0001752724-23-123216.txt : 20230526
0001752724-23-123216.hdr.sgml : 20230526
20230526163108
ACCESSION NUMBER: 0001752724-23-123216
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230331
FILED AS OF DATE: 20230526
DATE AS OF CHANGE: 20230526
PERIOD START: 20230930
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: BLACKROCK BOND FUND, INC.
CENTRAL INDEX KEY: 0000276463
IRS NUMBER: 132949519
STATE OF INCORPORATION: MD
FISCAL YEAR END: 0930
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-02857
FILM NUMBER: 23969510
BUSINESS ADDRESS:
STREET 1: 100 BELLEVUE PARKWAY
CITY: WILMINGTON
STATE: DE
ZIP: 19809
BUSINESS PHONE: 800-441-7762
MAIL ADDRESS:
STREET 1: 100 BELLEVUE PARKWAY
CITY: WILMINGTON
STATE: DE
ZIP: 19809
FORMER COMPANY:
FORMER CONFORMED NAME: MERRILL LYNCH BOND FUND INC
DATE OF NAME CHANGE: 20030804
FORMER COMPANY:
FORMER CONFORMED NAME: MERRILL LYNCH CORPORATE BOND FUND INC/NY
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: MERRILL LYNCH HIGH INCOME FUND INC - CORRECTED NAME CHANGE
DATE OF NAME CHANGE: 19600201
0000276463
S000073727
BlackRock Sustainable Total Return Fund
C000230842
Class K
C000230843
Institutional
C000230844
Investor A
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000276463
XXXXXXXX
S000073727
C000230843
C000230844
C000230842
BlackRock Bond Fund, Inc
811-02857
0000276463
54930030AVOSLSPZTH36
100 Bellevue Parkway
Wilmington
19809
800-441-7762
BlackRock Sustainable Total Return Fund
S000073727
5493008BOCQUI55UKK79
2023-09-30
2023-03-31
N
65571858.13
23421200.13
42150658.00
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
182317.99000000
AUD
CAD
EUR
GBP
JPY
MXN
USD
ZAR
N
Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio
Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TJ7
104700.00000000
PA
USD
91972.41000000
0.218199227162
Long
DBT
UST
US
N
2
2052-08-15
Fixed
3.00000000
N
N
N
N
N
N
American International Group, Inc.
ODVCVCQG2BP6VHV36M30
American International Group, Inc.
026874DP9
27000.00000000
PA
USD
23057.71000000
0.054703084350
Long
DBT
CORP
US
N
2
2050-06-30
Fixed
4.37500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418D6B3
1906574.87240000
PA
USD
1579019.34000000
3.746132124438
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617Y0PX2
88787.40000000
PA
USD
80862.59000000
0.191841821306
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
3.00000000
N
N
N
N
N
N
AEP Texas, Inc.
5493001L78U618KXNZ75
AEP Texas, Inc.
00108WAQ3
43000.00000000
PA
USD
41971.81000000
0.099575693456
Long
DBT
CORP
US
N
2
2052-05-15
Fixed
5.25000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
11846100.00000000
PA
-2479.17000000
-0.00588168754
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-02-15
0.00000000
USD
0.00000000
USD
11846100.00000000
JPY
-2479.17000000
N
N
N
Applied Materials, Inc.
41BNNE1AFPNAZELZ6K07
Applied Materials, Inc.
038222AM7
7000.00000000
PA
USD
6580.24000000
0.015611239093
Long
DBT
CORP
US
N
2
2047-04-01
Fixed
4.35000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
272000.00000000
PA
USD
12390.18000000
0.029394985957
N/A
DIR
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Call
Purchased
N/A
Swaption
1.00000000
3.30500000
USD
2024-02-15
XXXX
3577.38000000
N
N
N
N/A
N/A
OIS
N/A
5417.00000000
PA
USD
-98.33000000
-0.00023328224
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2033-03-02
0.00000000
USD
0.00000000
USD
5417.00000000
USD
-98.33000000
N
N
N
General Motors Co.
54930070NSV60J38I987
General Motors Co.
37045VAS9
39000.00000000
PA
USD
38426.89000000
0.091165575635
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H032647
299700.00000000
PA
USD
280957.04000000
0.666554339436
Long
ABS-MBS
USGA
US
N
2
2053-04-15
Fixed
3.50000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJC4
397000.00000000
PA
USD
394795.40000000
0.936629269227
Long
DBT
CORP
US
N
2
2024-05-19
Variable
1.48600000
N
N
N
N
N
N
Nexstar Media, Inc.
5493006PK6I4I2OOT688
Nexstar Media, Inc.
65343HAA9
4000.00000000
PA
USD
3696.12000000
0.008768831082
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.62500000
N
N
N
N
N
N
Hasbro, Inc.
549300NUB6D2R1ITYR45
Hasbro, Inc.
418056AZ0
11000.00000000
PA
USD
10014.36000000
0.023758490318
Long
DBT
CORP
US
N
2
2029-11-19
Fixed
3.90000000
N
N
N
N
N
N
State of California
N/A
State of California, Series 2018
13063DGE2
70000.00000000
PA
USD
67817.21000000
0.160892411216
Long
DBT
MUN
US
N
2
2038-04-01
Fixed
4.60000000
N
N
N
N
N
N
Union Pacific Corp.
549300LMMRSZZCZ8CL11
Union Pacific Corp.
907818FV5
40000.00000000
PA
USD
30275.28000000
0.071826352034
Long
DBT
CORP
US
N
2
2061-05-20
Fixed
3.55000000
N
N
N
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
891906AF6
51000.00000000
PA
USD
48405.58000000
0.114839440940
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
4.45000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TL2
23000.00000000
PA
USD
24408.75000000
0.057908348666
Long
DBT
UST
US
N
2
2052-11-15
Fixed
4.00000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VFT6
45000.00000000
PA
USD
32130.16000000
0.076226947631
Long
DBT
CORP
US
N
2
2040-11-20
Fixed
2.65000000
N
N
N
N
N
N
Engie SA
LAXUQCHT4FH58LRZDY46
Engie SA
N/A
100000.00000000
PA
99782.68000000
0.236728641341
Long
DBT
CORP
FR
N
2
2028-03-27
Fixed
1.75000000
N
N
N
N
N
N
VMware, Inc.
549300BUDHS3LRWBE814
VMware, Inc.
928563AF2
69000.00000000
PA
USD
66984.06000000
0.158915810993
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.70000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
27100.00000000
PA
USD
1341.29000000
0.003182133004
N/A
DIR
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Put
Purchased
N/A
Swaption
1.00000000
3.09000000
USD
2026-03-27
XXXX
-128.89000000
N
N
N
N/A
N/A
SOP
N/A
-45000.00000000
PA
USD
-2434.58000000
-0.00577590034
N/A
DIR
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Put
Written
N/A
Swaption
1.00000000
2.95300000
USD
2026-03-13
XXXX
112.42000000
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RLV2
60000.00000000
PA
USD
42875.66000000
0.101720025343
Long
DBT
CORP
US
N
2
2059-09-15
Fixed
3.65000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
United Mexican States
91087BAM2
200000.00000000
PA
USD
167400.00000000
0.397146825086
Long
DBT
NUSS
MX
N
2
2031-05-24
Fixed
2.65900000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCZ2
92000.00000000
PA
USD
83317.50000000
0.197665953399
Long
DBT
UST
US
N
2
2026-09-30
Fixed
0.87500000
N
N
N
N
N
N
Post Holdings, Inc.
JM1I5YUAURL6DC8N1468
Post Holdings, Inc.
737446AP9
2000.00000000
PA
USD
1884.67000000
0.004471270650
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
5.50000000
N
N
N
N
N
N
Berry Global, Inc.
549300AP2Q7ERHX6RI89
Berry Global, Inc.
08576PAK7
20000.00000000
PA
USD
19934.69000000
0.047293899895
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
5.50000000
N
N
N
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162CF5
4000.00000000
PA
USD
3634.97000000
0.008623756241
Long
DBT
CORP
US
N
2
2051-06-15
Fixed
4.66300000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CFL0
971900.00000000
PA
USD
987845.23000000
2.343605715478
Long
DBT
UST
US
N
2
2029-09-30
Fixed
3.87500000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
N/A
100000.00000000
PA
94627.06000000
0.224497230861
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
0.45000000
N
N
N
N
N
N
Florida Power & Light Co.
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co.
341081FL6
72000.00000000
PA
USD
63041.93000000
0.149563335405
Long
DBT
CORP
US
N
2
2044-10-01
Fixed
4.05000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810RZ3
298000.00000000
PA
USD
247922.03000000
0.588180687475
Long
DBT
UST
US
N
2
2047-11-15
Fixed
2.75000000
N
N
N
N
N
N
PRET LLC
N/A
PRET LLC, Series 2021-NPL6, Class A1
69362GAA9
312811.54000000
PA
USD
294457.98000000
0.698584539297
Long
ABS-O
CORP
US
N
2
2051-07-25
Variable
2.48709960
N
N
N
N
N
N
Entergy Louisiana LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WBB3
41000.00000000
PA
USD
35539.66000000
0.084315789328
Long
DBT
CORP
US
N
2
2048-09-01
Fixed
4.20000000
N
N
N
N
N
N
Public Service Co. of New Hampshire
549300SHPFALUPKK2351
Public Service Co. of New Hampshire
744482BP4
18000.00000000
PA
USD
18239.49000000
0.043272135870
Long
DBT
CORP
US
N
2
2053-01-15
Fixed
5.15000000
N
N
N
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
N/A
100000.00000000
PA
105902.15000000
0.251246730240
Long
DBT
CORP
IT
N
2
2024-04-10
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
Japan 10 Year Bond
N/A
-1.00000000
NC
-20294.18000000
-0.04814676914
N/A
DIR
JP
N
1
Japan Securities Clearing
549300JHM7D8P3TS4S86
Short
N/A
Japan 10 Year Bond
2023-06-13
-148120000.00000000
JPY
-20294.18000000
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XDV5
13000.00000000
PA
USD
12082.50000000
0.028665032939
Long
DBT
CORP
US
N
2
2029-04-06
Fixed
4.30000000
N
N
N
N
N
N
Interpublic Group of Cos., Inc. (The)
5493008IUOJ5VWTRC333
Interpublic Group of Cos., Inc. (The)
460690BP4
8000.00000000
PA
USD
7848.97000000
0.018621227692
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
4.65000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
98000.00000000
PA
USD
-3383.13000000
-0.00802628039
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2033-02-23
0.00000000
USD
0.00000000
USD
98000.00000000
USD
-3383.13000000
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GDB3
2000.00000000
PA
USD
1920.10000000
0.004555326277
Long
DBT
CORP
US
N
2
2027-11-01
Fixed
5.12500000
N
N
N
N
N
N
Lamar Media Corp.
N/A
Lamar Media Corp.
513075BR1
2000.00000000
PA
USD
1845.40000000
0.004378104844
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.75000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F012643
368700.00000000
PA
USD
289376.15000000
0.686528191327
Long
ABS-MBS
USGSE
US
N
2
2053-04-25
Fixed
1.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEH0
208400.00000000
PA
USD
202522.47000000
0.480472855251
Long
DBT
UST
US
N
2
2025-04-15
Fixed
2.62500000
N
N
N
N
N
N
National Grid plc
8R95QZMKZLJX5Q2XR704
National Grid plc
N/A
100000.00000000
PA
89638.26000000
0.212661591190
Long
DBT
CORP
GB
N
2
2028-09-01
Fixed
0.25000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBW4
129000.00000000
PA
USD
100122.19000000
0.237534109194
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.60000000
N
N
N
N
N
N
Elevance Health, Inc.
8MYN82XMYQH89CTMTH67
Elevance Health, Inc.
036752AX1
19000.00000000
PA
USD
21197.89000000
0.050290768889
Long
DBT
CORP
US
N
2
2052-10-15
Fixed
6.10000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140M37E4
943395.28000000
PA
USD
899969.70000000
2.135126099336
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
3.50000000
N
N
N
N
N
N
Becton Dickinson & Co.
ICE2EP6D98PQUILVRZ91
Becton Dickinson & Co.
075887CQ0
25000.00000000
PA
USD
25100.61000000
0.059549746530
Long
DBT
CORP
US
N
2
2028-02-13
Fixed
4.69300000
N
N
N
N
N
N
Eli Lilly & Co.
FRDRIPF3EKNDJ2CQJL29
Eli Lilly & Co.
532457CG1
5000.00000000
PA
USD
5170.03000000
0.012265597372
Long
DBT
CORP
US
N
2
2053-02-27
Fixed
4.87500000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F020646
-176000.00000000
PA
USD
-145490.78000000
-0.34516846688
Short
ABS-MBS
USGSE
US
N
2
2053-04-25
Fixed
2.00000000
N
N
N
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GCZ1
6000.00000000
PA
USD
5882.16000000
0.013955084639
Long
DBT
CORP
US
N
2
2026-01-01
Fixed
4.87500000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F032641
-548000.00000000
PA
USD
-509190.46000000
-1.20802493759
Short
ABS-MBS
USGSE
US
N
2
2053-04-25
Fixed
3.50000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RJY9
33000.00000000
PA
USD
28440.25000000
0.067472849415
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
2.75000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
73500.00000000
PA
USD
99.04000000
0.000234966675
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2033-03-17
0.00000000
USD
0.00000000
USD
73500.00000000
USD
99.04000000
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844CF3
16000.00000000
PA
USD
11073.82000000
0.026271997936
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.05000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F040644
-493000.00000000
PA
USD
-471510.16000000
-1.11863060358
Short
ABS-MBS
USGSE
US
N
2
2053-04-25
Fixed
4.00000000
N
N
N
N
N
N
Walt Disney Co. (The)
549300GZKULIZ0WOW665
Walt Disney Co. (The)
254687EV4
24000.00000000
PA
USD
23361.19000000
0.055423073110
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
4.75000000
N
N
N
N
N
N
E.ON SE
Q9MAIUP40P25UFBFG033
E.ON SE
N/A
100000.00000000
PA
102522.77000000
0.243229346502
Long
DBT
CORP
DE
N
2
2025-10-07
Fixed
1.00000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-124000.00000000
PA
USD
-7005.77000000
-0.01662078442
N/A
DIR
GB
N
2
Goldman Sachs
W22LROWP2IHZNBB6K528
Call
Written
N/A
Swaption
1.00000000
3.13500000
USD
2026-03-16
XXXX
248.23000000
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XAD2
12000.00000000
PA
USD
11944.85000000
0.028338466270
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H022648
495000.00000000
PA
USD
435600.00000000
1.033435824418
Long
ABS-MBS
USGA
US
N
2
2053-04-15
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
6998229.00000000
PA
-89.56000000
-0.00021247592
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2025-02-03
0.00000000
USD
0.00000000
USD
6998229.00000000
JPY
-89.56000000
N
N
N
CCO Holdings LLC
N/A
CCO Holdings LLC
1248EPCD3
4000.00000000
PA
USD
3465.58000000
0.008221888256
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.75000000
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PEX6
7000.00000000
PA
USD
7087.38000000
0.016814399433
Long
DBT
CORP
US
N
2
2063-04-15
Fixed
5.20000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DPVS4
69863.18800000
PA
USD
72516.50000000
0.172041205145
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
6.00000000
N
N
N
N
N
N
Prologis LP
GL16H1DHB0QSHP25F723
Prologis LP
74340XBH3
7000.00000000
PA
USD
6767.85000000
0.016056332975
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
3.87500000
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PET5
26000.00000000
PA
USD
29602.08000000
0.070229223942
Long
DBT
CORP
US
N
2
2063-02-15
Fixed
6.05000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617Y0PZ7
23356.35000000
PA
USD
22037.03000000
0.052281580040
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
3.50000000
N
N
N
N
N
N
Enterprise Products Operating LLC
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VCB7
45000.00000000
PA
USD
32553.59000000
0.077231510834
Long
DBT
CORP
US
N
2
2053-02-15
Fixed
3.30000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-94000.00000000
PA
USD
-4559.18000000
-0.01081639105
N/A
DIR
GB
N
2
Goldman Sachs
W22LROWP2IHZNBB6K528
Put
Written
N/A
Swaption
1.00000000
3.11500000
USD
2026-03-16
XXXX
892.82000000
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GYB4
246000.00000000
PA
USD
204915.50000000
0.486150180621
Long
DBT
CORP
US
N
2
2032-04-22
Variable
2.61500000
N
N
N
N
N
N
Baltimore Gas & Electric Co.
88V8C2WYSOD1SPSSLH72
Baltimore Gas & Electric Co.
059165EH9
74000.00000000
PA
USD
57144.45000000
0.135571904951
Long
DBT
CORP
US
N
2
2046-08-15
Fixed
3.50000000
N
N
N
N
N
N
Clear Channel Outdoor Holdings, Inc.
254900XBEE6V1ENYS150
Clear Channel Outdoor Holdings, Inc.
18453HAA4
4000.00000000
PA
USD
3590.00000000
0.008517067515
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.12500000
N
N
N
N
N
N
Bay Area Toll Authority
5493001FUZGUQMIP5D78
Bay Area Toll Authority, Series 2010S-1
072024NV0
20000.00000000
PA
USD
26316.90000000
0.062435324259
Long
DBT
MUN
US
N
2
2050-04-01
Fixed
7.04300000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
147000.00000000
PA
USD
-7234.55000000
-0.01716355175
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2033-03-06
0.00000000
USD
0.00000000
USD
147000.00000000
USD
-7234.55000000
N
N
N
Ohio Power Co.
06ZODLC132CY1O2Y7D77
Ohio Power Co., Series R
677415CU3
22000.00000000
PA
USD
15023.51000000
0.035642409188
Long
DBT
CORP
US
N
2
2051-10-01
Fixed
2.90000000
N
N
N
N
N
N
KLA Corp.
549300H0BF5JCG96TJ81
KLA Corp.
482480AN0
25000.00000000
PA
USD
25307.88000000
0.060041482626
Long
DBT
CORP
US
N
2
2062-07-15
Fixed
5.25000000
N
N
N
N
N
N
Oncor Electric Delivery Co. LLC
549300SP2X2BS1KERD24
Oncor Electric Delivery Co. LLC
68233JBR4
36000.00000000
PA
USD
26483.71000000
0.062831071344
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.10000000
N
N
N
N
N
N
Navient Private Education Loan Trust
549300YZ4ZMNDBNO4U12
Navient Private Education Loan Trust, Series 2015-AA, Class A3
63939EAD5
100000.00000000
PA
USD
99677.59000000
0.236479321390
Long
ABS-O
CORP
US
N
2
2030-11-15
Floating
6.38443080
N
N
N
N
N
N
NSTAR Electric Co.
54930080R72Y2Z31UR68
NSTAR Electric Co.
67021CAP2
13000.00000000
PA
USD
12587.05000000
0.029862048654
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.95000000
N
N
N
N
N
N
Northern States Power Co.
3S1GHB0TEH85KX44SB51
Northern States Power Co.
665772CS6
37000.00000000
PA
USD
24571.88000000
0.058295365163
Long
DBT
CORP
US
N
2
2051-06-01
Fixed
2.60000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CGL9
9000.00000000
PA
USD
9037.27000000
0.021440400764
Long
DBT
UST
US
N
2
2026-02-15
Fixed
4.00000000
N
N
N
N
N
N
Gilead Sciences, Inc.
549300WTZWR07K8MNV44
Gilead Sciences, Inc.
375558BD4
26000.00000000
PA
USD
24998.33000000
0.059307093141
Long
DBT
CORP
US
N
2
2046-03-01
Fixed
4.75000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-124000.00000000
PA
USD
-5932.38000000
-0.01407422868
N/A
DIR
GB
N
2
Goldman Sachs
W22LROWP2IHZNBB6K528
Put
Written
N/A
Swaption
1.00000000
3.13500000
USD
2026-03-16
XXXX
1321.62000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CFM8
27000.00000000
PA
USD
27508.36000000
0.065261994249
Long
DBT
UST
US
N
2
2027-09-30
Fixed
4.12500000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F042640
-1450000.00000000
PA
USD
-1420703.92000000
-3.37053794035
Short
ABS-MBS
USGSE
US
N
2
2053-04-25
Fixed
4.50000000
N
N
N
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
172967NN7
27000.00000000
PA
USD
24200.30000000
0.057413813089
Long
DBT
CORP
US
N
2
2033-03-17
Variable
3.78500000
N
N
N
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020AN7
34000.00000000
PA
USD
34713.08000000
0.082354776051
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.75000000
N
N
N
N
N
N
Beast Mortgage Trust
N/A
Beast Mortgage Trust, Series 2021-SSCP, Class A
05601PAA4
30000.00000000
PA
USD
28509.68000000
0.067637568077
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Floating
5.43399840
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F030447
149000.00000000
PA
USD
141247.34000000
0.335101150734
Long
ABS-MBS
USGSE
US
N
2
2038-04-25
Fixed
3.00000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RDR0
42000.00000000
PA
USD
42002.90000000
0.099649452684
Long
DBT
CORP
US
N
2
2037-03-01
Fixed
5.25000000
N
N
N
N
N
N
Cox Communications, Inc.
5493001NEDZNIFRP2R92
Cox Communications, Inc.
224044CH8
14000.00000000
PA
USD
13645.38000000
0.032372875412
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.15000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
565000.00000000
PA
USD
25241.56000000
0.059884142259
N/A
DIR
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Call
Purchased
N/A
Swaption
1.00000000
3.29000000
USD
2024-02-14
XXXX
6596.56000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DP3Z9
67562.00000000
PA
USD
70127.94000000
0.166374484592
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
6.00000000
N
N
N
N
N
N
Cameron LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AA8
25000.00000000
PA
USD
22235.05000000
0.052751371046
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.90200000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CFV8
66000.00000000
PA
USD
69351.56000000
0.164532567913
Long
DBT
UST
US
N
2
2032-11-15
Fixed
4.12500000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
4149.00000000
PA
USD
-0.51000000
-0.00000120994
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2053-02-09
0.00000000
USD
0.00000000
USD
4149.00000000
USD
-0.51000000
N
N
N
N/A
N/A
OIS
N/A
5151.00000000
PA
USD
-72.86000000
-0.00017285613
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2033-03-03
0.00000000
USD
0.00000000
USD
5151.00000000
USD
-72.86000000
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F032443
56000.00000000
PA
USD
54131.88000000
0.128424756738
Long
ABS-MBS
USGSE
US
N
2
2038-04-25
Fixed
3.50000000
N
N
N
N
N
N
Nucor Corp.
549300GGJCRSI2TIEJ46
Nucor Corp.
670346AP0
26000.00000000
PA
USD
25016.25000000
0.059349607306
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.95000000
N
N
N
N
N
N
National Retail Properties, Inc.
5493008JKH5SOTI0JS97
National Retail Properties, Inc.
637417AR7
34000.00000000
PA
USD
21247.64000000
0.050408797888
Long
DBT
CORP
US
N
2
2052-04-15
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CBS9
27000.00000000
PA
USD
24082.73000000
0.057134885059
Long
DBT
UST
US
N
2
2028-03-31
Fixed
1.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140KSS57
138198.25000000
PA
USD
121224.91000000
0.287599092759
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
Iren SpA
8156001EBD33FD474E60
Iren SpA
N/A
100000.00000000
PA
98787.54000000
0.234367729206
Long
DBT
CORP
IT
N
2
2027-10-24
Fixed
1.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEM9
44000.00000000
PA
USD
42245.16000000
0.100224200533
Long
DBT
UST
US
N
2
2029-04-30
Fixed
2.87500000
N
N
N
N
N
N
Atmos Energy Corp.
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp.
049560AW5
10000.00000000
PA
USD
6789.80000000
0.016108408082
Long
DBT
CORP
US
N
2
2052-02-15
Fixed
2.85000000
N
N
N
N
N
N
Republic Services, Inc.
NKNQHM6BLECKVOQP7O46
Republic Services, Inc.
760759AT7
24000.00000000
PA
USD
23334.14000000
0.055358898549
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
3.95000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XCA1
32000.00000000
PA
USD
24079.28000000
0.057126700133
Long
DBT
CORP
US
N
2
2051-03-25
Fixed
3.95000000
N
N
N
N
N
N
Transcontinental Gas Pipe Line Co. LLC
N/A
Transcontinental Gas Pipe Line Co. LLC
893574AM5
42000.00000000
PA
USD
36871.59000000
0.087475716274
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
4.60000000
N
N
N
N
N
N
Societe Generale SA
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
N/A
100000.00000000
PA
92973.56000000
0.220574397676
Long
DBT
CORP
FR
N
2
2028-09-22
Variable
0.87500000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
5460.00000000
PA
USD
-26.20000000
-0.00006215798
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2053-02-10
0.00000000
USD
0.00000000
USD
5460.00000000
USD
-26.20000000
N
N
N
Autodesk, Inc.
FRKKVKAIQEF3FCSTPG55
Autodesk, Inc.
052769AH9
53000.00000000
PA
USD
44081.80000000
0.104581522784
Long
DBT
CORP
US
N
2
2031-12-15
Fixed
2.40000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEY7
20000.00000000
PA
USD
21843.80000000
0.051823153033
Long
DBT
CORP
US
N
2
2033-10-18
Variable
6.34200000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
147000.00000000
PA
USD
-3499.78000000
-0.00830302577
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2033-02-17
0.00000000
USD
0.00000000
USD
147000.00000000
USD
-3499.78000000
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F052649
-671000.00000000
PA
USD
-677775.52000000
-1.60798324903
Short
ABS-MBS
USGSE
US
N
2
2053-04-25
Fixed
5.50000000
N
N
N
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CE0
2000.00000000
PA
USD
1961.37000000
0.004653236967
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.75000000
N
N
N
N
N
N
State of Illinois
54930048FV8RWPR02D67
State of Illinois, Series 2003
452151LF8
40000.00000000
PA
USD
39853.93000000
0.094551145559
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
5.10000000
N
N
N
N
N
N
N/A
N/A
Euro-Schatz
N/A
-1.00000000
NC
-1100.49000000
-0.00261084892
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Short
N/A
Euro-Schatz
2023-06-08
-105695.00000000
EUR
-1100.49000000
N
N
N
Aon Corp.
LTS3U8DGK38SETRUWX71
Aon Corp.
037389BC6
39000.00000000
PA
USD
37269.58000000
0.088419924547
Long
DBT
CORP
US
N
2
2029-05-02
Fixed
3.75000000
N
N
N
N
N
N
Eli Lilly & Co.
FRDRIPF3EKNDJ2CQJL29
Eli Lilly & Co.
532457CH9
5000.00000000
PA
USD
5144.48000000
0.012204981473
Long
DBT
CORP
US
N
2
2063-02-27
Fixed
4.95000000
N
N
N
N
N
N
Equinix, Inc.
549300EVUN2BTLJ3GT74
Equinix, Inc.
29444UBE5
63000.00000000
PA
USD
56237.09000000
0.133419245792
Long
DBT
CORP
US
N
2
2029-11-18
Fixed
3.20000000
N
N
N
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162DH0
24000.00000000
PA
USD
23155.88000000
0.054935987001
Long
DBT
CORP
US
N
2
2029-08-18
Fixed
4.05000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-8766.01000000
-0.02079685209
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
967000.00000000
EUR
1044668.51000000
USD
2023-06-21
-8766.01000000
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PDZ2
28000.00000000
PA
USD
19833.02000000
0.047052693696
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
2.90000000
N
N
N
N
N
N
CenterPoint Energy Houston Electric LLC
549300S8SEQBOJLKHW63
CenterPoint Energy Houston Electric LLC, Series AE
15189XAV0
10000.00000000
PA
USD
8528.30000000
0.020232898855
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
2.35000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179VSF8
100376.11940000
PA
USD
85770.41000000
0.203485340608
Long
ABS-MBS
USGA
US
N
2
2050-08-20
Fixed
2.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QC5
208400.00000000
PA
USD
231421.69000000
0.549034584466
Long
DBT
UST
US
N
2
2039-08-15
Fixed
4.50000000
N
N
N
N
N
N
T-Mobile USA, Inc.
549300V2JRLO5DIFGE82
T-Mobile USA, Inc.
87264AAV7
217000.00000000
PA
USD
214224.29000000
0.508234746892
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
4.75000000
N
N
N
N
N
N
Hewlett Packard Enterprise Co.
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co.
42824CAW9
38000.00000000
PA
USD
37938.67000000
0.090007301902
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
4.90000000
N
N
N
N
N
N
Newmont Corp.
549300VSP3RIX7FGDZ51
Newmont Corp.
651639AY2
41000.00000000
PA
USD
34442.72000000
0.081713362576
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
2.25000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-668000.00000000
PA
USD
-20112.56000000
-0.04771588619
N/A
DIR
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Put
Written
N/A
Swaption
1.00000000
3.10500000
USD
2024-01-10
XXXX
4085.74000000
N
N
N
Equinix, Inc.
549300EVUN2BTLJ3GT74
Equinix, Inc.
N/A
100000.00000000
PA
93458.96000000
0.221725981122
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
0.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCB5
206000.00000000
PA
USD
179034.92000000
0.424750000344
Long
DBT
UST
US
N
2
2031-05-15
Fixed
1.62500000
N
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833EG1
37000.00000000
PA
USD
25180.60000000
0.059739518182
Long
DBT
CORP
US
N
2
2061-02-08
Fixed
2.80000000
N
N
N
N
N
N
City of San Antonio Electric & Gas Systems
5493002G2FEH20Q4GQ04
City of San Antonio Electric & Gas Systems, Series 2010A
796253Y30
10000.00000000
PA
USD
10974.40000000
0.026036129732
Long
DBT
MUN
US
N
2
2041-02-01
Fixed
5.80800000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
3140FXSF0
679717.42200000
PA
USD
616787.87000000
1.463293574207
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828Z78
7000.00000000
PA
USD
6444.38000000
0.015288919095
Long
DBT
UST
US
N
2
2027-01-31
Fixed
1.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
4089725.00000000
PA
-795.63000000
-0.00188758619
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-02-15
0.00000000
USD
0.00000000
USD
4089725.00000000
JPY
-795.63000000
N
N
N
Medline Borrower LP
254900QT3R363TVK6F09
Medline Borrower LP
62482BAA0
10000.00000000
PA
USD
8675.00000000
0.020580936126
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.87500000
N
N
N
N
N
N
Marsh & McLennan Cos., Inc.
549300XMP3KDCKJXIU47
Marsh & McLennan Cos., Inc.
571748BT8
15000.00000000
PA
USD
15447.74000000
0.036648870345
Long
DBT
CORP
US
N
2
2053-03-15
Fixed
5.45000000
N
N
N
N
N
N
NXP BV
N/A
NXP BV
62954HAY4
64000.00000000
PA
USD
57352.00000000
0.136064305330
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.40000000
N
N
N
N
N
N
Moody's Corp.
549300GCEDD8YCF5WU84
Moody's Corp.
615369AY1
8000.00000000
PA
USD
6393.69000000
0.015168660000
Long
DBT
CORP
US
N
2
2052-02-25
Fixed
3.75000000
N
N
N
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844CA4
4000.00000000
PA
USD
3888.06000000
0.009224197638
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.65000000
N
N
N
N
N
N
QUALCOMM, Inc.
H1J8DDZKZP6H7RWC0H53
QUALCOMM, Inc.
747525BT9
57000.00000000
PA
USD
64760.22000000
0.153639879121
Long
DBT
CORP
US
N
2
2053-05-20
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617Y0PU8
52811.31000000
PA
USD
48260.36000000
0.114494914883
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418D4X7
778104.79240000
PA
USD
643546.91000000
1.526777850063
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.00000000
N
N
N
N
N
N
Albertsons Cos., Inc.
N/A
Albertsons Cos., Inc.
013092AE1
2000.00000000
PA
USD
1866.77000000
0.004428803934
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.87500000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGN8
90000.00000000
PA
USD
73835.84000000
0.175171263044
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35500000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
4458.00000000
PA
USD
-1.14000000
-0.00000270458
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2053-02-03
0.00000000
USD
0.00000000
USD
4458.00000000
USD
-1.14000000
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NBU4
31000.00000000
PA
USD
24041.87000000
0.057037947070
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
3.40000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SX7
316200.00000000
PA
USD
242807.01000000
0.576045598149
Long
DBT
UST
US
N
2
2051-05-15
Fixed
2.37500000
N
N
N
N
N
N
Southern California Edison Co.
9R1Z5I36FERIBVKW4P77
Southern California Edison Co.
842400HT3
40000.00000000
PA
USD
43329.87000000
0.102797612317
Long
DBT
CORP
US
N
2
2032-11-01
Fixed
5.95000000
N
N
N
N
N
N
Realty Income Corp.
549300CUWDAUZSH43859
Realty Income Corp.
756109AX2
6000.00000000
PA
USD
5285.30000000
0.012539068785
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SZ2
62500.00000000
PA
USD
43962.40000000
0.104298253185
Long
DBT
UST
US
N
2
2051-08-15
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
3 Month SOFR Options
N/A
29.00000000
NC
USD
725.00000000
0.001720020598
N/A
DIR
US
N
1
CME Clearing House
N/A
Put
Purchased
N/A
Citigroup, Inc.
250000.00000000
95.81250000
USD
2023-04-14
XXXX
-12354.58000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DPR59
115434.05230000
PA
USD
119322.05000000
0.283084667385
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
49000.00000000
PA
USD
-1016.96000000
-0.00241267882
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2033-02-15
0.00000000
USD
0.00000000
USD
49000.00000000
USD
-1016.96000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEK3
997000.00000000
PA
USD
975034.84000000
2.313213805582
Long
DBT
UST
US
N
2
2024-04-30
Fixed
2.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133KNB51
2156930.68000000
PA
USD
1860435.45000000
4.413775580917
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XBJE1
129427.44250000
PA
USD
125023.15000000
0.296610197639
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
4.00000000
N
N
N
N
N
N
Select Medical Corp.
549300X05KS0JKR8CB50
Select Medical Corp.
816196AT6
2000.00000000
PA
USD
1940.00000000
0.004602537877
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
6.25000000
N
N
N
N
N
N
Anchorage Capital CLO 8 Ltd.
549300PKM3N9LK4JM015
Anchorage Capital CLO 8 Ltd., Series 2016-8A, Class BR2
03329KBC6
250000.00000000
PA
USD
239537.30000000
0.568288400147
Long
ABS-CBDO
CORP
KY
N
2
2034-10-27
Floating
6.61457160
N
N
N
N
N
N
Exelon Corp.
3SOUA6IRML7435B56G12
Exelon Corp.
30161NAV3
32000.00000000
PA
USD
27530.09000000
0.065313547418
Long
DBT
CORP
US
N
2
2046-04-15
Fixed
4.45000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
92500.00000000
PA
USD
4615.15000000
0.010949176641
N/A
DIR
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Put
Purchased
N/A
Swaption
1.00000000
3.08000000
USD
2026-03-30
XXXX
-379.85000000
N
N
N
Anheuser-Busch InBev Worldwide, Inc.
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide, Inc.
035240AF7
31000.00000000
PA
USD
33754.87000000
0.080081478206
Long
DBT
CORP
US
N
2
2035-06-15
Fixed
5.87500000
N
N
N
N
N
N
WP Carey, Inc.
54930042CRNE713E3Q67
WP Carey, Inc.
92936UAF6
5000.00000000
PA
USD
4600.16000000
0.010913613732
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
3.85000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCH2
103000.00000000
PA
USD
91420.55000000
0.216889971207
Long
DBT
UST
US
N
2
2028-06-30
Fixed
1.25000000
N
N
N
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162DT4
15000.00000000
PA
USD
15610.52000000
0.037035056487
Long
DBT
CORP
US
N
2
2053-03-02
Fixed
5.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XB2F6
12632.23740000
PA
USD
12244.44000000
0.029049226230
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
4.00000000
N
N
N
N
N
N
Transcontinental Gas Pipe Line Co. LLC
N/A
Transcontinental Gas Pipe Line Co. LLC
893574AR4
38000.00000000
PA
USD
30210.62000000
0.071672949921
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.95000000
N
N
N
N
N
N
Amazon.com, Inc.
ZXTILKJKG63JELOEG630
Amazon.com, Inc.
023135CR5
34000.00000000
PA
USD
34848.95000000
0.082677119773
Long
DBT
CORP
US
N
2
2032-12-01
Fixed
4.70000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810QH4
104200.00000000
PA
USD
113691.97000000
0.269727627976
Long
DBT
UST
US
N
2
2040-05-15
Fixed
4.37500000
N
N
N
N
N
N
Baxter International, Inc.
J5OIVXX3P24RJRW5CK77
Baxter International, Inc.
071813BQ1
28000.00000000
PA
USD
26119.71000000
0.061967502381
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
2.60000000
N
N
N
N
N
N
CSX Corp.
549300JVQR4N1MMP3Q88
CSX Corp.
126408HT3
26000.00000000
PA
USD
16700.75000000
0.039621564152
Long
DBT
CORP
US
N
2
2051-05-15
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F032641
1071000.00000000
PA
USD
995151.44000000
2.360939276440
Long
ABS-MBS
USGSE
US
N
2
2053-04-25
Fixed
3.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
N/A
Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2018-W5FX, Class CFX
30307MAN8
50000.00000000
PA
USD
41790.30000000
0.099145071471
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Variable
3.41971920
N
N
N
N
N
N
Oncor Electric Delivery Co. LLC
549300SP2X2BS1KERD24
Oncor Electric Delivery Co. LLC
68233JBH6
69000.00000000
PA
USD
66794.64000000
0.158466422991
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
3.70000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SR0
206000.00000000
PA
USD
137078.52000000
0.325210866221
Long
DBT
UST
US
N
2
2040-05-15
Fixed
1.12500000
N
N
N
N
N
N
Commercial Metals Co.
549300OQS2LO07ZJ7N73
Commercial Metals Co.
201723AR4
4000.00000000
PA
USD
3440.90000000
0.008163336382
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
4.37500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617Y0PV6
69339.91000000
PA
USD
63322.49000000
0.150228947790
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
Euro-BTP
N/A
-2.00000000
NC
-8314.27000000
-0.01972512505
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Short
N/A
Euro-BTP
2023-06-08
-230700.00000000
EUR
-8314.27000000
N
N
N
Thermo Fisher Scientific, Inc.
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific, Inc.
883556CU4
33000.00000000
PA
USD
34243.88000000
0.081241626168
Long
DBT
CORP
US
N
2
2032-11-21
Fixed
4.95000000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YCY3
57000.00000000
PA
USD
55732.70000000
0.132222609668
Long
DBT
CORP
US
N
2
2035-03-15
Fixed
4.55000000
N
N
N
N
N
N
Consolidated Edison Co. of New York, Inc.
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co. of New York, Inc.
209111GD9
26000.00000000
PA
USD
29303.39000000
0.069520599180
Long
DBT
CORP
US
N
2
2052-11-15
Fixed
6.15000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CFU0
2000.00000000
PA
USD
2038.36000000
0.004835891292
Long
DBT
UST
US
N
2
2027-10-31
Fixed
4.12500000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
2810.00000000
PA
-16.53000000
-0.00003921646
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-03-30
7.31000000
USD
0.00000000
USD
2810.00000000
CAD
-16.53000000
N
N
N
SSE plc
549300KI75VYLLMSK856
SSE plc
N/A
100000.00000000
PA
101871.50000000
0.241684246067
Long
DBT
CORP
GB
N
2
2025-09-06
Fixed
0.87500000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
82000.00000000
PA
USD
4036.01000000
0.009575200463
N/A
DIR
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
Put
Purchased
N/A
Swaption
1.00000000
3.10000000
USD
2026-03-30
XXXX
-321.27000000
N
N
N
BANK
N/A
BANK, Series 2022-BNK41, Class A4
06540MBH7
80000.00000000
PA
USD
72397.23000000
0.171758243963
Long
ABS-MBS
CORP
US
N
2
2065-04-15
Variable
3.79009080
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617Y0PW4
71740.61000000
PA
USD
65470.50000000
0.155324977370
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
3.00000000
N
N
N
N
N
N
GLP Capital LP
2549005PXW31DRW8EC44
GLP Capital LP
361841AP4
34000.00000000
PA
USD
30148.82000000
0.071526332993
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
82000.00000000
PA
USD
4516.35000000
0.010714779351
N/A
DIR
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
Call
Purchased
N/A
Swaption
1.00000000
3.10000000
USD
2026-03-30
XXXX
159.07000000
N
N
N
MidAmerican Energy Co.
NINLOILYRTLIMK26MZ18
MidAmerican Energy Co.
595620AT2
63000.00000000
PA
USD
60089.37000000
0.142558557448
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.65000000
N
N
N
N
N
N
SSE plc
549300KI75VYLLMSK856
SSE plc
N/A
100000.00000000
PA
99914.98000000
0.237042515445
Long
DBT
CORP
GB
N
2
2027-09-04
Fixed
1.37500000
N
N
N
N
N
N
Palmer Square CLO Ltd.
N/A
Palmer Square CLO Ltd., Series 2021-3A, Class A1
69688FAA8
250000.00000000
PA
USD
243060.65000000
0.576647344390
Long
ABS-CBDO
CORP
KY
N
2
2035-01-15
Floating
5.94243000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NDN8
49000.00000000
PA
USD
39346.14000000
0.093346443132
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
1.50000000
N
N
N
N
N
N
Omnicom Group, Inc.
HKUPACFHSSASQK8HLS17
Omnicom Group, Inc.
681919BD7
5000.00000000
PA
USD
4246.12000000
0.010073674294
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
2.60000000
N
N
N
N
N
N
Atlantic City Electric Co.
549300S5TW3VP5V06B73
Atlantic City Electric Co.
048303CH2
8000.00000000
PA
USD
7763.75000000
0.018419048167
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
TRSIBOXX
N/A
317000.00000000
PA
USD
6456.24000000
0.015317056260
N/A
DIR
US
N
2
J.P. Morgan
7H6GLXDRUGQFU57RNE97
iBoxx USD Liquid Investment Grade Total Return Index
GB00B4K4X773
Y
2023-06-20
0.00000000
USD
2990.87000000
USD
317000.00000000
USD
6456.24000000
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175BT0
108000.00000000
PA
USD
82316.88000000
0.195292040280
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CP5
32000.00000000
PA
USD
27377.63000000
0.064951844879
Long
DBT
CORP
US
N
2
2027-12-02
Fixed
2.45000000
N
N
N
N
N
N
CSX Corp.
549300JVQR4N1MMP3Q88
CSX Corp.
126408HG1
10000.00000000
PA
USD
8255.90000000
0.019586645598
Long
DBT
CORP
US
N
2
2066-11-01
Fixed
4.25000000
N
N
N
N
N
N
American Municipal Power, Inc.
EARKGGZJJEMVD66XQ486
American Municipal Power, Inc., Series 2010A
02765UEK6
10000.00000000
PA
USD
13716.52000000
0.032541650951
Long
DBT
MUN
US
N
2
2050-02-15
Fixed
8.08400000
N
N
N
N
N
N
Grace Trust
N/A
Grace Trust, Series 2020-GRCE, Class D
38406JAJ7
250000.00000000
PA
USD
171917.73000000
0.407864878408
Long
ABS-MBS
CORP
US
N
2
2040-12-10
Variable
2.67990120
N
N
N
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844CM8
27000.00000000
PA
USD
23730.61000000
0.056299500710
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CGJ4
103000.00000000
PA
USD
102581.56000000
0.243368822379
Long
DBT
UST
US
N
2
2030-01-31
Fixed
3.50000000
N
N
N
N
N
N
Cameron LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AB6
187000.00000000
PA
USD
160907.59000000
0.381743957591
Long
DBT
CORP
US
N
2
2035-01-15
Fixed
3.30200000
N
N
N
N
N
N
TCW CLO AMR Ltd.
549300RWQDI4UTTLDE63
TCW CLO AMR Ltd., Series 2019-1A, Class ASNR
87241EAQ8
250000.00000000
PA
USD
244851.03000000
0.580894917464
Long
ABS-CBDO
CORP
KY
N
2
2034-08-16
Floating
6.09157080
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust, Series 2019-SL2, Class M
52473FAF2
206466.01110000
PA
USD
160917.03000000
0.381766353445
Long
ABS-MBS
CORP
US
N
2
2059-02-25
Variable
4.25000160
N
N
N
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661CJ4
8000.00000000
PA
USD
8178.09000000
0.019402045870
Long
DBT
CORP
US
N
2
2035-10-15
Fixed
5.50000000
N
N
N
N
N
N
Intel Corp.
KNX4USFCNGPY45LOCE31
Intel Corp.
458140CJ7
18000.00000000
PA
USD
18370.71000000
0.043583447736
Long
DBT
CORP
US
N
2
2053-02-10
Fixed
5.70000000
N
N
N
N
N
N
Agilent Technologies, Inc.
QUIX8Y7A2WP0XRMW7G29
Agilent Technologies, Inc.
00846UAK7
20000.00000000
PA
USD
18862.62000000
0.044750475781
Long
DBT
CORP
US
N
2
2026-09-22
Fixed
3.05000000
N
N
N
N
N
N
Bristol-Myers Squibb Co.
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co.
110122DL9
29000.00000000
PA
USD
27401.25000000
0.065007881964
Long
DBT
CORP
US
N
2
2048-02-20
Fixed
4.55000000
N
N
N
N
N
N
Regional Management Issuance Trust
N/A
Regional Management Issuance Trust, Series 2022-1, Class A
75907DAA5
200000.00000000
PA
USD
187366.36000000
0.444515860226
Long
ABS-O
CORP
US
N
2
2032-03-15
Fixed
3.07000000
N
N
N
N
N
N
N/A
N/A
EUR Currency
N/A
483000.00000000
PA
5392.35000000
0.012793038723
N/A
DFE
GB
N
2
Goldman Sachs
W22LROWP2IHZNBB6K528
Put
Purchased
N/A
EUR Currency
1.00000000
1.07500000
EUR
2023-06-29
XXXX
29.20000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CPF5
779.63690000
PA
USD
758.50000000
0.001799497412
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
4.00000000
N
N
N
N
N
N
NRG Energy, Inc.
5E2UPK5SW04M13XY7I38
NRG Energy, Inc.
629377CH3
2000.00000000
PA
USD
1856.73000000
0.004404984614
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
5.25000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140KSS32
101690.97000000
PA
USD
84896.08000000
0.201411043215
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
22000.00000000
PA
USD
-281.98000000
-0.00066898125
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2033-03-20
0.00000000
USD
0.00000000
USD
22000.00000000
USD
-281.98000000
N
N
N
Tenet Healthcare Corp.
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp.
88033GDR8
3000.00000000
PA
USD
2692.50000000
0.006387800636
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.37500000
N
N
N
N
N
N
Sherwin-Williams Co. (The)
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co. (The)
824348BL9
23000.00000000
PA
USD
19517.39000000
0.046303879763
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.30000000
N
N
N
N
N
N
Metropolitan Transportation Authority
5493000TKYODLXADQD60
Metropolitan Transportation Authority, Series 2009A-1
59259YBF5
10000.00000000
PA
USD
10030.52000000
0.023796828984
Long
DBT
MUN
US
N
2
2039-11-15
Fixed
5.87100000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PDC7
151000.00000000
PA
USD
146217.09000000
0.346891595381
Long
DBT
CORP
US
N
2
2033-04-26
Variable
4.58600000
N
N
N
N
N
N
FMG Resources August 2006 Pty. Ltd.
549300EFD6S2NFE9D745
FMG Resources August 2006 Pty. Ltd.
30251GBE6
6000.00000000
PA
USD
5775.00000000
0.013700853732
Long
DBT
CORP
AU
N
2
2032-04-15
Fixed
6.12500000
N
N
N
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
37940XAN2
34000.00000000
PA
USD
33575.29000000
0.079655435034
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
5.30000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F042640
305400.00000000
PA
USD
299229.64000000
0.709905026868
Long
ABS-MBS
USGSE
US
N
2
2053-04-25
Fixed
4.50000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RDJ8
11000.00000000
PA
USD
9518.01000000
0.022580928629
Long
DBT
CORP
US
N
2
2048-03-09
Fixed
4.50000000
N
N
N
N
N
N
PECO Energy Co.
YH65D4JBECK76IFEJ279
PECO Energy Co.
693304BC0
29000.00000000
PA
USD
19809.06000000
0.046995849981
Long
DBT
CORP
US
N
2
2051-09-15
Fixed
2.85000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZE3
189000.00000000
PA
USD
167560.31000000
0.397527151296
Long
DBT
UST
US
N
2
2027-03-31
Fixed
0.62500000
N
N
N
N
N
N
Eversource Energy
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAT5
66000.00000000
PA
USD
68390.85000000
0.162253338963
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
5.45000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X9JT3
250182.61380000
PA
USD
248744.77000000
0.590132590575
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F050643
-997800.00000000
PA
USD
-995149.59000000
-2.36093488742
Short
ABS-MBS
USGSE
US
N
2
2053-04-25
Fixed
5.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F030645
-216763.00000000
PA
USD
-194492.68000000
-0.46142264255
Short
ABS-MBS
USGSE
US
N
2
2053-04-25
Fixed
3.00000000
N
N
N
N
N
N
FactSet Research Systems, Inc.
549300ZSJE7NBK6K9P30
FactSet Research Systems, Inc.
303075AB1
31000.00000000
PA
USD
27023.82000000
0.064112451103
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
3.45000000
N
N
N
N
N
N
Southern California Edison Co.
9R1Z5I36FERIBVKW4P77
Southern California Edison Co.
842400GU1
43000.00000000
PA
USD
36525.47000000
0.086654566578
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CDG3
58000.00000000
PA
USD
52900.08000000
0.125502382430
Long
DBT
UST
US
N
2
2026-10-31
Fixed
1.12500000
N
N
N
N
N
N
1211 Avenue of the Americas Trust
N/A
1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2
90117PAC9
250000.00000000
PA
USD
233686.98000000
0.554408854068
Long
ABS-MBS
CORP
US
N
2
2035-08-10
Fixed
3.90050000
N
N
N
N
N
N
Salesforce, Inc.
RCGZFPDMRW58VJ54VR07
Salesforce, Inc.
79466LAM6
12000.00000000
PA
USD
8234.80000000
0.019536587068
Long
DBT
CORP
US
N
2
2061-07-15
Fixed
3.05000000
N
N
N
N
N
N
Aon Corp.
N/A
Aon Corp.
03740LAG7
43000.00000000
PA
USD
44539.66000000
0.105667769172
Long
DBT
CORP
US
N
2
2033-02-28
Fixed
5.35000000
N
N
N
N
N
N
Exelon Corp.
3SOUA6IRML7435B56G12
Exelon Corp.
30161NBL4
15000.00000000
PA
USD
15275.95000000
0.036241308498
Long
DBT
CORP
US
N
2
2053-03-15
Fixed
5.60000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XCPT9
94242.54710000
PA
USD
82532.49000000
0.195803562544
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
New Jersey Turnpike Authority
5493005YN67D71KSMI84
New Jersey Turnpike Authority, Series 2009 F
646139W35
8000.00000000
PA
USD
10058.39000000
0.023862948948
Long
DBT
MUN
US
N
2
2040-01-01
Fixed
7.41400000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGC2
12000.00000000
PA
USD
8947.74000000
0.021227996013
Long
DBT
CORP
US
N
2
2061-03-22
Fixed
3.70000000
N
N
N
N
N
N
GLP Capital LP
2549005PXW31DRW8EC44
GLP Capital LP
361841AQ2
27000.00000000
PA
USD
23160.88000000
0.054947849212
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEB3
4000.00000000
PA
USD
3633.91000000
0.008621241452
Long
DBT
UST
US
N
2
2029-02-28
Fixed
1.87500000
N
N
N
N
N
N
Banque Federative du Credit Mutuel SA
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
N/A
100000.00000000
PA
92720.63000000
0.219974335869
Long
DBT
CORP
FR
N
2
2027-10-08
Fixed
0.10000000
N
N
N
N
N
N
MidAmerican Energy Co.
NINLOILYRTLIMK26MZ18
MidAmerican Energy Co.
595620AU9
35000.00000000
PA
USD
31278.27000000
0.074205887841
Long
DBT
CORP
US
N
2
2049-07-15
Fixed
4.25000000
N
N
N
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust, Series 2022-LP2, Class A
05610HAA1
55703.39890000
PA
USD
53625.60000000
0.127223636698
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Floating
5.83998840
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Ultra Note
N/A
-13.00000000
NC
USD
-37407.06000000
-0.08874608790
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
N/A
U.S. Treasury 10 Year Ultra Note
2023-06-21
-1576453.13000000
USD
-37407.06000000
N
N
N
Ohio Power Co.
06ZODLC132CY1O2Y7D77
Ohio Power Co., Series P
677415CS8
5000.00000000
PA
USD
4334.92000000
0.010284347162
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.60000000
N
N
N
N
N
N
Intel Corp.
KNX4USFCNGPY45LOCE31
Intel Corp.
458140AV2
9000.00000000
PA
USD
7631.79000000
0.018105980694
Long
DBT
CORP
US
N
2
2046-05-19
Fixed
4.10000000
N
N
N
N
N
N
VICI Properties LP
N/A
VICI Properties LP
92564RAA3
55000.00000000
PA
USD
51315.89000000
0.121743983213
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
4.25000000
N
N
N
N
N
N
Piedmont Natural Gas Co., Inc.
VXB4M3BDPKF3I2AZ3G89
Piedmont Natural Gas Co., Inc.
720186AN5
11000.00000000
PA
USD
9177.07000000
0.021772068184
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-175.53000000
-0.00041643478
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
18000.00000000
EUR
19433.39000000
USD
2023-06-21
-175.53000000
N
N
N
N/A
N/A
SOP
N/A
-242500.00000000
PA
USD
-8744.10000000
-0.02074487188
N/A
DIR
DE
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
Call
Written
N/A
Swaption
1.00000000
3.16250000
USD
2024-01-04
XXXX
761.90000000
N
N
N
JPMorgan Chase Commercial Mortgage Securities Trust
N/A
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2022-OPO, Class D
46655AAJ7
80000.00000000
PA
USD
58632.98000000
0.139103356346
Long
ABS-MBS
CORP
US
N
2
2039-01-05
Variable
3.44957040
N
N
N
N
N
N
Mariner Finance Issuance Trust
N/A
Mariner Finance Issuance Trust, Series 2019-AA, Class B
56847MAB6
100000.00000000
PA
USD
97035.28000000
0.230210593628
Long
ABS-O
CORP
US
N
2
2032-07-20
Fixed
3.51000000
N
N
N
N
N
N
UnitedHealth Group, Inc.
549300GHBMY8T5GXDE41
UnitedHealth Group, Inc.
91324PDL3
7000.00000000
PA
USD
6303.03000000
0.014953574390
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
4.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
91282CFR7
853087.87100000
PA
USD
869683.09000000
2.063272867531
Long
DBT
UST
US
N
2
2027-10-15
Fixed
1.62500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEQ0
171100.00000000
PA
USD
166608.63000000
0.395269345498
Long
DBT
UST
US
N
2
2025-05-15
Fixed
2.75000000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BW8
21000.00000000
PA
USD
21454.09000000
0.050898588581
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.87500000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-94000.00000000
PA
USD
-5227.78000000
-0.01240260590
N/A
DIR
GB
N
2
Goldman Sachs
W22LROWP2IHZNBB6K528
Call
Written
N/A
Swaption
1.00000000
3.11500000
USD
2026-03-16
XXXX
224.22000000
N
N
N
Iren SpA
8156001EBD33FD474E60
Iren SpA
N/A
100000.00000000
PA
103242.02000000
0.244935725558
Long
DBT
CORP
IT
N
2
2025-09-19
Fixed
1.95000000
N
N
N
N
N
N
CNH Industrial NV
549300WGC2HZ5J67V817
CNH Industrial NV
12594KAA0
188000.00000000
PA
USD
187060.02000000
0.443789086281
Long
DBT
CORP
NL
N
2
2023-08-15
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
4089725.00000000
PA
-757.97000000
-0.00179824001
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-02-15
0.00000000
USD
0.00000000
USD
4089725.00000000
JPY
-757.97000000
N
N
N
Prologis LP
GL16H1DHB0QSHP25F723
Prologis LP
74340XBK6
22000.00000000
PA
USD
21257.33000000
0.050431786853
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
3.25000000
N
N
N
N
N
N
Crown Castle, Inc.
54930012H97VSM0I2R19
Crown Castle, Inc.
22822VAY7
52000.00000000
PA
USD
43704.53000000
0.103686471513
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140M37C8
251484.24000000
PA
USD
230207.22000000
0.546153324581
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F032658
-129000.00000000
PA
USD
-119944.80000000
-0.28456210576
Short
ABS-MBS
USGSE
US
N
2
2053-05-25
Fixed
3.50000000
N
N
N
N
N
N
Lam Research Corp.
549300I4GMO6D34U1T02
Lam Research Corp.
512807AT5
25000.00000000
PA
USD
24759.38000000
0.058740198077
Long
DBT
CORP
US
N
2
2049-03-15
Fixed
4.87500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CFW6
33000.00000000
PA
USD
33487.27000000
0.079446612672
Long
DBT
UST
US
N
2
2025-11-15
Fixed
4.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QAAJ9
1590.23720000
PA
USD
1547.46000000
0.003671259414
Long
ABS-MBS
USGSE
US
N
2
2048-05-01
Fixed
4.00000000
N
N
N
N
N
N
Republic of Panama
549300SHS4T08CL0LP14
Republic of Panama
698299BF0
200000.00000000
PA
USD
191475.00000000
0.454263371167
Long
DBT
NUSS
PA
N
2
2028-03-17
Fixed
3.87500000
N
N
N
N
N
N
GLP Capital LP
2549005PXW31DRW8EC44
GLP Capital LP
361841AR0
40000.00000000
PA
USD
32454.40000000
0.076996188292
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.25000000
N
N
N
N
N
N
Global Payments, Inc.
549300NOMHGVQBX6S778
Global Payments, Inc.
37940XAE2
218000.00000000
PA
USD
193894.47000000
0.460003423908
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
1.20000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H042646
161000.00000000
PA
USD
158577.28000000
0.376215431797
Long
ABS-MBS
USGA
US
N
2
2053-04-15
Fixed
4.50000000
N
N
N
N
N
N
CIFC Funding Ltd.
N/A
CIFC Funding Ltd., Series 2020-3A, Class A1R
12560EAL0
250000.00000000
PA
USD
243927.05000000
0.578702828316
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
5.93771040
N
N
N
N
N
N
N/A
N/A
OIS
N/A
97755.00000000
PA
USD
-804.46000000
-0.00190853485
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2033-03-14
39.46000000
USD
0.00000000
USD
97755.00000000
USD
-804.46000000
N
N
N
Public Service Electric and Gas Co.
549300RUHPVD434XUK18
Public Service Electric and Gas Co.
74456QBU9
28000.00000000
PA
USD
26976.06000000
0.063999143263
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
3.70000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CGA3
3000.00000000
PA
USD
3011.72000000
0.007145131637
Long
DBT
UST
US
N
2
2025-12-15
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CV35
1404.69870000
PA
USD
1366.66000000
0.003242321863
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
San Diego Gas & Electric Co.
KNIRVXKVNJJ4P8OTMS63
San Diego Gas & Electric Co.
797440CD4
15000.00000000
PA
USD
15447.70000000
0.036648775447
Long
DBT
CORP
US
N
2
2053-04-01
Fixed
5.35000000
N
N
N
N
N
N
Credit Suisse AG
549300D0YARF5HYP1809
Credit Suisse AG
22550L2J9
250000.00000000
PA
USD
241950.00000000
0.574012391455
Long
DBT
CORP
CH
N
2
2024-08-09
Fixed
4.75000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
4996.00000000
PA
USD
-56.88000000
-0.00013494451
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-03-03
0.00000000
USD
0.00000000
USD
4996.00000000
USD
-56.88000000
N
N
N
Union Pacific Corp.
549300LMMRSZZCZ8CL11
Union Pacific Corp.
907818FN3
9000.00000000
PA
USD
5951.38000000
0.014119305088
Long
DBT
CORP
US
N
2
2062-09-16
Fixed
2.97300000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
10785.00000000
PA
USD
-122.06000000
-0.00028958029
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2033-02-24
0.00000000
USD
0.00000000
USD
10785.00000000
USD
-122.06000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X9MV4
3178.77840000
PA
USD
3074.73000000
0.007294619220
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CDH1
42000.00000000
PA
USD
39704.77000000
0.094197272080
Long
DBT
UST
US
N
2
2024-11-15
Fixed
0.75000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
3.92000000
0.000009299973
N/A
DFE
N/A
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
1281000.00000000
JPY
9765.21000000
USD
2023-06-21
3.92000000
N
N
N
Herc Holdings, Inc.
549300TP80QLITMSBP82
Herc Holdings, Inc.
42704LAA2
4000.00000000
PA
USD
3860.00000000
0.009157626910
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.50000000
N
N
N
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162DP2
51000.00000000
PA
USD
52072.08000000
0.123538000284
Long
DBT
CORP
US
N
2
2028-03-02
Fixed
5.15000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468L6
442000.00000000
PA
USD
380652.52000000
0.903076103817
Long
DBT
CORP
US
N
2
2031-01-22
Variable
2.69900000
N
N
N
N
N
N
GS Mortgage Securities Corp. Trust
N/A
GS Mortgage Securities Corp. Trust, Series 2021-DM, Class F
36265AAN1
50000.00000000
PA
USD
44960.87000000
0.106667065553
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Floating
8.12000160
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810ST6
206000.00000000
PA
USD
141890.55000000
0.336627129284
Long
DBT
UST
US
N
2
2040-11-15
Fixed
1.37500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617Y0P38
18773.08000000
PA
USD
17712.70000000
0.042022357041
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
3.50000000
N
N
N
N
N
N
TEGNA, Inc.
549300YC5EDBGX85AO10
TEGNA, Inc.
87901JAH8
2000.00000000
PA
USD
1728.61000000
0.004101027319
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
5.00000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VGJ7
166000.00000000
PA
USD
141413.93000000
0.335496375881
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust, Series 2021-SOAR, Class A
05608WAA2
59048.22490000
PA
USD
56752.21000000
0.134641338220
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
5.35500000
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DPYP7
32494.00000000
PA
USD
33867.70000000
0.080349160860
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XAY55
64284.18640000
PA
USD
62217.25000000
0.147606829767
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.00000000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XDE3
61000.00000000
PA
USD
48164.88000000
0.114268394101
Long
DBT
CORP
US
N
2
2031-01-08
Fixed
2.35000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H060648
36000.00000000
PA
USD
36670.78000000
0.086999306155
Long
ABS-MBS
USGA
US
N
2
2053-04-15
Fixed
6.00000000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GKK4
310000.00000000
PA
USD
261032.77000000
0.619285160388
Long
DBT
CORP
US
N
2
2033-02-04
Variable
2.97200000
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GKQ1
59000.00000000
PA
USD
56162.10000000
0.133241336351
Long
DBT
CORP
US
N
2
2033-04-27
Variable
4.57100000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
66000.00000000
PA
USD
598.80000000
0.001420618392
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2033-03-15
0.00000000
USD
0.00000000
USD
66000.00000000
USD
598.80000000
N
N
N
BX Trust
N/A
BX Trust, Series 2022-IND, Class A
05609WAA1
56015.19880000
PA
USD
54734.34000000
0.129854058268
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Floating
6.31809000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CGB1
194000.00000000
PA
USD
197501.09000000
0.468559921413
Long
DBT
UST
US
N
2
2029-12-31
Fixed
3.87500000
N
N
N
N
N
N
Goldman Sachs Group, Inc. (The)
784F5XWPLTWKTBV3E584
Goldman Sachs Group, Inc. (The)
38141GWL4
30000.00000000
PA
USD
28417.04000000
0.067417785031
Long
DBT
CORP
US
N
2
2028-06-05
Variable
3.69100000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F022659
-400000.00000000
PA
USD
-345125.00000000
-0.81878911593
Short
ABS-MBS
USGSE
US
N
2
2053-05-25
Fixed
2.50000000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust, Series 2021-4, Class M4
92258DAN7
464555.12000000
PA
USD
341204.35000000
0.809487600407
Long
ABS-MBS
CORP
US
N
2
2051-12-26
Variable
4.47999840
N
N
N
N
N
N
N/A
N/A
SOP
N/A
272000.00000000
PA
USD
6583.43000000
0.015618807184
N/A
DIR
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Put
Purchased
N/A
Swaption
1.00000000
3.30500000
USD
2024-02-15
XXXX
-2229.37000000
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020AW7
45000.00000000
PA
USD
48681.51000000
0.115494068918
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
6.95000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CFT3
1395900.00000000
PA
USD
1429543.37000000
3.391509024604
Long
DBT
UST
US
N
2
2029-10-31
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F012445
366000.00000000
PA
USD
321754.83000000
0.763344738295
Long
ABS-MBS
USGSE
US
N
2
2038-04-25
Fixed
1.50000000
N
N
N
N
N
N
Pfizer, Inc.
765LHXWGK1KXCLTFYQ30
Pfizer, Inc.
717081FB4
38000.00000000
PA
USD
31345.36000000
0.074365054989
Long
DBT
CORP
US
N
2
2031-08-18
Fixed
1.75000000
N
N
N
N
N
N
RHP Hotel Properties LP
N/A
RHP Hotel Properties LP
749571AF2
2000.00000000
PA
USD
1874.40000000
0.004446905668
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
4.75000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-OA6, Class 1A1A
12668BD91
18279.31850000
PA
USD
15084.98000000
0.035788243210
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
5.26529160
N
N
N
N
N
N
NXP BV
N/A
NXP BV
62947QBC1
68000.00000000
PA
USD
69360.00000000
0.164552591326
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.55000000
N
N
N
N
N
N
BX Commercial Mortgage Trust
N/A
BX Commercial Mortgage Trust, Series 2020-VKNG, Class A
12433YAA5
113304.17590000
PA
USD
110763.99000000
0.262781164649
Long
ABS-MBS
CORP
US
N
2
2037-10-15
Floating
5.87157120
N
N
N
N
N
N
N/A
N/A
TRSIBOXX
N/A
316000.00000000
PA
USD
7749.66000000
0.018385620456
N/A
DIR
US
N
2
J.P. Morgan
7H6GLXDRUGQFU57RNE97
iBoxx USD Liquid Investment Grade Total Return Index
GB00B4K4X773
Y
2023-06-20
0.00000000
USD
2981.43000000
USD
316000.00000000
USD
7749.66000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140Q9W74
3431.53700000
PA
USD
3333.89000000
0.007909461342
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
Dell International LLC
N/A
Dell International LLC
24703TAD8
67000.00000000
PA
USD
68763.10000000
0.163136480574
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.02000000
N
N
N
N
N
N
CaixaBank SA
7CUNS533WID6K7DGFI87
CaixaBank SA
N/A
100000.00000000
PA
97608.04000000
0.231569433625
Long
DBT
CORP
ES
N
2
2026-11-18
Variable
0.37500000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-668000.00000000
PA
USD
-22577.80000000
-0.05356452561
N/A
DIR
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Call
Written
N/A
Swaption
1.00000000
3.10500000
USD
2024-01-10
XXXX
1620.50000000
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBQ7
4000.00000000
PA
USD
3051.03000000
0.007238392340
Long
DBT
CORP
US
N
2
2047-11-15
Fixed
4.00000000
N
N
N
N
N
N
Los Angeles Unified School District
N/A
Los Angeles Unified School District, Series 2010 RY
544646ZR6
20000.00000000
PA
USD
23157.10000000
0.054938881381
Long
DBT
MUN
US
N
2
2034-07-01
Fixed
6.75800000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F022444
248000.00000000
PA
USD
230165.31000000
0.546053895528
Long
ABS-MBS
USGSE
US
N
2
2038-04-25
Fixed
2.50000000
N
N
N
N
N
N
Verizon Communications, Inc.
2S72QS2UO2OESLG6Y829
Verizon Communications, Inc.
92343VCV4
67000.00000000
PA
USD
62151.04000000
0.147449750369
Long
DBT
CORP
US
N
2
2036-01-15
Fixed
4.27200000
N
N
N
N
N
N
Commonwealth Edison Co.
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co., Series 133
202795JV3
24000.00000000
PA
USD
19564.60000000
0.046415882760
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.85000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F052649
791000.00000000
PA
USD
798987.24000000
1.895551049286
Long
ABS-MBS
USGSE
US
N
2
2053-04-25
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X9EC5
4574.72020000
PA
USD
4413.21000000
0.010470085662
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
4.00000000
N
N
N
N
N
N
Navient Corp.
54930067J0ZNOEBRW338
Navient Corp.
63938CAH1
2000.00000000
PA
USD
1943.64000000
0.004611173566
Long
DBT
CORP
US
N
2
2025-06-25
Fixed
6.75000000
N
N
N
N
N
N
Takeda Pharmaceutical Co. Ltd.
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co. Ltd.
874060AW6
200000.00000000
PA
USD
202155.14000000
0.479601386056
Long
DBT
CORP
JP
N
2
2028-11-26
Fixed
5.00000000
N
N
N
N
N
N
New York City Municipal Water Finance Authority
549300Q2EHQ6RJPQKP05
New York City Municipal Water Finance Authority, Series 2010EE
64972FL20
5000.00000000
PA
USD
5755.92000000
0.013655587535
Long
DBT
MUN
US
N
2
2042-06-15
Fixed
6.01100000
N
N
N
N
N
N
Hewlett Packard Enterprise Co.
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co.
42824CBL2
40000.00000000
PA
USD
40504.34000000
0.096094205694
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.90000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TB4
2800.00000000
PA
USD
1906.63000000
0.004523369480
Long
DBT
UST
US
N
2
2051-11-15
Fixed
1.87500000
N
N
N
N
N
N
RELX Capital, Inc.
2R15C3RTKJN1RCBOV146
RELX Capital, Inc.
74949LAC6
24000.00000000
PA
USD
23128.36000000
0.054870697392
Long
DBT
CORP
US
N
2
2029-03-18
Fixed
4.00000000
N
N
N
N
N
N
L3Harris Technologies, Inc.
549300UTE50ZMDBG8A20
L3Harris Technologies, Inc.
502431AF6
72000.00000000
PA
USD
63640.03000000
0.150982293087
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
2.90000000
N
N
N
N
N
N
Bridge Street CLO II Ltd.
N/A
Bridge Street CLO II Ltd., Series 2021-1A, Class A1A
10806JAA1
250000.00000000
PA
USD
244824.85000000
0.580832806927
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
6.03771120
N
N
N
N
N
N
CCO Holdings LLC
N/A
CCO Holdings LLC
1248EPCB7
4000.00000000
PA
USD
3673.00000000
0.008713980218
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.37500000
N
N
N
N
N
N
WP Carey, Inc.
54930042CRNE713E3Q67
WP Carey, Inc.
92936UAG4
13000.00000000
PA
USD
10608.89000000
0.025168978382
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.40000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XKDV9
22288.91790000
PA
USD
23135.39000000
0.054887375660
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
6.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CXN9
1156.24170000
PA
USD
1125.31000000
0.002669732937
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CDK4
166800.00000000
PA
USD
152582.91000000
0.361994135417
Long
DBT
UST
US
N
2
2026-11-30
Fixed
1.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TG3
172000.00000000
PA
USD
147140.63000000
0.349082640655
Long
DBT
UST
US
N
2
2052-05-15
Fixed
2.87500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H052645
38000.00000000
PA
USD
38429.73000000
0.091172313371
Long
ABS-MBS
USGA
US
N
2
2053-04-15
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
15443000.00000000
PA
311.54000000
0.000739110644
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2032-10-17
0.00000000
USD
0.00000000
USD
15443000.00000000
JPY
311.54000000
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XCR5
199000.00000000
PA
USD
198387.44000000
0.470662735561
Long
DBT
CORP
US
N
2
2024-01-17
Fixed
5.10000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PCJ3
38000.00000000
PA
USD
32972.18000000
0.078224591416
Long
DBT
CORP
US
N
2
2029-06-01
Variable
2.06900000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H050649
92000.00000000
PA
USD
92115.00000000
0.218537513696
Long
ABS-MBS
USGA
US
N
2
2053-04-15
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
9665.00000000
PA
6.18000000
0.000014661692
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-02-15
0.00000000
USD
0.00000000
USD
9665.00000000
EUR
6.18000000
N
N
N
DBGS Mortgage Trust
N/A
DBGS Mortgage Trust, Series 2018-BIOD, Class A
23306GAA5
54825.76140000
PA
USD
53859.00000000
0.127777364709
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
5.48700840
N
N
N
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844CP1
9000.00000000
PA
USD
8089.63000000
0.019192179633
Long
DBT
CORP
US
N
2
2053-06-01
Fixed
4.55000000
N
N
N
N
N
N
CenterPoint Energy Houston Electric LLC
549300S8SEQBOJLKHW63
CenterPoint Energy Houston Electric LLC, Series AF
15189XAW8
15000.00000000
PA
USD
11423.30000000
0.027101119038
Long
DBT
CORP
US
N
2
2051-04-01
Fixed
3.35000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
6998228.00000000
PA
-94.83000000
-0.00022497869
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2025-02-03
0.00000000
USD
0.00000000
USD
6998228.00000000
JPY
-94.83000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H020642
509700.00000000
PA
USD
432972.15000000
1.027201402170
Long
ABS-MBS
USGA
US
N
2
2053-04-15
Fixed
2.00000000
N
N
N
N
N
N
Progress Residential Trust
N/A
Progress Residential Trust, Series 2021-SFR10, Class F
74333WAN2
499539.83000000
PA
USD
413192.87000000
0.980276203517
Long
ABS-O
CORP
US
N
2
2040-12-17
Fixed
4.60800000
N
N
N
N
N
N
VICI Properties LP
254900X4QE7SGKQLLN38
VICI Properties LP
925650AC7
38000.00000000
PA
USD
35657.94000000
0.084596401792
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.95000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
12427000.00000000
PA
2145.52000000
0.005090122199
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2032-08-01
0.00000000
USD
0.00000000
USD
12427000.00000000
JPY
2145.52000000
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175CA0
15000.00000000
PA
USD
9915.39000000
0.023523689713
Long
DBT
CORP
US
N
2
2052-06-01
Fixed
3.90000000
N
N
N
N
N
N
L3Harris Technologies, Inc.
549300UTE50ZMDBG8A20
L3Harris Technologies, Inc.
502431AN9
141000.00000000
PA
USD
113967.11000000
0.270380381725
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.80000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-777600.00000000
PA
USD
-22946.30000000
-0.05443877056
N/A
DIR
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Put
Written
N/A
Swaption
1.00000000
3.10500000
USD
2023-12-19
XXXX
6719.14000000
N
N
N
N/A
N/A
OIS
N/A
7207500.00000000
PA
769.91000000
0.001826566977
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2032-05-02
0.00000000
USD
0.00000000
USD
7207500.00000000
JPY
769.91000000
N
N
N
Republic of Peru
254900STKLK2DBJJZ530
Republic of Peru
715638DT6
35000.00000000
PA
USD
25567.50000000
0.060657416071
Long
DBT
NUSS
PE
N
2
2051-03-10
Fixed
3.55000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
1382.00000000
PA
1.85000000
0.000004389018
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2053-03-27
0.00000000
USD
0.24000000
USD
1382.00000000
CAD
1.85000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
31418CYM0
1163.11030000
PA
USD
1129.66000000
0.002680053061
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
8179450.00000000
PA
-1606.34000000
-0.00381094881
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-02-15
0.00000000
USD
0.00000000
USD
8179450.00000000
JPY
-1606.34000000
N
N
N
N/A
N/A
U.S. Treasury 5 Year Note
N/A
30.00000000
NC
USD
54994.23000000
0.130470632273
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
U.S. Treasury 5 Year Note
2023-06-30
3289453.14000000
USD
54994.23000000
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp.
06051GJT7
131000.00000000
PA
USD
109322.65000000
0.259361668802
Long
DBT
CORP
US
N
2
2032-04-22
Variable
2.68700000
N
N
N
N
N
N
Motorola Solutions, Inc.
6S552MUG6KGJVEBSEC55
Motorola Solutions, Inc.
620076BW8
105000.00000000
PA
USD
105611.76000000
0.250557796748
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
5.60000000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FAS0
107000.00000000
PA
USD
98583.57000000
0.233883822169
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
4.30000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
281000.00000000
PA
USD
13018.55000000
0.030885757465
N/A
DIR
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Call
Purchased
N/A
Swaption
1.00000000
3.32000000
USD
2024-02-15
XXXX
3893.07000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617Y0P20
18344.55000000
PA
USD
17308.50000000
0.041063415902
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
3.50000000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FBV2
56000.00000000
PA
USD
50925.55000000
0.120817924123
Long
DBT
CORP
US
N
2
2037-05-15
Fixed
4.92600000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F060642
744900.00000000
PA
USD
760292.66000000
1.803750394596
Long
ABS-MBS
USGSE
US
N
2
2053-04-25
Fixed
6.00000000
N
N
N
N
N
N
VICI Properties LP
254900X4QE7SGKQLLN38
VICI Properties LP
925650AB9
56000.00000000
PA
USD
53082.67000000
0.125935566652
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.75000000
N
N
N
N
N
N
CenterPoint Energy Houston Electric LLC
549300S8SEQBOJLKHW63
CenterPoint Energy Houston Electric LLC, Series AJ
15189XBA5
25000.00000000
PA
USD
24368.10000000
0.057811908891
Long
DBT
CORP
US
N
2
2052-10-01
Fixed
4.85000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loans LLC, Series 2017-2A, Class C
61946GAC7
58259.63200000
PA
USD
56006.12000000
0.132871282816
Long
ABS-O
CORP
US
N
2
2043-06-22
Fixed
2.00000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NDH1
44000.00000000
PA
USD
37769.44000000
0.089605813508
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.75000000
N
N
N
N
N
N
International Business Machines Corp.
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp.
459200AM3
8000.00000000
PA
USD
8479.38000000
0.020116838982
Long
DBT
CORP
US
N
2
2025-10-30
Fixed
7.00000000
N
N
N
N
N
N
S&P Global, Inc.
Y6X4K52KMJMZE7I7MY94
S&P Global, Inc.
78409VBF0
34000.00000000
PA
USD
34497.44000000
0.081843182614
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
4.75000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F030645
569863.00000000
PA
USD
511315.03000000
1.213065357129
Long
ABS-MBS
USGSE
US
N
2
2053-04-25
Fixed
3.00000000
N
N
N
N
N
N
Paramount Global
5KYC8KF17ROCY24M3H09
Paramount Global
92553PAP7
20000.00000000
PA
USD
14212.14000000
0.033717480756
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
4.37500000
N
N
N
N
N
N
QUALCOMM, Inc.
H1J8DDZKZP6H7RWC0H53
QUALCOMM, Inc.
747525BQ5
23000.00000000
PA
USD
23008.56000000
0.054586478816
Long
DBT
CORP
US
N
2
2032-05-20
Fixed
4.25000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
27100.00000000
PA
USD
1480.97000000
0.003513515732
N/A
DIR
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Call
Purchased
N/A
Swaption
1.00000000
3.09000000
USD
2026-03-27
XXXX
10.79000000
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
N/A
100000.00000000
PA
94854.27000000
0.225036273455
Long
DBT
CORP
FR
N
2
2027-10-14
Variable
0.37500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H030641
197700.00000000
PA
USD
180075.70000000
0.427219190741
Long
ABS-MBS
USGA
US
N
2
2053-04-15
Fixed
3.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TN8
12000.00000000
PA
USD
11913.75000000
0.028264683317
Long
DBT
UST
US
N
2
2053-02-15
Fixed
3.62500000
N
N
N
N
N
N
BlackRock Liquidity Funds
5493002L9DNZ83RX7V61
T-Fund, Institutional Class
09248U718
1962807.20000000
NS
USD
1962807.20000000
4.656646641198
Long
STIV
RF
US
N
1
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XCQ6
15000.00000000
PA
USD
14280.62000000
0.033879945598
Long
DBT
CORP
US
N
2
2053-02-06
Fixed
5.55000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F022642
-1110300.00000000
PA
USD
-956939.81000000
-2.27028439271
Short
ABS-MBS
USGSE
US
N
2
2053-04-25
Fixed
2.50000000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175BS2
8000.00000000
PA
USD
6332.51000000
0.015023513986
Long
DBT
CORP
US
N
2
2049-07-01
Fixed
5.12500000
N
N
N
N
N
N
CenterPoint Energy Houston Electric LLC
549300S8SEQBOJLKHW63
CenterPoint Energy Houston Electric LLC
15189XBB3
15000.00000000
PA
USD
15318.23000000
0.036341615355
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
4.95000000
N
N
N
N
N
N
Trimaran Cavu Ltd.
N/A
Trimaran Cavu Ltd., Series 2021-2A, Class D1
89624UAJ1
250000.00000000
PA
USD
226113.38000000
0.536440925785
Long
ABS-CBDO
CORP
KY
N
2
2034-10-25
Floating
8.06771160
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179VXX3
12716.96210000
PA
USD
10876.15000000
0.025803037285
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
2.00000000
N
N
N
N
N
N
Waste Pro USA, Inc.
549300BY1QXU5BI3UF28
Waste Pro USA, Inc.
94107JAA1
2000.00000000
PA
USD
1839.33000000
0.004363704120
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F050643
1355500.00000000
PA
USD
1351899.45000000
3.207303311848
Long
ABS-MBS
USGSE
US
N
2
2053-04-25
Fixed
5.00000000
N
N
N
N
N
N
KLA Corp.
549300H0BF5JCG96TJ81
KLA Corp.
482480AJ9
52000.00000000
PA
USD
39748.51000000
0.094301042702
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
3.30000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
81000.00000000
PA
USD
717.00000000
0.001701041060
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2033-03-15
0.00000000
USD
0.00000000
USD
81000.00000000
USD
717.00000000
N
N
N
State Street Corp.
549300ZFEEJ2IP5VME73
State Street Corp., Series H
857477BA0
27000.00000000
PA
USD
25183.63000000
0.059746706682
Long
DBT
CORP
US
N
2
2023-12-15
Variable
5.62500000
N
N
N
N
N
N
Gilbert Park CLO Ltd.
N/A
Gilbert Park CLO Ltd., Series 2017-1A, Class A
375415AA4
250000.00000000
PA
USD
247616.98000000
0.587456973981
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
5.98242960
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-41788.00000000
PA
USD
-2007.27000000
-0.00476213206
N/A
DIR
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Put
Written
N/A
Swaption
1.00000000
3.13250000
USD
2026-03-23
XXXX
207.49000000
N
N
N
Lendmark Funding Trust
N/A
Lendmark Funding Trust, Series 2022-1A, Class A
52608JAA3
100000.00000000
PA
USD
98357.02000000
0.233346345388
Long
ABS-O
CORP
US
N
2
2032-07-20
Fixed
5.12000000
N
N
N
N
N
N
Regional Management Issuance Trust
N/A
Regional Management Issuance Trust, Series 2021-1, Class A
75907VAA5
100000.00000000
PA
USD
93341.79000000
0.221448002069
Long
ABS-O
CORP
US
N
2
2031-03-17
Fixed
1.68000000
N
N
N
N
N
N
Intel Corp.
KNX4USFCNGPY45LOCE31
Intel Corp.
458140CE8
60000.00000000
PA
USD
60964.68000000
0.144635179835
Long
DBT
CORP
US
N
2
2028-02-10
Fixed
4.87500000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175CC6
15000.00000000
PA
USD
10249.17000000
0.024315563472
Long
DBT
CORP
US
N
2
2061-12-01
Fixed
4.40000000
N
N
N
N
N
N
N/A
N/A
3 Month SOFR Interest Futures
N/A
-7.00000000
NC
USD
-369.47000000
-0.00087654622
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
N/A
3 Month SOFR Interest Futures
2024-03-19
-1675187.50000000
USD
-369.47000000
N
N
N
Post Holdings, Inc.
JM1I5YUAURL6DC8N1468
Post Holdings, Inc.
737446AN4
3000.00000000
PA
USD
2940.00000000
0.006974980082
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.62500000
N
N
N
N
N
N
Regional Management Issuance Trust
N/A
Regional Management Issuance Trust, Series 2020-1, Class A
75907QAA6
100000.00000000
PA
USD
95790.29000000
0.227256926807
Long
ABS-O
CORP
US
N
2
2030-10-15
Fixed
2.34000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PCC8
10000.00000000
PA
USD
8416.52000000
0.019967707265
Long
DBT
CORP
US
N
2
2032-04-22
Variable
2.58000000
N
N
N
N
N
N
Masonite International Corp.
549300H0H07ZFT4JYM32
Masonite International Corp.
575385AD1
2000.00000000
PA
USD
1910.00000000
0.004531364611
Long
DBT
CORP
CA
N
2
2028-02-01
Fixed
5.37500000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F060642
-644900.00000000
PA
USD
-658226.25000000
-1.56160373581
Short
ABS-MBS
USGSE
US
N
2
2053-04-25
Fixed
6.00000000
N
N
N
N
N
N
AEP Texas, Inc.
5493001L78U618KXNZ75
AEP Texas, Inc.
00108WAH3
95000.00000000
PA
USD
91426.68000000
0.216904514278
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
3.95000000
N
N
N
N
N
N
Pikes Peak CLO 8
549300NJA5BS4BQQJL72
Pikes Peak CLO 8, Series 2021-8A, Class B
72133CAC6
250000.00000000
PA
USD
241022.90000000
0.571812900287
Long
ABS-CBDO
CORP
KY
N
2
2034-07-20
Floating
6.55770960
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-242500.00000000
PA
USD
-8667.23000000
-0.02056250225
N/A
DIR
US
N
2
J.P. Morgan
7H6GLXDRUGQFU57RNE97
Call
Written
N/A
Swaption
1.00000000
3.15100000
USD
2024-01-08
XXXX
329.52000000
N
N
N
N/A
N/A
SOP
N/A
-242500.00000000
PA
USD
-6870.37000000
-0.01629955575
N/A
DIR
US
N
2
J.P. Morgan
7H6GLXDRUGQFU57RNE97
Put
Written
N/A
Swaption
1.00000000
3.15100000
USD
2024-01-08
XXXX
2126.38000000
N
N
N
N/A
N/A
U.S. Treasury Long Bond
N/A
7.00000000
NC
USD
7239.57000000
0.017175461412
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
U.S. Treasury Long Bond
2023-06-21
919625.00000000
USD
7239.57000000
N
N
N
N/A
N/A
SOP
N/A
-41788.00000000
PA
USD
-2358.63000000
-0.00559571335
N/A
DIR
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Call
Written
N/A
Swaption
1.00000000
3.13250000
USD
2026-03-23
XXXX
-143.87000000
N
N
N
Burlington Northern Santa Fe LLC
N/A
Burlington Northern Santa Fe LLC
12189LBG5
33000.00000000
PA
USD
25177.75000000
0.059732756722
Long
DBT
CORP
US
N
2
2051-09-15
Fixed
3.30000000
N
N
N
N
N
N
Commonwealth Edison Co.
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co.
202795JY7
10000.00000000
PA
USD
10440.53000000
0.024769554012
Long
DBT
CORP
US
N
2
2053-02-01
Fixed
5.30000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-10519.03000000
-0.02495579072
N/A
DFE
N/A
N
2
UBS
BFM8T61CT2L1QCEMIK50
980000.00000000
EUR
1057077.49000000
USD
2023-06-21
-10519.03000000
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
Port Authority of New York & New Jersey, Series 2011-168
73358WEK6
15000.00000000
PA
USD
15294.69000000
0.036285768065
Long
DBT
MUN
US
N
2
2051-10-01
Fixed
4.92600000
N
N
N
N
N
N
American Tower Corp.
5493006ORUSIL88JOE18
American Tower Corp.
03027XAW0
105000.00000000
PA
USD
97581.26000000
0.231505899623
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.80000000
N
N
N
N
N
N
Diameter Capital CLO 1 Ltd.
25490018I1ROE4V49X69
Diameter Capital CLO 1 Ltd., Series 2021-1A, Class A1A
25255DAA8
250000.00000000
PA
USD
244902.90000000
0.581017976042
Long
ABS-CBDO
CORP
KY
N
2
2036-07-15
Floating
6.03243000
N
N
N
N
N
N
Ford Motor Co.
20S05OYHG0MQM4VUIC57
Ford Motor Co.
345370DA5
2000.00000000
PA
USD
1571.91000000
0.003729265626
Long
DBT
CORP
US
N
2
2032-02-12
Fixed
3.25000000
N
N
N
N
N
N
Amgen, Inc.
62QBXGPJ34PQ72Z12S66
Amgen, Inc.
031162DU1
15000.00000000
PA
USD
15564.52000000
0.036925924145
Long
DBT
CORP
US
N
2
2063-03-02
Fixed
5.75000000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F020448
585000.00000000
PA
USD
527808.39000000
1.252194900492
Long
ABS-MBS
USGSE
US
N
2
2038-04-25
Fixed
2.00000000
N
N
N
N
N
N
Southwestern Public Service Co.
OL6FE7QD5EQ3DOYEO258
Southwestern Public Service Co., Series 8
845743BU6
26000.00000000
PA
USD
18719.26000000
0.044410362466
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.15000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CFF3
1457900.00000000
PA
USD
1372020.58000000
3.255039529869
Long
DBT
UST
US
N
2
2032-08-15
Fixed
2.75000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SE9
377700.00000000
PA
USD
353297.04000000
0.838176808532
Long
DBT
UST
US
N
2
2048-11-15
Fixed
3.37500000
N
N
N
N
N
N
Madison Park Funding XVIII Ltd.
N/A
Madison Park Funding XVIII Ltd., Series 2015-18A, Class ARR
55819BAW0
249048.60000000
PA
USD
245916.56000000
0.583422825807
Long
ABS-CBDO
CORP
KY
N
2
2030-10-21
Floating
5.75529120
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CGQ8
11000.00000000
PA
USD
11290.47000000
0.026785987540
Long
DBT
UST
US
N
2
2030-02-28
Fixed
4.00000000
N
N
N
N
N
N
VICI Properties LP
N/A
VICI Properties LP
92564RAD7
40000.00000000
PA
USD
36926.61000000
0.087606248044
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.75000000
N
N
N
N
N
N
N/A
N/A
3 Month SOFR Options
N/A
-39.00000000
NC
USD
-243.75000000
-0.00057828278
N/A
DIR
US
N
1
CME Clearing House
N/A
Put
Written
N/A
Citigroup, Inc.
250000.00000000
95.12500000
USD
2023-04-14
XXXX
4021.48000000
N
N
N
Equinix, Inc.
549300EVUN2BTLJ3GT74
Equinix, Inc.
29444UBS4
15000.00000000
PA
USD
12351.28000000
0.029302697955
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
2.50000000
N
N
N
N
N
N
Comcast Corp.
51M0QTTNCGUN7KFCFZ59
Comcast Corp.
20030NEB3
55000.00000000
PA
USD
58650.89000000
0.139145846786
Long
DBT
CORP
US
N
2
2032-11-15
Fixed
5.50000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X7CB3
30133.69540000
PA
USD
29192.28000000
0.069256997126
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
10824.00000000
PA
USD
-66.72000000
-0.00015828934
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2033-02-14
0.00000000
USD
0.00000000
USD
10824.00000000
USD
-66.72000000
N
N
N
Los Angeles Community College District
N/A
Los Angeles Community College District, Series 2010E
54438CNZ1
5000.00000000
PA
USD
6287.83000000
0.014917513268
Long
DBT
MUN
US
N
2
2042-08-01
Fixed
6.60000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179WTY4
127041.45730000
PA
USD
111799.74000000
0.265238421663
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
VICI Properties LP
N/A
VICI Properties LP
92564RAB1
38000.00000000
PA
USD
34591.96000000
0.082067425851
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
4.62500000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XGHK8
169364.16000000
PA
USD
163378.43000000
0.387605882688
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PCU8
16000.00000000
PA
USD
13680.81000000
0.032456931040
Long
DBT
CORP
US
N
2
2033-01-25
Variable
2.96300000
N
N
N
N
N
N
N/A
N/A
EUR Currency
N/A
-483000.00000000
PA
-885.45000000
-0.00210067895
N/A
DFE
GB
N
2
Goldman Sachs
W22LROWP2IHZNBB6K528
Put
Written
N/A
EUR Currency
1.00000000
1.02000000
EUR
2023-06-29
XXXX
82.34000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QEYX4
43258.63860000
PA
USD
38000.99000000
0.090155152500
Long
ABS-MBS
USGSE
US
N
2
2050-09-01
Fixed
2.50000000
N
N
N
N
N
N
Outfront Media Capital LLC
N/A
Outfront Media Capital LLC
69007TAB0
4000.00000000
PA
USD
3603.32000000
0.008548668445
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.00000000
N
N
N
N
N
N
Penske Truck Leasing Co. LP
N/A
Penske Truck Leasing Co. LP
709599BR4
55000.00000000
PA
USD
56164.07000000
0.133246010062
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
5.87500000
N
N
N
N
N
N
Verisk Analytics, Inc.
549300I1YSWNIRKBWP67
Verisk Analytics, Inc.
92345YAH9
5000.00000000
PA
USD
5248.78000000
0.012452427195
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
5.75000000
N
N
N
N
N
N
American Express Co.
R4PP93JZOLY261QX3811
American Express Co.
025816DA4
24000.00000000
PA
USD
22945.22000000
0.054436208326
Long
DBT
CORP
US
N
2
2033-08-03
Variable
4.42000000
N
N
N
N
N
N
Owens Corning
JO5M6676RDJIZ2U8X907
Owens Corning
690742AJ0
26000.00000000
PA
USD
24493.29000000
0.058108914930
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.95000000
N
N
N
N
N
N
PECO Energy Co.
YH65D4JBECK76IFEJ279
PECO Energy Co.
693304BE6
10000.00000000
PA
USD
9048.98000000
0.021468182062
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
4.37500000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-107000.00000000
PA
USD
-5529.60000000
-0.01311865641
N/A
DIR
GB
N
2
Goldman Sachs
W22LROWP2IHZNBB6K528
Put
Written
N/A
Swaption
1.00000000
3.02200000
USD
2026-03-16
XXXX
494.50000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140QC6E1
13615.14470000
PA
USD
13111.34000000
0.031105896377
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140X9PE9
21130.28160000
PA
USD
20397.86000000
0.048392743951
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
4.00000000
N
N
N
N
N
N
Navient Corp.
54930067J0ZNOEBRW338
Navient Corp.
63938CAB4
2000.00000000
PA
USD
1942.75000000
0.004609062093
Long
DBT
CORP
US
N
2
2024-10-25
Fixed
5.87500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEC1
24000.00000000
PA
USD
22394.06000000
0.053128613081
Long
DBT
UST
US
N
2
2027-02-28
Fixed
1.87500000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust, Series 2021-C60, Class A4
95003DBJ6
80000.00000000
PA
USD
64921.15000000
0.154021676245
Long
ABS-MBS
CORP
US
N
2
2054-08-15
Fixed
2.34200000
N
N
N
N
N
N
Biogen, Inc.
W8J5WZB5IY3K0NDQT671
Biogen, Inc.
09062XAD5
9000.00000000
PA
USD
9132.90000000
0.021667277412
Long
DBT
CORP
US
N
2
2045-09-15
Fixed
5.20000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-OC10, Class 2A3
23245FAE3
190239.30740000
PA
USD
157157.76000000
0.372847702638
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
5.30529120
N
N
N
N
N
N
N/A
N/A
SOP
N/A
565000.00000000
PA
USD
13938.43000000
0.033068119600
N/A
DIR
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Put
Purchased
N/A
Swaption
1.00000000
3.29000000
USD
2024-02-14
XXXX
-4706.57000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SA7
298000.00000000
PA
USD
259935.15000000
0.616681120375
Long
DBT
UST
US
N
2
2048-02-15
Fixed
3.00000000
N
N
N
N
N
N
CVS Health Corp.
549300EJG376EN5NQE29
CVS Health Corp.
126650DG2
35000.00000000
PA
USD
32008.60000000
0.075938553557
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.25000000
N
N
N
N
N
N
Southern California Edison Co.
9R1Z5I36FERIBVKW4P77
Southern California Edison Co., Series A
842400GQ0
64000.00000000
PA
USD
61881.89000000
0.146811207549
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.20000000
N
N
N
N
N
N
Amazon.com, Inc.
ZXTILKJKG63JELOEG630
Amazon.com, Inc.
023135BJ4
57000.00000000
PA
USD
51685.78000000
0.122621525860
Long
DBT
CORP
US
N
2
2047-08-22
Fixed
4.05000000
N
N
N
N
N
N
Broadcom, Inc.
549300WV6GIDOZJTV909
Broadcom, Inc.
11135FBP5
39000.00000000
PA
USD
29993.31000000
0.071157394506
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
3.13700000
N
N
N
N
N
N
Equinix, Inc.
549300EVUN2BTLJ3GT74
Equinix, Inc.
29444UBH8
35000.00000000
PA
USD
28617.92000000
0.067894361222
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
2.15000000
N
N
N
N
N
N
Anglo American Capital plc
TINT358G1SSHR3L3PW36
Anglo American Capital plc
034863BB5
200000.00000000
PA
USD
183475.00000000
0.435283833528
Long
DBT
CORP
GB
N
2
2029-03-16
Fixed
3.87500000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
251526CE7
150000.00000000
PA
USD
129266.07000000
0.306676280118
Long
DBT
CORP
DE
N
2
2026-11-24
Variable
2.12900000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F022642
613000.00000000
PA
USD
528329.38000000
1.253430919156
Long
ABS-MBS
USGSE
US
N
2
2053-04-25
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
73500.00000000
PA
USD
80.29000000
0.000190483384
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2033-03-17
0.00000000
USD
0.00000000
USD
73500.00000000
USD
80.29000000
N
N
N
N/A
N/A
OIS
N/A
4754.00000000
PA
13.33000000
0.000031624654
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-03-22
0.00000000
USD
0.00000000
USD
4754.00000000
EUR
13.33000000
N
N
N
N/A
N/A
U.S. Treasury 10 Year Note
N/A
-24.00000000
NC
USD
-58785.89000000
-0.13946612648
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
N/A
U.S. Treasury 10 Year Note
2023-06-21
-2761500.00000000
USD
-58785.89000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140MRCP0
533964.49000000
PA
USD
511067.65000000
1.212478462376
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
Public Service Electric & Gas Co.
549300RUHPVD434XUK18
Public Service Electric & Gas Co.
74456QCK0
36000.00000000
PA
USD
36828.82000000
0.087374246921
Long
DBT
CORP
US
N
2
2032-12-15
Fixed
4.90000000
N
N
N
N
N
N
Commerzbank AG
851WYGNLUQLFZBSYGB56
Commerzbank AG
N/A
100000.00000000
PA
99704.38000000
0.236542879117
Long
DBT
CORP
DE
N
2
2026-03-24
Variable
0.75000000
N
N
N
N
N
N
Commonwealth Edison Co.
D8YOXB8L2ZDC8P7Q0771
Commonwealth Edison Co.
202795JM3
18000.00000000
PA
USD
15288.79000000
0.036271770656
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
Aetna, Inc.
549300QKBENKLBXQ8968
Aetna, Inc.
00817YAF5
7000.00000000
PA
USD
7761.83000000
0.018414493078
Long
DBT
CORP
US
N
2
2036-06-15
Fixed
6.62500000
N
N
N
N
N
N
TEGNA, Inc.
549300YC5EDBGX85AO10
TEGNA, Inc.
87901JAJ4
2000.00000000
PA
USD
1745.00000000
0.004139911647
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.62500000
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175CG7
18000.00000000
PA
USD
11405.39000000
0.027058628598
Long
DBT
CORP
US
N
2
2062-06-30
Fixed
3.95000000
N
N
N
N
N
N
Ecolab, Inc.
82DYEISM090VG8LTLS26
Ecolab, Inc.
278865BA7
11000.00000000
PA
USD
9475.08000000
0.022479079686
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
3.95000000
N
N
N
N
N
N
Gilead Sciences, Inc.
549300WTZWR07K8MNV44
Gilead Sciences, Inc.
375558BG7
38000.00000000
PA
USD
37633.41000000
0.089283090195
Long
DBT
CORP
US
N
2
2035-09-01
Fixed
4.60000000
N
N
N
N
N
N
Lowe's Cos., Inc.
WAFCR4OKGSC504WU3E95
Lowe's Cos., Inc.
548661EE3
30000.00000000
PA
USD
21263.84000000
0.050447231452
Long
DBT
CORP
US
N
2
2041-09-15
Fixed
2.80000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
92500.00000000
PA
USD
5014.37000000
0.011896303018
N/A
DIR
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Call
Purchased
N/A
Swaption
1.00000000
3.08000000
USD
2026-03-30
XXXX
19.37000000
N
N
N
Exelon Corp.
3SOUA6IRML7435B56G12
Exelon Corp.
30161NBJ9
114000.00000000
PA
USD
115985.35000000
0.275168539480
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
5.15000000
N
N
N
N
N
N
JPMorgan Chase Commercial Mortgage Securities Trust
N/A
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2021-MHC, Class D
466330AL1
250000.00000000
PA
USD
234940.98000000
0.557383896593
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
6.38399880
N
N
N
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3132DPR42
46547.84510000
PA
USD
48315.72000000
0.114626253284
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
6.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CGM7
26000.00000000
PA
USD
26040.63000000
0.061779889652
Long
DBT
UST
US
N
2
2033-02-15
Fixed
3.50000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBJ3
14000.00000000
PA
USD
10681.35000000
0.025340885544
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
4.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XGTV1
168820.18000000
PA
USD
163341.89000000
0.387519193650
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
4.00000000
N
N
N
N
N
N
University of California
N/A
University of California, Series 2012 AD
91412GHA6
5000.00000000
PA
USD
4524.02000000
0.010732975983
Long
DBT
MUN
US
N
2
2112-05-15
Fixed
4.85800000
N
N
N
N
N
N
KBC Group NV
213800X3Q9LSAKRUWY91
KBC Group NV
N/A
200000.00000000
PA
193287.40000000
0.458563185419
Long
DBT
CORP
BE
N
2
2027-06-16
Variable
0.37500000
N
N
N
N
N
N
AGL Core CLO 4 Ltd.
549300HS2AZ4GZPCZ864
AGL Core CLO 4 Ltd., Series 2020-4A, Class A1R
001199AG3
250000.00000000
PA
USD
245995.55000000
0.583610225017
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Floating
5.87770920
N
N
N
N
N
N
N/A
N/A
OIS
N/A
5460.00000000
PA
USD
-12.18000000
-0.00002889634
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2053-02-17
0.00000000
USD
0.00000000
USD
5460.00000000
USD
-12.18000000
N
N
N
Interpublic Group of Cos., Inc. (The)
5493008IUOJ5VWTRC333
Interpublic Group of Cos., Inc. (The)
460690BR0
8000.00000000
PA
USD
7855.73000000
0.018637265401
Long
DBT
CORP
US
N
2
2030-03-30
Fixed
4.75000000
N
N
N
N
N
N
Home Partners of America Trust
N/A
Home Partners of America Trust, Series 2021-2, Class F
43732VAL0
484123.55000000
PA
USD
419861.81000000
0.996097878234
Long
ABS-O
CORP
US
N
2
2026-12-17
Fixed
3.79900000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Ultra Bond
N/A
2.00000000
NC
USD
10996.61000000
0.026088821673
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
U.S. Treasury Ultra Bond
2023-06-21
283312.50000000
USD
10996.61000000
N
N
N
N/A
N/A
SOP
N/A
-45000.00000000
PA
USD
-2192.29000000
-0.00520108132
N/A
DIR
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Call
Written
N/A
Swaption
1.00000000
2.95300000
USD
2026-03-13
XXXX
354.71000000
N
N
N
N/A
N/A
IRS
N/A
3188.00000000
PA
-4.52000000
-0.00001072343
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-03-27
0.24000000
USD
0.00000000
USD
3188.00000000
CAD
-4.52000000
N
N
N
SUMIT Mortgage Trust
N/A
SUMIT Mortgage Trust, Series 2022-BVUE, Class D
865592AJ8
40000.00000000
PA
USD
28937.78000000
0.068653210585
Long
ABS-MBS
CORP
US
N
2
2041-02-12
Variable
2.89248840
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YAS8
43000.00000000
PA
USD
40292.15000000
0.095590797182
Long
DBT
CORP
US
N
2
2045-05-14
Fixed
4.70000000
N
N
N
N
N
N
Capital One Financial Corp.
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp.
14040HCY9
67000.00000000
PA
USD
64743.50000000
0.153600211887
Long
DBT
CORP
US
N
2
2034-02-01
Variable
5.81700000
N
N
N
N
N
N
Sirius XM Radio, Inc.
WP5O65E6BMU84LNO4227
Sirius XM Radio, Inc.
82967NBC1
4000.00000000
PA
USD
3640.00000000
0.008635689625
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
5.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CDW8
10000.00000000
PA
USD
9026.95000000
0.021415917160
Long
DBT
UST
US
N
2
2029-01-31
Fixed
1.75000000
N
N
N
N
N
N
Tricon Residential Trust
N/A
Tricon Residential Trust, Series 2021-SFR1, Class F
89614YAG1
400000.00000000
PA
USD
352503.92000000
0.836295177171
Long
ABS-O
CORP
US
N
2
2038-07-17
Fixed
3.69200000
N
N
N
N
N
N
Neuberger Berman Loan Advisers CLO 35 Ltd.
549300MYVO80EQUJK294
Neuberger Berman Loan Advisers CLO 35 Ltd., Series 2019-35A, Class C
64133CAJ8
250000.00000000
PA
USD
244273.75000000
0.579525354028
Long
ABS-CBDO
CORP
KY
N
2
2033-01-19
Floating
7.39757160
N
N
N
N
N
N
Apple, Inc.
HWUPKR0MPOU8FGXBT394
Apple, Inc.
037833BH2
26000.00000000
PA
USD
25236.47000000
0.059872066528
Long
DBT
CORP
US
N
2
2045-05-13
Fixed
4.37500000
N
N
N
N
N
N
Moody's Corp.
549300GCEDD8YCF5WU84
Moody's Corp.
615369AZ8
57000.00000000
PA
USD
54882.00000000
0.130204373084
Long
DBT
CORP
US
N
2
2032-08-08
Fixed
4.25000000
N
N
N
N
N
N
Commercial Mortgage Trust
549300NMFC2YLCA2NF13
Commercial Mortgage Trust, Series 2013-300P, Class D
12625XAL1
25000.00000000
PA
USD
21250.00000000
0.050414396852
Long
ABS-MBS
CORP
US
N
2
2030-08-10
Variable
4.39350120
N
N
N
N
N
N
N/A
N/A
OIS
N/A
4867.00000000
PA
58.28000000
0.000138265931
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-03-02
0.00000000
USD
0.00000000
USD
4867.00000000
EUR
58.28000000
N
N
N
Cedar Fair LP
N/A
Cedar Fair LP
150190AF3
2000.00000000
PA
USD
1998.74000000
0.004741895132
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.50000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XAV7
20000.00000000
PA
USD
18339.20000000
0.043508692082
Long
DBT
CORP
US
N
2
2034-07-08
Fixed
4.30000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZS2
235000.00000000
PA
USD
206212.50000000
0.489227238160
Long
DBT
UST
US
N
2
2027-05-31
Fixed
0.50000000
N
N
N
N
N
N
N/A
N/A
IRS
N/A
6483.00000000
PA
26.09000000
0.000061897017
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2033-03-30
0.00000000
USD
13.55000000
USD
6483.00000000
CAD
26.09000000
N
N
N
Credit Suisse Mortgage Capital Certificates
N/A
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class A
12653VAA4
59851.09790000
PA
USD
59245.54000000
0.140556619543
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
5.66399880
N
N
N
N
N
N
N/A
N/A
SOP
N/A
281000.00000000
PA
USD
6673.61000000
0.015832754022
N/A
DIR
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Put
Purchased
N/A
Swaption
1.00000000
3.32000000
USD
2024-02-15
XXXX
-2451.87000000
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XCB9
7000.00000000
PA
USD
5148.69000000
0.012214969455
Long
DBT
CORP
US
N
2
2061-03-25
Fixed
4.10000000
N
N
N
N
N
N
N/A
N/A
CDS
N/A
16741.00000000
PA
USD
-107.06000000
-0.00025399366
N/A
DCR
US
N
2
J.P. Morgan
7H6GLXDRUGQFU57RNE97
Abbott Laboratories
Abbott Laboratories
Y
Receipt of notional amount upon default event with regard to the reference instrument
2027-06-20
0.00000000
USD
329.81000000
USD
16741.00000000
USD
-107.06000000
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140XCDV7
102593.29660000
PA
USD
89679.20000000
0.212758718974
Long
ABS-MBS
USGSE
US
N
2
2051-03-01
Fixed
2.50000000
N
N
N
N
N
N
Oracle Corp.
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp.
68389XBX2
123000.00000000
PA
USD
87243.22000000
0.206979497212
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.60000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortgage Loan Trust
N/A
MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-W10, Class G
55284DAS1
125000.00000000
PA
USD
113942.14000000
0.270321141843
Long
ABS-MBS
CORP
KY
N
2
2034-12-15
Floating
9.04732560
N
N
N
N
N
N
State of Texas
549300X9CH74QB747L76
State of Texas, Series 2009A
882722KF7
15000.00000000
PA
USD
16499.09000000
0.039143137457
Long
DBT
MUN
US
N
2
2039-04-01
Fixed
5.51700000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAL5
103000.00000000
PA
USD
89066.84000000
0.211305930265
Long
DBT
UST
US
N
2
2027-09-30
Fixed
0.37500000
N
N
N
N
N
N
Standard Industries, Inc.
54930064UHXCIUWVI755
Standard Industries, Inc.
853496AD9
2000.00000000
PA
USD
1868.36000000
0.004432576117
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
Public Service Electric and Gas Co.
549300RUHPVD434XUK18
Public Service Electric and Gas Co.
74456QBT2
6000.00000000
PA
USD
4817.87000000
0.011430118125
Long
DBT
CORP
US
N
2
2047-12-01
Fixed
3.60000000
N
N
N
N
N
N
Cedar Fair LP
549300TUVLNQQ6BVKH61
Cedar Fair LP
150190AE6
3000.00000000
PA
USD
2796.90000000
0.006635483602
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
5.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810TA6
206000.00000000
PA
USD
149156.88000000
0.353866077250
Long
DBT
UST
US
N
2
2041-08-15
Fixed
1.75000000
N
N
N
N
N
N
Prodigy Finance DAC
635400HTAZNW3LYYMQ40
Prodigy Finance DAC, Series 2021-1A, Class A
742855AA7
198697.69880000
PA
USD
193727.24000000
0.459606680398
Long
ABS-O
CORP
IE
N
2
2051-07-25
Floating
6.09528960
N
N
N
N
N
N
Motorola Solutions, Inc.
6S552MUG6KGJVEBSEC55
Motorola Solutions, Inc.
620076BE8
49000.00000000
PA
USD
46509.81000000
0.110341836182
Long
DBT
CORP
US
N
2
2044-09-01
Fixed
5.50000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-107000.00000000
PA
USD
-5522.62000000
-0.01310209676
N/A
DIR
GB
N
2
Goldman Sachs
W22LROWP2IHZNBB6K528
Call
Written
N/A
Swaption
1.00000000
3.02200000
USD
2026-03-16
XXXX
501.48000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
36179WQA9
58624.27720000
PA
USD
51605.72000000
0.122431588137
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
21H040640
1988500.00000000
PA
USD
1914404.91000000
4.541815005592
Long
ABS-MBS
USGA
US
N
2
2053-04-15
Fixed
4.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CCS8
412000.00000000
PA
USD
345581.09000000
0.819871163102
Long
DBT
UST
US
N
2
2031-08-15
Fixed
1.25000000
N
N
N
N
N
N
Banco de Sabadell SA
SI5RG2M0WQQLZCXKRM20
Banco de Sabadell SA
N/A
100000.00000000
PA
97852.92000000
0.232150397272
Long
DBT
CORP
ES
N
2
2027-03-11
Variable
1.12500000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-777600.00000000
PA
USD
-25210.60000000
-0.05981069144
N/A
DIR
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Call
Written
N/A
Swaption
1.00000000
3.10500000
USD
2023-12-19
XXXX
4454.84000000
N
N
N
Federal Home Loan Mortgage Corp.
S6XOOCT0IEG5ABCC6L87
Uniform Mortgage-Backed Securities
3133AXXW7
165304.07000000
PA
USD
144241.70000000
0.342205096774
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
16107668.00000000
PA
1514.96000000
0.003594155042
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2032-06-14
0.00000000
USD
0.00000000
USD
16107668.00000000
JPY
1514.96000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CAH4
108400.00000000
PA
USD
94485.84000000
0.224162194573
Long
DBT
UST
US
N
2
2027-08-31
Fixed
0.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SQ2
206000.00000000
PA
USD
136161.17000000
0.323034506365
Long
DBT
UST
US
N
2
2040-08-15
Fixed
1.12500000
N
N
N
N
N
N
Electronic Arts, Inc.
549300O7A67PUEYKDL45
Electronic Arts, Inc.
285512AE9
10000.00000000
PA
USD
8248.61000000
0.019569350495
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
1.85000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CFB2
132000.00000000
PA
USD
127122.19000000
0.301590048724
Long
DBT
UST
US
N
2
2027-07-31
Fixed
2.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
3617Y0P53
16211.77000000
PA
USD
15645.81000000
0.037118779972
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
4.00000000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-242500.00000000
PA
USD
-6734.22000000
-0.01597654774
N/A
DIR
DE
N
2
Deutsche Bank
7LTWFZYICNSX8D621K86
Put
Written
N/A
Swaption
1.00000000
3.16250000
USD
2024-01-04
XXXX
2771.78000000
N
N
N
iHeartCommunications, Inc.
54930076J6KDZL504O62
iHeartCommunications, Inc.
45174HBE6
2000.00000000
PA
USD
1635.00000000
0.003878943004
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
HCA, Inc.
L3CJ6J7LJ2DX62FTXD46
HCA, Inc.
404119BV0
43000.00000000
PA
USD
40363.65000000
0.095760426800
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
5.50000000
N
N
N
N
N
N
JPMorgan Chase & Co.
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co.
46647PDF0
27000.00000000
PA
USD
26282.90000000
0.062354661224
Long
DBT
CORP
US
N
2
2030-06-14
Variable
4.56500000
N
N
N
N
N
N
Standard Industries, Inc.
54930064UHXCIUWVI755
Standard Industries, Inc.
853496AC1
2000.00000000
PA
USD
1899.44000000
0.004506311621
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
Euro-Bobl
N/A
-10.00000000
NC
-29388.68000000
-0.06972294477
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Short
N/A
Euro-Bobl
2023-06-08
-1178800.00000000
EUR
-29388.68000000
N
N
N
Norfolk Southern Corp.
54930036C8MWP850MI84
Norfolk Southern Corp.
655844BX5
27000.00000000
PA
USD
22117.05000000
0.052471422866
Long
DBT
CORP
US
N
2
2047-11-01
Fixed
3.94200000
N
N
N
N
N
N
N/A
N/A
OIS
N/A
5230.00000000
PA
USD
-27.32000000
-0.00006481512
N/A
DIR
US
N
2
CME Group Inc.
LCZ7XYGSLJUHFXXNXD88
Y
2033-03-22
0.00000000
USD
0.00000000
USD
5230.00000000
USD
-27.32000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828ZN3
177000.00000000
PA
USD
155836.06000000
0.369712045776
Long
DBT
UST
US
N
2
2027-04-30
Fixed
0.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CFQ9
44000.00000000
PA
USD
44051.56000000
0.104509780132
Long
DBT
UST
US
N
2
2024-10-31
Fixed
4.37500000
N
N
N
N
N
N
Federal National Mortgage Association or Federal Home Loan Mortgage Corp.
N/A
Uniform Mortgage-Backed Securities
01F030652
1100000.00000000
PA
USD
988016.78000000
2.344012707939
Long
ABS-MBS
USGSE
US
N
2
2053-05-25
Fixed
3.00000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140KSS40
101617.46000000
PA
USD
88625.55000000
0.210258995245
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CEN7
79000.00000000
PA
USD
76139.34000000
0.180636183662
Long
DBT
UST
US
N
2
2027-04-30
Fixed
2.75000000
N
N
N
N
N
N
Rogers Communications, Inc.
54930030NVF3Y2OL0A78
Rogers Communications, Inc.
775109BP5
43000.00000000
PA
USD
31531.99000000
0.074807823877
Long
DBT
CORP
CA
N
2
2049-11-15
Fixed
3.70000000
N
N
N
N
N
N
1011778 BC ULC
549300RHSHNRWI5LLA86
1011778 BC ULC
68245XAH2
2000.00000000
PA
USD
1860.00000000
0.004412742500
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
3.87500000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
N/A
200000.00000000
PA
193659.03000000
0.459444856115
Long
DBT
CORP
ES
N
2
2026-10-04
Fixed
0.30000000
N
N
N
N
N
N
AT&T, Inc.
549300Z40J86GGSTL398
AT&T, Inc.
00206RCQ3
63000.00000000
PA
USD
56896.78000000
0.134984322190
Long
DBT
CORP
US
N
2
2046-05-15
Fixed
4.75000000
N
N
N
N
N
N
American Transmission Systems, Inc.
N/A
American Transmission Systems, Inc.
030288AC8
34000.00000000
PA
USD
28625.91000000
0.067913317035
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
Uniform Mortgage-Backed Securities
3140M37B0
184171.96000000
PA
USD
160704.89000000
0.381263063556
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Euro-Bund
N/A
1.00000000
NC
4935.47000000
0.011709117328
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Long
N/A
Euro-Bund
2023-06-08
135840.00000000
EUR
4935.47000000
N
N
N
Citigroup, Inc.
6SHGI4ZSSLCXXQSBB395
Citigroup, Inc.
17327CAQ6
62000.00000000
PA
USD
52468.43000000
0.124478317752
Long
DBT
CORP
US
N
2
2033-01-25
Variable
3.05700000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 2 Year Note
N/A
11.00000000
NC
USD
17738.76000000
0.042084182885
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
N/A
U.S. Treasury 2 Year Note
2023-06-30
2272617.18000000
USD
17738.76000000
N
N
N
Crown Castle, Inc.
54930012H97VSM0I2R19
Crown Castle, Inc.
22822VAT8
161000.00000000
PA
USD
133432.97000000
0.316562009542
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.25000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CFY2
34000.00000000
PA
USD
34588.36000000
0.082058885059
Long
DBT
UST
US
N
2
2029-11-30
Fixed
3.87500000
N
N
N
N
N
N
Oriental Republic of Uruguay
549300RDR012H2V82H43
Oriental Republic of Uruguay
760942BA9
25000.00000000
PA
USD
25075.00000000
0.059488988285
Long
DBT
NUSS
UY
N
2
2050-06-18
Fixed
5.10000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
91282CGH8
2000.00000000
PA
USD
1989.53000000
0.004720044939
Long
DBT
UST
US
N
2
2028-01-31
Fixed
3.50000000
N
N
N
N
N
N
Navient Corp.
54930067J0ZNOEBRW338
Navient Corp.
63938CAJ7
2000.00000000
PA
USD
1950.38000000
0.004627163827
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.75000000
N
N
N
N
N
N
General Motors Financial Co., Inc.
5493008B6JBRUJ90QL97
General Motors Financial Co., Inc.
37045XCK0
152000.00000000
PA
USD
148828.59000000
0.353087228199
Long
DBT
CORP
US
N
2
2025-04-09
Fixed
4.35000000
N
N
N
N
N
N
2023-03-31
BlackRock Bond Fund, Inc
Chuck Pulsfort
Chuck Pulsfort
Assistant Treasurer