0001752724-23-181258.txt : 20230818
0001752724-23-181258.hdr.sgml : 20230818
20230818115230
ACCESSION NUMBER: 0001752724-23-181258
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230630
FILED AS OF DATE: 20230818
DATE AS OF CHANGE: 20230818
PERIOD START: 20231231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Voya INVESTORS TRUST
CENTRAL INDEX KEY: 0000837276
IRS NUMBER: 000000000
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-05629
FILM NUMBER: 231184562
BUSINESS ADDRESS:
STREET 1: 7337 E. DOUBLETREE RANCH ROAD, STE 100
CITY: SCOTTSDALE
STATE: AZ
ZIP: 85258
BUSINESS PHONE: 800-366-0066
MAIL ADDRESS:
STREET 1: 7337 E. DOUBLETREE RANCH ROAD, STE 100
CITY: SCOTTSDALE
STATE: AZ
ZIP: 85258
FORMER COMPANY:
FORMER CONFORMED NAME: ING INVESTORS TRUST
DATE OF NAME CHANGE: 20030501
FORMER COMPANY:
FORMER CONFORMED NAME: GCG TRUST
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: SPECIALTY MANAGERS TRUST
DATE OF NAME CHANGE: 19911209
0000837276
S000010459
Voya Balanced Income Portfolio
C000028890
Class ADV
IIFAX
C000028891
Class I
IIFIX
C000028892
Class S
IIFSX
C000028893
Class S2
IIFTX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000837276
XXXXXXXX
S000010459
C000028893
C000028892
C000028890
C000028891
Voya Investors Trust
811-05629
0000837276
549300LPMGZECCP9KQ67
7337 East Doubletree Ranch Road
Suite 100
Scottsdale
85258
1-800-366-0066
Voya Balanced Income Portfolio
S000010459
549300B5ETT5HC8Z4C58
2023-12-31
2023-06-30
N
252273674.73
13250362.10
239023312.63
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
7086985.63000000
0.00000000
1725033.57000000
USD
N
Fund's Securities Portfolio
N/A
Wells Fargo & Co
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746101
6757.00000000
NS
USD
288388.76000000
0.120652984358
Long
EC
CORP
US
N
1
N
N
N
BANCO NACIONAL DE PANAMA
529900H2Q7WMDKKIW109
Banco Nacional de Panama
000000000
200000.00000000
PA
USD
157548.84000000
0.065913587367
Long
DBT
CORP
PA
N
2
2030-08-11
Fixed
2.50000000
N
N
N
N
N
N
Sumitomo Chemical Co Ltd
353800RSAU9BD8U4DM91
Sumitomo Chemical Co Ltd
000000000
5900.00000000
NS
17932.53000000
0.007502418823
Long
EC
CORP
JP
N
2
N
N
N
Swisscom AG
5493005SL9HHOXS3B739
Swisscom AG
000000000
145.00000000
NS
90500.43000000
0.037862595495
Long
EC
CORP
CH
N
2
N
N
N
PepsiCo Inc
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448108
1727.00000000
NS
USD
319874.94000000
0.133825833338
Long
EC
CORP
US
N
1
N
N
N
TRINSEO OP / TRINSEO FIN
N/A
Trinseo Materials Operating SCA / Trinseo Materials Finance Inc
89668QAF5
50000.00000000
PA
USD
23170.00000000
0.009693615131
Long
DBT
CORP
LU
N
2
2029-04-01
Fixed
5.12500000
N
N
N
N
N
N
BRINKER INTERNATIONAL IN
52990067JY6PBGJNTG76
Brinker International Inc
109641AH3
70000.00000000
PA
USD
68341.00000000
0.028591771759
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.00000000
N
N
N
N
N
N
Dexcom Inc
549300YSK3QDSFR5EU59
Dexcom Inc
252131107
4795.00000000
NS
USD
616205.45000000
0.257801401553
Long
EC
CORP
US
N
1
N
N
N
Babson CLO Ltd
5493000D71NBEM2WZE67
Barings CLO Ltd 2018-III
06760PAL5
300000.00000000
PA
USD
292902.60000000
0.122541436137
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
7.15043000
N
N
N
N
N
N
Keurig Dr Pepper Inc
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271V100
2185.00000000
NS
USD
68324.95000000
0.028585056933
Long
EC
CORP
US
N
1
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-15687.87000000
-0.00656332214
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-12
0.00000000
USD
0.00000000
USD
506573.00000000
USD
-15687.87000000
N
N
N
Sumitomo Mitsui Financial Grou
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
000000000
700.00000000
NS
30001.61000000
0.012551750567
Long
EC
CORP
JP
N
2
N
N
N
Cardinal Health Inc
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149Y108
2500.00000000
NS
USD
236425.00000000
0.098912945937
Long
EC
CORP
US
N
1
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
2987.94000000
0.001250062166
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
2105000.00000000
USD
2987.94000000
N
N
N
Assicurazioni Generali SpA
549300X5UKJVE386ZB61
Assicurazioni Generali SpA
000000000
2694.00000000
NS
54785.25000000
0.022920463028
Long
EC
CORP
IT
N
2
N
N
N
Paychex Inc
529900K900DW6SUBM174
Paychex Inc
704326107
1869.00000000
NS
USD
209085.03000000
0.087474743655
Long
EC
CORP
US
N
1
N
N
N
Glencore PLC
2138002658CPO9NBH955
Glencore PLC
000000000
13538.00000000
NS
76759.07000000
0.032113633250
Long
EC
CORP
CH
N
2
N
N
N
Old Republic International Cor
549300IV6O2YY2A1KH37
Old Republic International Corp
680223104
10066.00000000
NS
USD
253361.22000000
0.105998539310
Long
EC
CORP
US
N
1
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2019-C7
17328CAJ1
15988462.54000000
PA
USD
653318.96000000
0.273328552270
Long
ABS-MBS
CORP
US
N
2
2072-12-15
Variable
0.99027900
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2021-3
81748VCF3
663109.87000000
PA
USD
467213.55000000
0.195467774611
Long
ABS-MBS
CORP
US
N
2
2051-05-25
Variable
2.65121800
N
N
N
N
N
N
Merck & Co Inc
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933Y105
5955.00000000
NS
USD
687147.45000000
0.287481351688
Long
EC
CORP
US
N
1
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BZ3
30000.00000000
PA
USD
29687.25000000
0.012420232015
Long
DBT
CORP
CA
N
2
2029-02-01
Fixed
7.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B18 Mortgage Trust
08163AAF0
3232472.92120000
PA
USD
230435.72000000
0.096407215457
Long
ABS-MBS
CORP
US
N
2
2053-07-15
Variable
1.91255300
N
N
N
N
N
N
Universal Display Corp
N/A
Universal Display Corp
91347P105
484.00000000
NS
USD
69758.92000000
0.029184985862
Long
EC
CORP
US
N
1
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
785.13000000
0.000328474235
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-273932.86000000
AUD
183514.88000000
USD
2023-08-18
785.13000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
16228.69000000
0.006789584589
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-11
0.00000000
USD
0.00000000
USD
773415.00000000
USD
16228.69000000
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - CHF
000000000
1.00000000
NC
USD
175.03000000
0.000073227166
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-158907.29000000
USD
141691.27000000
CHF
2023-08-18
175.03000000
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2019-GC39
36260JAF4
13236795.59000000
PA
USD
560197.74000000
0.234369498872
Long
ABS-MBS
CORP
US
N
2
2052-05-10
Variable
1.27780700
N
N
N
N
N
N
Edison International
549300I7ROF15MAEVP56
Edison International
281020107
4076.00000000
NS
USD
283078.20000000
0.118431209443
Long
EC
CORP
US
N
1
N
N
N
ENBRIDGE U S I 07/19/2023
N/A
ENBRIDGE U S I 07/19/2023
000000000
1000000.00000000
PA
USD
997106.19000000
0.417158552037
Long
DBT
CORP
US
N
2
2023-07-19
None
0.00000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - NZD
000000000
1.00000000
NC
USD
2501.82000000
0.001046684514
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-304825.56000000
USD
500877.55000000
NZD
2023-08-18
2501.82000000
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DaVita Inc
23918KAS7
70000.00000000
PA
USD
60171.15000000
0.025173757880
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
4.62500000
N
N
N
N
N
N
FANNIE MAE
B1V7KEBTPIMZEU4LTD58
Federal National Mortgage Association
313586810
50.00000000
NS
USD
313500.00000000
0.131158754579
Long
EP
USGSE
US
N
2
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1765.29000000
0.000738543023
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-2208419.41000000
NOK
207865.52000000
USD
2023-08-18
1765.29000000
N
N
N
BorgWarner Inc
549300DSFX2IE88NSX47
BorgWarner Inc
099724106
1639.00000000
NS
USD
80163.49000000
0.033537937834
Long
EC
CORP
US
N
1
N
N
N
Chipotle Mexican Grill Inc
N/A
Chipotle Mexican Grill Inc
169656105
296.00000000
NS
USD
633144.00000000
0.264887969727
Long
EC
CORP
US
N
1
N
N
N
Dassault Aviation SA
969500CVFTUT88V8QN95
Dassault Aviation SA
000000000
239.00000000
NS
47884.03000000
0.020033204909
Long
EC
CORP
FR
N
2
N
N
N
BX Trust
N/A
BX Trust 2023-DELC
05610DAA0
500000.00000000
PA
USD
500133.70000000
0.209240552520
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Floating
7.69000000
N
N
N
N
N
N
RLJ LODGING TRUST LP
549300RX5I8Z6I6LDZ74
RLJ Lodging Trust LP
74965LAB7
70000.00000000
PA
USD
58687.03000000
0.024552847734
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
4.00000000
N
N
N
N
N
N
First Hawaiian Inc
5493002DJSH46F5OLV06
First Hawaiian Inc
32051X108
4230.00000000
NS
USD
76182.30000000
0.031872330427
Long
EC
CORP
US
N
1
N
N
N
HSBC SECURITIES (USA) INC.
CYYGQCGNHMHPSMRL3R97
HSBC SECURITIES USA INC
000000000
1080775.00000000
PA
USD
1080775.00000000
0.452163007912
Long
RA
CORP
US
N
2
Repurchase
Y
5.06000000
2023-07-03
124306.41740000
USD
115999.15881544
USD
UST
25906.17675000
USD
23983.61603996
USD
ADAS
1327912.14461500
USD
962407.74373392
USD
AMBS
N
N
CLOUD SOFTWARE GRP INC
04EEB871XLHVNY4RZJ65
Cloud Software Group Inc
88632QAE3
70000.00000000
PA
USD
62393.16000000
0.026103378500
Long
DBT
CORP
US
N
2
2029-03-31
Fixed
6.50000000
N
N
N
N
N
N
Terna - Rete Elettrica Naziona
8156009E94ED54DE7C31
Terna - Rete Elettrica Nazionale
000000000
10529.00000000
NS
89803.80000000
0.037571146936
Long
EC
CORP
IT
N
2
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BD6
91000.00000000
PA
USD
82127.50000000
0.034359619192
Long
DBT
CORP
US
N
2
N/A
Fixed
6.00000000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAP4
462000.00000000
PA
USD
443639.29000000
0.185605029533
Long
DBT
CORP
US
N
2
2052-12-15
Fixed
6.87500000
N
N
N
N
N
N
Goldman Sachs Group Inc/The
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141G104
457.00000000
NS
USD
147400.78000000
0.061667951288
Long
EC
CORP
US
N
1
N
N
N
Aker BP ASA
549300NFTY73920OYK69
Aker BP ASA
000000000
1408.00000000
NS
33033.66000000
0.013820267000
Long
EC
CORP
NO
N
2
N
N
N
QUALCOMM Inc
H1J8DDZKZP6H7RWC0H53
QUALCOMM Inc
747525103
1270.00000000
NS
USD
151180.80000000
0.063249395356
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac - STACR
5493000ISMYB8CLVZD05
Freddie Mac STACR REMIC Trust 2021-HQA1
35564KBS7
480884.41000000
PA
USD
474094.32000000
0.198346477079
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
7.31655000
N
N
N
N
N
N
Coca-Cola Co/The
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216100
5577.00000000
NS
USD
335846.94000000
0.140508026729
Long
EC
CORP
US
N
1
N
N
N
MongoDB Inc
549300TPTG69WKWE1Z37
MongoDB Inc
60937P106
1145.00000000
NS
USD
470583.55000000
0.196877678926
Long
EC
CORP
US
N
1
N
N
N
Japan Post Bank Co Ltd
5493006JVO6N2HC2XZ76
Japan Post Bank Co Ltd
000000000
9800.00000000
NS
76422.78000000
0.031972939860
Long
EC
CORP
JP
N
2
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379JJF9
4217066.94000000
PA
USD
301538.42000000
0.126154397528
Long
ABS-MBS
USGA
US
N
2
2030-02-20
Fixed
3.50000000
N
N
N
N
N
N
COMMSCOPE TECH LLC
M4TWC4QDOKW45N7T6Y12
CommScope Technologies LLC
20338HAB9
70000.00000000
PA
USD
48824.03000000
0.020426471988
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
Jabil Inc
5493000CGCQY2OQU7669
Jabil Inc
466313103
969.00000000
NS
USD
104584.17000000
0.043754798998
Long
EC
CORP
US
N
1
N
N
N
Brambles Ltd
N/A
Brambles Ltd
000000000
7923.00000000
NS
76184.36000000
0.031873192268
Long
EC
CORP
AU
N
2
N
N
N
FERTITTA ENTERTAINMENT
N/A
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co Inc
31556TAC3
70000.00000000
PA
USD
59641.21000000
0.024952047289
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
6.75000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-459.16000000
-0.00019209841
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-328349.76000000
USD
258117.12000000
GBP
2023-08-18
-459.16000000
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAB8
70000.00000000
PA
USD
67156.40000000
0.028096171566
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
5.62500000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - NZD
000000000
1.00000000
NC
USD
-345.47000000
-0.00014453401
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-324895.46000000
USD
528946.70000000
NZD
2023-08-18
-345.47000000
N
N
N
NTT
353800VHQU5VIXVUA841
Nippon Telegraph & Telephone Corp
000000000
57500.00000000
NS
68040.11000000
0.028465888641
Long
EC
CORP
JP
N
2
N
N
N
BATH & BODY WORKS INC
GR3KVMWVCR54YWQNXU90
Bath & Body Works Inc
501797AM6
70000.00000000
PA
USD
63079.19000000
0.026390392345
Long
DBT
CORP
US
N
2
2036-07-01
Fixed
6.75000000
N
N
N
N
N
N
BANCO DO BRASIL (CAYMAN)
QE0Q0253K88YAGNPE356
Banco do Brasil SA/Cayman
059578AG9
200000.00000000
PA
USD
198950.00000000
0.083234558926
Long
DBT
CORP
BR
N
2
2030-04-18
Fixed
6.25000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Se
549300EZH20KSD9JD814
Wells Fargo Mortgage Backed Securities 2018-1
94989UBK6
534961.83000000
PA
USD
448370.02000000
0.187584221416
Long
ABS-MBS
CORP
US
N
2
2047-07-25
Variable
3.66334200
N
N
N
N
N
N
Assurant Inc
H3F39CAXWQRVWURFXL38
Assurant Inc
04621X108
419.00000000
NS
USD
52676.68000000
0.022038302214
Long
EC
CORP
US
N
1
N
N
N
VENTURE GLOBAL LNG INC
54930011XLBUWMQUC829
Venture Global LNG Inc
92332YAA9
70000.00000000
PA
USD
71172.83000000
0.029776522305
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
8.12500000
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2019-F
63935CAB7
392384.94000000
PA
USD
360156.05000000
0.150678210437
Long
ABS-O
CORP
US
N
2
2068-08-15
Fixed
2.60000000
N
N
N
N
N
N
HEWLETT PACKAR 07/24/2023
N/A
HEWLETT PACKAR 07/24/2023
000000000
370000.00000000
PA
USD
368680.09000000
0.154244406515
Long
DBT
CORP
US
N
2
2023-07-24
None
0.00000000
N
N
N
N
N
N
TEMPUR SEALY INTL INC
549300HFEKVR3US71V91
Tempur Sealy International Inc
88023UAJ0
70000.00000000
PA
USD
57121.97000000
0.023898074782
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
3.87500000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1332.47000000
0.000557464452
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-273643.01000000
GBP
348945.87000000
USD
2023-08-18
1332.47000000
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-1281.94000000
-0.00053632425
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-218693.92000000
USD
31144792.00000000
JPY
2023-08-18
-1281.94000000
N
N
N
BP PLC
213800LH1BZH3DI6G760
BP PLC
000000000
39801.00000000
NS
231736.94000000
0.096951605870
Long
EC
CORP
GB
N
2
N
N
N
Hang Lung Properties Ltd
529900CIVTNMXQT59E61
Hang Lung Properties Ltd
000000000
20000.00000000
NS
30949.32000000
0.012948243273
Long
EC
CORP
HK
N
2
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-5096.61000000
-0.00213226481
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-09-13
0.00000000
USD
0.00000000
USD
594000.00000000
USD
-5096.61000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-101864.97000000
-0.04261716937
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-10
0.00000000
USD
0.00000000
USD
2303000.00000000
USD
-101864.97000000
N
N
N
Iridium Communications Inc
549300U620NVQ4J1CT96
Iridium Communications Inc
46269C102
3318.00000000
NS
USD
206114.16000000
0.086231823051
Long
EC
CORP
US
N
1
N
N
N
MIDCAP FINANCIAL ISSR TR
N/A
Midcap Financial Issuer Trust
59567LAA2
35000.00000000
PA
USD
31191.48000000
0.013049555567
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
6.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-8
46650MAN7
112970.37000000
PA
USD
103939.01000000
0.043484883903
Long
ABS-MBS
CORP
US
N
2
2049-01-25
Variable
4.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-39059.36000000
-0.01634123448
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-12
0.00000000
USD
0.00000000
USD
1105000.00000000
USD
-39059.36000000
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC
466330AN7
770000.00000000
PA
USD
741187.29000000
0.310089958106
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
7.71148000
N
N
N
N
N
N
XHR LP
549300M88BPT83ZL2164
XHR LP
98372MAC9
70000.00000000
PA
USD
60088.00000000
0.025138970479
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
4.87500000
N
N
N
N
N
N
NN Group NV
724500OHYNDT9OY6Q215
NN Group NV
000000000
2326.00000000
NS
86103.30000000
0.036022971589
Long
EC
CORP
NL
N
2
N
N
N
Ferrovial SE
72450022R2ZFL41Y6I04
Ferrovial SE
000000000
1952.00000000
NS
61706.90000000
0.025816268430
Long
EC
CORP
NL
N
1
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHD6
124400.00000000
PA
USD
122842.57000000
0.051393551803
Long
DBT
UST
US
N
2
2025-05-31
Fixed
4.25000000
N
N
N
N
N
N
BOC Hong Kong Holdings Ltd
254900JB98W77JDJMW15
BOC Hong Kong Holdings Ltd
000000000
28000.00000000
NS
85773.16000000
0.035884851170
Long
EC
CORP
HK
N
2
N
N
N
EOG Resources Inc
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875P101
2391.00000000
NS
USD
273626.04000000
0.114476716513
Long
EC
CORP
US
N
1
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
2565.75000000
0.001073430859
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
-498663.27000000
CAD
379262.40000000
USD
2023-08-18
2565.75000000
N
N
N
NAVIENT CORP
54930067J0ZNOEBRW338
Navient Corp
63938CAL2
70000.00000000
PA
USD
60018.00000000
0.025109684632
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.87500000
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US LONG BOND(CBT)
000000000
-52.00000000
NC
USD
14919.94000000
0.006242043855
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-09-20
-6614044.94000000
USD
14919.94000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AKNQ2
5729066.70220000
PA
USD
539623.08000000
0.225761694147
Long
ABS-MBS
USGSE
US
N
2
2044-07-25
Floating
0.94957000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCP6
70000.00000000
PA
USD
52975.85000000
0.022163465737
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
4.25000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1680.36000000
0.000703010924
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-57573460.00000000
JPY
403582.55000000
USD
2023-08-18
1680.36000000
N
N
N
MGM RESORTS INTL
54930066VBP7DZEGGJ87
MGM Resorts International
552953CH2
70000.00000000
PA
USD
63630.25000000
0.026620938894
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.75000000
N
N
N
N
N
N
SIMMONS FOOD INC/SIMMONS
N/A
Simmons Foods Inc/Simmons Prepared Foods Inc/Simmons Pet Food Inc/Simmons Feed
82873MAA1
70000.00000000
PA
USD
56163.78000000
0.023497197567
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.62500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-31545.34000000
-0.01319759970
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-12
0.00000000
USD
0.00000000
USD
1013146.00000000
USD
-31545.34000000
N
N
N
CHORD ENERGY CORP
529900FA4V2YNIKZ0M71
Chord Energy Corp
674215AL2
70000.00000000
PA
USD
69463.10000000
0.029061223876
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
6.37500000
N
N
N
N
N
N
Marlette Funding Trust
N/A
Marlette Funding Trust 2022-3
57109NAA7
179762.72000000
PA
USD
178742.89000000
0.074780525812
Long
ABS-O
CORP
US
N
2
2032-11-15
Fixed
5.18000000
N
N
N
N
N
N
Dominos Pizza Master Issuer LL
N/A
Domino's Pizza Master Issuer LLC
25755TAJ9
589235.00000000
PA
USD
559933.88000000
0.234259107966
Long
ABS-O
CORP
US
N
2
2048-07-25
Fixed
4.11600000
N
N
N
N
N
N
Pioneer Natural Resources Co
FY8JBF7CCL2VE4F1B628
Pioneer Natural Resources Co
723787107
589.00000000
NS
USD
122029.02000000
0.051053187514
Long
EC
CORP
US
N
1
N
N
N
NNN REIT Inc
5493008JKH5SOTI0JS97
NNN REIT Inc
637417106
5493.00000000
NS
USD
235045.47000000
0.098335793029
Long
EC
CORP
US
N
1
N
N
N
Old Dominion Freight Line Inc
5299009TWK32WE417T96
Old Dominion Freight Line Inc
679580100
1009.00000000
NS
USD
373077.75000000
0.156084252157
Long
EC
CORP
US
N
1
N
N
N
HUDBAY MINERALS INC
549300WI524AL577IX21
Hudbay Minerals Inc
443628AJ1
70000.00000000
PA
USD
65250.11000000
0.027298638480
Long
DBT
CORP
CA
N
2
2026-04-01
Fixed
4.50000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
549300FCX3YXSYSLU895
WFRBS Commercial Mortgage Trust 2014-C19
92938VAU9
1920000.00000000
PA
USD
1772986.56000000
0.741763027418
Long
ABS-MBS
CORP
US
N
2
2047-03-15
Variable
4.64600000
N
N
N
N
N
N
Mill City Solar Loan 2019-2 Lt
N/A
Mill City Solar Loan 2019-2 Ltd
59982VAA7
294832.72000000
PA
USD
252416.23000000
0.105603184569
Long
ABS-O
CORP
KY
N
2
2043-07-20
Fixed
3.69000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-1053.70000000
-0.00044083566
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-38221114.00000000
JPY
265755.86000000
USD
2023-08-18
-1053.70000000
N
N
N
UNITED NATURAL FOODS INC
549300GKGW6WPZ282D40
United Natural Foods Inc
911163AA1
45000.00000000
PA
USD
37355.63000000
0.015628446275
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
6.75000000
N
N
N
N
N
N
Ingersoll Rand Inc
5299004C02FMZCUOIR50
Ingersoll Rand Inc
45687V106
9316.00000000
NS
USD
608893.76000000
0.254742415415
Long
EC
CORP
US
N
1
N
N
N
Mitsubishi HC Capital Inc
353800MZ3QX9RLMH7B09
Mitsubishi HC Capital Inc
000000000
13400.00000000
NS
79561.27000000
0.033285987515
Long
EC
CORP
JP
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - NOK
000000000
1.00000000
NC
USD
-491.89000000
-0.00020579164
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-424734.77000000
USD
4545876.70000000
NOK
2023-08-18
-491.89000000
N
N
N
FREEDOM MORTGAGE CORP
549300LYRWPSYPK6S325
Freedom Mortgage Corp
35640YAG2
30000.00000000
PA
USD
26002.54000000
0.010878662718
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
6.62500000
N
N
N
N
N
N
Hewlett Packard Enterprise Co
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824C109
10124.00000000
NS
USD
170083.20000000
0.071157577948
Long
EC
CORP
US
N
1
N
N
N
RITCHIE BROS HLDGS INC
N/A
Ritchie Bros Holdings Inc
76774LAC1
45000.00000000
PA
USD
46740.40000000
0.019554745303
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
7.75000000
N
N
N
N
N
N
Corning Inc
549300X2937PB0CJ7I56
Corning Inc
219350105
5115.00000000
NS
USD
179229.60000000
0.074984150302
Long
EC
CORP
US
N
1
N
N
N
Tradeweb Markets Inc
N/A
Tradeweb Markets Inc
892672106
6800.00000000
NS
USD
465664.00000000
0.194819490566
Long
EC
CORP
US
N
1
N
N
N
JPMDB Commercial Mortgage Secu
N/A
JPMDB Commercial Mortgage Securities Trust 2018-C8
46591ABC8
20148897.66000000
PA
USD
436840.19000000
0.182760495281
Long
ABS-MBS
CORP
US
N
2
2051-06-15
Variable
0.82618100
N
N
N
N
N
N
ANTERO RESOURCES CORP
APVBKPOULHUX7YZLKU17
Antero Resources Corp
03674XAS5
70000.00000000
PA
USD
64867.62000000
0.027138616432
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
5.37500000
N
N
N
N
N
N
Vertex Pharmaceuticals Inc
54930015RAQRRZ5ZGJ91
Vertex Pharmaceuticals Inc
92532F100
1776.00000000
NS
USD
624992.16000000
0.261477490677
Long
EC
CORP
US
N
1
N
N
N
BBVA BANCOMER SA TEXAS
549300WIWQK5Q9MCUN92
BBVA Bancomer SA/Texas
07336UAA1
225000.00000000
PA
USD
225424.13000000
0.094310520392
Long
DBT
CORP
MX
N
2
2038-06-29
Fixed
8.45000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-56087.28000000
-0.02346519232
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-6128159.72000000
BRL
1221296.34000000
USD
2023-07-14
-56087.28000000
N
N
N
Kirin Holdings Co Ltd
353800GBVL72LLMTYM96
Kirin Holdings Co Ltd
497350108
4500.00000000
NS
65712.08000000
0.027491912515
Long
EC
CORP
JP
N
2
N
N
CRESTWOOD MID PARTNER LP
N/A
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp
226373AP3
70000.00000000
PA
USD
68838.47000000
0.028799897902
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.75000000
N
N
N
N
N
N
Magnetite CLO Ltd
549300F7COUCG1RROP29
Magnetite XXVI Ltd
55954YAN5
950000.00000000
PA
USD
909606.95000000
0.380551562101
Long
ABS-CBDO
CORP
KY
N
2
2034-07-25
Floating
7.15514000
N
N
N
N
N
N
DOMINION RES 110106 5.31%
N/A
DOMINION RES I 08/08/2023
000000000
700000.00000000
PA
USD
695886.04000000
0.291137308885
Long
DBT
CORP
US
N
2
2023-08-08
None
0.00000000
N
N
N
N
N
N
Kimberly-Clark Corp
MP3J6QPYPGN75NVW2S34
Kimberly-Clark Corp
494368103
1562.00000000
NS
USD
215649.72000000
0.090221207976
Long
EC
CORP
US
N
1
N
N
N
H&R Block Inc
549300CE3KUCWLZBG404
H&R Block Inc
093671105
2622.00000000
NS
USD
83563.14000000
0.034960246797
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B4GR3
1459035.14000000
PA
USD
295725.12000000
0.123722291665
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Fixed
6.00000000
N
N
N
N
N
N
DR Horton Inc
529900ZIUEYVSB8QDD25
DR Horton Inc
23331A109
362.00000000
NS
USD
44051.78000000
0.018429909415
Long
EC
CORP
US
N
1
N
N
N
Snap-on Inc
HHWAT5TDOYZMM26KKQ73
Snap-on Inc
833034101
201.00000000
NS
USD
57926.19000000
0.024234535687
Long
EC
CORP
US
N
1
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-8643.99000000
-0.00361637946
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
656365.00000000
USD
-8643.99000000
N
N
N
AMC NETWORKS INC
549300VGG9K75226LR46
AMC Networks Inc
00164VAF0
70000.00000000
PA
USD
37708.83000000
0.015776214288
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.25000000
N
N
N
N
N
N
Arbor Realty Collateralized Lo
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd
03880RAJ8
250000.00000000
PA
USD
237806.40000000
0.099490881196
Long
ABS-CBDO
CORP
KY
N
2
2036-11-15
Floating
8.09329000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBK5
275000.00000000
PA
USD
255742.51000000
0.106994797781
Long
DBT
CORP
US
N
2
2079-05-01
Fixed
5.65000000
N
N
N
N
N
N
American International Group I
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874784
5577.00000000
NS
USD
320900.58000000
0.134254929558
Long
EC
CORP
US
N
1
N
N
N
Emerson Electric Co
FGLT0EWZSUIRRITFOA30
Emerson Electric Co
291011104
3403.00000000
NS
USD
307597.17000000
0.128689192119
Long
EC
CORP
US
N
1
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 87 CLO Ltd
26246GAG8
1000000.00000000
PA
USD
951406.00000000
0.398038998594
Long
ABS-CBDO
CORP
KY
N
2
2034-05-20
Floating
7.27914000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BL0
65000.00000000
PA
USD
61383.39000000
0.025680921799
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
5.50000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
612.85000000
0.000256397584
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-161380.91000000
GBP
205617.79000000
USD
2023-08-18
612.85000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-69992.26000000
-0.02928260813
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-24595198.86000000
MXN
1363880.85000000
USD
2023-07-14
-69992.26000000
N
N
N
Industria de Diseno Textil SA
549300TTCXZOGZM2EY83
Industria de Diseno Textil SA
000000000
2072.00000000
NS
80368.53000000
0.033623720262
Long
EC
CORP
ES
N
2
N
N
N
GLOBAL INFRASTRUCTURE SO
2549003BGLQITAJ6ZT28
Global Infrastructure Solutions Inc
37960XAA5
70000.00000000
PA
USD
57131.06000000
0.023901877758
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.62500000
N
N
N
N
N
N
Gaming and Leisure Properties
5493006GWRDBCZYWTM57
Gaming and Leisure Properties Inc
36467J108
4834.00000000
NS
USD
234255.64000000
0.098005352458
Long
EC
CORP
US
N
1
N
N
N
BELLRING BRANDS INC
549300S3BOK5CMTS8054
BellRing Brands Inc
07831CAA1
70000.00000000
PA
USD
70515.90000000
0.029501683004
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
7.00000000
N
N
N
N
N
N
Rockwell Automation Inc
VH3R4HHBHH12O0EXZJ88
Rockwell Automation Inc
773903109
414.00000000
NS
USD
136392.30000000
0.057062341952
Long
EC
CORP
US
N
1
N
N
N
VICI Properties Inc
254900RKH6RY9KCJQH63
VICI Properties Inc
925652109
8606.00000000
NS
USD
270486.58000000
0.113163263040
Long
EC
CORP
US
N
1
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TAQ9
125000.00000000
PA
USD
104585.12000000
0.043755196448
Long
ABS-MBS
CORP
US
N
2
2051-09-27
Variable
1.11000000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
3 MONTH EURO EURIBOR
000000000
51.00000000
NC
31999.52000000
0.013387614642
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Call
Purchased
ICE FUTURES EUROPE
549300UF4R84F48NCH34
ICE FUTURES EUROPE
549300UF4R84F48NCH34
3 Month Euro Euribor
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
GB
US
Long
INTERCONTENTIAL EXCHANGE
3 MONTH EURO INTERBANK OFFER RATE
2023-12-18
0.00000000
USD
1000000.00000000
96.00000000
EUR
2023-12-18
XXXX
-2390.86000000
N
N
N
GRAY ESCROW II INC
N/A
Gray Escrow II Inc
389286AA3
70000.00000000
PA
USD
46472.49000000
0.019442660001
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
5.37500000
N
N
N
N
N
N
Genpact Ltd
529900OSEC6Q0L4L5B35
Genpact Ltd
000000000
5952.00000000
NS
USD
223616.64000000
0.093554322187
Long
EC
CORP
US
N
1
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-1735.92000000
-0.00072625551
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-931884.55000000
EUR
1017519.71000000
USD
2023-08-18
-1735.92000000
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
SWOP IRS USD
000000000
-1571000.00000000
NC
USD
-23011.81000000
-0.00962743330
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2033-09-13
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.55000000
USD
2023-09-11
XXXX
19483.74000000
N
N
N
Jardine Matheson Holdings Ltd
2138009KENVUNWOLPK41
Jardine Matheson Holdings Ltd
000000000
1100.00000000
NS
USD
55198.00000000
0.023093144929
Long
EC
CORP
HK
N
1
N
N
N
BASF SE
529900PM64WH8AF1E917
BASF SE
000000000
2798.00000000
NS
135936.18000000
0.056871515378
Long
EC
CORP
DE
N
2
N
N
N
Bank
N/A
BANK 2017-BNK4
06541FAJ8
650000.00000000
PA
USD
445303.17000000
0.186301145733
Long
ABS-MBS
CORP
US
N
2
2050-05-15
Fixed
3.35700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378UVZ7
809657.88000000
PA
USD
66749.25000000
0.027925832533
Long
ABS-MBS
USGA
US
N
2
2043-10-16
Floating
0.52186000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370DB3
70000.00000000
PA
USD
67909.17000000
0.028411107373
Long
DBT
CORP
US
N
2
2032-08-19
Fixed
6.10000000
N
N
N
N
N
Endesa SA
549300LHK07F2CHV4X31
Endesa SA
000000000
2325.00000000
NS
49958.86000000
0.020901249945
Long
EC
CORP
ES
N
2
N
N
Dolby Laboratories Inc
549300X04FB2QPCJ5J24
Dolby Laboratories Inc
25659T107
2671.00000000
NS
USD
223509.28000000
0.093509406066
Long
EC
CORP
US
N
1
N
N
N
TELECOM ITALIA CAPITAL
549300777DJZOR5C4L39
Telecom Italia Capital SA
87927VAF5
70000.00000000
PA
USD
59453.82000000
0.024873649078
Long
DBT
CORP
LU
N
2
2033-11-15
Fixed
6.37500000
N
N
N
N
N
N
WEEKLEY HOMES LLC/ FINAN
N/A
Weekley Homes LLC / Weekley Finance Corp
948565AD8
70000.00000000
PA
USD
63100.80000000
0.026399433304
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
4.87500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-5270.57000000
-0.00220504432
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-782233.43000000
USD
1028527.45000000
CAD
2023-08-18
-5270.57000000
N
N
N
HOWMET AEROSPACE INC
549300HO5WFZUT5N2T22
Howmet Aerospace Inc
013817AJ0
70000.00000000
PA
USD
70625.94000000
0.029547720355
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
5.90000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-INV2 Trust
67112VBB0
108028.76000000
PA
USD
99862.06000000
0.041779213458
Long
ABS-MBS
CORP
US
N
2
2049-05-27
Variable
4.00000000
N
N
N
N
N
N
JDE Peet's NV
724500EHG519SE5ZRT89
JDE Peet's NV
000000000
421.00000000
NS
12523.14000000
0.005239296477
Long
EC
CORP
NL
N
1
N
N
DT MIDSTREAM INC
N/A
DT Midstream Inc
23345MAA5
70000.00000000
PA
USD
61498.16000000
0.025728938036
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.12500000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135106
27192.00000000
NS
USD
3544749.12000000
1.483013970895
Long
EC
CORP
US
N
1
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
297.25000000
0.000124360254
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-319355.24000000
EUR
349594.41000000
USD
2023-08-18
297.25000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD CALL VERSUS JPY PUT
000000000
146000.00000000
NC
USD
5956.40000000
0.002491974500
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Call
Purchased
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD CALL VERSUS JPY PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
FR
US
N/A
USD
N/A
JPY
2023-09-05
0.01000000
USD
154.00000000
USD
2023-09-05
XXXX
-1268.19000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
-1571000.00000000
NC
USD
9135.70000000
0.003822095802
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Call
Written
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2033-03-16
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
3.06000000
USD
2028-03-14
XXXX
9135.70000000
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
000000000
8044.00000000
NS
114535.69000000
0.047918208788
Long
EC
CORP
AU
N
2
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKE8
502000.00000000
PA
USD
469498.12000000
0.196423568410
Long
DBT
CORP
US
N
2
2025-12-06
Fixed
1.53000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-6374.13000000
-0.00266673987
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-2825899.89000000
MXN
158372.73000000
USD
2023-07-14
-6374.13000000
N
N
N
LPL HOLDINGS INC
549300Z5YF8CCRMYUL26
LPL Holdings Inc
50212YAD6
70000.00000000
PA
USD
61481.94000000
0.025722152087
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.00000000
N
N
N
N
N
N
Philip Morris International In
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172109
5327.00000000
NS
USD
520021.74000000
0.217561096563
Long
EC
CORP
US
N
1
N
N
N
Cisco Systems Inc
549300LKFJ962MZ46593
Cisco Systems Inc
17275R102
12284.00000000
NS
USD
635574.16000000
0.265904673902
Long
EC
CORP
US
N
1
N
N
N
MIDAS OPCO HOLDINGS LLC
N/A
Stagwell Global LLC
59565JAA9
70000.00000000
PA
USD
59982.13000000
0.025094677728
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
5.62500000
N
N
N
N
N
N
GCI LLC
549300N3IE9H88Q20221
GCI LLC
36166TAB6
70000.00000000
PA
USD
59764.60000000
0.025003669869
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.75000000
N
N
N
N
N
N
Reinsurance Group of America I
LORM1GNEU1DKEW527V90
Reinsurance Group of America Inc
759351604
598.00000000
NS
USD
82936.62000000
0.034698130105
Long
EC
CORP
US
N
1
N
N
N
PETROLEOS DEL PERU SA
549300ZMGDLC9JT2OR80
Petroleos del Peru SA
000000000
225000.00000000
PA
USD
172258.13000000
0.072067501744
Long
DBT
CORP
PE
N
2
2032-06-19
Fixed
4.75000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2016-K57 Mortgage Trust
30295DAL6
1119479.74000000
PA
USD
811138.30000000
0.339355308515
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
None
0.00000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - CHF
000000000
1.00000000
NC
USD
80.61000000
0.000033724743
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-115794.57000000
USD
103207.58000000
CHF
2023-08-18
80.61000000
N
N
N
Sequoia Mortgage Trust
549300RES143ZXEZ6T39
Sequoia Mortgage Trust 2019-CH2
81747CAA9
16085.90000000
PA
USD
15734.90000000
0.006582998046
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
4.50000000
N
N
N
N
N
N
MURPHY OIL CORP
QBKYQD0ODE7DC7PDIN91
Murphy Oil Corp
626717AN2
70000.00000000
PA
USD
69063.65000000
0.028894106286
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
6.37500000
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP IRS USD
000000000
-3684000.00000000
NC
USD
-61180.84000000
-0.02559618111
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2033-08-23
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.46000000
USD
2023-08-21
XXXX
31840.16000000
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1647.27000000
0.000689167086
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-357879.23000000
GBP
456267.39000000
USD
2023-08-18
1647.27000000
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B
000000000
730000.00000000
PA
684042.18000000
0.286182202260
Long
DBT
NUSS
BR
N
2
2055-05-15
Fixed
6.00000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918104
19178.00000000
NS
USD
6530876.12000000
2.732317633849
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac - STACR
5493000IS4CDPWRMWB65
Freddie Mac STACR REMIC Trust 2022-DNA4
35564KWT2
400000.00000000
PA
USD
404975.44000000
0.169429264260
Long
ABS-MBS
CORP
US
N
2
2042-05-25
Floating
8.41655000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-1603.30000000
-0.00067077139
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-03-16
0.00000000
USD
0.00000000
USD
283000.00000000
USD
-1603.30000000
N
N
N
Snam SpA
8156002278562044AF79
Snam SpA
000000000
13413.00000000
NS
70101.23000000
0.029328197835
Long
EC
CORP
IT
N
2
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
7588.34000000
0.003174727986
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
1303000.00000000
USD
7588.34000000
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loans 2017-2 LLC
61946GAA1
872473.20000000
PA
USD
792446.90000000
0.331535401831
Long
ABS-O
CORP
US
N
2
2043-06-22
Fixed
3.82000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
SWOP IRS USD
000000000
-2724000.00000000
NC
USD
-33817.37000000
-0.01414814715
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2034-04-29
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
4.05000000
USD
2024-04-25
XXXX
-2218.97000000
N
N
N
SRS DISTRIBUTION INC
549300ZQ3XP75BCYM468
SRS Distribution Inc
78471RAC0
70000.00000000
PA
USD
60545.60000000
0.025330416240
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
6.12500000
N
N
N
N
N
N
Crowdstrike Holdings Inc
549300YBY08K9KM4HX32
Crowdstrike Holdings Inc
22788C105
2439.00000000
NS
USD
358215.93000000
0.149866523921
Long
EC
CORP
US
N
1
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHH7
4333000.00000000
PA
USD
4289670.00000000
1.794665948187
Long
DBT
UST
US
N
2
2026-06-15
Fixed
4.12500000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205BA1
250000.00000000
PA
USD
220399.50000000
0.092208369792
Long
DBT
NUSS
ZA
N
2
2029-09-30
Fixed
4.85000000
N
N
N
N
N
N
Estee Lauder Cos Inc/The
549300VFZ8XJ9NUPU221
Estee Lauder Cos Inc/The
518439104
2962.00000000
NS
USD
581677.56000000
0.243355994693
Long
EC
CORP
US
N
1
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - SEK
000000000
1.00000000
NC
USD
-1997.04000000
-0.00083550009
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
-161900.46000000
USD
1720832.56000000
SEK
2023-08-18
-1997.04000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-33003.11000000
-0.01380748582
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-12
0.00000000
USD
0.00000000
USD
1053708.00000000
USD
-33003.11000000
N
N
N
CHART INDUSTRIES INC
EM7QGKC1GYOF3LSZSL80
Chart Industries Inc
16115QAF7
70000.00000000
PA
USD
71505.35000000
0.029915638442
Long
DBT
CORP
US
N
2
2030-01-01
Fixed
7.50000000
N
N
N
N
N
N
ASHTON WOODS USA/FINANCE
N/A
Ashton Woods USA LLC / Ashton Woods Finance Co
045086AM7
70000.00000000
PA
USD
59753.05000000
0.024998837704
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
4.62500000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAX8
200000.00000000
PA
USD
204231.50000000
0.085444176031
Long
DBT
NUSS
MX
N
2
2053-05-04
Fixed
6.33800000
N
N
N
N
N
N
NORTHERN TRUST CORP
549300GLF98S992BC502
Northern Trust Corp
665859AS3
25000.00000000
PA
USD
22196.24000000
0.009286223906
Long
DBT
CORP
US
N
2
2032-05-08
Fixed
3.37500000
N
N
N
N
N
N
Sanofi
549300E9PC51EN656011
Sanofi
000000000
2524.00000000
NS
271723.88000000
0.113680911292
Long
EC
CORP
FR
N
2
N
N
N
Duke Energy Corp
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441C204
3602.00000000
NS
USD
323243.48000000
0.135235126834
Long
EC
CORP
US
N
1
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - CHF
000000000
1.00000000
NC
USD
-867.65000000
-0.00036299806
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-355734.19000000
USD
316072.14000000
CHF
2023-08-18
-867.65000000
N
N
N
ASCENT RESOURCES/ARU FIN
N/A
Ascent Resources Utica Holdings LLC / ARU Finance Corp
04364VAU7
70000.00000000
PA
USD
62522.68000000
0.026157565683
Long
DBT
CORP
US
N
2
2029-06-30
Fixed
5.87500000
N
N
N
N
N
N
Prosperity Bancshares Inc
N/A
Prosperity Bancshares Inc
743606105
2164.00000000
NS
USD
122222.72000000
0.051134225634
Long
EC
CORP
US
N
1
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625H100
344.00000000
NS
USD
50031.36000000
0.020931581714
Long
EC
CORP
US
N
1
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
119.41000000
0.000049957470
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-305704.70000000
EUR
334486.19000000
USD
2023-08-18
119.41000000
N
N
N
Bank Leumi Le-Israel BM
7JDSZWRGUQY2DSTWCR57
Bank Leumi Le-Israel BM
000000000
11852.00000000
NS
88814.19000000
0.037157124559
Long
EC
CORP
IL
N
2
N
N
N
Rate Mortgage Trust
N/A
RATE Mortgage Trust 2021-HB1
75409XBG0
465484.35000000
PA
USD
360817.54000000
0.150954957501
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
2.50000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
4153.23000000
0.001737583650
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-692705.67000000
CAD
527432.00000000
USD
2023-08-18
4153.23000000
N
N
N
CCM MERGER INC
549300P77RSBKKFME089
CCM Merger Inc
14985VAE1
70000.00000000
PA
USD
67983.30000000
0.028442121085
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
6.37500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YET8
732000.00000000
PA
USD
718617.39000000
0.300647406352
Long
DBT
CORP
US
N
2
2026-07-17
Fixed
4.67900000
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BT7
25000.00000000
PA
USD
24970.76000000
0.010446997711
Long
DBT
CORP
CA
N
2
2027-04-15
Fixed
7.87500000
N
N
N
N
N
N
Roche Holding AG
549300U41AUUVOAAOB37
Roche Holding AG
000000000
85.00000000
NS
25964.95000000
0.010862936219
Long
EC
CORP
CH
N
2
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 8 Ltd
67707GAJ8
250000.00000000
PA
USD
239220.50000000
0.100082497128
Long
ABS-CBDO
CORP
KY
N
2
2034-01-18
Floating
7.16171000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R08
20755DAB2
700000.00000000
PA
USD
715774.78000000
0.299458145786
Long
ABS-MBS
CORP
US
N
2
2042-07-25
Floating
8.66655000
N
N
N
N
N
N
Baker Hughes Co
N/A
Baker Hughes Co
05722G100
7144.00000000
NS
USD
225821.84000000
0.094476910019
Long
EC
CORP
US
N
1
N
N
N
PLAYTIKA HOLDING CORP
254900E35Z4TKA4UFG64
Playtika Holding Corp
72815LAA5
70000.00000000
PA
USD
62188.00000000
0.026017545868
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.25000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DBU4
95000.00000000
PA
USD
79023.83000000
0.033061139154
Long
ABS-MBS
CORP
US
N
2
2048-05-27
None
0.00000000
N
N
N
N
N
N
TRITON WATER HOLDINGS IN
5493005IYCEL7QJFZZ63
Triton Water Holdings Inc
89680EAA7
70000.00000000
PA
USD
60148.20000000
0.025164156306
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
6.25000000
N
N
N
N
N
N
CK Asset Holdings Ltd
5299006GJZSGP78B8S35
CK Asset Holdings Ltd
000000000
15500.00000000
NS
86129.80000000
0.036034058373
Long
EC
CORP
HK
N
2
N
N
N
EMPRESA NACIONAL DEL PET
549300YP3P0JZBLIV197
Empresa Nacional del Petroleo
000000000
350000.00000000
PA
USD
332122.05000000
0.138949647356
Long
DBT
CORP
CL
N
2
2026-08-05
Fixed
3.75000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TBY1
166000.00000000
PA
USD
118975.18000000
0.049775554815
Long
ABS-MBS
CORP
US
N
2
2051-09-27
Variable
2.52000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-4400.63000000
-0.00184108819
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-512456.20000000
GBP
646581.26000000
USD
2023-08-18
-4400.63000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
8113.06000000
0.003394254690
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
1303000.00000000
USD
8113.06000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
-692.77000000
-0.00028983365
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
-251076.04000000
USD
375353.25000000
AUD
2023-08-18
-692.77000000
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B24 Mortgage Trust
08163CBE8
2092904.31000000
PA
USD
122454.89000000
0.051231358419
Long
ABS-MBS
CORP
US
N
2
2054-03-15
Variable
1.26695300
N
N
N
N
N
N
NASDAQ INC
549300L8X1Q78ERXFD06
Nasdaq Inc
631103AM0
215000.00000000
PA
USD
165371.01000000
0.069186142632
Long
DBT
CORP
US
N
2
2052-03-07
Fixed
3.95000000
N
N
N
N
N
N
Spark New Zealand Ltd
529900HUN51H3Y7QBB66
Spark New Zealand Ltd
000000000
11317.00000000
NS
35414.32000000
0.014816261899
Long
EC
CORP
NZ
N
2
N
N
N
RUSSIAN FEDERATION
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
000000000
200000.00000000
PA
USD
89000.00000000
0.037234861746
Long
DBT
NUSS
RU
N
2
2029-03-21
Fixed
4.37500000
N
N
N
N
N
N
CPI CG INC
N/A
CPI CG Inc
12598FAA7
64000.00000000
PA
USD
61687.48000000
0.025808143699
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
8.62500000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967424
5540.00000000
NS
USD
255061.60000000
0.106709925987
Long
EC
CORP
US
N
1
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDE9
200000.00000000
PA
USD
146260.12000000
0.061190734238
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
Transurban Group
549300ZR71SUQ4VUTM79
Transurban Group
000000000
9350.00000000
NS
89024.97000000
0.037245308426
Long
EC
CORP
AU
N
2
N
N
BRUNDAGE-BONE CONCRETE
N/A
Brundage-Bone Concrete Pumping Holdings Inc
66981QAA4
70000.00000000
PA
USD
66354.89000000
0.027760844442
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
6.00000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - NZD
000000000
1.00000000
NC
USD
4026.67000000
0.001684634839
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-365344.08000000
USD
601994.90000000
NZD
2023-08-18
4026.67000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
11207.40000000
0.004688831343
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
1173000.00000000
USD
11207.40000000
N
N
N
Texas Instruments Inc
WDJNR2L6D8RWOEB8T652
Texas Instruments Inc
882508104
236.00000000
NS
USD
42484.72000000
0.017774299725
Long
EC
CORP
US
N
1
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP IRS USD
000000000
-16055000.00000000
NC
USD
-39854.19000000
-0.01667376690
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2025-06-20
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
3.90000000
USD
2024-06-17
XXXX
-39854.19000000
N
N
N
Consolidated Edison Inc
54930033SBW53OO8T749
Consolidated Edison Inc
209115104
1965.00000000
NS
USD
177636.00000000
0.074317437092
Long
EC
CORP
US
N
1
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-XL2
05609KAG4
463357.53000000
PA
USD
444781.48000000
0.186082886688
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
6.58970000
N
N
N
N
N
N
AmeriCredit Automobile Receiva
N/A
Americredit Automobile Receivables Trust 2019-2
03066KAH3
450000.00000000
PA
USD
442858.41000000
0.185278333367
Long
ABS-O
CORP
US
N
2
2025-06-18
Fixed
2.99000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
SWOP IRS USD
000000000
-1026000.00000000
NC
USD
-45718.98000000
-0.01912741460
N/A
DIR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Put
Written
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
FR
US
2033-10-13
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.03250000
USD
2023-10-11
XXXX
-18196.53000000
N
N
N
Eli Lilly & Co
FRDRIPF3EKNDJ2CQJL29
Eli Lilly & Co
532457108
3734.00000000
NS
USD
1751171.32000000
0.732636202189
Long
EC
CORP
US
N
1
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TAS5
125000.00000000
PA
USD
99252.69000000
0.041524271799
Long
ABS-MBS
CORP
US
N
2
2051-09-27
None
0.00000000
N
N
N
N
N
N
Ameren Corp
XRZQ5S7HYJFPHJ78L959
Ameren Corp
023608102
722.00000000
NS
USD
58965.74000000
0.024669451423
Long
EC
CORP
US
N
1
N
N
N
National Fuel Gas Co
8JB38FFW1Y3C1HM8E841
National Fuel Gas Co
636180101
2445.00000000
NS
USD
125575.20000000
0.052536800121
Long
EC
CORP
US
N
1
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
17047.06000000
0.007131965418
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1940857.87000000
AUD
1311716.37000000
USD
2023-08-18
17047.06000000
N
N
N
GREENSAIF PIPELINES BIDC
549300YWDGUXPB8GRP47
Greensaif Pipelines Bidco Sarl
39541EAA1
200000.00000000
PA
USD
204568.44000000
0.085585141360
Long
DBT
CORP
LU
N
2
2038-02-23
Fixed
6.12900000
N
N
N
N
N
N
IRIS HOLDINGS INC
N/A
Iris Holdings Inc
46272EAA1
70000.00000000
PA
USD
66692.20000000
0.027901964568
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
8.75000000
N
N
N
N
N
N
Bureau Veritas SA
969500TPU5T3HA5D1F11
Bureau Veritas SA
000000000
2161.00000000
NS
59287.26000000
0.024803965499
Long
EC
CORP
FR
N
2
N
N
N
Prologis Inc
529900DFH19P073LZ636
Prologis Inc
74340W103
5804.00000000
NS
USD
711744.52000000
0.297772009001
Long
EC
CORP
US
N
1
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-4105.21000000
-0.00171749355
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-09-13
0.00000000
USD
0.00000000
USD
566000.00000000
USD
-4105.21000000
N
N
N
ENCOMPASS HEALTH CORP
549300FVRPM9DRQZRG64
Encompass Health Corp
29261AAB6
70000.00000000
PA
USD
63819.46000000
0.026700098537
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
4.75000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2011-C5
92936JAN4
470302.19000000
PA
USD
457721.61000000
0.191496638952
Long
ABS-MBS
CORP
US
N
2
2044-11-15
Variable
5.63613900
N
N
N
N
N
N
Wendy's Co/The
529900M0JIUCMWVKHG76
Wendy's Co/The
95058W100
9752.00000000
NS
USD
212106.00000000
0.088738624557
Long
EC
CORP
US
N
1
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209S103
8240.00000000
NS
USD
373272.00000000
0.156165520380
Long
EC
CORP
US
N
1
N
N
N
CASCADES INC/USA INC
N/A
Cascades Inc/Cascades USA Inc
14739LAB8
70000.00000000
PA
USD
65500.37000000
0.027403339565
Long
DBT
CORP
N/A
N
2
2028-01-15
Fixed
5.37500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHB0
598200.00000000
PA
USD
583688.98000000
0.244197510936
Long
DBT
UST
US
N
2
2026-05-15
Fixed
3.62500000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122108
7621.00000000
NS
USD
487362.95000000
0.203897663636
Long
EC
CORP
US
N
1
N
N
N
SITC International Holdings Co
529900JUV4MOM9CE3V12
SITC International Holdings Co Ltd
000000000
22000.00000000
NS
40285.75000000
0.016854318332
Long
EC
CORP
HK
N
2
N
N
N
Mediobanca Banca di Credito Fi
PSNL19R2RXX5U3QWHI44
Mediobanca Banca di Credito Finanziario SpA
000000000
6789.00000000
NS
81281.46000000
0.034005662086
Long
EC
CORP
IT
N
2
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
118.59000000
0.000049614407
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-10-13
0.00000000
USD
0.00000000
USD
113000.00000000
USD
118.59000000
N
N
N
INTELLIGENT PACKAGING
N/A
Intelligent Packaging Ltd Finco Inc / Intelligent Packaging Ltd Co-Issuer LLC
45827MAA5
70000.00000000
PA
USD
59576.62000000
0.024925024820
Long
DBT
CORP
CA
N
2
2028-09-15
Fixed
6.00000000
N
N
N
N
N
N
BRINKER INTERNATIONAL IN
52990067JY6PBGJNTG76
Brinker International Inc
109641AK6
70000.00000000
PA
USD
69036.10000000
0.028882580213
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
8.25000000
N
N
N
N
N
ARETEC ESCROW ISSUER INC
N/A
Aretec Escrow Issuer Inc
040133AA8
70000.00000000
PA
USD
60886.67000000
0.025473109434
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
7.50000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-755.25000000
-0.00031597336
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-594125.60000000
CHF
666292.77000000
USD
2023-08-18
-755.25000000
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDD8
338000.00000000
PA
USD
305585.80000000
0.127847696794
Long
DBT
CORP
US
N
2
N/A
Fixed
4.65000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
SWOP IRS USD
000000000
-785000.00000000
NC
USD
-384.51000000
-0.00016086715
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2033-03-29
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
3.03750000
USD
2028-03-27
XXXX
-384.51000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042679
404000.00000000
PA
USD
389954.69000000
0.163145044602
Long
ABS-MBS
USGA
US
N
2
2053-07-15
Fixed
4.50000000
N
N
N
N
N
N
DT Midstream Inc
N/A
DT Midstream Inc
23345M107
2795.00000000
NS
USD
138548.15000000
0.057964283264
Long
EC
CORP
US
N
1
N
N
N
Iberdrola SA
5QK37QC7NWOJ8D7WVQ45
Iberdrola SA
000000000
15512.00000000
NS
202568.63000000
0.084748482384
Long
EC
CORP
ES
N
2
N
N
N
LIONS GATE CAPITAL HOLD
549300MWJHNLR35C0837
Lions Gate Capital Holdings LLC
53627NAE1
70000.00000000
PA
USD
50774.50000000
0.021242488626
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2019-2
46650TAQ5
34053.23000000
PA
USD
31991.43000000
0.013384230035
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
4.00000000
N
N
N
N
N
N
Ross Stores Inc
549300ENZFLPGRDFZQ60
Ross Stores Inc
778296103
3904.00000000
NS
USD
437755.52000000
0.183143441191
Long
EC
CORP
US
N
1
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
SWOP IRS USD
000000000
-3142000.00000000
NC
USD
-47275.78000000
-0.01977873182
N/A
DIR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2033-09-13
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.54000000
USD
2023-09-11
XXXX
37715.32000000
N
N
N
ENLINK MIDSTREAM LLC
54930000GY1H533OBE23
EnLink Midstream LLC
29336TAA8
70000.00000000
PA
USD
66752.76000000
0.027927301009
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AVDU8
2197461.38000000
PA
USD
117905.45000000
0.049328012695
Long
ABS-MBS
USGSE
US
N
2
2032-10-15
Floating
1.00671000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-LTV2
46651ABC5
557690.41000000
PA
USD
520159.52000000
0.217618739476
Long
ABS-MBS
CORP
US
N
2
2049-12-25
Variable
4.69896000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AR0
70000.00000000
PA
USD
65986.47000000
0.027606708849
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.37500000
N
N
N
N
N
Freddie Mac - STACR
5493000ISE4NWBTOSK36
Freddie Mac STACR REMIC Trust 2021-HQA4
35564KNS4
1000000.00000000
PA
USD
950534.90000000
0.397674557155
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
7.41655000
N
N
N
N
N
N
Taisei Corp
529900TF7XJKIOWMLQ79
Taisei Corp
000000000
2300.00000000
NS
80358.23000000
0.033619411059
Long
EC
CORP
JP
N
2
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
-32427.36000000
-0.01356660973
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-2392817.92000000
USD
3538496.34000000
AUD
2023-08-18
-32427.36000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
SWOP IRS USD
000000000
-1026000.00000000
NC
USD
-5819.35000000
-0.00243463699
N/A
DIR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Call
Written
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
FR
US
2033-10-13
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.03250000
USD
2023-10-11
XXXX
21703.10000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
4499.56000000
0.001882477466
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1231598.31000000
CHF
1387263.10000000
USD
2023-08-18
4499.56000000
N
N
N
McKesson Corp
549300WZWOM80UCFSF54
McKesson Corp
58155Q103
670.00000000
NS
USD
286297.70000000
0.119778149189
Long
EC
CORP
US
N
1
N
N
N
KEHE DISTRIBUTORS LLC/FI
N/A
KeHE Distributors LLC / KeHE Finance Corp
487526AB1
56000.00000000
PA
USD
56353.36000000
0.023576512006
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
8.62500000
N
N
N
N
N
N
RBC DOMINION SECURITIES INC.
549300QJJX6CVVUXLE15
RBC DOMINION SECURITIES INC
000000000
1080775.00000000
PA
USD
1080775.00000000
0.452163007912
Long
RA
CORP
US
N
2
Repurchase
Y
5.06000000
2023-07-03
2072611.09701016
USD
1054416.01305147
USD
AMBS
76258.59193174
USD
47974.48792980
USD
UST
N
N
NetApp Inc
QTX3D84DZDD5JYOCYH15
NetApp Inc
64110D104
3173.00000000
NS
USD
242417.20000000
0.101419898056
Long
EC
CORP
US
N
1
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2017-1
33850BAY3
789784.32000000
PA
USD
694440.61000000
0.290532585444
Long
ABS-MBS
CORP
US
N
2
2047-03-25
Variable
3.61904000
N
N
N
N
N
N
SC GAMES HOLDIN/US FINCO
N/A
Scientific Games Holdings LP/Scientific Games US FinCo Inc
80874DAA4
70000.00000000
PA
USD
61664.75000000
0.025798634167
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
6.62500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT
000000000
-42.00000000
NC
USD
-15546.38000000
-0.00650412707
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-09-20
-5705641.12000000
USD
-15546.38000000
N
N
N
PGT INNOVATIONS INC
549300LRW9WM59C1S579
PGT Innovations Inc
69336VAB7
70000.00000000
PA
USD
65385.51000000
0.027355285675
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.37500000
N
N
N
N
N
N
ENERGIZER HOLDINGS INC
5493000D6NN0V57UME20
Energizer Holdings Inc
29272WAC3
70000.00000000
PA
USD
62510.00000000
0.026152260761
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.75000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DAU5
113000.00000000
PA
USD
77670.29000000
0.032494859662
Long
ABS-MBS
CORP
US
N
2
2049-11-27
None
0.00000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2020-NQM1
36259WAB7
196262.32000000
PA
USD
178348.36000000
0.074615466599
Long
ABS-MBS
CORP
US
N
2
2060-09-27
Variable
1.79100000
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
92553PBC5
70000.00000000
PA
USD
53409.11000000
0.022344728391
Long
DBT
CORP
US
N
2
2057-02-28
Fixed
6.25000000
N
N
N
N
N
N
MODIVCARE INC
549300EFZIFW7F7I0Q28
ModivCare Inc
743815AE2
70000.00000000
PA
USD
64910.02000000
0.027156355288
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
5.87500000
N
N
N
N
N
N
Workday Inc
549300J0DYC0N31V7G13
Workday Inc
98138H101
3245.00000000
NS
USD
733013.05000000
0.306670107586
Long
EC
CORP
US
N
1
N
N
N
COEUR MINING INC
5493003AVK173D48DR70
Coeur Mining Inc
192108BC1
70000.00000000
PA
USD
57824.20000000
0.024191866209
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
5.12500000
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
UNITED STATES TREASURY NOTE/BOND
91282CHF1
277000.00000000
PA
USD
273169.61000000
0.114285760244
Long
DBT
UST
US
N
2
2030-05-31
Fixed
3.75000000
N
N
N
N
N
N
TransDigm Group Inc
N/A
TransDigm Group Inc
893641100
741.00000000
NS
USD
662579.97000000
0.277203073921
Long
EC
CORP
US
N
1
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJN1
62000.00000000
PA
USD
62477.07000000
0.026138483862
Long
DBT
CORP
US
N
2
2034-06-12
Fixed
5.83600000
N
N
N
N
N
N
Texas Roadhouse Inc
5299002Y1CNRPDGXTQ75
Texas Roadhouse Inc
882681109
725.00000000
NS
USD
81403.00000000
0.034056510682
Long
EC
CORP
US
N
1
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZN1
70000.00000000
PA
USD
65858.68000000
0.027553245445
Long
DBT
CORP
US
N
2
2028-04-19
Fixed
4.37500000
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-130.94000000
-0.00005478126
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-1523985.61000000
CAD
1151107.39000000
USD
2023-08-18
-130.94000000
N
N
N
UnitedHealth Group Inc
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324P102
604.00000000
NS
USD
290306.56000000
0.121455332873
Long
EC
CORP
US
N
1
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-44814.66000000
-0.01874907493
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-12
0.00000000
USD
0.00000000
USD
1197106.00000000
USD
-44814.66000000
N
N
N
ACADIA HEALTHCARE CO INC
5493005CW985Y9D0NC11
Acadia Healthcare Co Inc
00404AAN9
70000.00000000
PA
USD
67008.20000000
0.028034169245
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
5.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - SEK
000000000
1.00000000
NC
USD
-826.57000000
-0.00034581145
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-132231.81000000
USD
1414143.70000000
SEK
2023-08-18
-826.57000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS PRU
000000000
1.00000000
NC
USD
-6832.80000000
-0.00285863329
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
PRUDENTIAL FINANCIAL INC
PRUDENTIAL FINANCIAL INC
Y
Default Event
2024-12-20
0.00000000
USD
-30287.74000000
USD
1140000.00000000
USD
23454.94000000
N
N
N
MEDLINE BORROWER LP
254900QT3R363TVK6F09
Medline Borrower LP
62482BAA0
70000.00000000
PA
USD
60900.57000000
0.025478924766
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.87500000
N
N
N
N
N
N
LPL Financial Holdings Inc
549300XROQ4Y8G2L7682
LPL Financial Holdings Inc
50212V100
1440.00000000
NS
USD
313099.20000000
0.130991072190
Long
EC
CORP
US
N
1
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP IRS USD
000000000
-5011000.00000000
NC
USD
-12031.34000000
-0.00503354248
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2025-02-21
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
4.17000000
USD
2024-02-16
XXXX
11545.42000000
N
N
N
American Financial Group Inc/O
549300AFOM7IVKIU1G39
American Financial Group Inc/OH
025932104
451.00000000
NS
USD
53556.25000000
0.022406287240
Long
EC
CORP
US
N
1
N
N
N
HESS MIDSTREAM OPERATION
N/A
Hess Midstream Operations LP
428102AE7
70000.00000000
PA
USD
61144.30000000
0.025580893899
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.25000000
N
N
N
N
N
N
Danone SA
969500KMUQ2B6CBAF162
Danone SA
000000000
2097.00000000
NS
128511.71000000
0.053765345558
Long
EC
CORP
FR
N
2
N
N
N
TotalEnergies SE
529900S21EQ1BO4ESM68
TotalEnergies SE
000000000
615.00000000
NS
35303.93000000
0.014770078119
Long
EC
CORP
FR
N
2
N
N
N
AGNC Investment Corp
5TRACI5HRMELWV32OF39
AGNC Investment Corp
00123Q104
3716.00000000
NS
USD
37643.08000000
0.015748706511
Long
EC
CORP
US
N
1
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B17 Mortgage Trust
08162MAZ1
5477137.87000000
PA
USD
304868.72000000
0.127547692585
Long
ABS-MBS
CORP
US
N
2
2053-03-15
Variable
1.53727400
N
N
N
N
N
N
Edenred
9695006LOD5B2D7Y0N70
Edenred
000000000
1164.00000000
NS
77969.98000000
0.032620240738
Long
EC
CORP
FR
N
2
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DDE8
92000.00000000
PA
USD
79368.90000000
0.033205505825
Long
ABS-MBS
CORP
US
N
2
2050-08-27
None
0.00000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-2358.53000000
-0.00098673638
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-227917.89000000
USD
32311924.00000000
JPY
2023-08-18
-2358.53000000
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBF6
70000.00000000
PA
USD
67456.55000000
0.028221745091
Long
DBT
CORP
US
N
2
2025-11-20
Fixed
5.75000000
N
N
N
N
N
Obayashi Corp
529900YT4O5S0LCXWD54
Obayashi Corp
000000000
9600.00000000
NS
83024.05000000
0.034734708128
Long
EC
CORP
JP
N
2
N
N
N
Holcim AG
529900EHPFPYHV6IQO98
Holcim AG
000000000
1096.00000000
NS
73878.34000000
0.030908424449
Long
EC
CORP
CH
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2013.71000000
-0.00084247430
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-399217.88000000
GBP
505119.60000000
USD
2023-08-18
-2013.71000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAM2
450000.00000000
PA
USD
382689.74000000
0.160105613042
Long
DBT
CORP
US
N
2
N/A
Fixed
7.12500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1712.17000000
0.000716319249
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-319001.53000000
GBP
406945.28000000
USD
2023-08-18
1712.17000000
N
N
N
Automatic Data Processing Inc
HGBOLILQXWER4SAL2I23
Automatic Data Processing Inc
053015103
1080.00000000
NS
USD
237373.20000000
0.099309643644
Long
EC
CORP
US
N
1
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B10 Mortgage Trust
08162VAF5
11703675.39000000
PA
USD
569946.17000000
0.238447942055
Long
ABS-MBS
CORP
US
N
2
2062-03-15
Variable
1.35658400
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1630.37000000
0.000682096646
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-22699273.00000000
JPY
160086.84000000
USD
2023-08-18
1630.37000000
N
N
N
Mello Mortgage Capital Accepta
N/A
Mello Mortgage Capital Acceptance 2018-MTG2
585499BQ8
445136.64000000
PA
USD
405518.23000000
0.169656350896
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
4.36601000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-139.95000000
-0.00005855077
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
-460696.42000000
USD
65975828.00000000
JPY
2023-08-18
-139.95000000
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2019-4
81748JAU9
89940.02000000
PA
USD
79418.53000000
0.033226269490
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Variable
3.50000000
N
N
N
N
N
N
Enphase Energy Inc
5493008U7KIGMI59Z314
Enphase Energy Inc
29355A107
1823.00000000
NS
USD
305316.04000000
0.127734837510
Long
EC
CORP
US
N
1
N
N
N
Virtu Financial Inc
5493001OPW2K42CH3884
Virtu Financial Inc
928254101
5209.00000000
NS
USD
89021.81000000
0.037243986379
Long
EC
CORP
US
N
1
N
N
N
CME Group Inc
LCZ7XYGSLJUHFXXNXD88
CME Group Inc
12572Q105
1874.00000000
NS
USD
347233.46000000
0.145271796369
Long
EC
CORP
US
N
1
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
53.24000000
0.000022273977
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-423107.06000000
USD
386886.80000000
EUR
2023-08-18
53.24000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-6470.72000000
-0.00270715016
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-12274693.35000000
MXN
709130.44000000
USD
2023-07-14
-6470.72000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ACTN1
1723074.47000000
PA
USD
36947.37000000
0.015457642852
Long
ABS-MBS
USGSE
US
N
2
2041-05-25
Floating
1.04957000
N
N
N
N
N
N
Marsh & McLennan Cos Inc
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748102
4065.00000000
NS
USD
764545.20000000
0.319862189000
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AFGB4
2947692.37000000
PA
USD
487467.26000000
0.203941303731
Long
ABS-MBS
USGSE
US
N
2
2043-07-25
Fixed
6.50000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
-349.07000000
-0.00014604014
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-162110.08000000
USD
2774683.59000000
MXN
2023-07-14
-349.07000000
N
N
N
RACKSPACE TECHNOLOGY
549300QTYCKLMFSE8I97
Rackspace Technology Global Inc
750098AA3
15000.00000000
PA
USD
4670.07000000
0.001953813604
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.37500000
N
N
N
N
N
N
MPH ACQUISITION HOLDINGS
5493002WXOPRPTXWTU06
MPH Acquisition Holdings LLC
553283AC6
70000.00000000
PA
USD
52771.60000000
0.022078013821
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
5.75000000
N
N
N
N
N
N
Robert Half International Inc
529900VPCUY9H3HLIC08
Robert Half International Inc
770323103
590.00000000
NS
USD
44379.80000000
0.018567142891
Long
EC
CORP
US
N
1
N
N
N
Bayerische Motoren Werke AG
YEH5ZCD6E441RHVHD759
Bayerische Motoren Werke AG
000000000
976.00000000
NS
120055.20000000
0.050227401954
Long
EC
CORP
DE
N
2
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H052678
567000.00000000
PA
USD
564386.49000000
0.236121942997
Long
ABS-MBS
USGA
US
N
2
2053-07-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AHC57
4185596.80000000
PA
USD
362242.06000000
0.151550932841
Long
ABS-MBS
USGSE
US
N
2
2044-01-25
Floating
0.89957000
N
N
N
N
N
N
Sumitomo Mitsui Trust Holdings
353800P843RLCDBLNT17
Sumitomo Mitsui Trust Holdings Inc
000000000
2400.00000000
NS
85141.40000000
0.035620542223
Long
EC
CORP
JP
N
2
N
N
N
Reckitt Benckiser Group PLC
5493003JFSMOJG48V108
Reckitt Benckiser Group PLC
000000000
904.00000000
NS
67936.53000000
0.028422553956
Long
EC
CORP
GB
N
2
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661EF0
170000.00000000
PA
USD
136665.71000000
0.057176728284
Long
DBT
CORP
US
N
2
2062-04-01
Fixed
4.45000000
N
N
N
N
N
N
LCM INVESTMENTS HOLDINGS
549300P5V78NNQTG4428
LCM Investments Holdings II LLC
50190EAA2
70000.00000000
PA
USD
59979.23000000
0.025093464457
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.87500000
N
N
N
N
N
N
CHS/COMMUNITY HEALTH SYS
5493007X5NC5XI1BB106
CHS/Community Health Systems Inc
12543DBM1
70000.00000000
PA
USD
55213.35000000
0.023099566896
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
5.25000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCA1
85000.00000000
PA
USD
64318.48000000
0.026908873152
Long
DBT
CORP
US
N
2
2051-03-25
Fixed
3.95000000
N
N
N
N
N
N
Japan Tobacco Inc
353800Z0ENYBQO0XRJ31
Japan Tobacco Inc
000000000
5100.00000000
NS
111720.56000000
0.046740445009
Long
EC
CORP
JP
N
2
N
N
MISC CAPITAL TWO LABUAN
9845000ED8376T875113
MISC Capital Two Labuan Ltd
60475DAB7
225000.00000000
PA
USD
210707.49000000
0.088153531001
Long
DBT
CORP
MY
N
2
2027-04-06
Fixed
3.75000000
N
N
N
N
N
N
Tobu Railway Co Ltd
N/A
Tobu Railway Co Ltd
000000000
2700.00000000
NS
72395.54000000
0.030288066550
Long
EC
CORP
JP
N
2
N
N
N
AmerisourceBergen Corp
AI8GXW8LG5WK7E9UD086
AmerisourceBergen Corp
03073E105
803.00000000
NS
USD
154521.29000000
0.064646953596
Long
EC
CORP
US
N
1
N
N
N
Bluemountain CLO Ltd
5493001GLQHON6UV2U40
BlueMountain CLO XXVIII Ltd
09630PAG8
250000.00000000
PA
USD
236312.50000000
0.098865879398
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
7.26029000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AH0
70000.00000000
PA
USD
65184.54000000
0.027271206010
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
5.25000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
SWOP IRS USD
000000000
-3142000.00000000
NC
USD
-49926.59000000
-0.02088774917
N/A
DIR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Call
Written
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2033-09-13
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.54000000
USD
2023-09-11
XXXX
35064.51000000
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS Mortgage Trust 2022-C17
054976AG0
4642570.28000000
PA
USD
356990.21000000
0.149353720384
Long
ABS-MBS
CORP
US
N
2
2055-09-15
Variable
1.32539500
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A5PT5
5385356.44000000
PA
USD
1174153.11000000
0.491229536182
Long
ABS-MBS
USGSE
US
N
2
2041-01-15
Fixed
6.00000000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAM1
70000.00000000
PA
USD
59992.28000000
0.025098924176
Long
DBT
CORP
CA
N
2
2030-10-15
Fixed
4.00000000
N
N
N
N
N
N
Dow Inc
5493003S21INSLK2IP73
Dow Inc
260557103
5908.00000000
NS
USD
314660.08000000
0.131644096359
Long
EC
CORP
US
N
1
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2021-3
46592KAJ1
1000000.00000000
PA
USD
686605.30000000
0.287254532809
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
2.50000000
N
N
N
N
N
N
BHP Group Ltd
WZE1WSENV6JSZFK0JC28
BHP Group Ltd
000000000
2864.00000000
NS
86097.65000000
0.036020607802
Long
EC
CORP
AU
N
2
N
N
N
Lattice Semiconductor Corp
549300LRBBPZDQ2II567
Lattice Semiconductor Corp
518415104
5445.00000000
NS
USD
523101.15000000
0.218849426963
Long
EC
CORP
US
N
1
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-1835.39000000
-0.00076787070
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-09-13
0.00000000
USD
0.00000000
USD
1351000.00000000
USD
-1835.39000000
N
N
N
CSAIL Commercial Mortgage Trus
N/A
CSAIL 2020-C19 Commercial Mortgage Trust
12597NAE3
300000.00000000
PA
USD
143053.53000000
0.059849195639
Long
ABS-MBS
CORP
US
N
2
2053-03-15
Fixed
2.50000000
N
N
N
N
N
N
AMN HEALTHCARE INC
549300H27NUKBFFQEE84
AMN Healthcare Inc
00175PAB9
70000.00000000
PA
USD
64861.06000000
0.027135871930
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
4.62500000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137H2NZ3
1691757.06000000
PA
USD
136437.75000000
0.057081356834
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Variable
1.09494000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
-1038.37000000
-0.00043442206
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
-704515.50000000
USD
12066730.13000000
MXN
2023-07-14
-1038.37000000
N
N
N
Takeda Pharmaceutical Co Ltd
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
000000000
4600.00000000
NS
144543.77000000
0.060472666205
Long
EC
CORP
JP
N
2
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AE4R5
2135835.31000000
PA
USD
95680.08000000
0.040029601693
Long
ABS-MBS
USGSE
US
N
2
2028-07-25
Fixed
3.00000000
N
N
N
N
N
N
UNITI GRP/UNITI HLD/CSL
N/A
Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC
91327AAB8
70000.00000000
PA
USD
47492.20000000
0.019869275292
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
6.00000000
N
N
N
N
N
N
VIASAT INC
UFC8NYMNFSYIHNSM2I38
Viasat Inc
92552VAK6
70000.00000000
PA
USD
67900.00000000
0.028407270928
Long
DBT
CORP
US
N
2
2025-09-15
Fixed
5.62500000
N
N
N
N
N
N
Cigna Group/The
549300VIWYMSIGT1U456
Cigna Group/The
125523100
2990.00000000
NS
USD
838994.00000000
0.351009276362
Long
EC
CORP
US
N
1
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-LTV2
46651AAT9
4570.65000000
PA
USD
4535.51000000
0.001897517840
Long
ABS-MBS
CORP
US
N
2
2049-12-25
Variable
4.00000000
N
N
N
N
N
N
Octagon Investment Partners 31
5493003JSU68UU09PZ63
Octagon Investment Partners 31 Ltd
67575XAS0
580000.00000000
PA
USD
564025.64000000
0.235970974460
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
7.30043000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - NZD
000000000
1.00000000
NC
USD
-1258.54000000
-0.00052653441
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1003175.77000000
USD
1632909.67000000
NZD
2023-08-18
-1258.54000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-35417.51000000
-0.01481759649
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-12
0.00000000
USD
0.00000000
USD
1197000.00000000
USD
-35417.51000000
N
N
N
SoftBank Corp
353800M1YCTS9JRBJ535
SoftBank Corp
000000000
11000.00000000
NS
117538.31000000
0.049174412615
Long
EC
CORP
JP
N
2
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
JPY CALL VERSUS USD PUT
000000000
-1433000.00000000
NC
USD
-0.24000000
-0.00000010040
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
JPY CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
JPY
N/A
USD
2023-07-03
0.01000000
USD
138.00000000
USD
2023-07-03
XXXX
16479.26000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
617446448
1563.00000000
NS
USD
133480.20000000
0.055844008909
Long
EC
CORP
US
N
1
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-6300.79000000
-0.00263605668
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-796703.35000000
USD
1046318.64000000
CAD
2023-08-18
-6300.79000000
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
SWOP IRS USD
000000000
-8173000.00000000
NC
USD
-101464.53000000
-0.04244963760
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2034-04-29
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
4.05000000
USD
2024-04-25
XXXX
-10744.23000000
N
N
N
Danske Bank A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
000000000
4182.00000000
NS
101858.53000000
0.042614475081
Long
EC
CORP
DK
N
2
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDK3
70000.00000000
PA
USD
67456.20000000
0.028221598662
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
6.12500000
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2017-5
46590YAD6
804810.03000000
PA
USD
737149.97000000
0.308400867634
Long
ABS-MBS
CORP
US
N
2
2048-10-26
Variable
3.35626300
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
1085.84000000
0.000454282048
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-17441.52000000
USD
88883.71000000
BRL
2023-07-14
1085.84000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
3460.75000000
0.001447871323
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
1002000.00000000
USD
3460.75000000
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FG5J2
3750662.62000000
PA
USD
782649.64000000
0.327436529679
Long
ABS-MBS
USGSE
US
N
2
2039-01-25
Fixed
5.50000000
N
N
N
N
N
N
RFM RE-REMIC TRUST 2022-FRR1
N/A
RFM Reremic Trust 2022-FRR1
74971BBP9
70000.00000000
PA
USD
56282.13000000
0.023546711565
Long
ABS-MBS
CORP
US
N
2
2049-11-08
Variable
2.44000000
N
N
N
N
N
N
OCI NV
549300NCMRGIBJYUOE57
OCI NV
000000000
2354.00000000
NS
56540.88000000
0.023654964604
Long
EC
CORP
NL
N
2
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-KG01 Mortgage Trust
30298CAU5
200000.00000000
PA
USD
113148.42000000
0.047337817702
Long
ABS-MBS
CORP
US
N
2
2029-05-25
None
0.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-809.82000000
-0.00033880377
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-12
0.00000000
USD
0.00000000
USD
1013000.00000000
USD
-809.82000000
N
N
N
BX Trust
N/A
BX Trust 2022-LBA6
12433EAJ0
700000.00000000
PA
USD
676823.14000000
0.283161978031
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
6.74699000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AXRD7
1503251.07000000
PA
USD
51685.83000000
0.021623761059
Long
ABS-MBS
USGSE
US
N
2
2028-01-15
Fixed
2.50000000
N
N
N
N
N
N
OLIN CORP
549300GKK294V7W57P06
Olin Corp
680665AJ5
70000.00000000
PA
USD
66817.00000000
0.027954177048
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
5.12500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - SEK
000000000
1.00000000
NC
USD
-1117.13000000
-0.00046737282
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-207497.80000000
USD
2221006.73000000
SEK
2023-08-18
-1117.13000000
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-1439.12000000
-0.00060208353
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-52831629.00000000
JPY
367361.84000000
USD
2023-08-18
-1439.12000000
N
N
N
Chubu Electric Power Co Inc
529900A76GOP0PGNHT63
Chubu Electric Power Co Inc
000000000
2200.00000000
NS
26838.89000000
0.011228565826
Long
EC
CORP
JP
N
2
N
N
N
BX Trust
N/A
BX 2021-MFM1
05608VAJ5
226061.33000000
PA
USD
219883.12000000
0.091992332287
Long
ABS-MBS
CORP
US
N
2
2034-01-15
Floating
6.76148000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-LBA
05609BAM1
250000.00000000
PA
USD
232456.18000000
0.097252513757
Long
ABS-MBS
CORP
US
N
2
2036-02-15
Floating
7.26148000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136B3TM2
156591.31000000
PA
USD
9709.73000000
0.004062252293
Long
ABS-MBS
USGSE
US
N
2
2048-12-25
Floating
0.94957000
N
N
N
N
N
N
HCA Healthcare Inc
529900PH4ZGUH2MNEU89
HCA Healthcare Inc
40412C101
1578.00000000
NS
USD
478891.44000000
0.200353444494
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac - STACR
549300TCRXCIFPAC3B85
Freddie Mac STACR REMIC Trust 2020-HQA1
35565JAH4
154965.12000000
PA
USD
154917.89000000
0.064812878834
Long
ABS-MBS
CORP
US
N
2
2050-01-25
Floating
7.05043000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
27261.77000000
0.011405485808
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-16
0.00000000
USD
0.00000000
USD
792000.00000000
USD
27261.77000000
N
N
N
WILLIAM CARTER
TGI2A0HXEYNQPU7TYV27
William Carter Co/The
96926JAC1
70000.00000000
PA
USD
67986.74000000
0.028443560275
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.62500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10YR ULTRA
000000000
30.00000000
NC
USD
-42952.71000000
-0.01797009234
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-20
3596077.71000000
USD
-42952.71000000
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-B
63942LAA0
133790.78000000
PA
USD
115648.78000000
0.048383891398
Long
ABS-O
CORP
US
N
2
2069-07-15
Fixed
0.94000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-87.82000000
-0.00003674118
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-50542.55000000
USD
66790.93000000
CAD
2023-08-18
-87.82000000
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
580135101
1569.00000000
NS
USD
468205.29000000
0.195882688114
Long
EC
CORP
US
N
1
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CBG9
129000.00000000
PA
USD
124214.10000000
0.051967357758
Long
DBT
CORP
US
N
2
N/A
Fixed
4.87500000
N
N
N
N
N
N
Bank Hapoalim BM
B6ARUI4946ST4S7WOU88
Bank Hapoalim BM
000000000
10305.00000000
NS
84981.15000000
0.035553498554
Long
EC
CORP
IL
N
2
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-L3
61691UBF5
7550806.07440000
PA
USD
237830.00000000
0.099500754710
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Variable
0.75634800
N
N
N
N
N
N
Axis Capital Holdings Ltd
N/A
Axis Capital Holdings Ltd
000000000
3338.00000000
NS
USD
179684.54000000
0.075174483201
Long
EC
CORP
BM
N
1
N
N
N
CIM Trust
N/A
CIM Trust 2019-J1
12556MCQ5
433032.55000000
PA
USD
379148.36000000
0.158624008607
Long
ABS-MBS
CORP
US
N
2
2049-08-25
Variable
3.94376600
N
N
N
N
N
N
Medibank Pvt Ltd
BDYVSUPTML83OLINBJ17
Medibank Pvt Ltd
000000000
30187.00000000
NS
70908.68000000
0.029666010072
Long
EC
CORP
AU
N
2
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
000000000
51220.00000000
NS
134286.36000000
0.056181281450
Long
EC
CORP
IT
N
2
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
JPY CALL VERSUS USD PUT
000000000
855000.00000000
NC
USD
5690.39000000
0.002380684100
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Put
Purchased
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
JPY CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
FR
US
N/A
JPY
N/A
USD
2025-02-27
0.01000000
USD
107.50000000
USD
2025-02-27
XXXX
-36717.61000000
N
N
N
Hancock Whitney Corp
549300GRNBWY8HIICT41
Hancock Whitney Corp
410120109
3538.00000000
NS
USD
135788.44000000
0.056809705507
Long
EC
CORP
US
N
1
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468V4
1058000.00000000
PA
USD
943823.71000000
0.394866801742
Long
DBT
CORP
US
N
2
2026-12-10
Fixed
0.98500000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
27250000.00000000
PA
1506638.28000000
0.630331101775
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-407.97000000
-0.00017068209
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-545441.60000000
USD
429053.20000000
GBP
2023-08-18
-407.97000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD CALL VERSUS JPY PUT
000000000
1118300.00000000
NC
USD
14265.44000000
0.005968221192
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Call
Purchased
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD CALL VERSUS JPY PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
FR
US
N/A
USD
N/A
JPY
2032-09-09
0.01000000
USD
140.00000000
USD
2032-09-09
XXXX
-7071.72000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
4816.30000000
0.002014991737
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
1072000.00000000
USD
4816.30000000
N
N
N
Otis Worldwide Corp
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902V107
630.00000000
NS
USD
56076.30000000
0.023460598626
Long
EC
CORP
US
N
1
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBD4
46000.00000000
PA
USD
45336.15000000
0.018967250307
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.25000000
N
N
N
N
N
N
SPECTRUM BRANDS INC
549300VU3EH2E73C1Q04
Spectrum Brands Inc
84762LAU9
70000.00000000
PA
USD
70000.35000000
0.029285992746
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.75000000
N
N
N
N
N
N
PERMIAN RESOURC OPTG LLC
5493004CTVUMQLRPOE23
Permian Resources Operating LLC
19416MAB5
70000.00000000
PA
USD
66012.51000000
0.027617603184
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
5.87500000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
3136FCD86
3034938.40000000
PA
USD
578089.30000000
0.241854777109
Long
ABS-MBS
USGSE
US
N
2
2036-01-25
Fixed
5.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
EUR CALL VERSUS USD PUT
000000000
-1442000.00000000
NC
USD
-2607.20000000
-0.00109077226
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Put
Written
BNP PARIBAS USA, INC.
549300QVEGJN81E8T563
BNP PARIBAS USA, INC.
549300QVEGJN81E8T563
EUR CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
EUR
N/A
USD
2023-07-12
0.01000000
USD
1.10000000
USD
2023-07-12
XXXX
14799.28000000
N
N
N
Freddie Mac Multiclass Certifi
N/A
Freddie Mac Multiclass Certificates Series 2021-P011
3137H2NR1
1132441.97000000
PA
USD
139928.10000000
0.058541611887
Long
ABS-MBS
USGSE
US
N
2
2045-09-25
Variable
1.78594900
N
N
N
N
N
N
Henkel AG & Co KGaA
549300VZCL1HTH4O4Y49
Henkel AG & Co KGaA
000000000
909.00000000
NS
72698.60000000
0.030414857530
Long
EP
CORP
DE
N
2
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAL8
70000.00000000
PA
USD
62674.94000000
0.026221266582
Long
DBT
CORP
CA
N
2
2028-08-01
Fixed
4.00000000
N
N
N
N
N
N
Asahi Kasei Corp
353800GPI4Z3MGDGN142
Asahi Kasei Corp
000000000
11600.00000000
NS
78544.46000000
0.032860585495
Long
EC
CORP
JP
N
2
N
N
N
Nordea Bank Abp
529900ODI3047E2LIV03
Nordea Bank Abp
000000000
1394.00000000
NS
15184.39000000
0.006352681599
Long
EC
CORP
FI
N
2
N
N
N
RFM RE-REMIC TRUST 2022-FRR1
N/A
RFM Reremic Trust 2022-FRR1
74971BAS4
30000.00000000
PA
USD
21119.31000000
0.008835669528
Long
ABS-MBS
CORP
US
N
2
2049-11-08
None
0.00000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - NOK
000000000
1.00000000
NC
USD
989.61000000
0.000414022376
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-176884.45000000
USD
1905968.42000000
NOK
2023-08-18
989.61000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R07
20754MCB1
800000.00000000
PA
USD
846905.60000000
0.354319246387
Long
ABS-MBS
CORP
US
N
2
2042-06-25
Floating
9.71655000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TBE5
126000.00000000
PA
USD
105241.13000000
0.044029650849
Long
ABS-MBS
CORP
US
N
2
2051-09-27
None
0.00000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-KG01 Mortgage Trust
30298CAN1
2538677.43710000
PA
USD
7955.83000000
0.003328474495
Long
ABS-MBS
CORP
US
N
2
2029-04-25
Fixed
0.10000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
5183.61000000
0.002168662940
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-1560327.40000000
NZD
962565.97000000
USD
2023-08-18
5183.61000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKM0
2391000.00000000
PA
USD
2293118.96000000
0.959370420721
Long
DBT
CORP
US
N
2
2026-04-02
Fixed
3.38400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BSCH4
1462429.49000000
PA
USD
67338.74000000
0.028172457012
Long
ABS-MBS
USGSE
US
N
2
2039-06-15
Floating
0.01000000
N
N
N
N
N
N
Salesforce Inc
RCGZFPDMRW58VJ54VR07
Salesforce Inc
79466L302
3410.00000000
NS
USD
720396.60000000
0.301391773075
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2018-R07
20753QAE9
35563.89000000
PA
USD
35678.76000000
0.014926895459
Long
ABS-MBS
CORP
US
N
2
2031-04-25
Floating
7.55043000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2021-2
33852EBQ1
562889.31000000
PA
USD
408675.71000000
0.170977343382
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.78021600
N
N
N
N
N
N
DIRECTV FIN LLC/COINC
N/A
Directv Financing LLC / Directv Financing Co-Obligor Inc
25461LAA0
70000.00000000
PA
USD
63476.71000000
0.026556702482
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.87500000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBA5
70000.00000000
PA
USD
65016.00000000
0.027200694059
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
5.00000000
N
N
N
N
N
N
ARCHROCK PARTNERS LP/FIN
N/A
Archrock Partners LP / Archrock Partners Finance Corp
03959KAC4
70000.00000000
PA
USD
65821.00000000
0.027537481292
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
6.25000000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
3 MONTH EURO EURIBOR
000000000
-102.00000000
NC
-39651.58000000
-0.01658900111
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Call
Written
ICE FUTURES EUROPE
549300UF4R84F48NCH34
ICE FUTURES EUROPE
549300UF4R84F48NCH34
3 Month Euro Euribor
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
GB
US
Long
INTERCONTENTIAL EXCHANGE
3 MONTH EURO INTERBANK OFFER RATE
2023-12-18
0.00000000
USD
1000000.00000000
96.25000000
EUR
2023-12-18
XXXX
837.76000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-5
46591FAC8
45147.13000000
PA
USD
41900.79000000
0.017530001378
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Variable
4.00000000
N
N
N
N
N
N
Zurich Insurance Group AG
529900QVNRBND50TXP03
Zurich Insurance Group AG
000000000
391.00000000
NS
185994.25000000
0.077814271735
Long
EC
CORP
CH
N
2
N
N
VIKING CRUISES LTD
549300IJP90T4MV2GL84
Viking Cruises Ltd
92676XAE7
35000.00000000
PA
USD
36774.21000000
0.015385198035
Long
DBT
CORP
BM
N
2
2025-05-15
Fixed
13.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3D3
171000.00000000
PA
USD
169987.33000000
0.071117468890
Long
DBT
CORP
US
N
2
2034-04-24
Fixed
5.38900000
N
N
N
N
N
N
SONIC AUTOMOTIVE INC
549300NTLRGJ2JCBZU03
Sonic Automotive Inc
83545GBD3
70000.00000000
PA
USD
58698.75000000
0.024557751021
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
4.62500000
N
N
N
N
N
National Grid PLC
8R95QZMKZLJX5Q2XR704
National Grid PLC
000000000
11149.00000000
NS
147817.88000000
0.061842453095
Long
EC
CORP
GB
N
2
N
N
N
Conagra Brands Inc
54930035UDEIH090K650
Conagra Brands Inc
205887102
6864.00000000
NS
USD
231454.08000000
0.096833265949
Long
EC
CORP
US
N
1
N
N
N
Air Products and Chemicals Inc
7QEON6Y1RL5XR3R1W237
Air Products and Chemicals Inc
009158106
447.00000000
NS
USD
133889.91000000
0.056015418967
Long
EC
CORP
US
N
1
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp
902973304
6277.00000000
NS
USD
207392.08000000
0.086766465462
Long
EC
CORP
US
N
1
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-1463.57000000
-0.00061231265
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-09-13
0.00000000
USD
0.00000000
USD
173000.00000000
USD
-1463.57000000
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F030678
1193000.00000000
PA
USD
1050166.20000000
0.439357227730
Long
ABS-MBS
USGSE
US
N
2
2053-07-15
Fixed
3.00000000
N
N
N
N
N
N
Tryg A/S
213800ZRS8AC4LSTCE39
Tryg A/S
000000000
3103.00000000
NS
67198.58000000
0.028113818380
Long
EC
CORP
DK
N
2
N
N
N
BX Trust
N/A
BX Trust 2021-SDMF
12434CAL8
700000.00000000
PA
USD
663738.67000000
0.277687838352
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
6.58000000
N
N
N
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587DF1
275000.00000000
PA
USD
255013.00000000
0.106689593242
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
4.00000000
N
N
N
N
N
N
WYNN LAS VEGAS LLC/CORP
N/A
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp
983130AX3
70000.00000000
PA
USD
66390.99000000
0.027775947571
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
5.25000000
N
N
N
N
N
DBWF Mortgage Trust
N/A
DBWF Mortgage Trust
23306NAL6
1000000.00000000
PA
USD
787889.10000000
0.329628558541
Long
ABS-MBS
CORP
US
N
2
2034-06-10
Variable
3.53513700
N
N
N
N
N
N
First Industrial Realty Trust
N/A
First Industrial Realty Trust Inc
32054K103
739.00000000
NS
USD
38900.96000000
0.016274964802
Long
EC
CORP
US
N
1
N
N
N
PECF USS INTERMEDIATE HO
254900DIL842DEXPYJ91
PECF USS Intermediate Holding III Corp
69291HAA3
70000.00000000
PA
USD
39454.10000000
0.016506381559
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
8.00000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM Re-REMIC Trust 2021-FRR1
364614AC1
1000000.00000000
PA
USD
681034.75000000
0.284923986077
Long
ABS-MBS
CORP
US
N
2
2050-11-29
None
0.00000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-3
92539LAA8
628133.05000000
PA
USD
526815.44000000
0.220403371622
Long
ABS-MBS
CORP
US
N
2
2066-06-25
Variable
1.04600000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
-717.35000000
-0.00030011716
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-309266.50000000
USD
5292537.92000000
MXN
2023-07-14
-717.35000000
N
N
N
Shackleton CLO LTD
549300O6RVX5OXLL7335
Shackleton 2019-XV CLO Ltd
81883MAQ6
550000.00000000
PA
USD
528876.70000000
0.221265739387
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Floating
7.41029000
N
N
N
N
N
N
CDW LLC/CDW FINANCE
N/A
CDW LLC / CDW Finance Corp
12513GBF5
70000.00000000
PA
USD
60041.37000000
0.025119461921
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.25000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
5287.43000000
0.002212098034
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1558458.04000000
NZD
961522.79000000
USD
2023-08-18
5287.43000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-4
46649CBF9
683560.31000000
PA
USD
588961.37000000
0.246403316697
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
3.71214300
N
N
N
N
N
N
M/I HOMES INC
5299005M71FH9CCSFB69
M/I Homes Inc
55305BAV3
70000.00000000
PA
USD
59770.20000000
0.025006012736
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.95000000
N
N
N
N
N
N
NVIDIA Corp
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066G104
6867.00000000
NS
USD
2904878.34000000
1.215311723378
Long
EC
CORP
US
N
1
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
369604301
629.00000000
NS
USD
69095.65000000
0.028907494101
Long
EC
CORP
US
N
1
N
N
N
EMERALD DEBT MERGER
98450099EE3A0ZD5F786
Emerald Debt Merger Sub LLC
29103CAA6
60000.00000000
PA
USD
59550.00000000
0.024913887831
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
6.62500000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2013-C17
46640UAQ5
200000.00000000
PA
USD
105344.70000000
0.044072981351
Long
ABS-MBS
CORP
US
N
2
2047-01-15
Variable
3.86700000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
526.64000000
0.000220329972
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
-4150505.05000000
SEK
386200.39000000
USD
2023-08-18
526.64000000
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-437.85000000
-0.00018318296
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-182033.11000000
USD
26013960.00000000
JPY
2023-08-18
-437.85000000
N
N
N
CAESARS ENTERTAIN INC
549300FA4CTCW903Y781
Caesars Entertainment Inc
28470RAH5
70000.00000000
PA
USD
69738.84000000
0.029176585008
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
6.25000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)
000000000
-60.00000000
NC
USD
127375.80000000
0.053290115762
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-09-20
-6863313.30000000
USD
127375.80000000
N
N
N
STATION CASINOS LLC
5493004E7Q60TX54WL62
Station Casinos LLC
857691AG4
70000.00000000
PA
USD
62914.95000000
0.026321679382
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.50000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045V100
3943.00000000
NS
USD
152042.08000000
0.063609728409
Long
EC
CORP
US
N
1
N
N
N
GC TREASURY CENTRE CO
549300LUFQBC2EQNAR40
GC Treasury Center Co Ltd
36830BAD7
225000.00000000
PA
USD
203446.68000000
0.085115831490
Long
DBT
CORP
TH
N
2
2032-03-30
Fixed
4.40000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
SWOP IRS USD
000000000
8173000.00000000
NC
USD
37659.39000000
0.015755530113
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2034-04-29
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
2.20000000
USD
2024-04-25
XXXX
-55512.81000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFF3
8000.00000000
PA
USD
7335.47000000
0.003068934958
Long
DBT
UST
US
N
2
2032-08-15
Fixed
2.75000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
5456.15000000
0.002282685291
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-686061.81000000
USD
11861594.66000000
MXN
2023-07-14
5456.15000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-8
46591KBE2
17945.55000000
PA
USD
15741.65000000
0.006585822038
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.50000000
N
N
N
N
N
N
321 Henderson Receivables LLC
N/A
J.G. Wentworth XXXVIII LLC
46620JAA9
365483.30000000
PA
USD
320268.37000000
0.133990432345
Long
ABS-O
CORP
US
N
2
2060-08-16
Fixed
3.99000000
N
N
N
N
N
N
Booz Allen Hamilton Holding Co
529900JPV47PIUWMA015
Booz Allen Hamilton Holding Corp
099502106
2321.00000000
NS
USD
259023.60000000
0.108367504888
Long
EC
CORP
US
N
1
N
N
N
Ford Motor Co
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370860
10994.00000000
NS
USD
166339.22000000
0.069591211907
Long
EC
CORP
US
N
1
N
N
N
ACADEMY LTD
549300BN53IR80C35Z14
Academy Ltd
00401YAA8
70000.00000000
PA
USD
67278.40000000
0.028147212612
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
6.00000000
N
N
N
N
N
N
Juniper Networks Inc
AUHIXNGG7U2U7JEHM527
Juniper Networks Inc
48203R104
7886.00000000
NS
USD
247068.38000000
0.103365808665
Long
EC
CORP
US
N
1
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-6463.01000000
-0.00270392453
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1849197.73000000
CHF
2069703.53000000
USD
2023-08-18
-6463.01000000
N
N
N
Neuberger Berman CLO Ltd
549300YJLHTYDSFV8K03
Neuberger Berman Loan Advisers CLO 25 Ltd
64131JAQ9
1000000.00000000
PA
USD
952773.00000000
0.398610909336
Long
ABS-CBDO
CORP
KY
N
2
2029-10-18
Floating
7.01171000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-593.17000000
-0.00024816407
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-347459.03000000
USD
273054.54000000
GBP
2023-08-18
-593.17000000
N
N
N
Johnson & Johnson
549300G0CFPGEF6X2043
Johnson & Johnson
478160104
6438.00000000
NS
USD
1065617.76000000
0.445821685037
Long
EC
CORP
US
N
1
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110L106
2048.00000000
NS
USD
902123.52000000
0.377420725231
Long
EC
CORP
US
N
1
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-3231.27000000
-0.00135186395
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
-754174.05000000
BRL
153972.46000000
USD
2023-07-14
-3231.27000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398RNN1
478316.96000000
PA
USD
31096.49000000
0.013009814673
Long
ABS-MBS
USGSE
US
N
2
2040-06-25
Floating
0.61957000
N
N
N
N
N
N
CIVITAS RESOURCES INC
IIVIHPH28S64K95M2381
Civitas Resources Inc
17888HAA1
55000.00000000
PA
USD
55690.25000000
0.023299087184
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
8.37500000
N
N
N
N
N
N
Agilent Technologies Inc
QUIX8Y7A2WP0XRMW7G29
Agilent Technologies Inc
00846U101
319.00000000
NS
USD
38359.75000000
0.016048539189
Long
EC
CORP
US
N
1
N
N
N
Gam Resecuritization Trust
N/A
GAM Re-REMIC Trust 2021-FRR1
364614AQ0
1000000.00000000
PA
USD
661116.50000000
0.276590803100
Long
ABS-MBS
CORP
US
N
2
2050-11-29
None
0.00000000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YAR7
746417.77000000
PA
USD
713130.67000000
0.298351931513
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
7.19400000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R02
20753KAB8
9820.34000000
PA
USD
9820.71000000
0.004108682911
Long
ABS-MBS
CORP
US
N
2
2031-08-25
Floating
7.45043000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2017-1
33850BAG2
193291.27000000
PA
USD
171933.03000000
0.071931489907
Long
ABS-MBS
CORP
US
N
2
2047-03-25
Variable
3.50000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
SWOP IRS USD
000000000
-785000.00000000
NC
USD
3173.45000000
0.001327673842
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2033-03-29
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
3.03750000
USD
2028-03-27
XXXX
3173.45000000
N
N
N
Rollins Inc
549300F2A0BXT4SGWD84
Rollins Inc
775711104
5776.00000000
NS
USD
247386.08000000
0.103498724571
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1369.93000000
0.000573136563
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-2240869.88000000
SEK
209596.32000000
USD
2023-08-18
1369.93000000
N
N
N
Reliance Steel & Aluminum Co
549300E287ZOFT3C5Z56
Reliance Steel & Aluminum Co
759509102
728.00000000
NS
USD
197717.52000000
0.082718927214
Long
EC
CORP
US
N
1
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206R102
27652.00000000
NS
USD
441049.40000000
0.184521499240
Long
EC
CORP
US
N
1
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
89.74000000
0.000037544454
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-182272.86000000
CHF
204734.60000000
USD
2023-08-18
89.74000000
N
N
N
ZAYO GROUP HOLDINGS INC
529900Z6OTS7RT0V0I47
Zayo Group Holdings Inc
98919VAB1
70000.00000000
PA
USD
43827.60000000
0.018336119400
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
6.12500000
N
N
N
N
N
N
Orion Oyj
74370029VAHCXDR7B745
Orion Oyj
000000000
1029.00000000
NS
42704.67000000
0.017866320038
Long
EC
CORP
FI
N
2
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCQ6
407000.00000000
PA
USD
396596.80000000
0.165923899069
Long
DBT
CORP
US
N
2
2025-05-09
Fixed
4.16600000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
1617.24000000
0.000676603458
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-461279.90000000
USD
423217.38000000
EUR
2023-08-18
1617.24000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-4760.18000000
-0.00199151285
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-10980346.37000000
NOK
1019978.09000000
USD
2023-08-18
-4760.18000000
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BP8
70000.00000000
PA
USD
59364.49000000
0.024836276155
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.75000000
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-41352.23000000
-0.01730050075
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
3007000.00000000
USD
-41352.23000000
N
N
N
Elbit Systems Ltd
529900Q9CB1REUMZSS32
Elbit Systems Ltd
000000000
289.00000000
NS
60491.38000000
0.025307732260
Long
EC
CORP
IL
N
2
N
N
N
FOOT LOCKER INC
549300X383CBNP6MTV94
Foot Locker Inc
344849AA2
70000.00000000
PA
USD
52776.54000000
0.022080080565
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.00000000
N
N
N
N
N
N
MURPHY OIL USA INC
N32S6DTR2ZZ5222WHV58
Murphy Oil USA Inc
626738AD0
70000.00000000
PA
USD
68170.50000000
0.028520439805
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.62500000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
700.07000000
0.000292887749
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-378075.13000000
AUD
252898.99000000
USD
2023-08-18
700.07000000
N
N
N
Wolters Kluwer NV
724500TEM53I0U077B74
Wolters Kluwer NV
000000000
545.00000000
NS
69200.72000000
0.028951452156
Long
EC
CORP
NL
N
2
N
N
N
Brown & Brown Inc
549300PC8KTJ71XKFY89
Brown & Brown Inc
115236101
3401.00000000
NS
USD
234124.84000000
0.097950629762
Long
EC
CORP
US
N
1
N
N
N
Dai Nippon Printing Co Ltd
529900S7NFNQ4FT6OP83
Dai Nippon Printing Co Ltd
000000000
1800.00000000
NS
51130.14000000
0.021391277460
Long
EC
CORP
JP
N
2
N
N
N
Parker-Hannifin Corp
5493002CONDB4N2HKI23
Parker-Hannifin Corp
701094104
1650.00000000
NS
USD
643566.00000000
0.269248213874
Long
EC
CORP
US
N
1
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
USD CALL VERSUS JPY PUT
000000000
-1118300.00000000
NC
USD
-21426.32000000
-0.00896411306
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
USD CALL VERSUS JPY PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
JPY
2027-09-09
0.01000000
USD
140.00000000
USD
2027-09-09
XXXX
10243.94000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-176246.91000000
-0.07373628457
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-06-09
0.00000000
USD
0.00000000
USD
3684000.00000000
USD
-176246.91000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2803.73000000
-0.00117299436
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1766787.47000000
EUR
1929633.15000000
USD
2023-08-18
-2803.73000000
N
N
N
Donaldson Co Inc
OZE6KXY9QQPR8EJ8WL20
Donaldson Co Inc
257651109
1399.00000000
NS
USD
87451.49000000
0.036587012805
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BQNR4
2275576.81000000
PA
USD
388457.57000000
0.162518695655
Long
ABS-MBS
USGSE
US
N
2
2046-06-15
Fixed
3.50000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
2267.20000000
0.000948526725
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-599864.98000000
CAD
455412.92000000
USD
2023-08-18
2267.20000000
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBD6
70000.00000000
PA
USD
32573.88000000
0.013627909194
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.12500000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-ARIA
05608RAG0
725000.00000000
PA
USD
697844.69000000
0.291956747783
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
6.83900000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89788MAP7
118000.00000000
PA
USD
118102.18000000
0.049410318475
Long
DBT
CORP
US
N
2
2034-06-08
Fixed
5.86700000
N
N
N
N
N
N
DTE Energy Co
549300IX8SD6XXD71I78
DTE Energy Co
233331107
2317.00000000
NS
USD
254916.34000000
0.106649153672
Long
EC
CORP
US
N
1
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TBC9
126000.00000000
PA
USD
107414.96000000
0.044939114439
Long
ABS-MBS
CORP
US
N
2
2051-09-27
None
0.00000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AD6
70000.00000000
PA
USD
59242.84000000
0.024785381537
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.45000000
N
N
N
N
N
N
Home Re Ltd
254900GFKVQN72ENGJ20
Home RE 2019-1 Ltd
43731AAB9
500000.00000000
PA
USD
509928.90000000
0.213338562832
Long
ABS-MBS
CORP
BM
N
2
2029-05-25
Floating
8.40043000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP IRS USD
000000000
-1571000.00000000
NC
USD
-26138.17000000
-0.01093540613
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2033-09-11
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.57000000
USD
2023-09-07
XXXX
15827.17000000
N
N
N
Stryker Corp
5493002F0SC4JTBU5137
Stryker Corp
863667101
1540.00000000
NS
USD
469838.60000000
0.196566014766
Long
EC
CORP
US
N
1
N
N
N
AptarGroup Inc
VNPEQDQFAA7IY1T2PX43
AptarGroup Inc
038336103
1957.00000000
NS
USD
226738.02000000
0.094860211543
Long
EC
CORP
US
N
1
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
350000.00000000
PA
USD
84476.00000000
0.035342159336
Long
DBT
NUSS
UA
N
2
2027-09-01
Variable
7.75000000
N
N
N
N
N
N
ANTERO MIDSTREAM PART/FI
N/A
Antero Midstream Partners LP / Antero Midstream Finance Corp
03690AAD8
70000.00000000
PA
USD
67573.55000000
0.028270694291
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
5.75000000
N
N
N
N
N
N
NCR CORP
549300YKTY8JX1DV2R67
NCR Corp
62886EBA5
70000.00000000
PA
USD
62033.34000000
0.025952840882
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.12500000
N
N
N
N
N
N
Applebees/IHOP Funding LLC
N/A
Applebee's Funding LLC / IHOP Funding LLC
03789XAE8
148500.00000000
PA
USD
137248.82000000
0.057420683568
Long
ABS-O
CORP
US
N
2
2049-06-05
Fixed
4.72300000
N
N
N
N
N
N
Fanniemae Strip
B1V7KEBTPIMZEU4LTD58
Fannie Mae Interest Strip
31423XRE3
4093571.14000000
PA
USD
508726.10000000
0.212835348319
Long
ABS-MBS
USGSE
US
N
2
2052-01-25
Variable
2.67761600
N
N
N
N
N
N
Pearson PLC
2138004JBXWWJKIURC57
Pearson PLC
000000000
7491.00000000
NS
78534.56000000
0.032856443639
Long
EC
CORP
GB
N
2
N
N
N
McDonald's Japan
529900FY9FV0AYNRC729
McDonald's Holdings Co Japan Ltd
000000000
1700.00000000
NS
66093.77000000
0.027651599868
Long
EC
CORP
JP
N
1
N
N
RFM RE-REMIC TRUST 2022-FRR1
N/A
RFM Reremic Trust 2022-FRR1
74971BAE5
30000.00000000
PA
USD
22337.90000000
0.009345490092
Long
ABS-MBS
CORP
US
N
2
2049-03-28
None
0.00000000
N
N
N
N
N
N
Erie Indemnity Co
549300WA5KP94KRUFZ80
Erie Indemnity Co
29530P102
988.00000000
NS
USD
207489.88000000
0.086807381973
Long
EC
CORP
US
N
1
N
N
N
SUNOCO LP/FINANCE CORP
N/A
Sunoco LP / Sunoco Finance Corp
86765LAT4
70000.00000000
PA
USD
62182.44000000
0.026015219735
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397HE46
441275.75000000
PA
USD
27426.83000000
0.011474541833
Long
ABS-MBS
USGSE
US
N
2
2037-05-15
Floating
1.21671000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
11966.24000000
0.005006306651
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-01-04
0.00000000
BRL
0.00000000
BRL
7384339.35000000
BRL
11966.24000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-743.43000000
-0.00031102823
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2033-06-17
0.00000000
MXN
0.00000000
MXN
12849000.00000000
MXN
-743.43000000
N
N
N
Voya VACS Series HYB Fund
549300IKJ54WGTW8EU42
Voya VACS Series HYB Fund
92913L262
293252.30200000
NS
USD
2944253.11000000
1.231784915707
Long
EC
RF
US
N
1
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TS7
148600.00000000
PA
USD
145024.31000000
0.060673709356
Long
DBT
UST
US
N
2
2043-05-15
Fixed
3.87500000
N
N
N
N
N
N
American Electric Power Co Inc
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537101
3354.00000000
NS
USD
282406.80000000
0.118150316340
Long
EC
CORP
US
N
1
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-151.43000000
-0.00006335365
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-10-13
0.00000000
USD
0.00000000
USD
103000.00000000
USD
-151.43000000
N
N
N
Social Professional Loan Progr
N/A
Sofi Professional Loan Program 2019-C LLC
83401CAC8
600000.00000000
PA
USD
491391.90000000
0.205583252358
Long
ABS-O
CORP
US
N
2
2048-11-16
Fixed
3.05000000
N
N
N
N
N
N
NatWest Group PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
000000000
27423.00000000
NS
83818.33000000
0.035067010442
Long
EC
CORP
GB
N
2
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F022675
1885000.00000000
PA
USD
1598715.64000000
0.668853436264
Long
ABS-MBS
USGSE
US
N
2
2053-07-15
Fixed
2.50000000
N
N
N
N
N
N
Tosoh Corp
529900YSLFVJF2MDBX02
Tosoh Corp
000000000
6100.00000000
NS
72151.59000000
0.030186005375
Long
EC
CORP
JP
N
2
N
N
N
MCAFEE CORP
2549009UKR8UEZYVCR93
McAfee Corp
579063AB4
70000.00000000
PA
USD
60939.02000000
0.025495011063
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
7.37500000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
USD CALL VERSUS JPY PUT
000000000
1118300.00000000
NC
USD
14265.44000000
0.005968221192
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
USD CALL VERSUS JPY PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
JPY
2032-09-09
0.01000000
USD
140.00000000
USD
2032-09-09
XXXX
-5640.30000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AXBX0
3775553.62000000
PA
USD
467950.99000000
0.195776296818
Long
ABS-MBS
USGSE
US
N
2
2042-12-15
Floating
1.50671000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
974.05000000
0.000407512551
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-18649.20000000
USD
94141.18000000
BRL
2023-07-14
974.05000000
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287Y109
1539.00000000
NS
USD
207349.47000000
0.086748638749
Long
EC
CORP
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ACP94
522759.17000000
PA
USD
23320.76000000
0.009756688476
Long
ABS-MBS
USGSE
US
N
2
2041-01-15
Floating
1.40671000
N
N
N
N
N
N
Iron Mountain Inc
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284V101
3914.00000000
NS
USD
222393.48000000
0.093042589675
Long
EC
CORP
US
N
1
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587DC8
203000.00000000
PA
USD
199368.65000000
0.083409709206
Long
DBT
CORP
US
N
2
2024-08-01
Variable
4.47500000
N
N
N
N
N
N
Starbucks Corp
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244109
5767.00000000
NS
USD
571279.02000000
0.239005565488
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A5LH7
2389187.63000000
PA
USD
94511.01000000
0.039540498773
Long
ABS-MBS
USGSE
US
N
2
2041-04-25
Floating
1.44957000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD CALL VERSUS EUR PUT
000000000
1442000.00000000
NC
USD
2994.73000000
0.001252902893
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Call
Purchased
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD CALL VERSUS EUR PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
FR
US
N/A
USD
N/A
EUR
2023-07-10
0.01000000
USD
1.08500000
USD
2023-07-10
XXXX
-5682.60000000
N
N
N
SUNCOKE ENERGY INC
1KF1J2NXQE2PI0QOB943
SunCoke Energy Inc
86722AAD5
70000.00000000
PA
USD
58871.19000000
0.024629894612
Long
DBT
CORP
US
N
2
2029-06-30
Fixed
4.87500000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-KG01 Mortgage Trust
30298CAQ4
280000.00000000
PA
USD
1158.78000000
0.000484797899
Long
ABS-MBS
CORP
US
N
2
2029-05-25
Fixed
0.10000000
N
N
N
N
N
N
Keysight Technologies Inc
549300GLKVIO8YRCYN02
Keysight Technologies Inc
49338L103
2861.00000000
NS
USD
479074.45000000
0.200430010248
Long
EC
CORP
US
N
1
N
N
N
Kansai Electric Power Co Inc/T
353800PFUKP5ONPJNZ86
Kansai Electric Power Co Inc/The
000000000
1400.00000000
NS
17564.97000000
0.007348643028
Long
EC
CORP
JP
N
2
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AQ7
70000.00000000
PA
USD
61420.38000000
0.025696397277
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.62500000
N
N
N
N
N
N
DCC PLC
213800UPS1QEE4TD3T45
DCC PLC
000000000
1233.00000000
NS
68976.10000000
0.028857478059
Long
EC
CORP
IE
N
2
N
N
N
Wind River CLO Ltd
N/A
THL Credit Wind River 2017-3 Clo Ltd
97316LAE8
600000.00000000
PA
USD
572499.60000000
0.239516218606
Long
ABS-CBDO
CORP
KY
N
2
2035-04-15
Floating
7.76029000
N
N
N
N
N
N
Compass Group PLC
2138008M6MH9OZ6U2T68
Compass Group PLC
000000000
862.00000000
NS
24138.76000000
0.010098914509
Long
EC
CORP
GB
N
2
N
N
N
Ampol Ltd
5493009TD1CGVRZ27U11
Ampol Ltd
000000000
3273.00000000
NS
65383.05000000
0.027354256486
Long
EC
CORP
AU
N
2
N
N
N
Neuberger Berman CLO Ltd
549300XVEYZNG956Y145
Neuberger Berman CLO XVII Ltd
64129UBW4
750000.00000000
PA
USD
721181.25000000
0.301720046494
Long
ABS-CBDO
CORP
KY
N
2
2029-04-22
Floating
7.27271000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
38.75000000
0.000016211807
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-492006.22000000
USD
651359.01000000
CAD
2023-08-18
38.75000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - NZD
000000000
1.00000000
NC
USD
-6578.04000000
-0.00275204955
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1598221.12000000
USD
2594036.00000000
NZD
2023-08-18
-6578.04000000
N
N
N
ENEOS Holdings Inc
3538001KQ5SAOZSQTT44
ENEOS Holdings Inc
000000000
24500.00000000
NS
84211.90000000
0.035231668021
Long
EC
CORP
JP
N
2
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-3859.16000000
-0.00161455380
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-879256.45000000
USD
800357.82000000
EUR
2023-08-18
-3859.16000000
N
N
N
Power Assets Holdings Ltd
254900JOWYUW1ZX4DF47
Power Assets Holdings Ltd
000000000
12500.00000000
NS
65618.49000000
0.027452757339
Long
EC
CORP
HK
N
2
N
N
N
Imperial Brands PLC
549300DFVPOB67JL3A42
Imperial Brands PLC
000000000
4536.00000000
NS
100402.12000000
0.042005157946
Long
EC
CORP
GB
N
2
N
N
N
Sampo Oyj
743700UF3RL386WIDA22
Sampo Oyj
000000000
2040.00000000
NS
91621.61000000
0.038331662711
Long
EC
CORP
FI
N
2
N
N
N
Ono Pharmaceutical Co Ltd
529900G26L4NG4GFJZ86
Ono Pharmaceutical Co Ltd
000000000
3400.00000000
NS
61347.66000000
0.025665973467
Long
EC
CORP
JP
N
2
N
N
N
GRAHAM PACKAGING/GPC CAP
549300YS0ZFT826HIK72
Graham Packaging Co Inc
384701AA6
70000.00000000
PA
USD
59857.35000000
0.025042473615
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
7.12500000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
SWOP IRS USD
000000000
-1571000.00000000
NC
USD
-25622.88000000
-0.01071982465
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2033-09-13
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.55000000
USD
2023-09-11
XXXX
16872.67000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505GB4
52000.00000000
PA
USD
44473.00000000
0.018606134904
Long
DBT
CORP
US
N
2
N/A
Fixed
4.37500000
N
N
N
N
N
N
Getlink SE
9695007ZEQ7M0OE74G82
Getlink SE
000000000
3909.00000000
NS
66522.98000000
0.027831168126
Long
EC
CORP
FR
N
2
N
N
N
Leidos Holdings Inc
549300IUTGTP6EJP8124
Leidos Holdings Inc
525327102
2687.00000000
NS
USD
237745.76000000
0.099465511285
Long
EC
CORP
US
N
1
N
N
N
Yara International ASA
213800WKOUWXWFJ5Z514
Yara International ASA
000000000
2047.00000000
NS
72324.41000000
0.030258307946
Long
EC
CORP
NO
N
2
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R06
20754NAK1
500000.00000000
PA
USD
515607.20000000
0.215714188849
Long
ABS-MBS
CORP
US
N
2
2042-05-25
Floating
8.91655000
N
N
N
N
N
N
Rio Tinto Ltd
529900X2VMAQT2PE0V24
Rio Tinto Ltd
000000000
2328.00000000
NS
178277.92000000
0.074585996670
Long
EC
CORP
AU
N
2
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
1207.59000000
0.000505218502
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-306395.49000000
USD
281235.20000000
EUR
2023-08-18
1207.59000000
N
N
N
UNITED WHOLESALE MTGE LL
549300HW662MN1WU8550
United Wholesale Mortgage LLC
913229AC4
70000.00000000
PA
USD
63978.60000000
0.026766677817
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.75000000
N
N
N
N
N
N
ARKO CORP
N/A
Arko Corp
041242AA6
65000.00000000
PA
USD
52891.49000000
0.022128172109
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
5.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
22685.85000000
0.009491061666
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
2055000.00000000
USD
22685.85000000
N
N
N
Telstra Group Ltd
894500WRW54CVN62K416
Telstra Group Ltd
000000000
4300.00000000
NS
12335.43000000
0.005160764389
Long
EC
CORP
AU
N
2
N
N
N
ADT SEC CORP
5493009JEEDYLVRA0J13
ADT Security Corp/The
00109LAA1
70000.00000000
PA
USD
60539.15000000
0.025327717758
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
4.12500000
N
N
N
N
N
Silver Creek CLO
549300LSJSAR2PPV4U78
Silver Creek CLO Ltd
827551AQ5
500000.00000000
PA
USD
486640.00000000
0.203595203599
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
7.55043000
N
N
N
N
N
N
United Parcel Service Inc
D01LMJZU09ULLNCY6Z23
United Parcel Service Inc
911312106
315.00000000
NS
USD
56463.75000000
0.023622695785
Long
EC
CORP
US
N
1
N
N
N
Novo Nordisk A/S
549300DAQ1CVT6CXN342
Novo Nordisk A/S
000000000
109.00000000
NS
17607.84000000
0.007366578517
Long
EC
CORP
DK
N
2
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-4583.49000000
-0.00191759119
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
1303000.00000000
USD
-4583.49000000
N
N
N
Science Applications Internati
549300LZPNZIXQGZPZ48
Science Applications International Corp
808625107
2022.00000000
NS
USD
227434.56000000
0.095151622449
Long
EC
CORP
US
N
1
N
N
N
Munich Re
529900MUF4C20K50JS49
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen
000000000
215.00000000
NS
80713.92000000
0.033768220811
Long
EC
CORP
DE
N
2
N
N
N
CIM Trust
N/A
CIM Trust 2019-INV2
12554TAC5
170120.30000000
PA
USD
157476.36000000
0.065883263965
Long
ABS-MBS
CORP
US
N
2
2049-05-25
Variable
4.00000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAT8
35000.00000000
PA
USD
32246.79000000
0.013491064802
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.62500000
N
N
N
N
N
N
ASBURY AUTOMOTIVE GROUP
549300JH4DTA7U42GL91
Asbury Automotive Group Inc
043436AV6
70000.00000000
PA
USD
62279.68000000
0.026055901959
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.75000000
N
N
N
N
N
N
NIKE Inc
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106103
1661.00000000
NS
USD
183324.57000000
0.076697359760
Long
EC
CORP
US
N
1
N
N
N
General Mills Inc
2TGYMUGI08PO8X8L6150
General Mills Inc
370334104
3811.00000000
NS
USD
292303.70000000
0.122290874803
Long
EC
CORP
US
N
1
N
N
N
SALLY HOLDINGS/SALLY CAP
N/A
Sally Holdings LLC / Sally Capital Inc
79546VAL0
70000.00000000
PA
USD
69100.50000000
0.028909523192
Long
DBT
CORP
US
N
2
2025-12-01
Fixed
5.62500000
N
N
N
N
N
N
Schneider National Inc
529900V6GZ6G6E3BLV72
Schneider National Inc
80689H102
3397.00000000
NS
USD
97561.84000000
0.040816872181
Long
EC
CORP
US
N
1
N
N
N
Allstate Corp/The
OBT0W1ED8G0NWVOLOJ77
Allstate Corp/The
020002101
1129.00000000
NS
USD
123106.16000000
0.051503829750
Long
EC
CORP
US
N
1
N
N
N
Astellas Pharma Inc
529900IB708DY2HBBB35
Astellas Pharma Inc
000000000
1000.00000000
NS
14892.48000000
0.006230555436
Long
EC
CORP
JP
N
2
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-61918.69000000
-0.02590487485
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-10
0.00000000
USD
0.00000000
USD
1474000.00000000
USD
-61918.69000000
N
N
N
Telefonica SA
549300EEJH4FEPDBBR25
Telefonica SA
879382109
2979.00000000
NS
12094.65000000
0.005060029445
Long
EC
CORP
ES
N
2
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHK0
2549000.00000000
PA
USD
2535259.31000000
1.060674493255
Long
DBT
UST
US
N
2
2028-06-30
Fixed
4.00000000
N
N
N
N
N
N
Woodward Capital Management
N/A
RCKT Mortgage Trust 2021-4
74938VAV5
668169.00000000
PA
USD
517927.39000000
0.216684884960
Long
ABS-MBS
CORP
US
N
2
2051-09-25
Variable
2.50000000
N
N
N
N
N
N
Xcel Energy Inc
LGJNMI9GH8XIDG5RCM61
Xcel Energy Inc
98389B100
3373.00000000
NS
USD
209699.41000000
0.087731781344
Long
EC
CORP
US
N
1
N
N
N
Advanced Micro Devices Inc
R2I72C950HOYXII45366
Advanced Micro Devices Inc
007903107
4193.00000000
NS
USD
477624.63000000
0.199823450166
Long
EC
CORP
US
N
1
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636ABF7
264000.00000000
PA
USD
263516.08000000
0.110247020301
Long
DBT
CORP
DK
N
2
2026-01-09
Fixed
6.46600000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CA5
70000.00000000
PA
USD
61393.61000000
0.025685197533
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
INTERFACE INC
549300VXZWQOIDFPU355
Interface Inc
458665AS5
70000.00000000
PA
USD
56858.06000000
0.023787662958
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.50000000
N
N
N
N
N
N
Verizon Communications Inc
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343V104
14925.00000000
NS
USD
555060.75000000
0.232220340305
Long
EC
CORP
US
N
1
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050672
242000.00000000
PA
USD
237821.72000000
0.099497290612
Long
ABS-MBS
USGA
US
N
2
2053-07-15
Fixed
5.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP MORGAN MORTGAGE TRUST 2018-5
46649KAN5
897410.30000000
PA
USD
771626.13000000
0.322824632254
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
3.50000000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
9575.39000000
0.004006048571
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-715675.57000000
USD
12440216.28000000
MXN
2023-07-14
9575.39000000
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
549300GADFYEKC4OLM57
WFRBS Commercial Mortgage Trust 2013-C14
92890PBG8
1320000.00000000
PA
USD
719413.20000000
0.300980348771
Long
ABS-MBS
CORP
US
N
2
2046-06-15
Variable
4.03585600
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
107.37000000
0.000044920304
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-93266.27000000
EUR
102118.04000000
USD
2023-08-18
107.37000000
N
N
N
ALLIED UNIVERSAL
N/A
Allied Universal Holdco LLC / Allied Universal Finance Corp
019576AA5
25000.00000000
PA
USD
23755.84000000
0.009938712562
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
6.62500000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CY3
293000.00000000
PA
USD
284513.45000000
0.119031673885
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.95000000
N
N
N
N
N
N
Exxon Mobil Corp
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231G102
3839.00000000
NS
USD
411732.75000000
0.172256314863
Long
EC
CORP
US
N
1
N
N
N
LBM ACQUISITION LLC
549300FAEB3VWZL4NI86
LBM Acquisition LLC
05552BAA4
70000.00000000
PA
USD
58003.75000000
0.024266984404
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.25000000
N
N
N
N
N
N
ALTA EQUIPMENT GROUP
549300DGOB28CLGS1X27
Alta Equipment Group Inc
02128LAA4
70000.00000000
PA
USD
65117.46000000
0.027243141802
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.62500000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBP4
254000.00000000
PA
USD
255068.38000000
0.106712762530
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
6.05100000
N
N
N
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
Abbott Laboratories
002824100
4268.00000000
NS
USD
465297.36000000
0.194666099670
Long
EC
CORP
US
N
1
N
N
N
EARTHSTONE ENERGY HOL
549300HGVO86L8G72J25
Earthstone Energy Holdings LLC
27034RAA1
70000.00000000
PA
USD
67670.75000000
0.028311359781
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
8.00000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBE2
166000.00000000
PA
USD
135275.18000000
0.056594973315
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14100000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-1232.18000000
-0.00051550620
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
495000.00000000
USD
-1232.18000000
N
N
N
FORTRESS TRANS & INFRAST
529900E7PUVK6BC8PE80
Fortress Transportation and Infrastructure Investors LLC
34960PAD3
70000.00000000
PA
USD
64128.27000000
0.026829295140
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
5.50000000
N
N
N
N
N
N
ONE Gas Inc
549300HXDWI0LATTX840
ONE Gas Inc
68235P108
1600.00000000
NS
USD
122896.00000000
0.051415905272
Long
EC
CORP
US
N
1
N
N
N
Amcor PLC
549300GSODGFCDQ3DI89
Amcor PLC
000000000
8330.00000000
NS
USD
83133.40000000
0.034780456803
Long
EC
CORP
GB
N
1
N
N
N
MATCH GROUP HLD II LLC
5493003RFFE030RC9167
Match Group Holdings II LLC
57665RAN6
70000.00000000
PA
USD
64371.30000000
0.026930971415
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
4.62500000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036P108
3447.00000000
NS
USD
848410.11000000
0.354948687081
Long
EC
CORP
US
N
1
N
N
N
NESCO HOLDINGS II INC
254900FAHT0HW9T6L409
NESCO Holdings II Inc
64083YAA9
40000.00000000
PA
USD
35849.20000000
0.014998202311
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - NOK
000000000
1.00000000
NC
USD
1836.96000000
0.000768527546
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-945246.27000000
USD
10148251.77000000
NOK
2023-08-18
1836.96000000
N
N
N
Expedia Group Inc
N/A
Expedia Group Inc
30212P303
3552.00000000
NS
USD
388553.28000000
0.162558737775
Long
EC
CORP
US
N
1
N
N
N
Koninklijke Ahold Delhaize NV
724500C9GNBV20UYRX36
Koninklijke Ahold Delhaize NV
000000000
3840.00000000
NS
130917.54000000
0.054771870810
Long
EC
CORP
NL
N
2
N
N
N
Telefonica Deutschland Holding
391200ECRPJ3SWQJUM30
Telefonica Deutschland Holding AG
000000000
11865.00000000
NS
33394.26000000
0.013971130946
Long
EC
CORP
DE
N
2
N
N
N
Westinghouse Air Brake Technol
06BTX5UWZD0GQ5N5Y745
Westinghouse Air Brake Technologies Corp
929740108
2031.00000000
NS
USD
222739.77000000
0.093187466757
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AA5T8
1292087.01000000
PA
USD
71774.92000000
0.030028418236
Long
ABS-MBS
USGSE
US
N
2
2042-03-25
Floating
1.04957000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
1778.50000000
0.000744069681
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-08-23
0.00000000
USD
0.00000000
USD
182000.00000000
USD
1778.50000000
N
N
N
Procter & Gamble Co/The
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718109
2447.00000000
NS
USD
371307.78000000
0.155343751165
Long
EC
CORP
US
N
1
N
N
N
BBVA
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
000000000
11559.00000000
NS
88804.59000000
0.037153108214
Long
EC
CORP
ES
N
2
N
N
N
GSK PLC
5493000HZTVUYLO1D793
GSK PLC
000000000
10479.00000000
NS
185715.11000000
0.077697488147
Long
EC
CORP
GB
N
2
N
N
N
Nitto Denko Corp
3538009GX5P09USH2J25
Nitto Denko Corp
000000000
200.00000000
NS
14845.14000000
0.006210749837
Long
EC
CORP
JP
N
2
N
N
N
RELX PLC
549300WSX3VBUFFJOO66
RELX PLC
000000000
2246.00000000
NS
74928.33000000
0.031347707960
Long
EC
CORP
GB
N
2
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP IRS USD
000000000
-5011000.00000000
NC
USD
-41700.76000000
-0.01744631498
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2025-02-21
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
4.17000000
USD
2024-02-16
XXXX
-18124.00000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
512.54000000
0.000214430966
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-10-13
0.00000000
USD
0.00000000
USD
144000.00000000
USD
512.54000000
N
N
N
FMC Corp
CKDHZ2X64EEBQCSP7013
FMC Corp
302491303
4762.00000000
NS
USD
496867.08000000
0.207873899216
Long
EC
CORP
US
N
1
N
N
N
Solvay SA
549300MMVL80RTBP3O28
Solvay SA
000000000
208.00000000
NS
23258.62000000
0.009730691012
Long
EC
CORP
BE
N
2
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAZ4
35000.00000000
PA
USD
27937.00000000
0.011687981265
Long
DBT
CORP
US
N
2
2031-08-01
Fixed
2.62500000
N
N
N
N
N
N
ANZ Group Holdings Ltd
9845005D9C6BAA10BK72
ANZ Group Holdings Ltd
000000000
9321.00000000
NS
147549.79000000
0.061730292487
Long
EC
CORP
AU
N
2
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-15098.30000000
-0.00631666419
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-17
0.00000000
USD
0.00000000
USD
1400000.00000000
USD
-15098.30000000
N
N
N
MCGRAW-HILL EDUCATION
254900U6YJ9QZ4IQOR26
McGraw-Hill Education Inc
57767XAB6
75000.00000000
PA
USD
64080.75000000
0.026809414234
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F032674
855000.00000000
PA
USD
779218.95000000
0.326001234534
Long
ABS-MBS
USGSE
US
N
2
2053-07-15
Fixed
3.50000000
N
N
N
N
N
N
BEASLEY MEZ HLDGS LLC
549300VK8LJV1TK18D38
Beasley Mezzanine Holdings LLC
07403VAA7
70000.00000000
PA
USD
46011.42000000
0.019249762499
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
8.62500000
N
N
N
N
N
N
International Bancshares Corp
549300Y16R531AU8TX77
International Bancshares Corp
459044103
2510.00000000
NS
USD
110942.00000000
0.046414719459
Long
EC
CORP
US
N
1
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
2416.52000000
0.001010997619
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
827000.00000000
USD
2416.52000000
N
N
N
ADIENT GLOBAL HOLDINGS
213800VA38VCKE6M8790
Adient Global Holdings Ltd
00687YAC9
70000.00000000
PA
USD
71167.53000000
0.029774304948
Long
DBT
CORP
JE
N
2
2031-04-15
Fixed
8.25000000
N
N
N
N
N
N
Gilead Sciences Inc
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558103
5221.00000000
NS
USD
402382.47000000
0.168344445390
Long
EC
CORP
US
N
1
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2019-PJ2
36257LAA5
39831.20000000
PA
USD
37075.16000000
0.015511106256
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Variable
4.00000000
N
N
N
N
N
N
URBAN ONE INC
549300PLGIGPBRQUP240
Urban One Inc
91705JAC9
70000.00000000
PA
USD
61054.70000000
0.025543408016
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
7.37500000
N
N
N
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585A102
1689.00000000
NS
USD
196937.40000000
0.082392549008
Long
EC
CORP
US
N
1
N
N
N
Credit Suisse Commercial Mortg
N/A
CSWF 2021-SOP2
12657VAL6
560000.01000000
PA
USD
453919.38000000
0.189905902903
Long
ABS-MBS
CORP
US
N
2
2034-06-15
Floating
7.51016900
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DDC2
92000.00000000
PA
USD
80912.23000000
0.033851187614
Long
ABS-MBS
CORP
US
N
2
2050-08-27
None
0.00000000
N
N
N
N
N
N
Mizrahi Tefahot Bank Ltd
YZO9YEGEO4VYDZMDWF93
Mizrahi Tefahot Bank Ltd
000000000
1639.00000000
NS
54807.74000000
0.022929872152
Long
EC
CORP
IL
N
2
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
3492.09000000
0.001460983015
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-875005.93000000
NZD
540376.36000000
USD
2023-08-18
3492.09000000
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
5181.30000000
0.002167696507
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-724855.75000000
USD
1094409.32000000
AUD
2023-08-18
5181.30000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TK4
122000.00000000
PA
USD
110796.02000000
0.046353645918
Long
DBT
UST
US
N
2
2042-08-15
Fixed
3.37500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GLH0
87000.00000000
PA
USD
86230.56000000
0.036076213257
Long
DBT
CORP
US
N
2
2034-04-25
Fixed
5.28800000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2022-5
465977AY2
934352.27000000
PA
USD
757533.02000000
0.316928508631
Long
ABS-MBS
CORP
US
N
2
2052-09-25
Variable
2.80000000
N
N
N
N
N
N
CRESCENT ENERGY FINANCE
54930061FUL6DBLFUW14
Crescent Energy Finance LLC
45344LAA1
70000.00000000
PA
USD
65758.70000000
0.027511416889
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
7.25000000
N
N
N
N
N
N
UNITED AIRLINES HOLDINGS
98450079DA0B78DD6764
United Airlines Holdings Inc
910047AK5
70000.00000000
PA
USD
68793.87000000
0.028781238634
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.87500000
N
N
N
N
N
N
NORTHERN OIL AND GAS INC
OKFF0PIZDDMNH4UCYE51
Northern Oil and Gas Inc
665530AB7
70000.00000000
PA
USD
68862.50000000
0.028809951314
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
8.75000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-930.64000000
-0.00038935114
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1102280.48000000
NOK
101939.43000000
USD
2023-08-18
-930.64000000
N
N
N
Valero Energy Corp
549300XTO5VR8SKV1V74
Valero Energy Corp
91913Y100
2367.00000000
NS
USD
277649.10000000
0.116159841040
Long
EC
CORP
US
N
1
N
N
N
Johnson Controls International
549300XQ6S1GYKGBL205
Johnson Controls International plc
000000000
4174.00000000
NS
USD
284416.36000000
0.118991054416
Long
EC
CORP
US
N
1
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-1
46650HAC2
48693.94000000
PA
USD
45034.31000000
0.018840969738
Long
ABS-MBS
CORP
US
N
2
2049-05-25
Variable
4.00000000
N
N
N
N
N
N
REPUBLIC OF CHILE
549300FLZTJM5YJF8D34
Chile Government International Bond
168863DP0
275000.00000000
PA
USD
237669.52000000
0.099433614815
Long
DBT
NUSS
CL
N
2
2031-01-31
Fixed
2.45000000
N
N
N
N
N
N
MILLENNIUM ESCROW CORP
N/A
Millennium Escrow Corp
60041CAA6
70000.00000000
PA
USD
51601.26000000
0.021588379573
Long
DBT
CORP
US
N
2
2026-08-01
Fixed
6.62500000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR CALL VERSUS USD PUT
000000000
1442000.00000000
NC
USD
2108.93000000
0.000882311426
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
EUR
N/A
USD
2023-07-10
0.01000000
USD
1.10000000
USD
2023-07-10
XXXX
-4245.53000000
N
N
N
Social Professional Loan Progr
N/A
SoFi Professional Loan Program 2020-C Trust
83390UAF4
203302.47000000
PA
USD
182247.02000000
0.076246545993
Long
ABS-O
CORP
US
N
2
2046-02-15
Fixed
1.95000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAV5
665000.00000000
PA
USD
609239.75000000
0.254887166986
Long
DBT
CORP
GB
N
2
N/A
Fixed
8.00000000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300RVE5T2OYI2H743
Neuberger Berman Loan Advisers CLO 33 Ltd
64132TAN3
750000.00000000
PA
USD
717230.25000000
0.300067069654
Long
ABS-CBDO
CORP
KY
N
2
2033-10-16
Floating
7.16029000
N
N
N
N
N
N
MSILF Government Portfolio
549300BI6Y5SI6BYPB26
MSILF Government Portfolio
61747C707
2290000.00000000
NS
USD
2290000.00000000
0.958065543817
Long
STIV
RF
US
N
1
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325XWG1
2022289.22000000
PA
USD
343397.55000000
0.143666969644
Long
ABS-MBS
USGSE
US
N
2
2048-11-15
Fixed
3.50000000
N
N
N
N
N
N
ENERFLEX LTD
54930014N7872VUS3F89
Enerflex Ltd
29269RAA3
70000.00000000
PA
USD
68175.45000000
0.028522510733
Long
DBT
CORP
CA
N
2
2027-10-15
Fixed
9.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2023-SMRT
17291NAE1
500000.00000000
PA
USD
482338.70000000
0.201795672017
Long
ABS-MBS
CORP
US
N
2
2028-06-10
Variable
6.04750300
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDU2
206000.00000000
PA
USD
134297.36000000
0.056185883511
Long
DBT
CORP
US
N
2
2056-11-01
Fixed
2.93700000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT)
000000000
348.00000000
NC
USD
-805761.51000000
-0.33710582500
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-29
71569386.51000000
USD
-805761.51000000
N
N
N
NiSource Inc
549300D8GOWWH0SJB189
NiSource Inc
65473P105
2073.00000000
NS
USD
56696.55000000
0.023720092143
Long
EC
CORP
US
N
1
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BP9
508000.00000000
PA
USD
457327.00000000
0.191331546269
Long
DBT
CORP
US
N
2
N/A
Fixed
6.25000000
N
N
N
N
N
N
MarketAxess Holdings Inc
5493002U1CA1XJOVID83
MarketAxess Holdings Inc
57060D108
144.00000000
NS
USD
37644.48000000
0.015749292228
Long
EC
CORP
US
N
1
N
N
N
Bouygues SA
969500MOCLNQFNZN0D63
Bouygues SA
000000000
397.00000000
NS
13336.61000000
0.005579627297
Long
EC
CORP
FR
N
2
N
N
N
Smiths Group PLC
213800MJL6IPZS3ASA11
Smiths Group PLC
000000000
3749.00000000
NS
78435.80000000
0.032815125494
Long
EC
CORP
GB
N
2
N
N
N
SHEA HOMES LP/FNDG CP
N/A
Shea Homes LP / Shea Homes Funding Corp
82088KAJ7
70000.00000000
PA
USD
60875.07000000
0.025468256351
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BGJ36
9183494.04000000
PA
USD
2105517.13000000
0.880883586974
Long
ABS-MBS
USGSE
US
N
2
2051-09-25
Fixed
4.50000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
SWOP IRS USD
000000000
2724000.00000000
NC
USD
13614.70000000
0.005695971597
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2034-05-13
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
2.20750000
USD
2024-05-09
XXXX
-16349.30000000
N
N
N
GM Financial Automobile Leasin
N/A
GM Financial Automobile Leasing Trust 2022-3
380130AG9
400000.00000000
PA
USD
392224.60000000
0.164094705108
Long
ABS-O
CORP
US
N
2
2026-08-20
Fixed
5.13000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71643VAB1
185000.00000000
PA
USD
140828.38000000
0.058918261340
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-CR28 Mortgage Trust
12593YBN2
1530000.00000000
PA
USD
1248755.86000000
0.522441031487
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Variable
4.00849300
N
N
N
N
N
N
AECOM
0EEB8GF0W0NPCIHZX097
AECOM
00766T100
2700.00000000
NS
USD
228663.00000000
0.095665563950
Long
EC
CORP
US
N
1
N
N
N
GARDA WORLD SECURITY
549300ZF1NDXLMCHNO20
Garda World Security Corp
36485MAM1
70000.00000000
PA
USD
69558.37000000
0.029101081913
Long
DBT
CORP
CA
N
2
2028-02-15
Fixed
7.75000000
N
N
N
N
N
N
Suncorp Group Ltd
549300BVOKRTHDIWVT46
Suncorp Group Ltd
000000000
5277.00000000
NS
47415.12000000
0.019837027392
Long
EC
CORP
AU
N
2
N
N
N
Datadog Inc
549300F6JNO0KRPO1K63
Datadog Inc
23804L103
4080.00000000
NS
USD
401390.40000000
0.167929393825
Long
EC
CORP
US
N
1
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1004.61000000
0.000420297915
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-240919.04000000
GBP
307048.19000000
USD
2023-08-18
1004.61000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
SWOP IRS USD
000000000
-10022000.00000000
NC
USD
-10459.91000000
-0.00437610452
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Written
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-01-26
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.52000000
USD
2024-01-24
XXXX
33160.85000000
N
N
N
Intuitive Surgical Inc
54930052SRG011710797
Intuitive Surgical Inc
46120E602
2457.00000000
NS
USD
840146.58000000
0.351491480373
Long
EC
CORP
US
N
1
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379LAN6
308742.58000000
PA
USD
22517.71000000
0.009420717064
Long
ABS-MBS
USGA
US
N
2
2039-08-20
Fixed
5.50000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AS8
250000.00000000
PA
USD
247773.65000000
0.103660871934
Long
DBT
CORP
CO
N
2
2033-01-13
Fixed
8.87500000
N
N
N
N
N
N
BROADSTREET PARTNERS INC
549300BS9N54G8DD0R75
BroadStreet Partners Inc
11135RAA3
70000.00000000
PA
USD
60799.50000000
0.025436640188
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.87500000
N
N
N
N
N
N
Oji Holdings Corp
529900LVC9GIIYUGE243
Oji Holdings Corp
000000000
11100.00000000
NS
41503.65000000
0.017363850221
Long
EC
CORP
JP
N
2
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
210093.93000000
0.087896836374
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-11
0.00000000
USD
0.00000000
USD
6171000.00000000
USD
210093.93000000
N
N
N
Central Japan Railway Co
353800YAR3OVUITHTG64
Central Japan Railway Co
000000000
700.00000000
NS
87703.98000000
0.036692646853
Long
EC
CORP
JP
N
2
N
N
N
Loews Corp
R8V1FN4M5ITGZOG7BS19
Loews Corp
540424108
4361.00000000
NS
USD
258956.18000000
0.108339298435
Long
EC
CORP
US
N
1
N
N
N
Targa Resources Corp
5493003QENHHS261UR94
Targa Resources Corp
87612G101
2668.00000000
NS
USD
203034.80000000
0.084943513570
Long
EC
CORP
US
N
1
N
N
N
Mondelez International Inc
549300DV9GIB88LZ5P30
Mondelez International Inc
609207105
13319.00000000
NS
USD
971487.86000000
0.406440630962
Long
EC
CORP
US
N
1
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2019-G
63941JAA6
172488.51000000
PA
USD
158865.80000000
0.066464562913
Long
ABS-O
CORP
US
N
2
2068-10-15
Fixed
2.40000000
N
N
N
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
637432MT9
251000.00000000
PA
USD
244624.60000000
0.102343406301
Long
DBT
CORP
US
N
2
2043-04-30
Floating
8.20914000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP IRS USD
000000000
-1571000.00000000
NC
USD
-21121.47000000
-0.00883657320
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2033-09-11
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.57000000
USD
2023-09-07
XXXX
20843.87000000
N
N
N
Osaka Gas Co Ltd
353800024KMNOPQRWZ02
Osaka Gas Co Ltd
000000000
4400.00000000
NS
67442.37000000
0.028215812615
Long
EC
CORP
JP
N
2
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-6823.43000000
-0.00285471317
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-09-13
0.00000000
USD
0.00000000
USD
707000.00000000
USD
-6823.43000000
N
N
N
ENTEGRIS INC
IYX6OWO7BT5DKO3BYG52
Entegris Inc
29362UAD6
70000.00000000
PA
USD
60391.80000000
0.025266071052
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
3.62500000
N
N
N
N
N
Benefit Street Partners CLO Lt
N/A
Benefit Street Partners CLO XXIII Ltd
08186VAJ9
400000.00000000
PA
USD
388496.00000000
0.162534773585
Long
ABS-CBDO
CORP
KY
N
2
2034-04-25
Floating
7.45514000
N
N
N
N
N
N
WP Carey Inc
54930042CRNE713E3Q67
WP Carey Inc
92936U109
3484.00000000
NS
USD
235379.04000000
0.098475348454
Long
EC
CORP
US
N
1
N
N
N
Allianz SE
529900K9B0N5BT694847
Allianz SE
000000000
934.00000000
NS
217551.29000000
0.091016766359
Long
EC
CORP
DE
N
2
N
N
N
AFFINITY INTERACTIVE
N/A
Affinity Interactive
00842XAA7
70000.00000000
PA
USD
61662.80000000
0.025797818347
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
6.87500000
N
N
N
N
N
N
Yamato Holdings Co Ltd
N/A
Yamato Holdings Co Ltd
000000000
3000.00000000
NS
54377.45000000
0.022749852054
Long
EC
CORP
JP
N
2
N
N
N
Koninklijke KPN NV
549300YO0JZHAL7FVP81
Koninklijke KPN NV
000000000
25251.00000000
NS
90145.64000000
0.037714162274
Long
EC
CORP
NL
N
2
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
2022.77000000
0.000846264733
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-948470.92000000
AUD
634710.10000000
USD
2023-08-18
2022.77000000
N
N
N
LSF11 A5 HOLDCO LLC
254900FPK7P5WNA66Y10
LSF11 A5 HoldCo LLC
50221DAA7
65000.00000000
PA
USD
54636.00000000
0.022858021420
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
6.62500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-2468.97000000
-0.00103294108
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-335216.52000000
USD
440484.36000000
CAD
2023-08-18
-2468.97000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
SWOP IRS USD
000000000
-10022000.00000000
NC
USD
-139878.34000000
-0.05852079383
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Put
Written
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-01-26
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.52000000
USD
2024-01-24
XXXX
-96257.58000000
N
N
N
WW Grainger Inc
549300TWZSP6O1IH2V34
WW Grainger Inc
384802104
322.00000000
NS
USD
253925.98000000
0.106234817518
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394EJN9
755882.87000000
PA
USD
65523.78000000
0.027413133588
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Floating
1.47957000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAF7
13000.00000000
PA
USD
12868.16000000
0.005383642230
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
6.00000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-D
63941HAA0
407107.81000000
PA
USD
365781.89000000
0.153031888804
Long
ABS-O
CORP
US
N
2
2069-05-15
Fixed
1.69000000
N
N
N
N
N
N
Idemitsu Kosan Co Ltd
549300P0R46FF6DUA630
Idemitsu Kosan Co Ltd
000000000
3100.00000000
NS
62201.62000000
0.026023244057
Long
EC
CORP
JP
N
2
N
N
N
Freddie Mac - STACR
5493000ISA3AUOXQEF68
Freddie Mac STACR REMIC Trust 2022-DNA2
35564KRF8
200000.00000000
PA
USD
197839.06000000
0.082769775811
Long
ABS-MBS
CORP
US
N
2
2042-02-25
Floating
7.46655000
N
N
N
N
N
N
Flowers Foods Inc
7YNCQQNDK8FBM9BBTK25
Flowers Foods Inc
343498101
7963.00000000
NS
USD
198119.44000000
0.082887078176
Long
EC
CORP
US
N
1
N
N
N
SENSATA TECHNOLOGIES INC
5493002MMDDCUNV7NY90
Sensata Technologies Inc
81728UAB0
70000.00000000
PA
USD
59947.41000000
0.025080151948
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.75000000
N
N
N
N
N
N
Agate Bay Mortgage Loan Trust
N/A
Agate Bay Mortgage Trust 2015-1
00841WBN1
780871.61000000
PA
USD
595359.94000000
0.249080281521
Long
ABS-MBS
CORP
US
N
2
2045-01-25
Variable
3.67225500
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-50736.61000000
-0.02122663661
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-10
0.00000000
USD
0.00000000
USD
2026476.00000000
USD
-50736.61000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2016-4
46647JAN0
402574.13000000
PA
USD
361084.36000000
0.151066586780
Long
ABS-MBS
CORP
US
N
2
2046-10-25
Variable
3.50000000
N
N
N
N
N
N
Enagas SA
213800OU3FQKGM4M2U23
Enagas SA
000000000
2836.00000000
NS
55737.79000000
0.023318976457
Long
EC
CORP
ES
N
2
N
N
BMD2 Re-REMIC Trust
N/A
BMD2 Re-Remic Trust 2019-FRR1
055631EU5
204000.00000000
PA
USD
131628.08000000
0.055069138885
Long
ABS-MBS
CORP
US
N
2
2052-05-25
None
0.00000000
N
N
N
N
N
N
OCTAGON LOAN FUNDING LTD
549300HJJWTCMWFILG24
Octagon Loan Funding Ltd
67590RBE4
250000.00000000
PA
USD
239830.50000000
0.100337702360
Long
ABS-CBDO
CORP
KY
N
2
2031-11-18
Floating
7.54514000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2021-2
33852EAD1
841690.73000000
PA
USD
653479.76000000
0.273395826042
Long
ABS-MBS
CORP
US
N
2
2051-04-25
Variable
2.50000000
N
N
N
N
N
N
M&G PLC
254900TWUJUQ44TQJY84
M&G PLC
000000000
30362.00000000
NS
73891.02000000
0.030913729370
Long
EC
CORP
GB
N
2
N
N
N
TRONOX INC
549300EPZ4YXC7E5P181
Tronox Inc
897051AC2
55000.00000000
PA
USD
45756.33000000
0.019143040691
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.62500000
N
N
N
N
N
N
API GROUP DE INC
549300XP4G7B4QYA0G83
APi Group DE Inc
00185PAA9
70000.00000000
PA
USD
63127.05000000
0.026410415496
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.75000000
N
N
N
N
N
N
LEGENDS HOSPITALITY HOLD
N/A
Legends Hospitality Holding Co LLC / Legends Hospitality Co-Issuer Inc
52473NAA6
70000.00000000
PA
USD
63096.95000000
0.026397822582
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
5.00000000
N
N
N
N
N
N
Sompo Holdings Inc
353800CWW4SRGEYEB512
Sompo Holdings Inc
000000000
2100.00000000
NS
94225.41000000
0.039421012521
Long
EC
CORP
JP
N
2
N
N
N
Orange SA
969500MCOONR8990S771
Orange SA
000000000
9829.00000000
NS
114866.34000000
0.048056542575
Long
EC
CORP
FR
N
2
N
N
N
TASEKO MINES LTD
549300XKUO1JSLU7KX54
Taseko Mines Ltd
876511AF3
70000.00000000
PA
USD
63871.58000000
0.026721903942
Long
DBT
CORP
CA
N
2
2026-02-15
Fixed
7.00000000
N
N
N
N
N
Lululemon Athletica Inc
549300D9GZ4BMLDW5T40
Lululemon Athletica Inc
550021109
1382.00000000
NS
USD
523087.00000000
0.218843507038
Long
EC
CORP
CA
N
1
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-24589.28000000
-0.01028739821
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-10
0.00000000
USD
0.00000000
USD
2762992.00000000
USD
-24589.28000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
44043.04000000
0.018426252868
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2053-03-24
0.00000000
USD
0.00000000
USD
1000000.00000000
USD
44043.04000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-5474.25000000
-0.00229025777
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-1149963.34000000
USD
1046382.94000000
EUR
2023-08-18
-5474.25000000
N
N
N
Thales SA
529900FNDVTQJOVVPZ19
Thales SA
000000000
504.00000000
NS
75513.96000000
0.031592717534
Long
EC
CORP
FR
N
2
N
N
N
EastGroup Properties Inc
31TIGQQZC4P6JMHKSW85
EastGroup Properties Inc
277276101
540.00000000
NS
USD
93744.00000000
0.039219605388
Long
EC
CORP
US
N
1
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD CALL VERSUS EUR PUT
000000000
1442000.00000000
NC
USD
13300.82000000
0.005564653863
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Call
Purchased
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD CALL VERSUS EUR PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
EUR
2023-07-10
0.01000000
USD
1.10000000
USD
2023-07-10
XXXX
4139.46000000
N
N
N
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC
000000000
1080775.00000000
PA
USD
1080775.00000000
0.452163007912
Long
RA
CORP
US
N
2
Repurchase
Y
5.06000000
2023-07-03
1230502.10266153
USD
671458.36469129
USD
AMBS
551754.29443592
USD
430932.13558924
USD
N
N
MATIV HOLDINGS INC
549300Z1FU4IDULG1R21
Mativ Holdings Inc
808541AA4
70000.00000000
PA
USD
61348.70000000
0.025666408571
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
6.87500000
N
N
N
N
N
N
Mercedes-Benz Group AG
529900R27DL06UVNT076
Mercedes-Benz Group AG
000000000
1638.00000000
NS
131845.06000000
0.055159916641
Long
EC
CORP
DE
N
2
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-5701.16000000
-0.00238518993
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-1054377.50000000
GBP
1333692.64000000
USD
2023-08-18
-5701.16000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP IRS USD
000000000
4989400.00000000
NC
USD
-19399.38000000
-0.00811610373
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Purchased
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2057-05-27
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
0.00000000
USD
2027-05-25
XXXX
-19399.39000000
N
N
N
Ralph Lauren Corp
HO1QNWM0IXBZ0QSMMO20
Ralph Lauren Corp
751212101
318.00000000
NS
USD
39209.40000000
0.016404006608
Long
EC
CORP
US
N
1
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DCE9
238000.00000000
PA
USD
176182.18000000
0.073709203533
Long
ABS-MBS
CORP
US
N
2
2050-11-27
Variable
2.02100000
N
N
N
N
N
N
WillScot Mobile Mini Holdings
549300HJ4VIXF476Q166
WillScot Mobile Mini Holdings Corp
971378104
7429.00000000
NS
USD
355031.91000000
0.148534427915
Long
EC
CORP
US
N
1
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-21M
05609CAN7
391131.06000000
PA
USD
367579.10000000
0.153783786173
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
7.36400000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK8
06650AAU1
670000.00000000
PA
USD
385635.99000000
0.161338233395
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Fixed
2.60000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-994.57000000
-0.00041609748
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-227457.80000000
USD
299787.36000000
CAD
2023-08-18
-994.57000000
N
N
N
BIG Commercial Mortgage Trust
N/A
BIG Commercial Mortgage Trust 2022-BIG
05551UAC9
350000.00000000
PA
USD
333733.58000000
0.139623861927
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Floating
7.48739000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-8520.34000000
-0.00356464811
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-12
0.00000000
USD
0.00000000
USD
1013000.00000000
USD
-8520.34000000
N
N
N
Hanover Insurance Group Inc/Th
JJYR6MFKFF6CF8DBZ078
Hanover Insurance Group Inc/The
410867105
1113.00000000
NS
USD
125802.39000000
0.052631849427
Long
EC
CORP
US
N
1
N
N
N
Amdocs Ltd
549300HQV672RJ7RQV66
Amdocs Ltd
000000000
2495.00000000
NS
USD
246630.75000000
0.103182717738
Long
EC
CORP
US
N
1
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TCA2
106000.00000000
PA
USD
61744.80000000
0.025832124624
Long
ABS-MBS
CORP
US
N
2
2051-09-27
None
0.00000000
N
N
N
N
N
N
Pfizer Inc
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081103
16519.00000000
NS
USD
605916.92000000
0.253496997147
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
38124.82000000
0.015950251705
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-304803341.00000000
JPY
2165860.93000000
USD
2023-08-18
38124.82000000
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZK3
4267190.81000000
PA
USD
498147.37000000
0.208409533161
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Variable
1.62888900
N
N
N
N
N
N
Kajima Corp
N/A
Kajima Corp
000000000
5200.00000000
NS
78512.85000000
0.032847360843
Long
EC
CORP
JP
N
2
N
N
N
MORGAN STANLEY CAPITAL GROUP INC.
VB7RXNZGO6KVDABYB880
SWOP IRS USD
000000000
-16055000.00000000
NC
USD
32496.54000000
0.013595552518
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL GROUP INC.
VB7RXNZGO6KVDABYB880
Call
Written
MORGAN STANLEY CAPITAL GROUP INC.
VB7RXNZGO6KVDABYB880
MORGAN STANLEY CAPITAL GROUP INC.
VB7RXNZGO6KVDABYB880
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2025-06-14
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
3.80000000
USD
2024-06-12
XXXX
32496.54000000
N
N
N
CSX Corp
549300JVQR4N1MMP3Q88
CSX Corp
126408103
10243.00000000
NS
USD
349286.30000000
0.146130641466
Long
EC
CORP
US
N
1
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-7222.86000000
-0.00302182239
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1685017.49000000
USD
1533973.28000000
EUR
2023-08-18
-7222.86000000
N
N
N
BX Trust
N/A
BX Trust 2021-LBA
05609BBH1
250000.00000000
PA
USD
232456.18000000
0.097252513757
Long
ABS-MBS
CORP
US
N
2
2036-02-15
Floating
7.26148000
N
N
N
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
-1571000.00000000
NC
USD
3359.33000000
0.001405440315
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2033-03-16
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
3.06000000
USD
2028-03-14
XXXX
3359.33000000
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DCQ2
176000.00000000
PA
USD
103290.09000000
0.043213395740
Long
ABS-MBS
CORP
US
N
2
2052-01-27
None
0.00000000
N
N
N
N
N
N
PPG Industries Inc
549300BKPEP01R3V6C59
PPG Industries Inc
693506107
485.00000000
NS
USD
71925.50000000
0.030091416275
Long
EC
CORP
US
N
1
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
USD CALL VERSUS JPY PUT
000000000
-1433000.00000000
NC
USD
-62257.08000000
-0.02604644681
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
USD CALL VERSUS JPY PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
JPY
2023-07-03
0.01000000
USD
138.00000000
USD
2023-07-03
XXXX
-44179.78000000
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
SWOP IRS USD
000000000
-2724000.00000000
NC
USD
-34950.34000000
-0.01462214694
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Put
Written
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2034-05-13
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
4.05000000
USD
2024-05-09
XXXX
-4986.34000000
N
N
N
COMM Mortgage Trust
549300YJIXJB9DCDOI21
COMM 2013-CCRE10 Mortgage Trust
12626BAY0
130000.00000000
PA
USD
109163.94000000
0.045670833860
Long
ABS-MBS
CORP
US
N
2
2046-08-10
Variable
5.02112900
N
N
N
N
N
N
Subaru Corp
549300N244BVAEE6HH86
Subaru Corp
000000000
4900.00000000
NS
92285.51000000
0.038609418045
Long
EC
CORP
JP
N
2
N
N
N
Nasdaq Inc
549300L8X1Q78ERXFD06
Nasdaq Inc
631103108
1373.00000000
NS
USD
68444.05000000
0.028634884709
Long
EC
CORP
US
N
1
N
N
N
Unilever PLC
549300MKFYEKVRWML317
Unilever PLC
000000000
435.00000000
NS
22652.34000000
0.009477042113
Long
EC
CORP
GB
N
2
N
N
N
Phoenix Group Holdings PLC
2138001P49OLAEU33T68
Phoenix Group Holdings PLC
000000000
9941.00000000
NS
67260.48000000
0.028139715436
Long
EC
CORP
GB
N
2
N
N
N
Verisk Analytics Inc
549300I1YSWNIRKBWP67
Verisk Analytics Inc
92345Y106
931.00000000
NS
USD
210433.93000000
0.088039081914
Long
EC
CORP
US
N
1
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
25575000.00000000
PA
1113974.10000000
0.466052489919
Long
DBT
NUSS
ZA
N
2
2035-02-28
Fixed
8.87500000
N
N
N
N
N
N
Cintas Corp
N/A
Cintas Corp
172908105
475.00000000
NS
USD
236113.00000000
0.098782414736
Long
EC
CORP
US
N
1
N
N
N
Talanx AG
5299006ZIILJ6VJVSJ32
Talanx AG
000000000
996.00000000
NS
57181.03000000
0.023922783669
Long
EC
CORP
DE
N
2
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT)
000000000
333.00000000
NC
USD
-679319.03000000
-0.28420618161
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-29
36341537.78000000
USD
-679319.03000000
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DBG5
75000.00000000
PA
USD
64981.99000000
0.027186465322
Long
ABS-MBS
CORP
US
N
2
2047-10-27
None
0.00000000
N
N
N
N
N
N
Aflac Inc
549300N0B7DOGLXWPP39
Aflac Inc
001055102
1637.00000000
NS
USD
114262.60000000
0.047803956334
Long
EC
CORP
US
N
1
N
N
N
EMBARQ CORP
N/A
Embarq Corp
29078EAA3
70000.00000000
PA
USD
42403.20000000
0.017740194265
Long
DBT
CORP
US
N
2
2036-06-01
Fixed
7.99500000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2018-3
33851JAC3
378915.41000000
PA
USD
348000.23000000
0.145592589346
Long
ABS-MBS
CORP
US
N
2
2048-05-25
Variable
4.00000000
N
N
N
N
N
N
MGIC Investment Corp
254900S8483WM4M98R28
MGIC Investment Corp
552848103
8105.00000000
NS
USD
127977.95000000
0.053542036796
Long
EC
CORP
US
N
1
N
N
N
TELEFLEX INC
UUL85LWXB4NGSWWXIQ25
Teleflex Inc
879369AG1
55000.00000000
PA
USD
50310.11000000
0.021048202138
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
4.25000000
N
N
N
N
N
N
MS&AD Insurance Group Holdings
529900CXROT5S2HMMP26
MS&AD Insurance Group Holdings Inc
000000000
2600.00000000
NS
92071.98000000
0.038520083663
Long
EC
CORP
JP
N
2
N
N
N
Nintendo Co Ltd
353800FEEXU6I9M0ZF27
Nintendo Co Ltd
000000000
1600.00000000
NS
72941.33000000
0.030516408293
Long
EC
CORP
JP
N
2
N
N
N
Hankyu Hanshin Holdings Inc
N/A
Hankyu Hanshin Holdings Inc
000000000
2100.00000000
NS
69434.67000000
0.029049329639
Long
EC
CORP
JP
N
2
N
N
N
GRAHAM HOLDINGS CO
529900BOSCEEEMAFQJ29
Graham Holdings Co
384637AA2
70000.00000000
PA
USD
68732.30000000
0.028755479640
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
5.75000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
CITIGROUP GLOBAL MARKETS INC
000000000
192766.00000000
PA
USD
192766.00000000
0.080647363589
Long
RA
CORP
US
N
2
Repurchase
Y
5.07000000
2023-07-03
13071.59435252
USD
12986.89042152
USD
331567.22759430
USD
140275.45785744
USD
AMBS
46455.73480319
USD
43358.97670859
USD
UST
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
000000000
41483.00000000
NS
328456.54000000
0.137416110749
Long
EC
CORP
GB
N
2
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-719.59000000
-0.00030105431
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-825531.72000000
USD
649296.23000000
GBP
2023-08-18
-719.59000000
N
N
N
Alphabet Inc
5493006MHB84DD0ZWV18
Alphabet Inc
02079K305
15262.00000000
NS
USD
1826861.40000000
0.764302602913
Long
EC
CORP
US
N
1
N
N
N
Sensata Technologies Holding P
529900MS7KFYCY9MS037
Sensata Technologies Holding PLC
000000000
1039.00000000
NS
USD
46744.61000000
0.019556506637
Long
EC
CORP
US
N
1
N
N
N
HILCORP ENERGY I/HILCORP
N/A
Hilcorp Energy I LP / Hilcorp Finance Co
431318AU8
70000.00000000
PA
USD
63453.48000000
0.026546983765
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.75000000
N
N
N
N
N
N
Agree Realty Corp
N/A
Agree Realty Corp
008492100
1641.00000000
NS
USD
107304.99000000
0.044893106374
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-1093.71000000
-0.00045757461
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-14259638.90000000
MXN
830227.60000000
USD
2023-07-14
-1093.71000000
N
N
N
Everest Re Group Ltd
549300N24XF2VV0B3570
Everest Re Group Ltd
000000000
624.00000000
NS
USD
213320.64000000
0.089246792562
Long
EC
CORP
BM
N
1
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-6390.72000000
-0.00267368062
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
-829195.83000000
GBP
1046950.95000000
USD
2023-08-18
-6390.72000000
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp
058498AY2
15000.00000000
PA
USD
15312.27000000
0.006406182657
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
6.87500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-10356.77000000
-0.00433295392
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-2283831.15000000
USD
2078591.07000000
EUR
2023-08-18
-10356.77000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
8083.74000000
0.003381988104
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1118692.90000000
USD
1689167.50000000
AUD
2023-08-18
8083.74000000
N
N
N
VIKING CRUISES LTD
549300IJP90T4MV2GL84
Viking Cruises Ltd
92676XAD9
35000.00000000
PA
USD
32209.45000000
0.013475442895
Long
DBT
CORP
BM
N
2
2027-09-15
Fixed
5.87500000
N
N
N
N
N
N
CONSENSUS CLOUD SOLUTION
N/A
Consensus Cloud Solutions Inc
20848VAB1
70000.00000000
PA
USD
59913.00000000
0.025065755863
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
6.50000000
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89832QAF6
94000.00000000
PA
USD
81780.00000000
0.034214235883
Long
DBT
CORP
US
N
2
N/A
Fixed
5.10000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AG6
60000.00000000
PA
USD
51996.32000000
0.021753660522
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.50000000
N
N
N
N
N
N
TRANSALTA CORP
GJZNVO2UY6DNFNIYH321
TransAlta Corp
89346DAH0
70000.00000000
PA
USD
72135.35000000
0.030179211059
Long
DBT
CORP
CA
N
2
2029-11-15
Fixed
7.75000000
N
N
N
N
N
N
PARK INTERMED HOLDINGS
N/A
Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer
70052LAB9
70000.00000000
PA
USD
64305.85000000
0.026903589148
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
5.87500000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-3
46592ABH6
170384.52000000
PA
USD
149746.13000000
0.062649173569
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Variable
3.50000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
15000.17000000
0.006275609619
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
-1086208.12000000
AUD
739566.52000000
USD
2023-08-18
15000.17000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397LJK6
1010840.71000000
PA
USD
68900.12000000
0.028825690365
Long
ABS-MBS
USGSE
US
N
2
2036-07-25
Floating
2.04957000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2019-2
81746YCC6
1065129.66000000
PA
USD
960776.24000000
0.401959218717
Long
ABS-MBS
CORP
US
N
2
2049-06-25
Variable
4.26151400
N
N
N
N
N
N
ROLLER BEARING CO OF AME
254900U9XW6S76H2P167
Roller Bearing Co of America Inc
775631AD6
70000.00000000
PA
USD
62801.06000000
0.026274031310
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.37500000
N
N
N
N
N
N
SPRINT LLC
549300ZTTY7CXOLJ6539
Sprint LLC
85207UAK1
70000.00000000
PA
USD
72777.18000000
0.030447732984
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
7.62500000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CQ3
225000.00000000
PA
USD
179591.71000000
0.075135645985
Long
DBT
CORP
US
N
2
2052-04-15
Fixed
3.62500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFE0
115000.00000000
PA
USD
113610.67000000
0.047531208880
Long
DBT
CORP
US
N
2
2034-04-21
Fixed
5.25000000
N
N
N
N
N
N
Bridgestone Corp
549300DHPOF90OYYD780
Bridgestone Corp
000000000
1800.00000000
NS
73947.04000000
0.030937166415
Long
EC
CORP
JP
N
2
N
N
N
IMOLA MERGER CORP
N/A
Imola Merger Corp
45258LAA5
70000.00000000
PA
USD
60950.44000000
0.025499788840
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.75000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2018-B3 Mortgage Trust
08161BAA1
1000000.00000000
PA
USD
625660.00000000
0.261756894386
Long
ABS-MBS
CORP
US
N
2
2051-04-10
Variable
3.17624300
N
N
N
N
N
N
CNX MIDSTREAM PART LP
N/A
CNX Midstream Partners LP
12654AAA9
70000.00000000
PA
USD
59442.33000000
0.024868842016
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.75000000
N
N
N
N
N
N
Wintrust Financial Corp
Q774KI4AW80FHFW33O61
Wintrust Financial Corp
97650W108
1089.00000000
NS
USD
79083.18000000
0.033085969368
Long
EC
CORP
US
N
1
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A9XV5
1727249.30000000
PA
USD
69789.85000000
0.029197926023
Long
ABS-MBS
USGSE
US
N
2
2027-11-25
Fixed
3.00000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-4.74000000
-0.00000198307
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-419869.27000000
USD
60146609.00000000
JPY
2023-08-18
-4.74000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-1878.13000000
-0.00078575180
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-2197782.01000000
ZAR
114677.34000000
USD
2023-07-21
-1878.13000000
N
N
N
Highwoods Properties Inc
ZIIGTYKL9T0X3HLTDX53
Highwoods Properties Inc
431284108
3905.00000000
NS
USD
93368.55000000
0.039062528659
Long
EC
CORP
US
N
1
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-3
46649TAZ9
1051849.20000000
PA
USD
910246.21000000
0.380819008817
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Variable
3.71042300
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
14487.37000000
0.006061069876
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
1318000.00000000
USD
14487.37000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR CALL VERSUS USD PUT
000000000
-1442000.00000000
NC
USD
-160.80000000
-0.00006727377
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Written
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
EUR
N/A
USD
2023-07-10
0.01000000
USD
1.11500000
USD
2023-07-10
XXXX
1038.75000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - CHF
000000000
1.00000000
NC
USD
944.39000000
0.000395103720
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-487115.35000000
USD
434704.51000000
CHF
2023-08-18
944.39000000
N
N
N
Banque Cantonale Vaudoise
K1MOBB3OPSBBQO554R76
Banque Cantonale Vaudoise
000000000
356.00000000
NS
37602.58000000
0.015731762557
Long
EC
CORP
CH
N
2
N
N
ALLISON TRANSMISSION INC
MWKQ3I0U1GXP2YDSZW75
Allison Transmission Inc
019736AF4
70000.00000000
PA
USD
68337.50000000
0.028590307467
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.87500000
N
N
N
N
N
N
CarMax Auto Owner Trust
N/A
Carmax Auto Owner Trust 2019-3
14315PAH8
1200000.00000000
PA
USD
1190798.40000000
0.498193413394
Long
ABS-O
CORP
US
N
2
2026-01-15
Fixed
2.85000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-2634.53000000
-0.00110220629
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-455295.97000000
USD
64844846.00000000
JPY
2023-08-18
-2634.53000000
N
N
N
Repsol SA
BSYCX13Y0NOTV14V9N85
Repsol SA
000000000
6748.00000000
NS
98143.13000000
0.041060066032
Long
EC
CORP
ES
N
2
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAC4
70000.00000000
PA
USD
71420.09000000
0.029879968281
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
8.00000000
N
N
N
N
N
N
CubeSmart
N/A
CubeSmart
229663109
1777.00000000
NS
USD
79360.82000000
0.033202125402
Long
EC
CORP
US
N
1
N
N
N
LCM Ltd Partnership
549300HV40B88JRNJD93
LCM XV LP
50184NAP7
750000.00000000
PA
USD
726638.25000000
0.304003087399
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
7.65043000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468Q5
1293000.00000000
PA
USD
1214326.32000000
0.508036771241
Long
DBT
CORP
US
N
2
2026-04-28
Fixed
2.18800000
N
N
N
N
N
N
Secom Co Ltd
529900TYCL9N3E9PGE47
Secom Co Ltd
000000000
1300.00000000
NS
87982.05000000
0.036808982785
Long
EC
CORP
JP
N
2
N
N
N
SUNRUN CALLISTO ISSUER LLC
N/A
Sunrun Xanadu Issuer 2019-1 LLC
86773PAA6
277452.90000000
PA
USD
245699.39000000
0.102793065369
Long
ABS-O
CORP
US
N
2
2054-06-30
Fixed
3.98000000
N
N
N
N
N
N
Gentex Corp
549300S3UD8XV1MN0287
Gentex Corp
371901109
6524.00000000
NS
USD
190892.24000000
0.079863440055
Long
EC
CORP
US
N
1
N
N
N
MetLife Inc
C4BXATY60WC6XEOZDX54
MetLife Inc
59156R108
4725.00000000
NS
USD
267104.25000000
0.111748200232
Long
EC
CORP
US
N
1
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
4024.54000000
0.001683743713
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-10-13
0.00000000
USD
0.00000000
USD
144000.00000000
USD
4024.54000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-1462.47000000
-0.00061185245
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-08-23
0.00000000
USD
0.00000000
USD
884000.00000000
USD
-1462.47000000
N
N
N
OSD CLO 2023-27, Ltd.
N/A
OSD CLO 2023-27 Ltd
671027AE0
500000.00000000
PA
USD
498633.00000000
0.208612705812
Long
ABS-CBDO
CORP
KY
N
2
2035-04-16
Floating
8.05318000
N
N
N
N
N
N
Helios Issuer, LLC
N/A
Sunnova Helios IX Issuer LLC
86744VAA9
383997.24000000
PA
USD
368051.33000000
0.153981352676
Long
ABS-O
CORP
US
N
2
2049-08-20
Fixed
5.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
634.14000000
0.000265304665
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
2506000.00000000
USD
634.14000000
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
104.05000000
0.000043531318
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-134834.93000000
EUR
147580.75000000
USD
2023-08-18
104.05000000
N
N
N
Palmer Square CLO Ltd
N/A
Palmer Square CLO 2023-1 Ltd
69702TAE2
750000.00000000
PA
USD
755707.50000000
0.316164767229
Long
ABS-CBDO
CORP
KY
N
2
2036-01-20
Floating
7.97684000
N
N
N
N
N
N
Extended Stay America Trust
N/A
Extended Stay America Trust 2021-ESH
30227FAL4
289121.37000000
PA
USD
280947.45000000
0.117539769200
Long
ABS-MBS
CORP
US
N
2
2038-07-15
Floating
8.04400000
N
N
N
N
N
N
BUILDERS FIRSTSOURCE INC
549300W0SKP6L3H7DP63
Builders FirstSource Inc
12008RAN7
70000.00000000
PA
USD
65521.73000000
0.027412275932
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
5.00000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DAS0
163000.00000000
PA
USD
116789.79000000
0.048861254877
Long
ABS-MBS
CORP
US
N
2
2049-11-27
None
0.00000000
N
N
N
N
N
N
DUKE ENERGY INDIANA LLC
6URPHM2EAWGJ2C6ISB97
Duke Energy Indiana LLC
26443TAB2
104000.00000000
PA
USD
74646.67000000
0.031229870081
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.25000000
N
N
N
N
N
N
Phillips 66
5493005JBO5YSIGK1814
Phillips 66
718546104
2758.00000000
NS
USD
263058.04000000
0.110055390457
Long
EC
CORP
US
N
1
N
N
N
TJX Cos Inc/The
V167QI9I69W364E2DY52
TJX Cos Inc/The
872540109
2541.00000000
NS
USD
215451.39000000
0.090138232806
Long
EC
CORP
US
N
1
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - CHF
000000000
1.00000000
NC
USD
1769.48000000
0.000740295990
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-867722.80000000
USD
774438.43000000
CHF
2023-08-18
1769.48000000
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325XWS5
1920201.63000000
PA
USD
339221.07000000
0.141919658910
Long
ABS-MBS
USGSE
US
N
2
2049-05-15
Fixed
3.50000000
N
N
N
N
N
N
LKQ Corp
DS830JTTZQN6GK0I2E41
LKQ Corp
501889208
4171.00000000
NS
USD
243044.17000000
0.101682203014
Long
EC
CORP
US
N
1
N
N
N
DBUBS Mortgage Trust
N/A
DBUBS 2011-LC2 Mortgage Trust
23305XAL5
17132.15000000
PA
USD
17102.99000000
0.007155364810
Long
ABS-MBS
CORP
US
N
3
2044-07-10
Floating
4.00000000
N
N
N
N
N
N
CIM Trust
N/A
CIM Trust 2019-J2
12558TAN7
106726.06000000
PA
USD
94048.96000000
0.039347191269
Long
ABS-MBS
CORP
US
N
2
2049-10-25
Variable
3.50000000
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust 2019-WOLF
39152TAJ9
700000.00000000
PA
USD
687480.92000000
0.287620865276
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
6.89448000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31282YNU9
170693.14000000
PA
USD
23222.55000000
0.009715600434
Long
ABS-MBS
USGSE
US
N
2
2036-08-15
Floating
2.50671000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
3 MONTH EURO EURIBOR
000000000
51.00000000
NC
12869.37000000
0.005384148457
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Call
Purchased
ICE FUTURES EUROPE
549300UF4R84F48NCH34
ICE FUTURES EUROPE
549300UF4R84F48NCH34
3 Month Euro Euribor
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
GB
US
Long
INTERCONTENTIAL EXCHANGE
3 MONTH EURO INTERBANK OFFER RATE
2023-12-18
0.00000000
USD
1000000.00000000
96.50000000
EUR
2023-12-18
XXXX
192.92000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
4554.56000000
0.001905487774
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-02-20
0.00000000
USD
0.00000000
USD
1774000.00000000
USD
4554.56000000
N
N
N
OPEN TEXT CORP
549300HP7ONDQODZJV16
Open Text Corp
683715AC0
70000.00000000
PA
USD
61716.20000000
0.025820159264
Long
DBT
CORP
CA
N
2
2028-02-15
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F040677
625000.00000000
PA
USD
586596.68000000
0.245414003155
Long
ABS-MBS
USGSE
US
N
2
2053-07-15
Fixed
4.00000000
N
N
N
N
N
N
Aon PLC
635400FALWQYX5E6QC64
Aon PLC
000000000
1027.00000000
NS
USD
354520.40000000
0.148320427869
Long
EC
CORP
US
N
1
N
N
N
Elevance Health Inc
8MYN82XMYQH89CTMTH67
Elevance Health Inc
036752103
2051.00000000
NS
USD
911238.79000000
0.381234273750
Long
EC
CORP
US
N
1
N
N
N
Sekisui House Ltd
529900GMNDOYQSAJAE76
Sekisui House Ltd
000000000
4400.00000000
NS
88878.24000000
0.037183921108
Long
EC
CORP
JP
N
2
N
N
N
CNO Financial Group Inc
11XPYHB76MPM4Y4P2897
CNO Financial Group Inc
12621E103
3905.00000000
NS
USD
92431.35000000
0.038670433014
Long
EC
CORP
US
N
1
N
N
N
NUFARM AUSTRALIA/AMERICA
N/A
Nufarm Australia Ltd / Nufarm Americas Inc
67052NAB1
60000.00000000
PA
USD
53192.85000000
0.022254251861
Long
DBT
CORP
AU
N
2
2030-01-27
Fixed
5.00000000
N
N
N
N
N
N
Sino Land Co Ltd
529900G5P51053HJVZ92
Sino Land Co Ltd
000000000
22000.00000000
NS
27084.37000000
0.011331267106
Long
EC
CORP
HK
N
2
N
N
N
Eni SpA
BUCRF72VH5RBN7X3VL35
Eni SpA
000000000
8532.00000000
NS
122830.34000000
0.051388435148
Long
EC
CORP
IT
N
2
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
495.51000000
0.000207306138
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-16313389.00000000
JPY
114374.14000000
USD
2023-08-18
495.51000000
N
N
N
Intuit Inc
VI90HBPH7XSFMB9E4M29
Intuit Inc
461202103
1587.00000000
NS
USD
727147.53000000
0.304216154482
Long
EC
CORP
US
N
1
N
N
N
Nomura Real Estate Holdings In
N/A
Nomura Real Estate Holdings Inc
000000000
1500.00000000
NS
35661.94000000
0.014919858488
Long
EC
CORP
JP
N
2
N
N
N
BX Trust
N/A
BX Trust 2022-FOX2
05610AAE8
683849.57000000
PA
USD
643461.35000000
0.269204431534
Long
ABS-MBS
CORP
US
N
2
2039-04-15
Floating
6.45635000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ARQ27
6460083.13380000
PA
USD
662245.41000000
0.277063104311
Long
ABS-MBS
USGSE
US
N
2
2046-05-25
Floating
0.89957000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F020679
2257000.00000000
PA
USD
1841130.12000000
0.770272196356
Long
ABS-MBS
USGSE
US
N
2
2053-07-15
Fixed
2.00000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2021-A
63942BAA2
166250.58000000
PA
USD
144346.78000000
0.060390251650
Long
ABS-O
CORP
US
N
2
2069-05-15
Fixed
0.84000000
N
N
N
N
N
N
Tesco PLC
2138002P5RNKC5W2JZ46
Tesco PLC
000000000
3669.00000000
NS
11574.05000000
0.004842226422
Long
EC
CORP
GB
N
2
N
N
N
Alexandria Real Estate Equitie
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities Inc
015271109
424.00000000
NS
USD
48119.76000000
0.020131827088
Long
EC
CORP
US
N
1
N
N
N
Hikma Pharmaceuticals PLC
549300BNS685UXH4JI75
Hikma Pharmaceuticals PLC
000000000
1964.00000000
NS
47263.30000000
0.019773510575
Long
EC
CORP
JO
N
2
N
N
N
Benefit Street Partners CLO Lt
549300PVYNJC7QL0GC48
Benefit Street Partners CLO II Ltd
08179XBC8
750000.00000000
PA
USD
748159.50000000
0.313006916257
Long
ABS-CBDO
CORP
KY
N
2
2029-07-15
Floating
7.16029000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
USD CALL VERSUS MXN PUT
000000000
-3141000.00000000
NC
USD
-7201.25000000
-0.00301278143
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
USD CALL VERSUS MXN PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
MXN
2023-08-31
0.01000000
USD
18.75000000
USD
2023-08-31
XXXX
90075.52000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHE4
701000.00000000
PA
USD
685720.39000000
0.286884313690
Long
DBT
UST
US
N
2
2028-05-31
Fixed
3.62500000
N
N
N
N
N
N
Shell PLC
21380068P1DRHMJ8KU70
Shell PLC
000000000
2397.00000000
NS
71506.69000000
0.029916199057
Long
EC
CORP
GB
N
2
N
N
N
MORGAN STANLEY CAPITAL GROUP INC.
VB7RXNZGO6KVDABYB880
SWOP IRS USD
000000000
-16055000.00000000
NC
USD
-45250.35000000
-0.01893135422
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL GROUP INC.
VB7RXNZGO6KVDABYB880
Put
Written
MORGAN STANLEY CAPITAL GROUP INC.
VB7RXNZGO6KVDABYB880
MORGAN STANLEY CAPITAL GROUP INC.
VB7RXNZGO6KVDABYB880
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2025-06-14
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
3.80000000
USD
2024-06-12
XXXX
-45250.35000000
N
N
N
Church & Dwight Co Inc
POOXSI30AWAQGYJZC921
Church & Dwight Co Inc
171340102
2182.00000000
NS
USD
218701.86000000
0.091498129447
Long
EC
CORP
US
N
1
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Mortgage Finance Corp
16163YAC8
223980.08000000
PA
USD
200469.65000000
0.083870333731
Long
ABS-MBS
CORP
US
N
2
2045-04-25
Variable
3.75000000
N
N
N
N
N
N
VISTAJET MALTA/VM HOLDS
N/A
VistaJet Malta Finance PLC / Vista Management Holding Inc
92840JAB5
70000.00000000
PA
USD
56429.24000000
0.023608257863
Long
DBT
CORP
N/A
N
2
2030-02-01
Fixed
6.37500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-11682.45000000
-0.00488757764
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-12
0.00000000
USD
0.00000000
USD
2579000.00000000
USD
-11682.45000000
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DBW0
95000.00000000
PA
USD
77602.18000000
0.032466364534
Long
ABS-MBS
CORP
US
N
2
2048-05-27
None
0.00000000
N
N
N
N
N
N
Acuity Brands Inc
N/A
Acuity Brands Inc
00508Y102
468.00000000
NS
USD
76321.44000000
0.031930542322
Long
EC
CORP
US
N
1
N
N
N
MATADOR RESOURCES CO
549300CI3Q2UUK5R4G79
Matador Resources Co
576485AF3
70000.00000000
PA
USD
69361.82000000
0.029018851440
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
6.87500000
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
6327.36000000
0.002647172750
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-596209.24000000
AUD
404034.90000000
USD
2023-08-18
6327.36000000
N
N
N
eBay Inc
OML71K8X303XQONU6T67
eBay Inc
278642103
5984.00000000
NS
USD
267424.96000000
0.111882375429
Long
EC
CORP
US
N
1
N
N
N
Tesla Inc
54930043XZGB27CTOV49
Tesla Inc
88160R101
1896.00000000
NS
USD
496315.92000000
0.207643310829
Long
EC
CORP
US
N
1
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2016-P4
29429EAK7
725000.00000000
PA
USD
611245.33000000
0.255726239953
Long
ABS-MBS
CORP
US
N
2
2049-07-10
Variable
4.09717500
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BLSR0
1538259.54880000
PA
USD
12592.81000000
0.005268444262
Long
ABS-MBS
USGSE
US
N
2
2043-04-15
Floating
0.01000000
N
N
N
N
N
N
GOLDEN ENTERTAINMENT INC
549300P8YYCKQVJ0Y638
Golden Entertainment Inc
381013AA9
70000.00000000
PA
USD
70380.80000000
0.029445161321
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
7.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AWZD0
870823.74000000
PA
USD
18386.14000000
0.007692195291
Long
ABS-MBS
USGSE
US
N
2
2027-09-15
Fixed
3.00000000
N
N
N
N
N
N
Eiffage SA
969500OQXKE5WDM9M994
Eiffage SA
000000000
518.00000000
NS
54083.78000000
0.022626989562
Long
EC
CORP
FR
N
2
N
N
N
Sage Group PLC/The
2138005RN5XYLTF8G138
Sage Group PLC/The
000000000
6682.00000000
NS
78493.05000000
0.032839077132
Long
EC
CORP
GB
N
2
N
N
N
WILLIAMS SCOTSMAN INTL
549300V3TCHCBOBTGH07
Williams Scotsman International Inc
96950GAE2
70000.00000000
PA
USD
64081.42000000
0.026809694541
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.62500000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2019-2
81746YCD4
1066697.83000000
PA
USD
927330.35000000
0.387966487367
Long
ABS-MBS
CORP
US
N
2
2049-06-25
Variable
4.26151400
N
N
N
N
N
N
Insurance Australia Group Ltd
549300PFEWKNHRG25N08
Insurance Australia Group Ltd
000000000
21420.00000000
NS
81458.03000000
0.034079533541
Long
EC
CORP
AU
N
2
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2016-K57 Mortgage Trust
30295DAU6
2837167.61000000
PA
USD
7462.89000000
0.003122243566
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
Fixed
0.10000000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AL5
70000.00000000
PA
USD
60857.37000000
0.025460851215
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
4.00000000
N
N
N
N
N
N
SPANISH BROADCASTING SYS
5493005DKYB1X4C9LH64
Spanish Broadcasting System Inc
846425AQ9
70000.00000000
PA
USD
48243.24000000
0.020183487321
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
9.75000000
N
N
N
N
N
N
VIRTUSA CORP
C77OMXDER63WLJCSKT03
Virtusa Corp
92837TAA0
70000.00000000
PA
USD
57072.24000000
0.023877269280
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
7.12500000
N
N
N
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162100
1264.00000000
NS
USD
280633.28000000
0.117408330138
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
2264.84000000
0.000947539373
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-340382.76000000
USD
5877427.95000000
MXN
2023-07-14
2264.84000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381RPA1
4403914.11610000
PA
USD
70464.39000000
0.029480132805
Long
ABS-MBS
USGA
US
N
2
2042-03-20
Floating
0.60000000
N
N
N
N
N
N
Provident Funding Mortgage Tru
N/A
Provident Funding Mortgage Trust 2021-J1
74387MAK5
400000.00000000
PA
USD
244407.12000000
0.102252419360
Long
ABS-MBS
CORP
US
N
2
2051-10-25
Variable
2.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
JPY CALL VERSUS USD PUT
000000000
160600.00000000
NC
USD
0.00000000
0.000000
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
JPY CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
JPY
N/A
USD
2023-07-07
0.01000000
USD
115.00000000
USD
2023-07-07
XXXX
-14454.00000000
N
N
N
Swire Properties Ltd
5299001L12PHYVQ92465
Swire Properties Ltd
000000000
7800.00000000
NS
19218.15000000
0.008040282677
Long
EC
CORP
HK
N
2
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
6925.93000000
0.002897596022
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-2190272.11000000
NZD
1350828.42000000
USD
2023-08-18
6925.93000000
N
N
N
Cheniere Energy Inc
MIHC87W9WTYSYZWV1J40
Cheniere Energy Inc
16411R208
1599.00000000
NS
USD
243623.64000000
0.101924635433
Long
EC
CORP
US
N
1
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2015-4
89171UAG4
1691812.31000000
PA
USD
1650096.45000000
0.690349586341
Long
ABS-MBS
CORP
US
N
2
2055-04-25
Variable
3.75000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
2327.09000000
0.000973582858
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-781654.43000000
NZD
481932.95000000
USD
2023-08-18
2327.09000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD CALL VERSUS JPY PUT
000000000
-1118300.00000000
NC
USD
-21426.32000000
-0.00896411306
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Call
Written
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD CALL VERSUS JPY PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
FR
US
N/A
USD
N/A
JPY
2027-09-09
0.01000000
USD
140.00000000
USD
2027-09-09
XXXX
9215.10000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-3777.41000000
-0.00158035212
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-08-23
0.00000000
USD
0.00000000
USD
422000.00000000
USD
-3777.41000000
N
N
N
Daiwa House Industry Co Ltd
N/A
Daiwa House Industry Co Ltd
000000000
3500.00000000
NS
92476.93000000
0.038689502284
Long
EC
CORP
JP
N
2
N
N
N
Deutsche Telekom AG
549300V9QSIG4WX4GJ96
Deutsche Telekom AG
000000000
850.00000000
NS
18545.79000000
0.007758987939
Long
EC
CORP
DE
N
2
N
N
N
Meta Platforms Inc
BQ4BKCS1HXDV9HN80Z93
Meta Platforms Inc
30303M102
6745.00000000
NS
USD
1935680.10000000
0.809828998979
Long
EC
CORP
US
N
1
N
N
N
Atmos Energy Corp
QVLWEGTD2S8GJMO8D383
Atmos Energy Corp
049560105
1544.00000000
NS
USD
179628.96000000
0.075151230239
Long
EC
CORP
US
N
1
N
N
N
DUKE ENERGY FLORIDA LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAN1
59000.00000000
PA
USD
64397.32000000
0.026941857382
Long
DBT
CORP
US
N
2
2052-11-15
Fixed
5.95000000
N
N
N
N
N
N
Aurizon Holdings Ltd
5299005PC1O6NOWL3H48
Aurizon Holdings Ltd
000000000
30458.00000000
NS
79684.55000000
0.033337564074
Long
EC
CORP
AU
N
2
N
N
N
Israel Discount Bank Ltd
549300XWZ7BG5G23OF51
Israel Discount Bank Ltd
465074201
14414.00000000
NS
72009.94000000
0.030126743373
Long
EC
CORP
IL
N
2
N
N
N
Link REIT
529900XUE70U36QX5M62
Link REIT
000000000
12000.00000000
NS
66805.47000000
0.027949353251
Long
EC
CORP
HK
N
2
N
N
N
Trend Micro Inc/Japan
3538005O5UJ5RNAGVE16
Trend Micro Inc/Japan
000000000
200.00000000
NS
9681.29000000
0.004050353872
Long
EC
CORP
JP
N
2
N
N
N
Wynn Resorts Ltd
254900CEKKWIHTEAB172
Wynn Resorts Ltd
983134107
505.00000000
NS
USD
53333.05000000
0.022312907227
Long
EC
CORP
US
N
1
N
N
N
Willis Towers Watson PLC
549300WHC56FF48KL350
Willis Towers Watson PLC
000000000
1081.00000000
NS
USD
254575.50000000
0.106506556703
Long
EC
CORP
GB
N
1
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
5802.67000000
0.002427658597
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-1544907.16000000
CAD
1172845.41000000
USD
2023-08-18
5802.67000000
N
N
N
iShares MSCI EAFE Value ETF
549300AN74D4XJZB8Y40
iShares MSCI EAFE Value ETF
464288877
2180.00000000
NS
USD
106689.20000000
0.044635478784
Long
EC
RF
US
N
1
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030N101
13337.00000000
NS
USD
554152.35000000
0.231840293694
Long
EC
CORP
US
N
1
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp Mortgage Loan Trust Series 2007-D1
00083BAB1
488115.70000000
PA
USD
386323.08000000
0.161625690711
Long
ABS-MBS
CORP
US
N
2
2038-02-25
Variable
6.33600000
N
N
N
N
N
N
Hartford Financial Services Gr
IU7C3FTM7Y3BQM112U94
Hartford Financial Services Group Inc/The
416515104
3765.00000000
NS
USD
271155.30000000
0.113443034914
Long
EC
CORP
US
N
1
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
Netflix Inc
64110LAT3
45000.00000000
PA
USD
46588.59000000
0.019491232669
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
5.87500000
N
N
N
N
N
N
STL HOLDING CO LLC
984500BC2I63E7F48656
STL Holding Co LLC
861036AA9
70000.00000000
PA
USD
64433.67000000
0.026957065104
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
7.50000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DCS8
92000.00000000
PA
USD
51020.83000000
0.021345545519
Long
ABS-MBS
CORP
US
N
2
2052-01-27
None
0.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
567.61000000
0.000237470560
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-10-13
0.00000000
USD
0.00000000
USD
41000.00000000
USD
567.61000000
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - NZD
000000000
1.00000000
NC
USD
3912.71000000
0.001636957482
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-497825.45000000
USD
817725.32000000
NZD
2023-08-18
3912.71000000
N
N
N
Legal & General Group PLC
213800JH9QQWHLO99821
Legal & General Group PLC
000000000
18701.00000000
NS
54145.16000000
0.022652669065
Long
EC
CORP
GB
N
2
N
N
N
HKT Trust & HKT Ltd
N/A
HKT Trust & HKT Ltd
000000000
24000.00000000
NS
27944.92000000
0.011691294749
Long
EC
CORP
HK
N
2
N
N
N
SOUTH JERSEY INDUSTRIES
549300DJYWYT5VXLFA46
South Jersey Industries Inc
838518AA6
211000.00000000
PA
USD
177323.07000000
0.074186516808
Long
DBT
CORP
US
N
2
2031-04-15
Variable
5.02000000
N
N
N
N
N
N
Genuine Parts Co
549300D46DQVEU651W04
Genuine Parts Co
372460105
1500.00000000
NS
USD
253845.00000000
0.106200937978
Long
EC
CORP
US
N
1
N
N
N
Medtronic PLC
549300GX3ZBSQWUXY261
Medtronic PLC
000000000
2132.00000000
NS
USD
187829.20000000
0.078581958359
Long
EC
CORP
IE
N
1
N
N
N
Boston Scientific Corp
Y6ZDD9FP4P8JSSJMW954
Boston Scientific Corp
101137107
10874.00000000
NS
USD
588174.66000000
0.246074181437
Long
EC
CORP
US
N
1
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP IRS USD
000000000
-3684000.00000000
NC
USD
-35649.86000000
-0.01491480458
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2033-08-23
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.46000000
USD
2023-08-21
XXXX
57371.14000000
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-62.51000000
-0.00002615226
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-173695.87000000
CHF
194952.63000000
USD
2023-08-18
-62.51000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDN9
400000.00000000
PA
USD
366748.64000000
0.153436347260
Long
DBT
CORP
MX
N
2
2033-02-07
Fixed
10.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
11277.44000000
0.004718133924
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1203715.22000000
AUD
814228.12000000
USD
2023-08-18
11277.44000000
N
N
N
HANESBRANDS INC
GX5LWVWZLL5S4W1L2F20
Hanesbrands Inc
410345AL6
70000.00000000
PA
USD
65438.53000000
0.027377467611
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
4.87500000
N
N
N
N
N
VAREX IMAGING CORPORATIO
549300CWYWPVCT8E9W67
Varex Imaging Corp
92214XAC0
70000.00000000
PA
USD
69772.84000000
0.029190809562
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
7.87500000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM XXII Ltd
50189GAH5
750000.00000000
PA
USD
726227.25000000
0.303831137644
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
7.25043000
N
N
N
N
N
N
Visa Inc
549300JZ4OKEHW3DPJ59
Visa Inc
92826C839
9379.00000000
NS
USD
2227324.92000000
0.931844218663
Long
EC
CORP
US
N
1
N
N
N
ILLUMINATE BUYER/HLDG
N/A
Illuminate Buyer LLC / Illuminate Holdings IV Inc
45232TAA9
70000.00000000
PA
USD
61093.51000000
0.025559644926
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
9.00000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortga
N/A
MF1 Multifamily Housing Mortgage Loan Trust
55282XAJ9
182000.00000000
PA
USD
171610.91000000
0.071796724809
Long
ABS-CBDO
CORP
KY
N
2
2036-07-15
Floating
7.76147000
N
N
N
N
N
N
Hang Seng Bank Ltd
5493009Z5F07LWZYMK62
Hang Seng Bank Ltd
000000000
900.00000000
NS
12830.06000000
0.005367702362
Long
EC
CORP
HK
N
2
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - CHF
000000000
1.00000000
NC
USD
437.83000000
0.000183174601
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-402605.15000000
USD
358981.88000000
CHF
2023-08-18
437.83000000
N
N
N
Red Electrica Corp SA
5493009HMD0C90GUV498
Red Electrica Corp SA
000000000
4326.00000000
NS
72750.64000000
0.030436629464
Long
EC
CORP
ES
N
2
N
N
Electronic Arts Inc
549300O7A67PUEYKDL45
Electronic Arts Inc
285512109
2368.00000000
NS
USD
307129.60000000
0.128493575216
Long
EC
CORP
US
N
1
N
N
N
Otsuka Holdings Co Ltd
N/A
Otsuka Holdings Co Ltd
000000000
1500.00000000
NS
55022.49000000
0.023019716945
Long
EC
CORP
JP
N
2
N
N
N
Nyack Park CLO, Ltd.
N/A
NYACK Park CLO Ltd
67080PAJ5
500000.00000000
PA
USD
469911.00000000
0.196596304699
Long
ABS-CBDO
CORP
KY
N
2
2034-10-20
Floating
7.20043000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKL2
18000.00000000
PA
USD
15403.48000000
0.006444342114
Long
DBT
CORP
US
N
2
2037-03-08
Fixed
3.84600000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - NZD
000000000
1.00000000
NC
USD
-5735.59000000
-0.00239959438
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-504610.84000000
USD
813059.39000000
NZD
2023-08-18
-5735.59000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
2917.79000000
0.001220713564
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-08-23
0.00000000
USD
0.00000000
USD
589000.00000000
USD
2917.79000000
N
N
N
ACS Actividades de Construccio
95980020140005558665
ACS Actividades de Construccion y Servicios SA
000000000
1782.00000000
NS
62662.12000000
0.026215903089
Long
EC
CORP
ES
N
2
N
N
Humana Inc
529900YLDW34GJAO4J06
Humana Inc
444859102
538.00000000
NS
USD
240555.94000000
0.100641204137
Long
EC
CORP
US
N
1
N
N
N
Fortive Corp
549300MU9YQJYHDQEF63
Fortive Corp
34959J108
3207.00000000
NS
USD
239787.39000000
0.100319666463
Long
EC
CORP
US
N
1
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
3.12000000
0.000001305312
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-192397.07000000
CAD
145342.34000000
USD
2023-08-18
3.12000000
N
N
N
RFM RE-REMIC TRUST 2022-FRR1
N/A
RFM Reremic Trust 2022-FRR1
74971BBM6
90000.00000000
PA
USD
69682.55000000
0.029153035004
Long
ABS-MBS
CORP
US
N
2
2049-03-28
None
0.00000000
N
N
N
N
N
N
INSTALLED BUILDING PRODU
549300I95Y9P9YM5FI86
Installed Building Products Inc
45780RAA9
70000.00000000
PA
USD
66054.78000000
0.027635287651
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.75000000
N
N
N
N
N
N
GRAFTECH FINANCE INC
1Z010BU876CF2HDBIN43
GrafTech Finance Inc
384311AA4
70000.00000000
PA
USD
56939.56000000
0.023821760050
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
4.62500000
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-4780.74000000
-0.00200011452
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
-757619.16000000
USD
592638.17000000
GBP
2023-08-18
-4780.74000000
N
N
N
Freddie Mac - STACR
5493000IS349P4O9HR58
Freddie Mac STACR REMIC Trust 2022-DNA5
35564KYP8
1000000.00000000
PA
USD
1051230.70000000
0.439802581778
Long
ABS-MBS
CORP
US
N
2
2042-06-25
Floating
9.56655000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2016-K57 Mortgage Trust
30295DAS1
11563032.03750000
PA
USD
26100.08000000
0.010919470453
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
Fixed
0.10000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833100
26175.00000000
NS
USD
5077164.75000000
2.124129522821
Long
EC
CORP
US
N
1
N
N
N
CLEAN HARBORS INC
5493000SJVZVZJKHJF48
Clean Harbors Inc
184496AQ0
70000.00000000
PA
USD
70504.00000000
0.029496704411
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
6.37500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBK1
1675000.00000000
PA
USD
1569290.45000000
0.656542842090
Long
DBT
CORP
US
N
2
2026-04-22
Fixed
2.08300000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R02
20754WAB1
349342.30000000
PA
USD
349845.18000000
0.146364459663
Long
ABS-MBS
CORP
US
N
2
2040-01-25
Floating
7.15043000
N
N
N
N
N
N
Sempra Energy
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851109
2058.00000000
NS
USD
299624.22000000
0.125353555142
Long
EC
CORP
US
N
1
N
N
N
Lockheed Martin Corp
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830109
144.00000000
NS
USD
66294.72000000
0.027735671165
Long
EC
CORP
US
N
1
N
N
N
MTR Corp Ltd
254900IH4U9NHH9AQM97
MTR Corp Ltd
000000000
12500.00000000
NS
57544.64000000
0.024074906906
Long
EC
CORP
HK
N
2
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKC2
3000.00000000
PA
USD
2296.45000000
0.000960764025
Long
DBT
CORP
US
N
2
2036-09-21
Fixed
2.48200000
N
N
N
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
Novelis Corp
670001AH9
70000.00000000
PA
USD
57682.21000000
0.024132461961
Long
DBT
CORP
US
N
2
2031-08-15
Fixed
3.87500000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89832QAD1
49000.00000000
PA
USD
41895.00000000
0.017527579021
Long
DBT
CORP
US
N
2
N/A
Fixed
4.80000000
N
N
N
N
N
N
OMV AG
549300V62YJ9HTLRI486
OMV AG
000000000
317.00000000
NS
13460.54000000
0.005631475797
Long
EC
CORP
AT
N
2
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
26928.65000000
0.011266118649
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-12
0.00000000
USD
0.00000000
USD
1105000.00000000
USD
26928.65000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-90005.32000000
-0.03765545670
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-11
0.00000000
USD
0.00000000
USD
2063000.00000000
USD
-90005.32000000
N
N
N
GAP INC/THE
T2ZG1WRWZ4BUCMQL9224
Gap Inc/The
364760AQ1
70000.00000000
PA
USD
48010.74000000
0.020086216474
Long
DBT
CORP
US
N
2
2031-10-01
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ABHQ9
2969697.44000000
PA
USD
316127.26000000
0.132257919330
Long
ABS-MBS
USGSE
US
N
2
2043-01-25
Floating
0.94957000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD CALL VERSUS EUR PUT
000000000
-1442000.00000000
NC
USD
-13661.89000000
-0.00571571444
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Call
Written
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD CALL VERSUS EUR PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
FR
US
N/A
USD
N/A
EUR
2023-07-12
0.01000000
USD
1.10000000
USD
2023-07-12
XXXX
2363.21000000
N
N
N
OWENS-BROCKWAY
V2UQUCDZJ9WY98W8QU33
Owens-Brockway Glass Container Inc
69073TAU7
35000.00000000
PA
USD
35481.25000000
0.014844263352
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
7.25000000
N
N
N
N
N
N
CLEVELAND-CLIFFS INC
549300TM2WLI2BJMDD86
Cleveland-Cliffs Inc
185899AL5
70000.00000000
PA
USD
61603.16000000
0.025772866806
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.87500000
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAQ2
70000.00000000
PA
USD
66098.90000000
0.027653746102
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.62500000
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
EUR CALL VERSUS USD PUT
000000000
1442000.00000000
NC
USD
160.80000000
0.000067273772
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Put
Purchased
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
EUR CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
FR
US
N/A
EUR
N/A
USD
2023-07-10
0.01000000
USD
1.11500000
USD
2023-07-10
XXXX
-9086.33000000
N
N
N
Diamondback Energy Inc
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278X109
938.00000000
NS
USD
123215.68000000
0.051549649548
Long
EC
CORP
US
N
1
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-451694.72000000
-0.18897517360
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-08-25
0.00000000
USD
0.00000000
USD
16000000.00000000
USD
-451694.72000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
13748.51000000
0.005751953585
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-12
0.00000000
USD
0.00000000
USD
1566000.00000000
USD
13748.51000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP IRS USD
000000000
-16055000.00000000
NC
USD
11798.20000000
0.004936003886
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2025-06-20
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
3.90000000
USD
2024-06-17
XXXX
11798.20000000
N
N
N
Novartis AG
5493007HIVTX6SY6XD66
Novartis AG
000000000
3776.00000000
NS
380694.20000000
0.159270740502
Long
EC
CORP
CH
N
2
N
N
N
PRIMO WATER HOLDINGS INC
9845008F9A5F2E1D4832
Primo Water Holdings Inc
74168LAA4
70000.00000000
PA
USD
60055.45000000
0.025125352560
Long
DBT
CORP
US
N
2
2029-04-30
Fixed
4.37500000
N
N
N
N
N
N
Travelers Cos Inc/The
549300Y650407RU8B149
Travelers Cos Inc/The
89417E109
1714.00000000
NS
USD
297653.24000000
0.124528957750
Long
EC
CORP
US
N
1
N
N
N
BURFORD CAPITAL GLBL FIN
549300JVAOO67CSCH406
Burford Capital Global Finance LLC
12116LAC3
70000.00000000
PA
USD
63879.49000000
0.026725213242
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
6.87500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP IRS USD
000000000
1676000.00000000
NC
USD
24.64000000
0.000010308617
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Purchased
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2057-06-16
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
0.00000000
USD
2027-06-14
XXXX
24.64000000
N
N
N
Rithm Capital Corp
549300WNTHGEO5LP2G31
Rithm Capital Corp
64828T201
23427.00000000
NS
USD
219042.45000000
0.091640621824
Long
EC
CORP
US
N
1
N
N
N
JEFFERIES LLC
58PU97L1C0WSRCWADL48
JEFFERIES LLC
000000000
1080775.00000000
PA
USD
1080775.00000000
0.452163007912
Long
RA
CORP
US
N
2
Repurchase
Y
5.17000000
2023-07-03
216155.00000000
USD
214622.46105000
USD
890612.63875000
USD
887770.71062580
USD
ADAS
N
N
CLP Holdings Ltd
25490002BUTSMP94GO68
CLP Holdings Ltd
000000000
3000.00000000
NS
23365.80000000
0.009775531826
Long
EC
CORP
HK
N
2
N
N
N
MSC Industrial Direct Co Inc
0XVKH0LN6YGOWO2EGO17
MSC Industrial Direct Co Inc
553530106
2250.00000000
NS
USD
214380.00000000
0.089689996193
Long
EC
CORP
US
N
1
N
N
N
Voya VACS Series EMHCD Fund
549300F0L4T7FY2BWJ84
Voya VACS Series EMHCD Fund
92919X104
171970.16500000
NS
USD
1738618.37000000
0.727384434124
Long
EC
RF
US
N
1
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B
000000000
790000.00000000
PA
746191.73000000
0.312183661831
Long
DBT
NUSS
BR
N
2
2050-08-15
Fixed
6.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
7839.74000000
0.003279906011
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-08-23
0.00000000
USD
0.00000000
USD
829000.00000000
USD
7839.74000000
N
N
N
Woodward Capital Management
N/A
RCKT Mortgage Trust 2021-1
749350BL7
469082.03000000
PA
USD
350307.18000000
0.146557746248
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Variable
2.71850200
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Private Education Refi Loan Trust 2020-B
63941GAB0
362584.05000000
PA
USD
328906.55000000
0.137604381087
Long
ABS-O
CORP
US
N
2
2069-01-15
Fixed
2.12000000
N
N
N
N
N
N
Westrock Co
5493004Z9TCQW68YVL89
Westrock Co
96145D105
4429.00000000
NS
USD
128751.03000000
0.053865469682
Long
EC
CORP
US
N
1
N
N
N
MACY'S RETAIL HLDGS LLC
N/A
Macy's Retail Holdings LLC
55617LAR3
70000.00000000
PA
USD
61332.95000000
0.025659819255
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
6.12500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
237.99000000
0.000099567693
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1317808.80000000
SEK
122691.59000000
USD
2023-08-18
237.99000000
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
92556HAE7
280000.00000000
PA
USD
233889.68000000
0.097852246053
Long
DBT
CORP
US
N
2
2062-03-30
Fixed
6.37500000
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650100
5462.00000000
NS
USD
377588.06000000
0.157971227093
Long
EC
CORP
US
N
1
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - NOK
000000000
1.00000000
NC
USD
714.55000000
0.000298945735
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-227052.31000000
USD
2440583.23000000
NOK
2023-08-18
714.55000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-2971.68000000
-0.00124325948
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-08-23
0.00000000
USD
0.00000000
USD
407000.00000000
USD
-2971.68000000
N
N
N
iShares Russell 1000 Value ETF
549300KLSYN5NN4YNM90
iShares Russell 1000 Value ETF
464287598
417.00000000
NS
USD
65815.11000000
0.027535017097
Long
EC
RF
US
N
1
N
N
N
RFM RE-REMIC TRUST 2022-FRR1
N/A
RFM Reremic Trust 2022-FRR1
74971BBR5
110000.00000000
PA
USD
86348.80000000
0.036125681235
Long
ABS-MBS
CORP
US
N
2
2050-03-01
Variable
2.29000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISE4NWBTOSK36
Freddie Mac STACR REMIC Trust 2021-HQA4
35564KPN3
600000.00000000
PA
USD
573158.88000000
0.239792041074
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
8.81655000
N
N
N
N
N
N
WENDYS FUNDING LLC
5493009DRVSTWJOXUL48
Wendy's Funding LLC
95058XAG3
226250.00000000
PA
USD
210319.08000000
0.087991032207
Long
ABS-O
CORP
US
N
2
2049-06-15
Fixed
3.78300000
N
N
N
N
N
N
AMETEK Inc
549300WZDEF9KKE40E98
AMETEK Inc
031100100
1776.00000000
NS
USD
287498.88000000
0.120280685945
Long
EC
CORP
US
N
1
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-18813.54000000
-0.00787100630
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-19810808.73000000
ZAR
1031817.58000000
USD
2023-07-21
-18813.54000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-INV1
46591DAY5
921390.16000000
PA
USD
850084.51000000
0.355649204525
Long
ABS-MBS
CORP
US
N
2
2049-10-25
Variable
4.95376800
N
N
N
N
N
N
NCL CORPORATION LTD
UNZWILHE4KMRP9K2L524
NCL Corp Ltd
62886HBG5
70000.00000000
PA
USD
66549.69000000
0.027842342768
Long
DBT
CORP
BM
N
2
2029-02-15
Fixed
7.75000000
N
N
N
N
N
Activision Blizzard Inc
549300TPQQDBP9GNOF40
Activision Blizzard Inc
00507V109
1465.00000000
NS
USD
123499.50000000
0.051668391104
Long
EC
CORP
US
N
1
N
N
N
RADIATE HOLDCO / FINANCE
N/A
Radiate Holdco LLC / Radiate Finance Inc
75026JAC4
70000.00000000
PA
USD
55903.79000000
0.023388425750
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
4.50000000
N
N
N
N
N
N
RFM RE-REMIC TRUST 2022-FRR1
N/A
RFM Reremic Trust 2022-FRR1
74971BBC8
30000.00000000
PA
USD
20353.65000000
0.008515340941
Long
ABS-MBS
CORP
US
N
2
2050-03-01
None
0.00000000
N
N
N
N
N
N
TCW Gem Ltd
N/A
TCW CLO 2023-1 Ltd
872373AL9
750000.00000000
PA
USD
739314.75000000
0.309306544983
Long
ABS-CBDO
CORP
KY
N
2
2036-04-28
Floating
8.29063000
N
N
N
N
N
N
BAE Systems PLC
8SVCSVKSGDWMW2QHOH83
BAE Systems PLC
000000000
9612.00000000
NS
113337.69000000
0.047417002447
Long
EC
CORP
GB
N
2
N
N
N
ConocoPhillips
WPTL2Z3FIYTHSP5V2253
ConocoPhillips
20825C104
2044.00000000
NS
USD
211778.84000000
0.088601750879
Long
EC
CORP
US
N
1
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
171253.98000000
0.071647396279
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-12
0.00000000
USD
0.00000000
USD
6944000.00000000
USD
171253.98000000
N
N
N
VIAVI SOLUTIONS INC
5493006K3E3N1QOBF092
Viavi Solutions Inc
925550AF2
70000.00000000
PA
USD
59543.99000000
0.024911373432
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
3.75000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2016-BNK2
61690YAC6
1955000.00000000
PA
USD
1272653.19000000
0.532438939113
Long
ABS-MBS
CORP
US
N
2
2049-11-15
Variable
3.00000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBP9
157000.00000000
PA
USD
128457.77000000
0.053742778721
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
3.80000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
2333.79000000
0.000976385932
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-09-13
0.00000000
USD
0.00000000
USD
346000.00000000
USD
2333.79000000
N
N
N
Helios Issuer, LLC
N/A
Sunnova Helios XI Issuer LLC
86746AAA3
298713.42000000
PA
USD
289053.77000000
0.120931204081
Long
ABS-O
CORP
US
N
2
2050-05-20
Fixed
5.30000000
N
N
N
N
N
N
Evonik Industries AG
41GUOJQTALQHLF39XJ34
Evonik Industries AG
000000000
789.00000000
NS
15034.25000000
0.006289867642
Long
EC
CORP
DE
N
2
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
MXN CALL VERSUS USD PUT
000000000
-1371000.00000000
NC
USD
-59420.22000000
-0.02485959187
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
MXN CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
MXN
N/A
USD
2023-08-31
0.01000000
USD
18.00000000
USD
2023-08-31
XXXX
-44174.70000000
N
N
N
British American Tobacco PLC
213800FKA5MF17RJKT63
British American Tobacco PLC
000000000
5531.00000000
NS
183770.31000000
0.076883843662
Long
EC
CORP
GB
N
2
N
N
N
Honda Motor Co Ltd
549300P7ZYCQJ36CCS16
Honda Motor Co Ltd
000000000
2100.00000000
NS
63617.11000000
0.026615441523
Long
EC
CORP
JP
N
2
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-11258.13000000
-0.00471005521
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
-602782.34000000
USD
84737273.00000000
JPY
2023-08-18
-11258.13000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - SEK
000000000
1.00000000
NC
USD
-5120.45000000
-0.00214223873
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-573453.11000000
USD
6116225.33000000
SEK
2023-08-18
-5120.45000000
N
N
N
Invesco CLO LTD
54930008KXQ75MGXPQ71
Invesco US CLO 2023-1 Ltd
46146GAG7
250000.00000000
PA
USD
250936.00000000
0.104983901879
Long
ABS-CBDO
CORP
US
N
2
2035-04-22
Floating
8.51960000
N
N
N
N
N
N
AMERICAN AIRLINES/AADVAN
N/A
American Airlines Inc/AAdvantage Loyalty IP Ltd
00253XAA9
70000.00000000
PA
USD
69411.28000000
0.029039543982
Long
DBT
CORP
N/A
N
2
2026-04-20
Fixed
5.50000000
N
N
N
N
N
N
Oracle Corp Japan
529900MIMKY9RU60Z323
Oracle Corp Japan
000000000
800.00000000
NS
59498.93000000
0.024892521714
Long
EC
CORP
JP
N
2
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHC8
54200.00000000
PA
USD
52277.59000000
0.021871335237
Long
DBT
UST
US
N
2
2033-05-15
Fixed
3.37500000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
3332.88000000
0.001394374449
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-404068.68000000
EUR
445285.99000000
USD
2023-08-18
3332.88000000
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AH0
70000.00000000
PA
USD
56430.03000000
0.023608588375
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.37500000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
SWOP IRS USD
000000000
2724000.00000000
NC
USD
12551.59000000
0.005251199082
N/A
DIR
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2034-04-29
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
2.20000000
USD
2024-04-25
XXXX
-19046.81000000
N
N
N
REALOGY GROUP/CO-ISSUER
N/A
Realogy Group LLC / Realogy Co-Issuer Corp
75606DAL5
70000.00000000
PA
USD
52454.33000000
0.021945277815
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.75000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
5949.74000000
0.002489188160
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1405848.01000000
NZD
868546.96000000
USD
2023-08-18
5949.74000000
N
N
N
Ameriprise Financial Inc
6ZLKQF7QB6JAEKQS5388
Ameriprise Financial Inc
03076C106
602.00000000
NS
USD
199960.32000000
0.083657245730
Long
EC
CORP
US
N
1
N
N
N
Micron Technology Inc
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc
595112103
9111.00000000
NS
USD
574995.21000000
0.240560305048
Long
EC
CORP
US
N
1
N
N
N
NextEra Energy Inc
N/A
NextEra Energy Inc
65339F101
5422.00000000
NS
USD
402312.40000000
0.168315130257
Long
EC
CORP
US
N
1
N
N
N
UNIVISION COMMUNICATIONS
549300YQDE2JSGTL8V47
Univision Communications Inc
914906AU6
70000.00000000
PA
USD
67765.53000000
0.028351012817
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
6.62500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHL8
42100.00000000
PA
USD
41910.06000000
0.017533879661
Long
DBT
UST
US
N
2
2025-06-30
Fixed
4.62500000
N
N
N
N
N
N
Elisa Oyj
743700TU2S3DXWGU7H32
Elisa Oyj
000000000
897.00000000
NS
47885.89000000
0.020033983076
Long
EC
CORP
FI
N
2
N
N
N
Hundred Acre Wood Trust
N/A
Hundred Acre Wood Trust 2021-INV1
44590HBD7
825221.92000000
PA
USD
644803.57000000
0.269765975086
Long
ABS-MBS
CORP
US
N
2
2051-07-25
Variable
2.50000000
N
N
N
N
N
N
SELECT MEDICAL CORP
549300X05KS0JKR8CB50
Select Medical Corp
816196AT6
70000.00000000
PA
USD
68880.64000000
0.028817540532
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
6.25000000
N
N
N
N
N
N
Aviva PLC
YF0Y5B0IB8SM0ZFG9G81
Aviva PLC
000000000
17585.00000000
NS
88474.79000000
0.037015130041
Long
EC
CORP
GB
N
2
N
N
N
FREEDOM MORTGAGE CORP
549300LYRWPSYPK6S325
Freedom Mortgage Corp
35640YAB3
40000.00000000
PA
USD
39043.66000000
0.016334666091
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
8.25000000
N
N
N
N
N
N
LADDER CAP FIN LLLP/CORP
N/A
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp
505742AP1
70000.00000000
PA
USD
57036.45000000
0.023862295845
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.75000000
N
N
N
N
N
N
Palo Alto Networks Inc
549300QXR2YVZV231H43
Palo Alto Networks Inc
697435105
4102.00000000
NS
USD
1048102.02000000
0.438493638326
Long
EC
CORP
US
N
1
N
N
N
WENDYS FUNDING LLC
5493009DRVSTWJOXUL48
Wendy's Funding LLC
95058XAE8
1134000.00000000
PA
USD
1030188.76000000
0.430999281477
Long
ABS-O
CORP
US
N
2
2048-03-15
Fixed
3.88400000
N
N
N
N
N
N
SEALED AIR CORP
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211KAY6
70000.00000000
PA
USD
63959.00000000
0.026758477780
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.00000000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAM6
70000.00000000
PA
USD
48301.94000000
0.020208045595
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
3.50000000
N
N
N
N
N
N
ICL Group Ltd
529900FQVQD88SHIGM04
ICL Group Ltd
000000000
12255.00000000
NS
67265.11000000
0.028141652485
Long
EC
CORP
IL
N
2
N
N
N
Japan Post Holdings Co Ltd
5299003D9N4JBS256X18
Japan Post Holdings Co Ltd
000000000
7000.00000000
NS
50310.74000000
0.021048465710
Long
EC
CORP
JP
N
2
N
N
N
Kilroy Realty Corp
549300CXXI18B214UN80
Kilroy Realty Corp
49427F108
3910.00000000
NS
USD
117651.90000000
0.049221935176
Long
EC
CORP
US
N
1
N
N
N
Quanta Services Inc
SHVRXXEACT60MMH07S24
Quanta Services Inc
74762E102
2927.00000000
NS
USD
575009.15000000
0.240566137115
Long
EC
CORP
US
N
1
N
N
N
Pinterest Inc
N/A
Pinterest Inc
72352L106
8313.00000000
NS
USD
227277.42000000
0.095085879908
Long
EC
CORP
US
N
1
N
N
N
Commerce Bancshares Inc/MO
N/A
Commerce Bancshares Inc/MO
200525103
3339.00000000
NS
USD
162609.30000000
0.068030728137
Long
EC
CORP
US
N
1
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3C5
1100000.00000000
PA
USD
1075282.82000000
0.449865248777
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
4.54000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-47669.68000000
-0.01994352746
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-05-12
0.00000000
USD
0.00000000
USD
1474000.00000000
USD
-47669.68000000
N
N
N
NEW ENTERPRISE STONE & L
549300O5DQ5Y61B8VF38
New Enterprise Stone & Lime Co Inc
644274AG7
70000.00000000
PA
USD
67675.65000000
0.028313409790
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
9.75000000
N
N
N
N
N
N
Unum Group
549300E32YFDO6TZ8R31
Unum Group
91529Y106
5643.00000000
NS
USD
269171.10000000
0.112612906681
Long
EC
CORP
US
N
1
N
N
N
Walmart Inc
Y87794H0US1R65VBXU25
Walmart Inc
931142103
3369.00000000
NS
USD
529539.42000000
0.221543001045
Long
EC
CORP
US
N
1
N
N
N
ENCINO ACQUISITION PARTN
549300BUKUEKT2UE4T49
Encino Acquisition Partners Holdings LLC
29254BAA5
70000.00000000
PA
USD
63600.74000000
0.026608592818
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
8.50000000
N
N
N
N
N
N
Galp Energia SGPS SA
2138003319Y7NM75FG53
Galp Energia SGPS SA
000000000
6778.00000000
NS
79207.16000000
0.033137838785
Long
EC
CORP
PT
N
2
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FTG27
1449219.39000000
PA
USD
120587.37000000
0.050450045509
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
1.69731800
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CURRENCY CONTRACT - CHF
000000000
1.00000000
NC
USD
-3660.57000000
-0.00153146986
N/A
DFE
CORP
US
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
-1474425.94000000
USD
1309979.68000000
CHF
2023-08-18
-3660.57000000
N
N
N
NORTHERN TRUST CORP
549300GLF98S992BC502
Northern Trust Corp
665859AX2
55000.00000000
PA
USD
57046.60000000
0.023866542293
Long
DBT
CORP
US
N
2
2032-11-02
Fixed
6.12500000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD CALL VERSUS EUR PUT
000000000
-1442000.00000000
NC
USD
-2994.73000000
-0.00125290289
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Call
Written
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD CALL VERSUS EUR PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
EUR
2023-07-10
0.01000000
USD
1.08500000
USD
2023-07-10
XXXX
-935.46000000
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC TRUST 2021-FRR2
36459TAE6
153000.00000000
PA
USD
128576.66000000
0.053792518639
Long
ABS-MBS
CORP
US
N
2
2051-09-27
None
0.00000000
N
N
N
N
N
N
2023-08-17
Voya Investors Trust
Tin Bui
Tin Bui
Vice President