0.245134032644
Long
ABS-O
CORP
US
N
2
2027-12-27
Fixed
1.68000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137H24R2
98395.05000000
PA
USD
13288.79000000
0.010668342279
Long
ABS-MBS
USGSE
US
N
2
2049-05-25
Fixed
2.50000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2A0
100000.00000000
PA
USD
107502.36000000
0.086303717071
Long
DBT
CORP
US
N
2
2028-05-22
Fixed
3.58400000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DG7
140000.00000000
PA
USD
139966.63000000
0.112366281400
Long
DBT
CORP
US
N
2
2026-02-04
Fixed
2.19600000
N
N
N
N
N
N
LIFEPOINT HEALTH INC
549300G8ZVHRTBBBSZ90
LifePoint Health Inc
75915TAD4
69254.44000000
PA
USD
69124.93000000
0.055494022654
Long
LON
CORP
US
N
2
2025-11-16
Floating
3.85420000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-5232.46000000
-0.00420065891
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-846948.25000000
USD
1063231.73000000
CAD
2022-01-18
-5232.46000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
SWOP IRS USD
000000000
-12500000.00000000
NC
USD
-185103.84000000
-0.14860277891
N/A
DIR
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2022-03-14
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
1.16000000
USD
2022-03-14
XXXX
-116353.84000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KK3X5
87920.11000000
PA
USD
90219.14000000
0.072428615827
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SU3
490000.00000000
PA
USD
484793.75000000
0.389196131489
Long
DBT
UST
US
N
2
2051-02-15
Fixed
1.87500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TB4
810000.00000000
PA
USD
803545.31000000
0.645092322515
Long
DBT
UST
US
N
2
2051-11-15
Fixed
1.87500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468G7
50000.00000000
PA
USD
56977.89000000
0.045742286010
Long
DBT
CORP
US
N
2
2030-01-23
Fixed
4.43100000
N
N
N
N
N
N
ADVANTAGE FUTURES LLC
N/A
10 YEAR US TREASURY NOTE
000000000
-22.00000000
NC
USD
-14437.50000000
-0.01159053545
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
0.00000000
USD
1000.00000000
131.00000000
USD
2022-02-18
XXXX
4774.44000000
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DL6
110000.00000000
PA
USD
142725.00000000
0.114580721939
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
6.60000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
US 5 YEAR TREASURY NOTE
000000000
-2.00000000
NC
USD
-296.88000000
-0.00023833753
N/A
DIR
CORP
US
N
1
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-31
0.00000000
USD
1000.00000000
121.50000000
USD
2022-01-21
XXXX
199.66000000
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FQ6
30000.00000000
PA
USD
31438.32000000
0.025238923819
Long
DBT
CORP
US
N
2
2036-04-06
Fixed
2.89100000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BM3
10000.00000000
PA
USD
10898.27000000
0.008749214534
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M Co
88579YBN0
40000.00000000
PA
USD
42890.49000000
0.034432813512
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.05000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AS6
200000.00000000
PA
USD
207074.00000000
0.166240591451
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.37500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-56.00000000
NC
USD
-13562.53000000
-0.01088810284
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
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-31
0.00000000
USD
1000.00000000
121.75000000
USD
2022-02-18
XXXX
340.59000000
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F012411
200000.00000000
PA
USD
200535.20000000
0.160991192785
Long
ABS-MBS
USGSE
US
N
2
2037-01-01
Fixed
1.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFH7
200000.00000000
PA
USD
214371.80000000
0.172099321124
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
4.20000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAP8
70000.00000000
PA
USD
72312.40000000
0.058052947957
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.90000000
N
N
N
N
N
N
GUARDIAN LIFE GLOB FUND
635400NHILJ5JEKILC36
Guardian Life Global Funding
40139LAG8
20000.00000000
PA
USD
19808.84000000
0.015902688302
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
1.10000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2019-UVIL
12656DAA1
260000.00000000
PA
USD
271983.32000000
0.218350290146
Long
ABS-MBS
CORP
US
N
2
2041-12-15
Fixed
3.15950000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AQ1
30000.00000000
PA
USD
32234.40000000
0.025878022934
Long
DBT
CORP
US
N
2
2027-10-27
Fixed
3.87500000
N
N
N
N
N
N
Structured Asset Investment Lo
N/A
Structured Asset Investment Loan Trust 2005-HE1
86358EUW4
264574.69000000
PA
USD
263879.49000000
0.211844473422
Long
ABS-O
CORP
US
N
2
2035-07-25
Floating
0.82188000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKH4
30000.00000000
PA
USD
28989.65000000
0.023273112809
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
10 YEAR US TREASURY NOTE WEEK 5
000000000
8.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
1
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
10 YEAR US TREASURY NOTE WEEK 5
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
0.00000000
USD
1000.00000000
130.25000000
USD
2021-12-31
XXXX
-1888.84000000
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F022618
800000.00000000
PA
USD
816191.36000000
0.655244668206
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RBK7
19000.00000000
PA
USD
21416.50000000
0.017193330050
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
4.35000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-3863.99000000
-0.00310204073
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2051-06-03
566.43000000
USD
0.00000000
USD
56000.00000000
USD
-4446.39000000
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAV5
90000.00000000
PA
USD
102904.32000000
0.082612375381
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
5.85000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AT7
200000.00000000
PA
USD
215030.92000000
0.172628467703
Long
DBT
CORP
GB
N
2
2027-09-11
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWZ3
90000.00000000
PA
USD
99974.42000000
0.080260229245
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.22300000
N
N
N
N
N
N
FOCUS FINANCIAL PARTNERS LLC
5493007L0E0VKRC2CP39
Focus Financial Partners LLC
34416DAT5
206863.57000000
PA
USD
204925.26000000
0.164515566540
Long
LON
CORP
US
N
2
2024-07-03
Floating
2.08700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J6EW3
39673.37000000
PA
USD
45797.20000000
0.036766342538
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
6.00000000
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
Johnson & Johnson
478160CF9
30000.00000000
PA
USD
34439.90000000
0.027648615207
Long
DBT
CORP
US
N
2
2037-03-03
Fixed
3.62500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAG8
10000.00000000
PA
USD
11454.00000000
0.009195358830
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAQ7
20000.00000000
PA
USD
20424.82000000
0.016397201759
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.72200000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
-671.00000000
NC
USD
-486891.61000000
-0.39088030954
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
-92821585.52000000
USD
-486891.61000000
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AJ4
40000.00000000
PA
USD
46739.60000000
0.037522908468
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
5.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FVQ54
75034.91000000
PA
USD
9628.76000000
0.007730042194
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XJ70
221634.54000000
PA
USD
224300.12000000
0.180069852378
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
2.25275000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDW9
10000.00000000
PA
USD
9961.94000000
0.007997521647
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.25000000
N
N
N
N
N
N
HERSHEY COMPANY
21X2CX66SU2BR6QTAD08
Hershey Co/The
427866BF4
10000.00000000
PA
USD
9867.50000000
0.007921704492
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.90000000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AC5
240000.00000000
PA
USD
259091.36000000
0.208000526026
Long
DBT
CORP
JP
N
2
2027-09-17
Fixed
4.34500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2N2
90000.00000000
PA
USD
91589.65000000
0.073528871740
Long
DBT
CORP
US
N
2
2026-04-30
Fixed
2.18800000
N
N
N
N
N
N
Dewolf Park clo, ltd
N/A
Dewolf Park CLO Ltd
25211AAL3
280000.00000000
PA
USD
280000.71000000
0.224786712176
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
2.97375000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-75975.54000000
-0.06099374477
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2024-06-04
0.00000000
USD
0.00000000
USD
11054000.00000000
USD
-75975.54000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QDU28
67732.87000000
PA
USD
70662.04000000
0.056728026322
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QADC1
19172.69000000
PA
USD
20861.42000000
0.016747707579
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
ADVANTAGE FUTURES LLC
N/A
US 5 YEAR TREASURY NOTE
000000000
-5.00000000
NC
USD
-2539.07000000
-0.00203838482
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-31
0.00000000
USD
1000.00000000
121.25000000
USD
2022-01-21
XXXX
-227.41000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JT9
150000.00000000
PA
USD
163354.12000000
0.131141937301
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
4.40000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBF9
250000.00000000
PA
USD
311982.69000000
0.250462090403
Long
DBT
CORP
US
N
2
2049-02-14
Fixed
5.95000000
N
N
N
N
N
N
EATON CORP
0NZWDMRCE180888QQE14
Eaton Corp
278062AC8
50000.00000000
PA
USD
50932.31000000
0.040888848133
Long
DBT
CORP
US
N
2
2022-11-02
Fixed
2.75000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGM0
104000.00000000
PA
USD
102473.08000000
0.082266172610
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468L6
50000.00000000
PA
USD
51154.22000000
0.041066999179
Long
DBT
CORP
US
N
2
2031-01-22
Fixed
2.69900000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCR5
80000.00000000
PA
USD
80449.75000000
0.064585674793
Long
DBT
CORP
US
N
2
2032-11-08
Fixed
2.54500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9AZ8
88937.05000000
PA
USD
91424.56000000
0.073396336225
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
2.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967ME8
60000.00000000
PA
USD
66233.39000000
0.053172672220
Long
DBT
CORP
US
N
2
2030-03-20
Fixed
3.98000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XZQF1
35606.01000000
PA
USD
38087.39000000
0.030576848085
Long
ABS-MBS
USGSE
US
N
2
2044-08-01
Fixed
3.50000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FG8
70000.00000000
PA
USD
82414.34000000
0.066162862675
Long
DBT
CORP
US
N
2
2060-03-20
Fixed
3.83900000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAY2
90000.00000000
PA
USD
94893.06000000
0.076180874562
Long
DBT
CORP
US
N
2
2024-12-05
Fixed
4.02300000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - ZAR
000000000
1.00000000
NC
USD
-3057.72000000
-0.00245476100
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-84176.87000000
USD
1298100.00000000
ZAR
2022-01-18
-3057.72000000
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718FG9
10000.00000000
PA
USD
10574.63000000
0.008489393866
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
2.80000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2018-1
35563PES4
550000.00000000
PA
USD
564312.76000000
0.453034601090
Long
ABS-MBS
CORP
US
N
2
2057-05-25
Variable
4.75000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBZ3
80000.00000000
PA
USD
79271.88000000
0.063640071745
Long
DBT
UST
US
N
2
2028-04-30
Fixed
1.25000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLV2
20000.00000000
PA
USD
20197.78000000
0.016214932310
Long
DBT
CORP
US
N
2
2059-09-15
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HBJB5
35405.63000000
PA
USD
38405.95000000
0.030832590490
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XNX8
87545.88000000
PA
USD
89041.32000000
0.071483052920
Long
ABS-MBS
CORP
US
N
2
2030-01-25
Floating
2.30275000
N
N
N
N
N
N
United Airlines Inc
K1OQBWM7XEOO08LDNP29
UNITED AIRLINES 04/28 TL
90932RAJ3
79600.00000000
PA
USD
79708.26000000
0.063990400948
Long
LON
CORP
US
N
2
2028-04-21
Floating
4.50000000
N
N
N
N
N
N
Wingstop Funding LLC
N/A
Wingstop Funding LLC
974153AB4
407950.00000000
PA
USD
407319.31000000
0.326999058327
Long
ABS-O
CORP
US
N
2
2050-12-05
Fixed
2.84100000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DF6
400000.00000000
PA
USD
398004.00000000
0.319520656191
Long
DBT
NUSS
PE
N
2
2031-01-23
Fixed
2.78300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329N3E6
62995.39000000
PA
USD
67995.98000000
0.054587692957
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WDM8
54410.76700000
PA
USD
56975.08000000
0.045740030120
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617M7WQ7
555659.46000000
PA
USD
586518.50000000
0.470861539050
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
3.00000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDP4
20000.00000000
PA
USD
22415.26000000
0.017995142219
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.87500000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
9787000000.00000000
PA
736104.42000000
0.590950260056
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AJ9
160000.00000000
PA
USD
196800.13000000
0.157992650013
Long
DBT
CORP
US
N
2
2038-08-15
Fixed
4.80000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MR9
50000.00000000
PA
USD
50554.44000000
0.040585491206
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
1.67800000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBZ1
300000.00000000
PA
USD
311289.82000000
0.249905849066
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
PRIME SECURITY SERVICES BOR
549300O6QPZVWXV2DC15
Prime Security Services Borrower LLC
03765VAK6
16077.17000000
PA
USD
16053.38000000
0.012887776282
Long
LON
CORP
US
N
2
2026-09-23
Floating
3.50000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DR8
40000.00000000
PA
USD
39170.70000000
0.031446537641
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
2.12500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
4560.34000000
0.003661075841
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-148886.89000000
USD
3150000.00000000
MXN
2022-01-18
4560.34000000
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2004-NC8
61744CHP4
174951.87000000
PA
USD
174353.55000000
0.139972363858
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
1.01688000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAF9
40000.00000000
PA
USD
50334.59000000
0.040408993944
Long
DBT
CORP
US
N
2
2045-12-14
Fixed
4.30000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BD1
80000.00000000
PA
USD
108277.07000000
0.086925660186
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
7.75000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
2375.44000000
0.001907021405
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-190000.00000000
CAD
152790.44000000
USD
2022-01-18
2375.44000000
N
N
N
Madison Park Funding Ltd
549300FNRP3W5DX0O430
Madison Park Funding XXVI Ltd
55819YAG5
275000.00000000
PA
USD
271289.27000000
0.217793101496
Long
ABS-CBDO
CORP
KY
N
2
2030-07-29
Floating
3.12863000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAG5
90000.00000000
PA
USD
96628.87000000
0.077574396110
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
3.65000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBL8
460000.00000000
PA
USD
492890.00000000
0.395695862931
Long
DBT
CORP
US
N
2
2024-11-14
Fixed
4.55000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFB5
10000.00000000
PA
USD
10801.13000000
0.008671229799
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XBB9
25461.52000000
PA
USD
26163.69000000
0.021004410501
Long
ABS-MBS
CORP
US
N
2
2025-07-25
Floating
5.10275000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-OAT
000000000
4.00000000
NC
-13015.03000000
-0.01044856565
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
FRANCE (GOVT OF)
French Republic Government Bond OAT
2022-03-08
755095.38000000
USD
-13015.03000000
N
N
N
SPRINT CORP
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAF2
20000.00000000
PA
USD
22025.00000000
0.017681838505
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
7.87500000
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BF6
130000.00000000
PA
USD
143654.19000000
0.115326682780
Long
DBT
CORP
US
N
2
2026-11-30
Fixed
3.75000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FJ2
40000.00000000
PA
USD
41011.83000000
0.032924610891
Long
DBT
CORP
US
N
2
2027-02-05
Fixed
2.15000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
908.30000000
0.000729190189
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-40000.00000000
EUR
46413.16000000
USD
2022-01-18
908.30000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CD5
110000.00000000
PA
USD
113210.10000000
0.090885934411
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
3.20000000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AB9
40000.00000000
PA
USD
43882.37000000
0.035229102364
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.65000000
N
N
N
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AH6
140000.00000000
PA
USD
170888.56000000
0.137190643377
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
7.85000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468Q5
130000.00000000
PA
USD
132550.21000000
0.106412322683
Long
DBT
CORP
US
N
2
2026-04-28
Fixed
2.18800000
N
N
N
N
N
N
ADVANTAGE FUTURES LLC
N/A
US 5 YEAR TREASURY NOTE
000000000
-2.00000000
NC
USD
-296.87000000
-0.00023832950
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-31
0.00000000
USD
1000.00000000
121.50000000
USD
2022-01-21
XXXX
488.74000000
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
2290000.00000000
PA
118369.45000000
0.095027900063
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
Setanta Aircraft Leasing DAC
N/A
SETANTA AIRCRAFT 11/28 TL
000000000
110000.00000000
PA
USD
109862.50000000
0.088198455520
Long
LON
CORP
IE
N
2
2028-11-05
Floating
2.10190000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCB3
40000.00000000
PA
USD
48086.89000000
0.038604523188
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AGKB4
95950.68000000
PA
USD
96019.46000000
0.077085157099
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CE4
700000.00000000
PA
USD
800678.06000000
0.642790472279
Long
DBT
NUSS
ID
N
2
2048-01-11
Fixed
4.35000000
N
N
N
N
N
N
DUKE ENERGY OHIO INC
L6KC0HABGHNFU1Z6QY21
Duke Energy Ohio Inc
26442EAF7
100000.00000000
PA
USD
108105.58000000
0.086787986702
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
3.65000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KLVJ3
285648.75000000
PA
USD
285840.24000000
0.229474731536
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AH0
160000.00000000
PA
USD
159561.02000000
0.128096807602
Long
DBT
CORP
US
N
2
2025-06-25
Fixed
2.90000000
N
N
N
N
N
N
COTERRA ENERGY INC
FCNMH6O7VWU7LHXMK351
Coterra Energy Inc
127097AE3
110000.00000000
PA
USD
118208.68000000
0.094898832677
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBFY1
353215.06000000
PA
USD
369821.67000000
0.296895666053
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CV27
81832.06000000
PA
USD
86541.98000000
0.069476563646
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
3.50000000
N
N
N
N
N
N
Wellfleet CLO Ltd
N/A
Wellfleet CLO 2017-2A Ltd
94951MAG8
250000.00000000
PA
USD
249998.08000000
0.200700371273
Long
ABS-CBDO
CORP
KY
N
2
2029-10-20
Floating
3.53150000
N
N
N
N
N
N
DEERFIELD DAKOTA HOLDING
549300FDREJLOIGXY104
Deerfield Dakota Holding LLC
24440EAB3
108625.00000000
PA
USD
108676.05000000
0.087245964382
Long
LON
CORP
US
N
2
2027-04-09
Floating
4.75000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CN3
60000.00000000
PA
USD
60000.00000000
0.048168459039
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
4.20000000
N
N
N
N
N
N
Sotera Health Holdings LLC
549300OVT7MBXFLOFU20
SOTERA HEALTH 12/13/26
83600VAE1
110000.00000000
PA
USD
109484.10000000
0.087894673105
Long
LON
CORP
US
N
2
2026-12-13
Floating
3.25000000
N
N
N
N
N
N
ECMC Group Student Loan Trust
N/A
ECMC Group Student Loan Trust 2020-2
26829HAA4
166450.76000000
PA
USD
169063.09000000
0.135725142095
Long
ABS-O
CORP
US
N
2
2069-11-25
Floating
1.25188000
N
N
N
N
N
N
SUZANO AUSTRIA GMBH
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAJ1
150000.00000000
PA
USD
152439.00000000
0.122379195458
Long
DBT
CORP
AT
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Republic of Kenya Government International Bond
491798AL8
200000.00000000
PA
USD
195988.00000000
0.157340665836
Long
DBT
NUSS
KE
N
2
2034-01-23
Fixed
6.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCUK2
96813.03000000
PA
USD
101433.78000000
0.081431814618
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
3.00000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAF0
200000.00000000
PA
USD
215650.00000000
0.173125469863
Long
DBT
CORP
CH
N
2
N/A
Fixed
7.00000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKD3
130000.00000000
PA
USD
126378.26000000
0.101457434004
Long
DBT
CORP
US
N
2
2043-02-01
Fixed
3.10000000
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
Johnson & Johnson
478160CN2
40000.00000000
PA
USD
39155.93000000
0.031434680172
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
0.55000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BQ4
30000.00000000
PA
USD
34886.30000000
0.028006988543
Long
DBT
CORP
NL
N
2
2046-05-10
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HS2
145500.00000000
PA
USD
50926.46000000
0.040884151708
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MKK99
56030.56000000
PA
USD
60348.22000000
0.048448012719
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.00000000
N
N
N
N
N
N
WP CityMD Bidco LLC
N/A
WP CITYMD BIDCO L 08/28TL
92940KAK1
227700.01000000
PA
USD
227378.95000000
0.182541560657
Long
LON
CORP
US
N
2
2028-11-18
Floating
3.75000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-132.00000000
NC
USD
-6187.50000000
-0.00496737233
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
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-31
0.00000000
USD
1000.00000000
118.50000000
USD
2022-02-18
XXXX
9052.96000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAD39
78956.71000000
PA
USD
83707.51000000
0.067201029445
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
3.50000000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AS8
10000.00000000
PA
USD
10714.80000000
0.008601923415
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
5.37500000
N
N
N
N
N
N
Caesars Resort Collection LLC
549300V3UCT773B1KR38
CAESARS RESORT C 6/25 TL
12769LAD1
83333.33000000
PA
USD
83312.50000000
0.066883912395
Long
LON
CORP
US
N
2
2025-07-20
Floating
4.60350000
N
N
N
N
N
N
MTRO Commercial Mortgage Trust
N/A
MTRO Commercial Mortgage Trust 2019-TECH
55378MAG4
100000.00000000
PA
USD
97292.81000000
0.078107412221
Long
ABS-MBS
CORP
US
N
2
2033-12-15
Floating
1.90975000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAV2
135969.91000000
PA
USD
135533.45000000
0.108807290579
Long
LON
CORP
US
N
2
2023-11-03
Floating
3.10190000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
270000.00000000
PA
USD
297299.23000000
0.238674096377
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XCZ68
98488.98000000
PA
USD
101406.03000000
0.081409536706
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
IRS USD
000000000
1.00000000
NC
USD
103025.66000000
0.082709788061
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Y
2045-07-20
0.00000000
USD
0.00000000
USD
570000.00000000
USD
103025.66000000
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAL3
70000.00000000
PA
USD
72618.96000000
0.058299056670
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
2.87500000
N
N
N
N
N
N
DIAGEO INVESTMENT CORP
S4G8DPIPDVCF6CB81Z61
Diageo Investment Corp
25245BAB3
50000.00000000
PA
USD
50425.33000000
0.040481840710
Long
DBT
CORP
US
N
2
2022-05-11
Fixed
2.87500000
N
N
N
N
N
N
WI TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond - When Issued
912810SS8
300000.00000000
PA
USD
279503.91000000
0.224387877335
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAV7
350000.00000000
PA
USD
352869.98000000
0.283286719630
Long
DBT
CORP
IE
N
2
2026-10-29
Fixed
2.45000000
N
N
N
N
N
N
SkyMiles IP Ltd
2549008L7P4I8VB90936
SkyMiles IP Ltd
24736CBS2
90000.00000000
PA
USD
95062.50000000
0.076316902290
Long
LON
CORP
KY
N
2
2027-10-20
Floating
4.75000000
N
N
N
N
N
N
Allegany Park CLO, Ltd.
N/A
Allegany Park CLO Ltd
017154AG0
250000.00000000
PA
USD
250125.00000000
0.200802263620
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
2.68150000
N
N
N
N
N
N
TEVA PHARMACEUT FIN BV
549300Q840R30TDKVK53
Teva Pharmaceutical Finance Co BV
88165FAG7
280000.00000000
PA
USD
280506.80000000
0.225193005100
Long
DBT
CORP
CW
N
2
2022-12-18
Fixed
2.95000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
20000.00000000
PA
USD
22392.68000000
0.017977014822
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300V1P5RKG8RJI005
SMB Private Education Loan Trust 2018-C
78449QAC1
166360.79000000
PA
USD
166888.69000000
0.133979517139
Long
ABS-O
CORP
US
N
2
2035-11-15
Floating
0.85975000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDZ2
10000.00000000
PA
USD
10186.46000000
0.008177768021
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
2.90000000
N
N
N
N
N
N
DCERT BUYER INC
549300EF826JEEUCHZ67
Dcert Buyer Inc
24022KAB5
226715.58000000
PA
USD
226123.85000000
0.181533956775
Long
LON
CORP
US
N
2
2026-10-16
Floating
4.12360000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAF5
200000.00000000
PA
USD
194955.66000000
0.156511895386
Long
DBT
CORP
NL
N
2
2031-07-13
Fixed
3.06100000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZZ4
490000.00000000
PA
USD
576875.47000000
0.463120040791
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
7.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
000000000
269.00000000
NC
USD
-105139.90000000
-0.08440711610
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-12-19
66652377.40000000
USD
-105139.90000000
N
N
N
INTL LEASE FINANCE CORP
N/A
International Lease Finance Corp
459745GN9
150000.00000000
PA
USD
154628.88000000
0.124137247876
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.87500000
N
N
N
N
N
N
ADVANTAGE FUTURES LLC
N/A
US TREASURY LONG BOND
000000000
-44.00000000
NC
USD
-10312.50000000
-0.00827895389
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
0.00000000
USD
1000.00000000
169.00000000
USD
2022-02-18
XXXX
30173.88000000
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
28500000000.00000000
PA
2017845.99000000
1.619942198615
Long
DBT
NUSS
ID
N
2
2031-02-15
Fixed
6.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCS8
210000.00000000
PA
USD
205307.81000000
0.164822680607
Long
DBT
UST
US
N
2
2031-08-15
Fixed
1.25000000
N
N
N
N
N
N
UBS AG LONDON
BFM8T61CT2L1QCEMIK50
UBS AG/London
902674XN5
200000.00000000
PA
USD
261057.35000000
0.209578837839
Long
DBT
CORP
CH
N
2
2048-06-26
Fixed
4.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS IFS USD
000000000
1.00000000
NC
USD
38194.80000000
0.030663077655
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2026-11-18
32708.59000000
USD
0.00000000
USD
3140000.00000000
USD
4848.12000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CE2
20000.00000000
PA
USD
19397.76000000
0.015572670133
Long
DBT
CORP
US
N
2
2042-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9HZ9
33703.84000000
PA
USD
36808.54000000
0.029550177521
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
67020000.00000000
PA
3177989.17000000
2.551314019373
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
FNA VI LLC
N/A
FNA VI LLC
34411YAA5
135127.67000000
PA
USD
133341.69000000
0.107047728883
Long
ABS-O
CORP
US
N
2
2032-01-10
Fixed
1.35000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
2171.90000000
0.001743617936
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-410000.00000000
CAD
326751.63000000
USD
2022-01-18
2171.90000000
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200JY8
100000.00000000
PA
USD
104460.42000000
0.083861624366
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.00000000
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
41323.11000000
0.033174508856
Long
DBT
CORP
N/A
N
2
2025-05-01
Fixed
2.70000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2R3
100000.00000000
PA
USD
100846.15000000
0.080960060759
Long
DBT
CORP
US
N
2
2024-06-02
Fixed
1.65400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKDU9
94167.55000000
PA
USD
97514.68000000
0.078285531155
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
2.50000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
IRS BRL
000000000
1.00000000
NC
-12455.72000000
-0.00999954731
N/A
DIR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
Y
2027-01-04
589.95000000
BRL
0.00000000
BRL
1277000.00000000
BRL
-12981.72000000
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
53520000.00000000
PA
678648.41000000
0.544824135652
Long
DBT
NUSS
RU
N
2
2039-03-16
Fixed
7.70000000
N
N
N
N
N
N
UBS AG LONDON
BFM8T61CT2L1QCEMIK50
UBS AG/London
902674YA2
200000.00000000
PA
USD
200628.81000000
0.161066343609
Long
DBT
CORP
CH
N
2
2022-04-21
Fixed
1.75000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
1603.53000000
0.001287326152
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2051-07-09
0.00000000
USD
-3249.71000000
USD
479000.00000000
USD
4853.24000000
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F020620
300000.00000000
PA
USD
298407.70000000
0.239563984574
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
4088000.00000000
PA
719704.63000000
0.577784383175
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAF3
101599.95000000
PA
USD
101824.79000000
0.081745720438
Long
ABS-MBS
CORP
US
N
2
2039-10-25
Floating
2.20275000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAM8
260000.00000000
PA
USD
330582.99000000
0.265394553548
Long
DBT
CORP
US
N
2
2045-07-15
Fixed
5.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L06A0
87351.66000000
PA
USD
87654.80000000
0.070369944056
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132XCRW7
86579.76600000
PA
USD
91509.71000000
0.073464695297
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
3140QDWP5
86157.73000000
PA
USD
89811.07000000
0.072101014109
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.00000000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AJ2
50000.00000000
PA
USD
52970.12000000
0.042524817592
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
2.75000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAB2
50000.00000000
PA
USD
58550.02000000
0.047004404001
Long
DBT
CORP
US
N
2
2046-06-01
Fixed
4.37500000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZJ0
20000.00000000
PA
USD
20000.13000000
0.016056257378
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.62500000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BZ2
80000.00000000
PA
USD
83544.00000000
0.067069762366
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
2.45000000
N
N
N
N
N
N
NEXUS BUYER LLC
N/A
Nexus Buyer LLC
65343UAC6
197481.11000000
PA
USD
196387.06000000
0.157661034257
Long
LON
CORP
US
N
2
2026-11-08
Floating
3.85190000
N
N
N
N
N
N
KUWAIT INTL BOND
549300FSC1YD0D9XX589
Kuwait International Government Bond
501499AB3
400000.00000000
PA
USD
435564.00000000
0.349674111549
Long
DBT
NUSS
KW
N
2
2027-03-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXLU4
61627.00000000
PA
USD
68850.91000000
0.055274037302
Long
ABS-MBS
USGSE
US
N
2
2059-01-01
Fixed
4.50000000
N
N
N
N
N
N
Symphony CLO Ltd
N/A
Symphony CLO XIX Ltd
87166DAA6
250000.00000000
PA
USD
238274.40000000
0.191288511275
Long
ABS-CBDO
CORP
KY
N
2
2031-04-16
Floating
5.32225000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XYX6
281707.56000000
PA
USD
284889.36000000
0.228711357798
Long
ABS-MBS
CORP
US
N
2
2030-07-25
Floating
2.35275000
N
N
N
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
141781BL7
40000.00000000
PA
USD
40313.30000000
0.032363825663
Long
DBT
CORP
US
N
2
2023-07-23
Fixed
1.37500000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CN6
20000.00000000
PA
USD
21506.62000000
0.017265679075
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9S63
94073.76000000
PA
USD
94093.02000000
0.075538596329
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBH4
50000.00000000
PA
USD
52545.95000000
0.042184290670
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.99200000
N
N
N
N
N
N
GLOBAL MEDICAL RESPONSE
549300ZFWD4ZFCEJCQ87
Global Medical Response Inc
00169QAF6
15604.15000000
PA
USD
15522.23000000
0.012461364999
Long
LON
CORP
US
N
2
2025-10-02
Floating
5.25000000
N
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764BX7
10000.00000000
PA
USD
10149.67000000
0.008148232727
Long
DBT
CORP
US
N
2
2027-05-11
Fixed
1.99500000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
IRS BRL
000000000
1.00000000
NC
-2875.17000000
-0.00230820847
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Y
2027-01-04
0.00000000
BRL
0.00000000
BRL
300000.00000000
BRL
-2875.17000000
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LBJ4
190000.00000000
PA
USD
257238.27000000
0.206512851197
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
5.50000000
N
N
N
N
N
N
Hildene Community Funding CLO
549300845E8YWIPN4S43
Hildene Community Funding CDO Ltd
43133KAC9
380000.00000000
PA
USD
377150.00000000
0.302778905444
Long
ABS-CBDO
CORP
KY
N
2
2035-11-01
Fixed
2.60000000
N
N
N
N
N
N
ADVANTAGE FUTURES LLC
N/A
5 YEAR US TREASURY NOTE WEEK 5
000000000
16.00000000
NC
USD
375.01000000
0.000301060897
N/A
DE
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
5 YEAR US TREASURY NOTE WEEK 5
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-31
0.00000000
USD
1000.00000000
121.00000000
USD
2021-12-31
XXXX
-2035.48000000
N
N
N
ADVANTAGE FUTURES LLC
N/A
10 YEAR US TREASURY NOTE
000000000
-33.00000000
NC
USD
-40218.75000000
-0.03228792019
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
0.00000000
USD
1000.00000000
131.50000000
USD
2022-01-21
XXXX
-14041.46000000
N
N
N
TICP CLO Ltd
N/A
TICP CLO II-2 LTD
87249TAJ3
250000.00000000
PA
USD
247859.75000000
0.198983703589
Long
ABS-CBDO
CORP
KY
N
2
2028-04-20
Floating
3.08150000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
272000.00000000
PA
48115.88000000
0.038627796581
Long
DBT
NUSS
BR
N
2
2025-01-01
Fixed
10.00000000
N
N
N
N
N
N
QATAR ENERGY
254900QTESJKJ3P87J26
Qatar Energy
74730DAD5
200000.00000000
PA
USD
205873.60000000
0.165276901147
Long
DBT
CORP
QA
N
2
2051-07-12
Fixed
3.30000000
N
N
N
N
N
N
SMB Private Education Loan Tru
N/A
SMB Private Education Loan Trust 2019-B
83192CAC1
77194.69000000
PA
USD
77939.75000000
0.062570627590
Long
ABS-O
CORP
US
N
2
2037-06-15
Floating
1.10975000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418B6J0
78060.53000000
PA
USD
81950.34000000
0.065790359925
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QGU0
420137.16000000
PA
USD
422351.11000000
0.339066702370
Long
ABS-MBS
USGA
US
N
2
2070-07-20
Floating
0.55388000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAH6
40000.00000000
PA
USD
40626.12000000
0.032614959952
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.30000000
N
N
N
N
N
N
CONOCOPHILLIPS
WPTL2Z3FIYTHSP5V2253
ConocoPhillips
20825CAX2
120000.00000000
PA
USD
135310.96000000
0.108628673905
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.30000000
N
N
N
N
N
N
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
AUST 10Y BOND
000000000
14.00000000
NC
762.38000000
0.000612044496
N/A
DIR
CORP
AU
N
1
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
Long
AUSTRALIAN GOVERNMENT
Australia Government Bond
2022-03-15
1415968.97000000
USD
762.38000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KHNK8
134814.86000000
PA
USD
141188.47000000
0.113347183900
Long
ABS-MBS
USGSE
US
N
2
2050-02-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TV77
46631.65000000
PA
USD
49678.20000000
0.039882039030
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
4.50000000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBE0
540000.00000000
PA
USD
670837.68000000
0.538553621851
Long
DBT
NUSS
QA
N
2
2050-04-16
Fixed
4.40000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
IRS USD
000000000
1.00000000
NC
USD
125426.59000000
0.100693426047
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Y
2045-11-15
22548.17000000
USD
0.00000000
USD
663000.00000000
USD
101537.28000000
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2019-GS7
52474MAA7
202697.55000000
PA
USD
203274.89000000
0.163190636878
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.25000000
N
N
N
N
N
N
Loanpal Solar Loan Ltd.
N/A
Loanpal Solar Loan 2021-2 Ltd
53948QAA4
266817.19000000
PA
USD
264590.87000000
0.212415574729
Long
ABS-O
CORP
US
N
2
2048-03-20
Fixed
2.22000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAQ6
100000.00000000
PA
USD
105965.58000000
0.085069978330
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31288QFS4
84466.31000000
PA
USD
87209.67000000
0.070012590287
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Floating
2.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QGQ9
408080.91000000
PA
USD
410401.05000000
0.329473102776
Long
ABS-MBS
USGA
US
N
2
2070-07-20
Floating
0.55388000
N
N
N
N
N
N
VIRGIN MEDIA BRISTOL LLC
N/A
Virgin Media Bristol LLC
000000000
150000.00000000
PA
USD
148531.50000000
0.119242224563
Long
LON
CORP
US
N
2
2028-01-31
Floating
2.60860000
N
N
N
N
N
N
NADG NNN Operating LP
N/A
NADG NNN Operating LP
629682AA3
148500.00000000
PA
USD
150571.49000000
0.120879944142
Long
ABS-O
CORP
US
N
2
2049-12-28
Fixed
3.36800000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BM1
40000.00000000
PA
USD
59231.97000000
0.047551878679
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWT7
10000.00000000
PA
USD
10255.76000000
0.008233402591
Long
DBT
CORP
US
N
2
2023-02-23
Fixed
3.20000000
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
Johnson & Johnson
478160CP7
80000.00000000
PA
USD
78242.13000000
0.062813380567
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
0.95000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300AGZIS1CJS4RM30
Wells Fargo Commercial Mortgage Trust 2018-C44
95001JAX5
500000.00000000
PA
USD
560529.50000000
0.449997371017
Long
ABS-MBS
CORP
US
N
2
2051-05-15
Fixed
4.21200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJ5M6
64330.94000000
PA
USD
68490.09000000
0.054984368246
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBAL4
193416.97000000
PA
USD
193253.83000000
0.155145653242
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EQ7
10000.00000000
PA
USD
10333.00000000
0.008295411454
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.25000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAM1
30000.00000000
PA
USD
31638.73000000
0.025399814501
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS IFS USD
000000000
1.00000000
NC
USD
-15470.36000000
-0.01241972336
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2023-11-18
0.00000000
USD
-11602.96000000
USD
3140000.00000000
USD
-3880.38000000
N
N
N
MONDELEZ INTERNATIONAL
549300DV9GIB88LZ5P30
Mondelez International Inc
609207AU9
90000.00000000
PA
USD
90083.26000000
0.072319530323
Long
DBT
CORP
US
N
2
2025-05-04
Fixed
1.50000000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YAY1
100000.00000000
PA
USD
98025.99000000
0.078696014735
Long
DBT
CORP
US
N
2
2026-02-24
Fixed
0.75000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2018-IND
056059AS7
133000.01000000
PA
USD
132666.11000000
0.106505368090
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Floating
2.16000000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAH0
20000.00000000
PA
USD
20332.49000000
0.016323078528
Long
DBT
CORP
US
N
2
2025-04-05
Fixed
2.05600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132A5G58
66757.70000000
PA
USD
72166.02000000
0.057935432973
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UQ62
73367.20610000
PA
USD
77512.04000000
0.062227258729
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
4.50000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR8
92922FR75
52167.28000000
PA
USD
51640.83000000
0.041457653410
Long
ABS-MBS
CORP
US
N
2
2045-07-25
Floating
0.68188000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FXC89
92327.48000000
PA
USD
11685.96000000
0.009381578093
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Fixed
2.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
169954.18000000
0.136440515964
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-07-01
734.87000000
USD
0.00000000
USD
6330000.00000000
USD
168468.19000000
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBE9
20000.00000000
PA
USD
21332.91000000
0.017126223358
Long
DBT
CORP
US
N
2
2026-02-11
Fixed
3.41000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AS0
50000.00000000
PA
USD
54052.50000000
0.043393760537
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.37500000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2019-IMC
05608BAQ3
300000.00000000
PA
USD
296082.42000000
0.237697232000
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
3.01000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBC0
200000.00000000
PA
USD
204348.68000000
0.164052683705
Long
DBT
CORP
IT
N
2
2023-01-12
Fixed
3.37500000
N
N
N
N
N
N
ORBIA ADVANCE CORP SAB
549300MVHZ20SBIOEQ79
Orbia Advance Corp SAB de CV
68560EAB4
200000.00000000
PA
USD
196750.00000000
0.157952405266
Long
DBT
CORP
MX
N
2
2031-05-11
Fixed
2.87500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-476.63000000
-0.00038264221
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-50000.00000000
EUR
56404.45000000
USD
2022-01-18
-476.63000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NE7
430000.00000000
PA
USD
429490.72000000
0.344798435901
Long
DBT
CORP
US
N
2
2032-11-03
Fixed
2.52000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-81
12668BBN2
156833.95000000
PA
USD
137008.19000000
0.109991223134
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
0.66188000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SL3
1590000.00000000
PA
USD
1615030.08000000
1.296558504261
Long
DBT
UST
US
N
2
2050-02-15
Fixed
2.00000000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AT6
10000.00000000
PA
USD
10531.05000000
0.008454407509
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CR7
40000.00000000
PA
USD
49430.62000000
0.039683279912
Long
DBT
CORP
US
N
2
2049-10-26
Fixed
4.25000000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773CX6
10000.00000000
PA
USD
10476.06000000
0.008410261116
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
3.65000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABW4
40000.00000000
PA
USD
41615.20000000
0.033409000943
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
3.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-15358.68000000
-0.01233006580
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2026-11-20
0.00000000
USD
-6126.33000000
USD
3570000.00000000
USD
-9252.90000000
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DP2
100000.00000000
PA
USD
96316.14000000
0.077323334073
Long
DBT
CORP
US
N
2
2040-08-21
Fixed
2.70000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCC7
120000.00000000
PA
USD
119072.15000000
0.095592032999
Long
DBT
CORP
US
N
2
2026-03-25
Fixed
1.65000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HAZ0
200000.00000000
PA
USD
202276.97000000
0.162389499067
Long
DBT
CORP
IT
N
2
2022-07-14
Fixed
3.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X92S3
90306.08000000
PA
USD
90296.65000000
0.072490841448
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
REYNOLDS CONSUMER PRODUC
549300DWNZYMOSR1X343
Reynolds Consumer Products LLC
76171JAB7
95550.09000000
PA
USD
94935.70000000
0.076215106280
Long
LON
CORP
US
N
2
2027-02-04
Floating
1.85190000
N
N
N
N
N
N
GRIFOLS WORLDWIDE OPERAT
N/A
Grifols Worldwide Operations USA Inc
39843PAG8
138833.37000000
PA
USD
136750.87000000
0.109784644669
Long
LON
CORP
US
N
2
2027-11-15
Floating
2.10860000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
13792.38000000
0.011072628184
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-680000.00000000
EUR
787375.06000000
USD
2022-01-18
13792.38000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X7XK0
127889.68000000
PA
USD
136561.36000000
0.109632504591
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
12039.50000000
0.009665402710
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-2960000.00000000
NOK
347592.53000000
USD
2022-01-18
12039.50000000
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F030611
300000.00000000
PA
USD
310788.98000000
0.249503770883
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2L7
200000.00000000
PA
USD
201860.37000000
0.162055049400
Long
DBT
CORP
FR
N
2
2026-06-09
Fixed
2.21900000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0QQ5
506741.76000000
PA
USD
516494.46000000
0.414645704008
Long
ABS-MBS
CORP
US
N
2
2030-03-25
Floating
2.60275000
N
N
N
N
N
N
Tharaldson Hotel Portfolio Tru
N/A
Tharaldson Hotel Portfolio Trust 2018-THPT
88327HAL7
243024.08000000
PA
USD
239973.96000000
0.192652931045
Long
ABS-MBS
CORP
US
N
2
2034-11-11
Floating
2.40400000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QGX4
226283.80000000
PA
USD
226559.35000000
0.181883579507
Long
ABS-MBS
USGA
US
N
2
2070-08-20
Floating
0.50388000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-13900.67000000
-0.01115956422
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2051-06-07
0.00000000
USD
-22.09000000
USD
172000.00000000
USD
-13879.17000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCK7
98000.00000000
PA
USD
98860.44000000
0.079365917579
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.25000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AL5
20000.00000000
PA
USD
20609.40000000
0.016545383995
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKD0
160000.00000000
PA
USD
160768.66000000
0.129066310233
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.57200000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
9660000.00000000
PA
422745.03000000
0.339382944360
Long
DBT
NUSS
ZA
N
2
2036-03-31
Fixed
6.25000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CP1
140000.00000000
PA
USD
153300.57000000
0.123070870445
Long
DBT
CORP
US
N
2
2029-07-26
Fixed
3.40000000
N
N
N
N
N
N
TARGET CORP
8WDDFXB5T1Z6J0XC1L66
Target Corp
87612EBL9
50000.00000000
PA
USD
51527.14000000
0.041366382208
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.25000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEH4
230000.00000000
PA
USD
229755.41000000
0.184449400927
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.51100000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBX6
330000.00000000
PA
USD
352833.52000000
0.283257449263
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GYN8
220000.00000000
PA
USD
221376.49000000
0.177722739847
Long
DBT
CORP
US
N
2
2032-10-21
Fixed
2.65000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US LONG BOND
000000000
38.00000000
NC
USD
99406.97000000
0.079804676044
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
5997218.03000000
USD
99406.97000000
N
N
N
ADVANTAGE FUTURES LLC
N/A
10 YEAR US TREASURY NOTE
000000000
-22.00000000
NC
USD
-10312.50000000
-0.00827895389
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
0.00000000
USD
1000.00000000
131.50000000
USD
2022-02-18
XXXX
4430.69000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-14264.59000000
-0.01145172198
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-766612.24000000
USD
661333.84000000
EUR
2022-01-18
-14264.59000000
N
N
N
ADVANTAGE FUTURES LLC
N/A
10 YEAR US TREASURY NOTE
000000000
-103.00000000
NC
USD
-9656.25000000
-0.00775211137
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
0.00000000
USD
1000.00000000
133.50000000
USD
2022-02-18
XXXX
20056.19000000
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AT9
320000.00000000
PA
USD
480000.00000000
0.385347672314
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378KJP5
12100892.32000000
PA
USD
70796.27000000
0.056835787193
Long
ABS-MBS
USGA
US
N
2
2048-10-16
Variable
0.12593000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XAF1
108582.18000000
PA
USD
110605.63000000
0.088795045969
Long
ABS-MBS
CORP
US
N
2
2024-05-25
Floating
2.70275000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-102.00000000
NC
USD
-1275.00000000
-0.00102357975
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 MONTH EURODOLLAR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-03-14
0.00000000
USD
2500.00000000
99.37500000
USD
2022-03-14
XXXX
3585.80000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CS54
23611.27000000
PA
USD
25350.01000000
0.020351181972
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X8BA4
63667.93000000
PA
USD
66257.18000000
0.053191771014
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
3.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
43.00000000
NC
USD
537.50000000
0.000431509112
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 MONTH EURODOLLAR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-03-14
0.00000000
USD
2500.00000000
99.87500000
USD
2022-03-14
XXXX
-90.30000000
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764BY5
60000.00000000
PA
USD
60687.40000000
0.048720309018
Long
DBT
CORP
US
N
2
2030-05-11
Fixed
2.23600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CUA0
22477.73000000
PA
USD
23829.41000000
0.019130432658
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEA8
340000.00000000
PA
USD
399721.49000000
0.320899470303
Long
DBT
CORP
US
N
2
2033-08-10
Fixed
4.50000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAZ9
30000.00000000
PA
USD
37678.27000000
0.030248403419
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
4.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132AAK52
42211.26000000
PA
USD
45307.51000000
0.036373215660
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RE0
84000.00000000
PA
USD
109314.84000000
0.087758789882
Long
DBT
UST
US
N
2
2044-02-15
Fixed
3.62500000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACB9
40000.00000000
PA
USD
39798.97000000
0.031950917604
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.55000000
N
N
N
N
N
N
Small Business Administration
N/A
United States Small Business Administration
83162CB51
24493.80000000
PA
USD
26142.85000000
0.020987679989
Long
ABS-MBS
USGA
US
N
2
2039-04-01
Fixed
2.98000000
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
257500.00000000
0.206722970043
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.12500000
N
N
N
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2013-1
64033CAA8
57462.89000000
PA
USD
57166.16000000
0.045893430606
Long
ABS-O
CORP
US
N
2
2041-06-25
Floating
0.70275000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BS4
10000.00000000
PA
USD
9690.69000000
0.007779760072
Long
DBT
CORP
US
N
2
2030-06-03
Fixed
1.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VKP4
37218.16000000
PA
USD
39257.34000000
0.031516092896
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SY5
10000.00000000
PA
USD
10503.13000000
0.008431993119
Long
DBT
UST
US
N
2
2041-05-15
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BKY1
37759.75000000
PA
USD
40383.51000000
0.032420190788
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
3.50000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAM7
200000.00000000
PA
USD
188260.00000000
0.151136568312
Long
DBT
CORP
KY
N
2
2027-03-08
Fixed
2.30000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AA5
120000.00000000
PA
USD
141900.60000000
0.113918887312
Long
DBT
CORP
US
N
2
2050-02-01
Variable
6.50000000
N
N
N
N
N
N
GFL Environmental Inc
549300FYK4MBXWIVZU26
GFL ENVIRONMEN 5/31/25 TL
000000000
145140.54000000
PA
USD
145451.14000000
0.116769287988
Long
LON
CORP
CA
N
2
2025-05-31
Floating
3.50000000
N
N
N
N
N
N
Cloudera Inc
549300PGONC4JOI0RG62
PROJECT SKY 8/28 TL
74339VAB4
40000.00000000
PA
USD
39850.00000000
0.031991884878
Long
LON
CORP
US
N
2
2028-10-08
Floating
4.25000000
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06367WB85
90000.00000000
PA
USD
91328.96000000
0.073319587814
Long
DBT
CORP
CA
N
2
2025-05-01
Fixed
1.85000000
N
N
N
N
N
N
RADIOLOGY PARTNERS INC
549300SFTAG2177WUZ08
Radiology Partners Inc
75041EAB8
115403.21000000
PA
USD
113576.38000000
0.091179986797
Long
LON
CORP
US
N
2
2025-07-09
Floating
4.35190000
N
N
N
N
N
N
PFIZER INC
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081EX7
60000.00000000
PA
USD
59282.34000000
0.047592316100
Long
DBT
CORP
US
N
2
2025-05-28
Fixed
0.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JHYV9
36080.69000000
PA
USD
39324.84000000
0.031570282412
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBB0
70000.00000000
PA
USD
73416.05000000
0.058938966620
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.55700000
N
N
N
N
N
N
ALPHABET INC
5493006MHB84DD0ZWV18
Alphabet Inc
02079KAD9
30000.00000000
PA
USD
28357.72000000
0.022765794571
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
1.10000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-176.00000000
NC
USD
-27500.00000000
-0.02207721039
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 MONTH EURODOLLAR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-06-19
0.00000000
USD
2500.00000000
97.00000000
USD
2023-06-19
XXXX
2455.40000000
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBS9
20000.00000000
PA
USD
21324.29000000
0.017119303156
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.15000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAL4
50000.00000000
PA
USD
50000.00000000
0.040140382532
Long
DBT
CORP
US
N
2
N/A
Fixed
6.75000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAT7
10000.00000000
PA
USD
12769.99000000
0.010251845670
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
5.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMM1
20000.00000000
PA
USD
19560.84000000
0.015703592005
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BN3
60000.00000000
PA
USD
74823.51000000
0.060068886276
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
5.75000000
N
N
N
N
N
N
CANADIAN PACIFIC RAILWAY
54930036474DURYNB481
Canadian Pacific Railway Co
13645RBH6
60000.00000000
PA
USD
61699.24000000
0.049532621911
Long
DBT
CORP
CA
N
2
2051-12-02
Fixed
3.10000000
N
N
N
N
N
N
PIONEER NATURAL RESOURCE
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co
723787AT4
10000.00000000
PA
USD
9710.03000000
0.007795286372
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.12500000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFH2
230000.00000000
PA
USD
283193.65000000
0.227350028836
Long
DBT
CORP
US
N
2
2048-09-01
Fixed
4.45000000
N
N
N
N
N
N
1011778 BC ULC
549300RHSHNRWI5LLA86
1011778 BC ULC
000000000
344034.17000000
PA
USD
338873.66000000
0.272050366853
Long
LON
CORP
CA
N
2
2026-11-19
Floating
1.85250000
N
N
N
N
N
N
PetSmart Inc
N/A
PETSMART INC 1/29/2028 TL
71677HAL9
99750.00000000
PA
USD
99812.84000000
0.080130511585
Long
LON
CORP
US
N
2
2028-02-12
Floating
4.50000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78015K7G3
80000.00000000
PA
USD
80897.68000000
0.064945276424
Long
DBT
CORP
CA
N
2
2023-04-17
Fixed
1.60000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAT7
10000.00000000
PA
USD
13687.79000000
0.010988662532
Long
DBT
CORP
US
N
2
2049-04-01
Fixed
5.95000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KH5T9
57275.63000000
PA
USD
61362.86000000
0.049262573474
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
3.50000000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BF9
80000.00000000
PA
USD
86188.37000000
0.069192682833
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.65000000
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
388942.92000000
0.312246351844
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Floating
1.96000000
N
N
N
N
N
N
ADVANTAGE FUTURES LLC
N/A
5 YEAR US TREASURY NOTE WEEK 5
000000000
7.00000000
NC
USD
54.69000000
0.000043905550
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
5 YEAR US TREASURY NOTE WEEK 5
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-31
0.00000000
USD
1000.00000000
121.75000000
USD
2021-12-31
XXXX
-738.67000000
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAL8
25000.00000000
PA
USD
25391.39000000
0.020384402152
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.70000000
N
N
N
N
N
N
ADVANTAGE FUTURES LLC
N/A
IMM EURODOLLAR TIME DEPOSIT
000000000
-110.00000000
NC
USD
-18562.50000000
-0.01490211701
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Put
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 MONTH EURODOLLAR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-03-13
0.00000000
USD
2500.00000000
97.75000000
USD
2023-03-13
XXXX
1144.00000000
N
N
N
GENESEE & WYOMING INC
G617XSG94Z7G0RMW3L02
Genesee & Wyoming Inc
55316HAB1
246414.95000000
PA
USD
244731.94000000
0.196472673791
Long
LON
CORP
US
N
2
2026-12-30
Floating
2.10190000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCT6
45000.00000000
PA
USD
51085.41000000
0.041011757984
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.15000000
N
N
N
N
N
N
ADVANTAGE FUTURES LLC
N/A
US TREASURY LONG BOND WEEK 1
000000000
33.00000000
NC
USD
11859.38000000
0.009520800996
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
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 WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
0.00000000
USD
1000.00000000
159.00000000
USD
2022-01-07
XXXX
-13916.46000000
N
N
N
CAMERON LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AB6
60000.00000000
PA
USD
62628.00000000
0.050278237545
Long
DBT
CORP
US
N
2
2035-01-15
Fixed
3.30200000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABB0
210000.00000000
PA
USD
222489.57000000
0.178616328986
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BM5
80000.00000000
PA
USD
95466.16000000
0.076640963626
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
5.37500000
N
N
N
N
N
N
BERKSHIRE HATHAWAY FIN
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp
084664CR0
70000.00000000
PA
USD
85952.07000000
0.069002979385
Long
DBT
CORP
US
N
2
2049-01-15
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KLGL5
92078.74000000
PA
USD
92024.90000000
0.073878293770
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LBH3
40000.00000000
PA
USD
40007.69000000
0.032118479617
Long
DBT
CORP
US
N
2
2052-06-15
Fixed
2.87500000
N
N
N
N
N
N
CANADIAN PACIFIC RAILWAY
54930036474DURYNB481
Canadian Pacific Railway Co
13645RBG8
20000.00000000
PA
USD
20451.39000000
0.016418532358
Long
DBT
CORP
CA
N
2
2041-12-02
Fixed
3.00000000
N
N
N
N
N
N
Energizer Holdings Inc
5493000D6NN0V57UME20
ENERGIZER HLDGS 12/27 TL
000000000
168725.00000000
PA
USD
168039.98000000
0.134903781559
Long
LON
CORP
US
N
2
2027-12-22
Floating
2.75000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AQ1
250000.00000000
PA
USD
251397.26000000
0.201823643681
Long
DBT
CORP
CH
N
2
2026-06-05
Fixed
2.19300000
N
N
N
N
N
N
ADVANTAGE FUTURES LLC
N/A
US TREASURY LONG BOND WEEK 5
000000000
33.00000000
NC
USD
0.00000000
0.000000
N/A
DE
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
US TREASURY LONG BOND WEEK 5
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
0.00000000
USD
1000.00000000
160.00000000
USD
2021-12-31
XXXX
-20682.09000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
20020.69000000
0.016072763103
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-990000.00000000
EUR
1146266.06000000
USD
2022-01-18
20020.69000000
N
N
N
MILEAGE PLUS HLDINGS LLC
N/A
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd
599191AA1
60000.00000000
PA
USD
64050.00000000
0.051419830024
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
36179TZ65
31669.21000000
PA
USD
33680.15000000
0.027038682095
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
4.50000000
N
N
N
N
N
N
R.J. O'BRIEN LIMITED
549300OHLZ0RR2TSKH90
US 5 YEAR TREASURY NOTE
000000000
-13.00000000
NC
USD
-3046.88000000
-0.00244605857
N/A
DIR
CORP
US
N
1
R.J. O'BRIEN LIMITED
549300OHLZ0RR2TSKH90
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-31
0.00000000
USD
1000.00000000
121.25000000
USD
2022-01-21
XXXX
649.38000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KSBK2
65971.86000000
PA
USD
68741.68000000
0.055186346622
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
3.00000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
N/A
CSAIL 2017-C8 Commercial Mortgage Trust
12595BAJ0
500000.00000000
PA
USD
497541.45000000
0.399430082577
Long
ABS-MBS
CORP
US
N
2
2050-06-15
Variable
4.32572400
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XADE9
93522.02000000
PA
USD
93541.17000000
0.075095566927
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141EC23
80000.00000000
PA
USD
84645.10000000
0.067953733870
Long
DBT
CORP
US
N
2
2024-07-08
Fixed
3.85000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SZ2
520000.00000000
PA
USD
530075.00000000
0.425548265420
Long
DBT
UST
US
N
2
2051-08-15
Fixed
2.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZW3
100000.00000000
PA
USD
97152.34000000
0.077994641831
Long
DBT
UST
US
N
2
2025-06-30
Fixed
0.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XAEW8
94595.10000000
PA
USD
94480.57000000
0.075849724434
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.00000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAR4
80000.00000000
PA
USD
92055.84000000
0.073903132639
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
5.00000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAN9
10000.00000000
PA
USD
10604.07000000
0.008513028524
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFF6
10000.00000000
PA
USD
10566.74000000
0.008483059714
Long
DBT
CORP
US
N
2
2027-03-22
Fixed
3.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGH1
40000.00000000
PA
USD
40076.19000000
0.032173471941
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
2.10000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91086QBB3
870000.00000000
PA
USD
947221.20000000
0.760436426222
Long
DBT
NUSS
MX
N
2
2044-03-08
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UEA6
31120.62000000
PA
USD
32900.81000000
0.026413021980
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
4.50000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AU5
20000.00000000
PA
USD
19850.00000000
0.015935731865
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
2.26800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QHD36
89820.23000000
PA
USD
92169.01000000
0.073993986381
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.50000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BJ4
90000.00000000
PA
USD
109120.15000000
0.087602491260
Long
DBT
CORP
US
N
2
2047-08-22
Fixed
4.05000000
N
N
N
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
Lennar Corp
526057BZ6
40000.00000000
PA
USD
42487.20000000
0.034109049214
Long
DBT
CORP
US
N
2
2024-04-30
Fixed
4.50000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPER
549300TPZNMN50BJ3745
Charter Communications Operating LLC
16117LBX6
39198.00000000
PA
USD
38799.75000000
0.031148736143
Long
LON
CORP
US
N
2
2027-02-01
Floating
1.85190000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QKQY7
94432.26000000
PA
USD
97497.47000000
0.078271714835
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QCQ90
56749.36000000
PA
USD
59493.70000000
0.047761997525
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377REA8
200000.00000000
PA
USD
207169.92000000
0.166317596761
Long
ABS-O
CORP
US
N
2
2027-02-20
Fixed
2.96000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BDY93
188784.11000000
PA
USD
26567.70000000
0.021328752820
Long
ABS-MBS
USGSE
US
N
2
2051-02-25
Fixed
2.50000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CD2
90000.00000000
PA
USD
98150.70000000
0.078796132877
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.35000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
240000.00000000
PA
2961.35000000
0.002377394436
Long
DBT
NUSS
RU
N
2
2034-05-10
Fixed
7.25000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - NOK
000000000
1.00000000
NC
USD
-18632.92000000
-0.01495865073
N/A
DFE
CORP
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
-615813.01000000
USD
5267880.00000000
NOK
2022-01-18
-18632.92000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CX1
20000.00000000
PA
USD
27753.68000000
0.022280866637
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
5.93000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-217.09000000
-0.00017428151
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-25000.00000000
EUR
28223.45000000
USD
2022-01-18
-217.09000000
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AQ4
30000.00000000
PA
USD
33247.50000000
0.026691347365
Long
DBT
CORP
US
N
2
2044-06-01
Fixed
4.90000000
N
N
N
N
N
N
Rackspace Technology Global Inc
549300QTYCKLMFSE8I97
RACKSPACE TECH 2/28 TL
75009XAB6
169150.00000000
PA
USD
167751.13000000
0.134671890569
Long
LON
CORP
US
N
2
2028-02-09
Floating
3.50000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2004-NC7
61744CFP6
69338.18000000
PA
USD
68512.97000000
0.055002736485
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Floating
0.95688000
N
N
N
N
N
N
ADVANTAGE FUTURES LLC
N/A
10 YEAR US TREASURY NOTE
000000000
-65.00000000
NC
USD
-26406.25000000
-0.02119913952
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
0.00000000
USD
1000.00000000
129.00000000
USD
2022-02-18
XXXX
6262.56000000
N
N
N
UFC HOLDINGS LLC
549300JEOTH7UMZ3C491
UFC Holdings LLC
90266UAJ2
283350.01000000
PA
USD
281780.25000000
0.226215340503
Long
LON
CORP
US
N
2
2026-04-29
Floating
3.50000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114QCG1
100000.00000000
PA
USD
100004.51000000
0.080284385727
Long
DBT
CORP
CA
N
2
2023-06-12
Fixed
0.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382HM98
90695.12000000
PA
USD
11599.41000000
0.009312095091
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
2.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967EW7
240000.00000000
PA
USD
405770.77000000
0.325755878568
Long
DBT
CORP
US
N
2
2039-07-15
Fixed
8.12500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-935.04000000
-0.00075065726
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-151350.04000000
USD
190000.00000000
CAD
2022-01-18
-935.04000000
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEF5
170000.00000000
PA
USD
183911.10000000
0.147645238120
Long
DBT
CORP
US
N
2
2051-05-15
Fixed
3.25000000
N
N
N
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CR9
30000.00000000
PA
USD
32404.91000000
0.026014909666
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
3.37500000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BG5
2000.00000000
PA
USD
2150.04000000
0.001726068561
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KLWQ6
194344.71000000
PA
USD
194180.78000000
0.155889815794
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAD2
10000.00000000
PA
USD
10526.80000000
0.008450995576
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
3.79000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CEE0
184727.86000000
PA
USD
194191.07000000
0.155898076684
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
3.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBQ2
150000.00000000
PA
USD
149314.69000000
0.119870975487
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
2.65000000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BH1
50000.00000000
PA
USD
54124.83000000
0.043451827614
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.55000000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1374.88000000
0.001103764182
N/A
DFE
CORP
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
-2000000.00000000
RUB
27928.33000000
USD
2022-01-18
1374.88000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-28735.22000000
-0.02306885445
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-2032785.06000000
USD
230743058.00000000
JPY
2022-01-18
-28735.22000000
N
N
N
BWAY Mortgage Trust
N/A
BWAY 2015-1740 Mortgage Trust
05604LAL6
500000.00000000
PA
USD
475065.55000000
0.381386258102
Long
ABS-MBS
CORP
US
N
2
2035-01-10
Variable
4.44990700
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
N/A
CSAIL 2021-C20 Commercial Mortgage Trust
22945EAU5
240000.00000000
PA
USD
249430.99000000
0.200245107082
Long
ABS-MBS
CORP
US
N
2
2054-03-15
Fixed
2.80480000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBC8
105000.00000000
PA
USD
131994.45000000
0.105966154303
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.45000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AT8
50000.00000000
PA
USD
58881.00000000
0.047270117278
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
5.75000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SX7
170000.00000000
PA
USD
187770.31000000
0.150743441433
Long
DBT
UST
US
N
2
2051-05-15
Fixed
2.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XAH96
94037.41000000
PA
USD
93895.05000000
0.075379664498
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXJ8
190000.00000000
PA
USD
200912.43000000
0.161294035915
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FVQG0
88974.73000000
PA
USD
12942.79000000
0.010390570832
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
2.50000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBS0
40000.00000000
PA
USD
43438.00000000
0.034872358729
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.87500000
N
N
N
N
N
N
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-9190.48000000
-0.00737818765
N/A
DFE
CORP
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
-7600000.00000000
MXN
361031.41000000
USD
2022-01-18
-9190.48000000
N
N
N
ATLAS LUXCO 4 / ALL UNI
N/A
Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl
049362AA4
360000.00000000
PA
USD
353334.60000000
0.283659720121
Long
DBT
CORP
N/A
N
2
2028-06-01
Fixed
4.62500000
N
N
N
N
N
N
BNY CASH RESERVE
N/A
BNY CASH RESERVE
000000000
377933.42000000
NS
USD
377933.42000000
0.303407841014
Long
STIV
CORP
US
N
2
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
UNITED STATES ULTRA BOND
000000000
28.00000000
NC
USD
34791.24000000
0.027930673647
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
5484708.76000000
USD
34791.24000000
N
N
N
SUNRUN CALLISTO ISSUER LLC
N/A
Sunrun Atlas Issuer 2019-2 LLC
86772FAA9
94851.35000000
PA
USD
99249.40000000
0.079678177642
Long
ABS-O
CORP
US
N
2
2055-02-01
Fixed
3.61000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AD9
10000.00000000
PA
USD
9985.30000000
0.008016275234
Long
DBT
CORP
US
N
2
2023-01-13
Floating
1.97175000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382LXR7
455578.61000000
PA
USD
46558.04000000
0.037377150711
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA3
35565WAH5
32263.79000000
PA
USD
32317.81000000
0.025944985120
Long
ABS-MBS
CORP
US
N
2
2050-06-25
Floating
3.10275000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDX7
140000.00000000
PA
USD
138986.91000000
0.111579754688
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.00000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78015K7H1
50000.00000000
PA
USD
49567.88000000
0.039793473290
Long
DBT
CORP
CA
N
2
2025-06-10
Fixed
1.15000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAZ2
610000.00000000
PA
USD
656512.50000000
0.527053257750
Long
DBT
CORP
NL
N
2
2029-02-01
Fixed
5.75000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - INR
000000000
1.00000000
NC
USD
4504.45000000
0.003616206921
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-533347.24000000
USD
40059711.00000000
INR
2022-01-18
4504.45000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XARA2
88186.66000000
PA
USD
90973.18000000
0.073033964908
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.50000000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AB7
200000.00000000
PA
USD
209635.75000000
0.168297183950
Long
DBT
CORP
JP
N
2
2025-09-17
Fixed
3.52200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L57D2
97090.91000000
PA
USD
96956.66000000
0.077837548429
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
Harbor Freight Tools USA Inc
549300Y48HLCFTTB4249
HARBOR FREIGHT 10/19/27
41151PAP0
247500.00000000
PA
USD
246762.45000000
0.198102782754
Long
LON
CORP
US
N
2
2027-10-19
Floating
3.25000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-60.00000000
NC
USD
-3750.00000000
-0.00301052868
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 MONTH EURODOLLAR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-06-13
0.00000000
USD
2500.00000000
99.00000000
USD
2022-06-13
XXXX
-126.00000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329KXS8
61419.87000000
PA
USD
65463.56000000
0.052554646807
Long
ABS-MBS
USGSE
US
N
2
2038-01-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R03
20754AAB9
260000.00000000
PA
USD
260325.36000000
0.208991190667
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
1.70000000
N
N
N
N
N
N
MDC HOLDINGS INC
5299005FV4VNV75R8R35
MDC Holdings Inc
552676AQ1
10000.00000000
PA
USD
12650.34000000
0.010155789735
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
6.00000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BW9
550000.00000000
PA
USD
515350.00000000
0.413726922764
Long
DBT
NUSS
BR
N
2
2045-01-27
Fixed
5.00000000
N
N
N
N
N
N
AMERICAN TRANSMISSION SY
N/A
American Transmission Systems Inc
030288AC8
220000.00000000
PA
USD
222043.50000000
0.178258220578
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
18248.81000000
0.014650284283
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-02-15
884.79000000
USD
0.00000000
USD
168000.00000000
USD
17323.43000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SN9
3640000.00000000
PA
USD
3091014.07000000
2.481489743677
Long
DBT
UST
US
N
2
2050-05-15
Fixed
1.25000000
N
N
N
N
N
N
ALI GROUP NORTH AMERICA
N/A
Ali Group North America Corp
000000000
100000.00000000
PA
USD
99306.00000000
0.079723616555
Long
LON
CORP
US
N
2
2028-12-20
Floating
2.10350000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAC4
100000.00000000
PA
USD
110660.84000000
0.088839368979
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
3.93700000
N
N
N
N
N
N
Mozart Borrower LP
N/A
MEDLINE INDUSTRI 09/30/28
58503UAC7
110000.00000000
PA
USD
109951.60000000
0.088269985681
Long
LON
CORP
US
N
2
2028-10-21
Floating
3.75000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - NZD
000000000
1.00000000
NC
USD
-2178.09000000
-0.00174858731
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-323888.56000000
USD
470000.00000000
NZD
2022-01-18
-2178.09000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JE8
70000.00000000
PA
USD
70000.23000000
0.056196720191
Long
DBT
CORP
US
N
2
2022-06-16
Fixed
1.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KHCN4
137535.86000000
PA
USD
151862.14000000
0.121916087836
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
5.00000000
N
N
N
N
N
N
ATHENAHEALTH INC
5493004JZ4RQIZBHP241
athenahealth Inc
04685YAM1
216301.88000000
PA
USD
216085.58000000
0.173475156820
Long
LON
CORP
US
N
2
2026-02-11
Floating
4.35860000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2D4
50000.00000000
PA
USD
55970.34000000
0.044933417161
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
4.15000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCU3
190000.00000000
PA
USD
219273.49000000
0.176034435357
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.25000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR10
45660LKW8
195456.23000000
PA
USD
176646.19000000
0.141812912791
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
0.62188000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BCD80
257948.85000000
PA
USD
33603.64000000
0.026977259281
Long
ABS-MBS
USGSE
US
N
2
2050-12-25
Fixed
2.50000000
N
N
N
N
N
N
SUMMIT MATERIALS LLC
549300C97P3BW8QROE16
Summit Materials LLC
86614DAH1
69280.20000000
PA
USD
69228.24000000
0.055576960713
Long
LON
CORP
US
N
2
2024-11-21
Floating
2.16960000
N
N
N
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AB3
70000.00000000
PA
USD
76438.70000000
0.061365573166
Long
DBT
CORP
N/A
N
2
2028-10-20
Fixed
4.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
1.00000000
NC
USD
7789.21000000
0.006253237380
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Y
2047-02-15
1937.96000000
USD
0.00000000
USD
342000.00000000
USD
5775.85000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKG6
90000.00000000
PA
USD
88094.36000000
0.070722826187
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65000000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAH0
240000.00000000
PA
USD
247500.00000000
0.198694893537
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.62500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PBN1
30000.00000000
PA
USD
41771.81000000
0.033534728649
Long
DBT
CORP
US
N
2
2040-10-15
Fixed
5.70000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BCW4
47607.13400000
PA
USD
50319.80000000
0.040397120419
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X9FG5
169196.52000000
PA
USD
180256.47000000
0.144711273196
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAH4
20000.00000000
PA
USD
25286.44000000
0.020300147489
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
5.55000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
000000000
157.00000000
NC
USD
-111867.20000000
-0.08980784401
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-12-18
38737792.20000000
USD
-111867.20000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XBK82
191304.52000000
PA
USD
196665.28000000
0.157884391402
Long
ABS-MBS
USGSE
US
N
2
2051-06-01
Fixed
2.50000000
N
N
N
N
N
N
ADVANTAGE FUTURES LLC
N/A
EURODOLLAR 1 YEAR MIDCURVE
000000000
110.00000000
NC
USD
15812.50000000
0.012694395975
N/A
DIR
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
EURODOLLAR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
CHICAGO MERCANTILE EXCHANGE
EURO CURRENCY 2PM
2023-03-13
0.00000000
USD
2500.00000000
98.50000000
USD
2022-03-11
XXXX
-2293.50000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KGFZ6
35611.61000000
PA
USD
38807.98000000
0.031155343250
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
4.50000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2021-CRE5 Trust
04002PAA2
200000.00000000
PA
USD
199741.50000000
0.160354004353
Long
ABS-MBS
CORP
US
N
2
2026-07-17
Floating
1.18975000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAF0
40000.00000000
PA
USD
40324.76000000
0.032373025838
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
1.35000000
N
N
N
N
N
N
ARES CLO Ltd
549300VFCO6SQG8OL714
ARES XLV CLO Ltd
04015VAE6
250000.00000000
PA
USD
246260.53000000
0.197699837538
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
6.22375000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAF2
200000.00000000
PA
USD
209812.00000000
0.168438678799
Long
DBT
CORP
KY
N
2
2025-08-08
Fixed
5.12500000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
8800000.00000000
PA
426128.12000000
0.342098914895
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
105522000.00000000
PA
1301596.86000000
1.044931917276
Long
DBT
NUSS
RU
N
2
2029-05-23
Fixed
6.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KKJ34
90263.71000000
PA
USD
90232.63000000
0.072439445702
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XAW5
510000.00000000
PA
USD
523902.60000000
0.420593015477
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.87500000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FQ3Y7
479746.96000000
PA
USD
496575.09000000
0.398654281376
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Fixed
2.19000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BF2
470000.00000000
PA
USD
552406.87000000
0.443476461510
Long
DBT
CORP
US
N
2
2037-08-22
Fixed
3.87500000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAN1
70000.00000000
PA
USD
79345.41000000
0.063699102192
Long
DBT
CORP
US
N
2
2035-04-01
Fixed
3.90000000
N
N
N
N
N
N
ADVANTAGE FUTURES LLC
N/A
10 YEAR US TREASURY NOTE WEEK 5
000000000
44.00000000
NC
USD
23375.00000000
0.018765628834
N/A
DE
CORP
US
N
1
ADVANTAGE FUTURES LLC
N/A
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
10 YEAR US TREASURY NOTE WEEK 5
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-03-22
0.00000000
USD
1000.00000000
131.00000000
USD
2021-12-31
XXXX
10986.38000000
N
N
N
FRONERI US INC
N/A
Froneri US Inc
000000000
49250.00000000
PA
USD
48550.65000000
0.038976833264
Long
LON
CORP
US
N
2
2027-01-31
Floating
2.35190000
N
N
N
N
N
N
2022-02-18
Legg Mason ETF Investment Trust
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer