0001752724-23-010114.txt : 20230124
0001752724-23-010114.hdr.sgml : 20230124
20230124172802
ACCESSION NUMBER: 0001752724-23-010114
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20221130
FILED AS OF DATE: 20230124
DATE AS OF CHANGE: 20230124
PERIOD START: 20230531
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: WESTERN ASSET FUNDS INC
CENTRAL INDEX KEY: 0000863520
IRS NUMBER: 000000000
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-06110
FILM NUMBER: 23549128
BUSINESS ADDRESS:
STREET 1: 100 INTERNATIONAL DRIVE
CITY: BALTIMORE
STATE: MD
ZIP: 21202
BUSINESS PHONE: 410-454-2760
MAIL ADDRESS:
STREET 1: 100 INTERNATIONAL DRIVE
STREET 2: 7TH FLOOR
CITY: BALTIMORE
STATE: MD
ZIP: 21202
FORMER COMPANY:
FORMER CONFORMED NAME: LM INSTITUTIONAL FUND ADVISORS I INC
DATE OF NAME CHANGE: 19980818
FORMER COMPANY:
FORMER CONFORMED NAME: WESTERN ASSET TRUST INC
DATE OF NAME CHANGE: 19920703
0000863520
S000012738
Western Asset Total Return Unconstrained Fund
C000034298
Class I
WAARX
C000034299
Class FI
WARIX
C000066992
Class IS
WAASX
C000113713
CLASS A
WAUAX
C000113714
CLASS C
WAUCX
C000113715
CLASS R
WAURX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000863520
XXXXXXXX
S000012738
C000066992
C000113714
C000034299
C000113713
C000113715
C000034298
Western Asset Funds Inc
811-06110
0000863520
5493004NC00X8WKL1P34
620 Eighth Avenue
47th Floor
New York
10018
1-877-721-1926
Western Asset Total Return Unconstrained Fund
S000012738
549300TRHXU9STZER182
2023-05-31
2022-11-30
N
560477824.80
83920457.23
476557367.57
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
5739572.81000000
55526500.12000000
0.00000000
18641406.19000000
AUD
BRL
EUR
IDR
INR
JPY
MXN
RUB
USD
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AK6
60000.00000000
PA
USD
55504.37000000
0.011646944056
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
4.90000000
N
N
N
N
N
N
ILLINOIS ST
54930048FV8RWPR02D67
State of Illinois
452151LF8
3100000.00000000
PA
USD
2991677.63000000
0.627768624217
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
5.10000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFJ5
3340000.00000000
PA
USD
3213314.84000000
0.674276605224
Long
DBT
UST
US
N
2
2029-08-31
Fixed
3.12500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BM5
710000.00000000
PA
USD
608369.18000000
0.127659169997
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
5.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-1270834.86000000
-0.26666985896
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-07-18
157654.45000000
USD
0.00000000
USD
412170000.00000000
MXN
-1428489.31000000
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AJ8
20000.00000000
PA
USD
19623.29000000
0.004117718313
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.25000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
962.00000000
NC
USD
6012.50000000
0.001261652931
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-12-19
0.00000000
USD
1000000.00000000
98.62500000
USD
2022-12-19
XXXX
-477007.70000000
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
Ghana Government International Bond
374422AD5
1380000.00000000
PA
USD
968760.00000000
0.203282976179
Long
DBT
NUSS
GH
N
2
2030-10-14
Fixed
10.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0306C3
600000.00000000
PA
USD
542126.17000000
0.113758847704
Long
ABS-MBS
USGA
US
N
2
2052-12-15
Fixed
3.00000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
000000000
1312000.00000000
PA
1315571.47000000
0.276057314297
Long
DBT
CORP
GB
N
2
N/A
Fixed
4.94700000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CE2
40000.00000000
PA
USD
27154.96000000
0.005698151334
Long
DBT
CORP
US
N
2
2042-03-01
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10YR ULTRA
000000000
-449.00000000
NC
USD
-520244.84000000
-0.10916730605
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
2023-03-22
-53205411.41000000
USD
-520244.84000000
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DQ0
90000.00000000
PA
USD
71780.50000000
0.015062299921
Long
DBT
CORP
US
N
2
2031-02-28
Fixed
1.87500000
N
N
N
N
N
N
Voya CLO Ltd
N/A
Voya CLO 2019-3 Ltd
92918FAJ3
3000000.00000000
PA
USD
2829816.10000000
0.593803871804
Long
ABS-CBDO
CORP
KY
N
2
2032-10-17
Floating
6.22914000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAC4
270000.00000000
PA
USD
268683.80000000
0.056380158672
Long
DBT
CORP
KY
N
2
2023-03-15
Fixed
4.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKH4
1670000.00000000
PA
USD
1324849.36000000
0.278004171198
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
1289079.09000000
0.270498197640
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2052-07-11
0.00000000
USD
0.00000000
USD
-5087000.00000000
USD
1289079.09000000
N
N
N
ELEVANCE HEALTH INC
8MYN82XMYQH89CTMTH67
Elevance Health Inc
036752AT0
1090000.00000000
PA
USD
1028030.38000000
0.215720173468
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
4.10000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
-367.00000000
NC
USD
1118762.80000000
0.234759312547
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2025-03-17
-89799725.30000000
USD
1118762.80000000
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AX6
1680000.00000000
PA
USD
1436568.00000000
0.301447023539
Long
DBT
CORP
CH
N
2
N/A
Fixed
9.75000000
N
N
N
N
N
N
PROVINCIA DE BUENOS AIRE
549300L6AYROPOTQ4L07
Provincia de Buenos Aires/Government Bonds
000000000
3510882.04403500
PA
USD
1182710.52000000
0.248177995029
Long
DBT
NUSS
AR
N
2
2037-09-01
Variable
5.25000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29279FAA7
920000.00000000
PA
USD
872854.44000000
0.183158314066
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBR3
130000.00000000
PA
USD
98485.18000000
0.020665965254
Long
DBT
CORP
US
N
2
2078-02-15
Fixed
5.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MKP78
230671.16000000
PA
USD
199054.41000000
0.041769244071
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.50000000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2015-R2 Trust
05990TAK3
6854943.53000000
PA
USD
5579126.80000000
1.170714625281
Long
ABS-MBS
CORP
US
N
2
2036-09-29
Floating
3.56261500
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
293791AF6
500000.00000000
PA
USD
554232.43000000
0.116299205030
Long
DBT
CORP
US
N
2
2033-03-01
Fixed
6.87500000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBH1
1157072.75000000
PA
USD
1118178.10000000
0.234636620078
Long
ABS-MBS
USGSE
US
N
2
2056-08-25
Variable
4.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-8214478.62000000
-1.72371243820
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2024-07-11
0.00000000
USD
-4418165.56000000
USD
146317000.00000000
USD
-3796313.06000000
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AA5
970000.00000000
PA
USD
945398.41000000
0.198380819253
Long
DBT
CORP
N/A
N
2
2025-10-20
Fixed
4.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
239.00000000
NC
USD
220328.13000000
0.046233285852
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
113.50000000
USD
2022-12-23
XXXX
51867.78000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NL1
1060000.00000000
PA
USD
1008031.57000000
0.211523656666
Long
DBT
CORP
US
N
2
2026-03-17
Fixed
3.29000000
N
N
N
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AT9
80000.00000000
PA
USD
95758.00000000
0.020093698370
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SY5
3720000.00000000
PA
USD
2860694.55000000
0.600283354045
Long
DBT
UST
US
N
2
2041-05-15
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F040610
2700000.00000000
PA
USD
2554980.46000000
0.536132821328
Long
ABS-MBS
USGSE
US
N
2
2053-01-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H052611
3400000.00000000
PA
USD
3439261.43000000
0.721688859315
Long
ABS-MBS
USGA
US
N
2
2053-01-15
Fixed
5.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
-237.00000000
NC
USD
-114796.89000000
-0.02408878716
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
108.25000000
USD
2022-12-02
XXXX
-35074.04000000
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAF5
1600000.00000000
PA
USD
1195755.87000000
0.250915409428
Long
DBT
CORP
NL
N
2
2031-07-13
Fixed
3.06100000
N
N
N
N
N
N
TSMC GLOBAL LTD
549300N2ZLI21P85T117
TSMC Global Ltd
872882AM7
1030000.00000000
PA
USD
1018166.75000000
0.213650405866
Long
DBT
CORP
VG
N
2
2027-07-22
Fixed
4.37500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-115.00000000
NC
USD
-8086.00000000
-0.00169675269
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
106.25000000
USD
2022-12-23
XXXX
8785.43000000
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AH2
140000.00000000
PA
USD
135895.20000000
0.028516021207
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.37500000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Bonos del Tesoro
000000000
44960000.00000000
PA
77911.19000000
0.016348753644
Long
DBT
NUSS
AR
N
2
2023-10-17
Fixed
16.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
428150.59000000
0.089842402853
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2032-03-18
32001.39000000
USD
0.00000000
USD
-3948000.00000000
USD
396149.20000000
N
N
N
FORD MOTOR CREDI
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B69
340000.00000000
PA
USD
279243.97000000
0.058596087061
Long
DBT
CORP
US
N
2
2031-06-17
Fixed
3.62500000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAH2
940000.00000000
PA
USD
890406.06000000
0.186841316616
Long
DBT
CORP
N/A
N
2
2027-01-15
Fixed
3.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NK51
221773.03000000
PA
USD
1412.23000000
0.000296339978
Long
ABS-MBS
USGA
US
N
2
2048-02-16
Variable
0.14619000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WDN6
93276.29000000
PA
USD
86671.03000000
0.018186903801
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
3.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SQ2
8800000.00000000
PA
USD
5594359.41000000
1.173911010656
Long
DBT
UST
US
N
2
2040-08-15
Fixed
1.12500000
N
N
N
N
N
N
ARDAGH METAL PACKAGING
N/A
Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC
03969YAB4
250000.00000000
PA
USD
200341.25000000
0.042039272422
Long
DBT
CORP
N/A
N
2
2029-09-01
Fixed
4.00000000
N
N
N
N
N
N
GoldenTree Loan Management US
549300TB55YBQBSW5Z77
Goldentree Loan Management US Clo 3 Ltd
38138BAL4
2170000.00000000
PA
USD
2052472.98000000
0.430687493190
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Floating
6.14257000
N
N
N
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2005-AA12
32051GQ57
34806.83000000
PA
USD
26480.78000000
0.005556682532
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
3.86447300
N
N
N
N
N
N
COTERRA ENERGY INC
FCNMH6O7VWU7LHXMK351
Coterra Energy Inc
127097AE3
820000.00000000
PA
USD
774237.39000000
0.162464677431
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.90000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CM5
560000.00000000
PA
USD
506245.80000000
0.106229770946
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
2.70000000
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2019-FAME
63873VAL7
2862000.00000000
PA
USD
2512638.52000000
0.527247859541
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Variable
4.54408300
N
N
N
N
N
N
BUILDERS FIRSTSOURCE INC
549300W0SKP6L3H7DP63
Builders FirstSource Inc
12008RAP2
30000.00000000
PA
USD
24369.46000000
0.005113646678
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DYX4
1317302.63000000
PA
USD
1090478.66000000
0.228824215972
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
SWOP IRS USD
000000000
-4800000.00000000
NC
USD
-9751.96000000
-0.00204633495
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
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-01-19
0.00000000
USD
0.00000000
USD
0.00000000
USD
-4800000.00000000
USD
95.00000000
USD
2023-01-18
XXXX
17128.04000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MKK99
338857.08000000
PA
USD
333394.97000000
0.069959042224
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
327654.36000000
0.068754442234
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-04-30
0.00000000
USD
-497769.66000000
USD
-28287000.00000000
USD
825424.02000000
N
N
N
DIGNITY HEALTH
TFVG45LTYVO3XKPZWP18
Dignity Health
254010AE1
860000.00000000
PA
USD
731671.45000000
0.153532711860
Long
DBT
CORP
US
N
2
2064-11-01
Fixed
5.26700000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.HY.39.V1
000000000
1.00000000
NC
USD
-823350.89000000
-0.17277057202
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.39.V1
Y
Default Event
2027-12-20
1091026.28000000
USD
0.00000000
USD
-28629600.00000000
USD
-1914377.17000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCW4
790000.00000000
PA
USD
719259.47000000
0.150928202761
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
2.94700000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST
46652DAQ8
2173000.00000000
PA
USD
1051787.85000000
0.220705401190
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
10.62500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
298.00000000
NC
USD
3725.00000000
0.000781647762
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-09
0.00000000
USD
2500.00000000
96.50000000
USD
2022-12-16
XXXX
-101200.80000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/CNH FORWARD
000000000
1.00000000
NC
USD
-16895.68000000
-0.00354536119
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-5180000.00000000
CNY
721147.15000000
USD
2023-01-18
-16895.68000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
97.00000000
NC
USD
-420286.45000000
-0.08819220488
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-06-19
23416561.45000000
USD
-420286.45000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SS8
5570000.00000000
PA
USD
3442847.47000000
0.722441347944
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376G5V8
2542355.51000000
PA
USD
25.42000000
0.000005334090
Long
ABS-MBS
USGA
US
N
2
2046-09-16
Variable
0.01000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
240228.21000000
0.050409085316
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2032-05-15
0.00000000
USD
-79436.61000000
USD
-20322000.00000000
USD
319664.82000000
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS Pass-Through Trust
126650BP4
38321.12000000
PA
USD
38474.61000000
0.008073447735
Long
DBT
CORP
US
N
2
2028-12-10
Fixed
6.03600000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-381.00000000
NC
USD
-206298.34000000
-0.04328929821
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
2023-03-22
-43037201.66000000
USD
-206298.34000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
391.00000000
NC
USD
129518.75000000
0.027177997616
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-09
0.00000000
USD
2500.00000000
95.62500000
USD
2022-12-16
XXXX
-81464.85000000
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
42307TAG3
20000.00000000
PA
USD
22052.63000000
0.004627486951
Long
DBT
CORP
US
N
2
2032-03-15
Variable
6.75000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAP4
60000.00000000
PA
USD
51497.33000000
0.010806113493
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.30000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-76
12668BDJ9
65298.23000000
PA
USD
55769.66000000
0.011702612066
Long
ABS-MBS
CORP
US
N
2
2046-01-25
Floating
4.56357000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CV5
670000.00000000
PA
USD
639420.55000000
0.134174937481
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.70500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379U5F9
2916355.71000000
PA
USD
105168.45000000
0.022068371439
Long
ABS-MBS
USGA
US
N
2
2058-10-16
Variable
0.63313000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VHV5
122140.52000000
PA
USD
121119.26000000
0.025415462700
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
4.50000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAN8
500000.00000000
PA
USD
512008.30000000
0.107438964297
Long
DBT
CORP
US
N
2
2038-07-01
Fixed
7.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WBY3
660385.13000000
PA
USD
583943.60000000
0.122533747191
Long
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
2.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-2372956.07000000
-0.49793712813
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-09-17
144873.01000000
USD
0.00000000
USD
45169000.00000000
USD
-2517829.08000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-1019.00000000
NC
USD
-6368.75000000
-0.00133640783
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-12-19
0.00000000
USD
1000000.00000000
97.50000000
USD
2022-12-19
XXXX
106128.85000000
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-52CB
12668AFX8
3395135.19000000
PA
USD
243378.57000000
0.051070151583
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
1.05643000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RML3
710000.00000000
PA
USD
640320.30000000
0.134363739514
Long
DBT
CORP
US
N
2
2026-03-25
Fixed
1.70000000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZX9
1810000.00000000
PA
USD
1845803.90000000
0.387320399517
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
7.00000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
NOK/EUR FORWARD
000000000
1.00000000
NC
USD
-21274.86000000
-0.00446428099
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-10509027.00000000
NOK
1002826.21000000
EUR
2023-01-18
-21274.86000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA TREASURY BOND
000000000
-13.00000000
NC
USD
27196.26000000
0.005706817657
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
2023-03-22
-1798852.51000000
USD
27196.26000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCK7
1080000.00000000
PA
USD
878472.00000000
0.184337093449
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.25000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBC8
1450000.00000000
PA
USD
1301846.25000000
0.273177237115
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.45000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AJ4
20000.00000000
PA
USD
19996.51000000
0.004196034173
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
5.62500000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/JPY FORWARD
000000000
1.00000000
NC
USD
-105545.38000000
-0.02214746580
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-428410015.00000000
JPY
3017396.81000000
USD
2023-01-18
-105545.38000000
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2018-2
33851HAD5
29425.84000000
PA
USD
28876.57000000
0.006059411094
Long
ABS-MBS
CORP
US
N
2
2048-04-25
Variable
3.50000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AH7
290000.00000000
PA
USD
269479.60000000
0.056547148011
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.50000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBB8
1370000.00000000
PA
USD
1392743.58000000
0.292250980632
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
8.25000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAE6
1300000.00000000
PA
USD
1244359.87000000
0.261114391399
Long
ABS-MBS
CORP
US
N
2
2039-10-25
Floating
7.41614000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
2294905.00000000
0.481559022306
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2033-08-10
451498.67000000
USD
0.00000000
USD
-35629000.00000000
USD
1843406.33000000
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAB6
1150000.00000000
PA
USD
1133531.74000000
0.237858402185
Long
DBT
CORP
KY
N
2
2024-02-15
Fixed
5.50000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
8027000000.00000000
PA
518414.14000000
0.108783155036
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0206C8
4200000.00000000
PA
USD
3461226.55000000
0.726297983315
Long
ABS-MBS
USGSE
US
N
2
2052-12-15
Fixed
2.00000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-28CB
12667GXC2
817812.87000000
PA
USD
572839.56000000
0.120203694031
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
5.75000000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BJ9
320000.00000000
PA
USD
300514.49000000
0.063059457360
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
4.85000000
N
N
N
N
N
N
OZLM Ltd
5493002SZMQH8ZTTHX49
OZLM XVIII Ltd
67112GAG3
800000.00000000
PA
USD
720263.72000000
0.151138932899
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
6.92914000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837BB8
600000.00000000
PA
USD
560353.27000000
0.117583591846
Long
DBT
CORP
NL
N
2
2028-03-28
Fixed
4.01700000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAV1
10000.00000000
PA
USD
8647.58000000
0.001814593706
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
5.40000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0226C4
-1400000.00000000
PA
USD
-1198203.13000000
-0.25142893836
Short
ABS-MBS
USGSE
US
N
2
2052-12-15
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2021-L7
61772TBN3
6390188.87000000
PA
USD
387212.22000000
0.081251963845
Long
ABS-MBS
CORP
US
N
2
2054-10-15
Variable
1.21548000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST
46652DAN5
2079000.00000000
PA
USD
1090704.31000000
0.228871565990
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
8.12500000
N
N
N
N
N
N
Foundation Finance Trust
549300RIQ1R4PTXR5G48
Foundation Finance Trust 2017-1
35040UAC5
2600000.00000000
PA
USD
2504487.96000000
0.525537559679
Long
ABS-O
CORP
US
N
2
2033-07-15
Fixed
5.40000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
USD/MXN FORWARD
000000000
1.00000000
NC
USD
-895675.48000000
-0.18794704288
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-388711577.40000000
MXN
19078805.21000000
USD
2023-01-18
-895675.48000000
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAN3
220000.00000000
PA
USD
192037.49000000
0.040296825328
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.75000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAL3
250000.00000000
PA
USD
238649.16000000
0.050077740108
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.00000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBE2
720000.00000000
PA
USD
704196.37000000
0.147767387080
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.75000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2M4
1030000.00000000
PA
USD
969233.04000000
0.203382238101
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01300000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BR2
110000.00000000
PA
USD
86839.05000000
0.018222160837
Long
DBT
CORP
US
N
2
2032-02-03
Fixed
2.15000000
N
N
N
N
N
N
SPIRIT LOYALTY KY LTD/IP
N/A
Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd
84859BAA9
390000.00000000
PA
USD
394834.05000000
0.082851315889
Long
DBT
CORP
KY
N
2
2025-09-20
Fixed
8.00000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AS9
940000.00000000
PA
USD
910968.03000000
0.191156005969
Long
DBT
CORP
GB
N
2
2024-09-11
Fixed
3.62500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/CAD FORWARD
000000000
1.00000000
NC
USD
103878.33000000
0.021797654819
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-6500065.05000000
USD
8876293.83000000
CAD
2023-01-18
103878.33000000
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BH9
680000.00000000
PA
USD
519041.85000000
0.108914872651
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
4.50000000
N
N
N
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2022-3 Ltd
69690CAJ2
580000.00000000
PA
USD
577886.88000000
0.121262815208
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
9.40507000
N
N
N
N
N
N
TTAN
N/A
TTAN 2021-MHC
87303TAA5
1649641.40000000
PA
USD
1594163.79000000
0.334516660214
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Floating
4.72600000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B85
660000.00000000
PA
USD
606282.60000000
0.127221325543
Long
DBT
CORP
US
N
2
2025-02-10
Fixed
2.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050615
900000.00000000
PA
USD
899226.56000000
0.188692195566
Long
ABS-MBS
USGA
US
N
2
2053-01-15
Fixed
5.00000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17307GK31
92368.36000000
PA
USD
75850.34000000
0.015916308331
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
4.30357000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HS2
1998100.00000000
PA
USD
517454.37000000
0.108581758506
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.50000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDX4
520000.00000000
PA
USD
468678.50000000
0.098346711622
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
6.92080000
N
N
N
N
N
N
CAMERON LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AB6
530000.00000000
PA
USD
439096.16000000
0.092139202933
Long
DBT
CORP
US
N
2
2035-01-15
Fixed
3.30200000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KE6
1240000.00000000
PA
USD
1218040.94000000
0.255591671200
Long
DBT
CORP
US
N
2
2025-06-08
Fixed
4.95000000
N
N
N
N
N
N
Fremont Home Loan Trust
N/A
Fremont Home Loan Trust 2006-B
35729QAC2
323592.20000000
PA
USD
111396.06000000
0.023375162694
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
4.24357000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B51
200000.00000000
PA
USD
167303.22000000
0.035106627530
Long
DBT
CORP
US
N
2
2028-02-16
Fixed
2.90000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDL2
90000.00000000
PA
USD
58934.94000000
0.012366809121
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
2.80000000
N
N
N
N
N
N
AMERICAN TRANSMISSION SY
N/A
American Transmission Systems Inc
030288AC8
130000.00000000
PA
USD
106356.92000000
0.022317757994
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEQ4
1330000.00000000
PA
USD
1296695.30000000
0.272096370393
Long
DBT
CORP
US
N
2
2025-04-17
Fixed
3.62000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MQCZ7
253488.00000000
PA
USD
223151.47000000
0.046825730790
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.50000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AT7
290000.00000000
PA
USD
272152.09000000
0.057107938838
Long
DBT
CORP
GB
N
2
2027-09-11
Fixed
4.00000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAH2
260000.00000000
PA
USD
261098.50000000
0.054788472022
Long
DBT
CORP
US
N
2
2025-02-01
Variable
6.12500000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YAU0
1530000.00000000
PA
USD
1417364.92000000
0.297417481388
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
7.02600000
N
N
N
N
N
N
INDIAN RAILWAY FINANCE
335800F2JHSOGXQEBY56
Indian Railway Finance Corp Ltd
000000000
100000000.00000000
PA
1224772.75000000
0.257004262937
Long
DBT
NUSS
IN
N
2
2027-06-15
Fixed
7.27000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F052615
3400000.00000000
PA
USD
3437800.49000000
0.721382298112
Long
ABS-MBS
USGSE
US
N
2
2053-01-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617JYLP6
91882.85000000
PA
USD
87860.79000000
0.018436561047
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
3.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-506.00000000
NC
USD
-319412.50000000
-0.06702498413
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-19
0.00000000
USD
2500.00000000
96.50000000
USD
2023-12-15
XXXX
209849.90000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TJ7
7510000.00000000
PA
USD
6432784.38000000
1.349844702391
Long
DBT
UST
US
N
2
2052-08-15
Fixed
3.00000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCP6
2560000.00000000
PA
USD
1997350.40000000
0.419120663307
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
4.25000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89115A2H4
980000.00000000
PA
USD
970318.57000000
0.203610023898
Long
DBT
CORP
CA
N
2
2027-09-15
Fixed
4.69300000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAJ9
430000.00000000
PA
USD
424528.01000000
0.089082246732
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.87500000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VAN3
950000.00000000
PA
USD
761620.50000000
0.159817170361
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2019-RIO
12597HAA4
3650768.85000000
PA
USD
3649306.72000000
0.765764411241
Long
ABS-MBS
CORP
US
N
2
2022-12-15
Floating
6.89851100
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370DB3
210000.00000000
PA
USD
201761.22000000
0.042337236549
Long
DBT
CORP
US
N
2
2032-08-19
Fixed
6.10000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617MB5P0
32428.29000000
PA
USD
31086.08000000
0.006523050972
Long
ABS-MBS
USGA
US
N
2
2050-03-15
Fixed
4.00000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AN8
1110000.00000000
PA
USD
1057293.04000000
0.221860601041
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CD6
490000.00000000
PA
USD
464240.19000000
0.097415384084
Long
DBT
NUSS
ID
N
2
2028-01-11
Fixed
3.50000000
N
N
N
N
N
N
Oaktree CLO Ltd
549300BJ8TRWJ20BLC43
Oaktree CLO 2019-1 Ltd
67401XAJ0
1000000.00000000
PA
USD
860200.00000000
0.180502927566
Long
ABS-CBDO
CORP
KY
N
2
2030-04-22
Floating
8.12457000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAM1
190000.00000000
PA
USD
178203.03000000
0.037393825408
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBF1
1100000.00000000
PA
USD
799452.36000000
0.167755744513
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBL5
210000.00000000
PA
USD
211413.30000000
0.044362612853
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
6.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-239.00000000
NC
USD
-182984.38000000
-0.03839713588
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
115.00000000
USD
2023-01-27
XXXX
-37757.22000000
N
N
N
STEWART PARK CLO LTD
549300FC1IHOM4H6GL63
Stewart Park CLO Ltd
860444AS7
1130000.00000000
PA
USD
1051174.96000000
0.220576793379
Long
ABS-CBDO
CORP
KY
N
2
2030-01-15
Floating
5.87914000
N
N
N
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AF0
930000.00000000
PA
USD
806897.59000000
0.169318039109
Long
DBT
CORP
US
N
2
2042-08-01
Fixed
4.45000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 5 Year Euro BOBL
000000000
30.00000000
NC
-79653.76000000
-0.01671441161
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-12-08
3653910.35000000
USD
-79653.76000000
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAR6
1580000.00000000
PA
USD
1479575.37000000
0.310471618043
Long
DBT
CORP
IE
N
2
2027-10-15
Fixed
4.62500000
N
N
N
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
Lennar Corp
526057BZ6
350000.00000000
PA
USD
345079.15000000
0.072410830989
Long
DBT
CORP
US
N
2
2024-04-30
Fixed
4.50000000
N
N
N
N
N
N
Cook Park CLO, Ltd
N/A
Cook Park CLO Ltd
21623RAA1
250000.00000000
PA
USD
200461.59000000
0.042064524366
Long
ABS-CBDO
CORP
KY
N
2
2030-04-17
Floating
9.47914000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
576627.97000000
0.120998647642
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-08-15
21769.48000000
USD
0.00000000
USD
-4524000.00000000
USD
554858.49000000
N
N
N
Bear Stearns Mortgage Funding
N/A
Bear Stearns Mortgage Funding Trust 2007-AR1
07401MAA9
1099806.05000000
PA
USD
921092.52000000
0.193280511997
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
4.20357000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFTF8
571208.29000000
PA
USD
491777.54000000
0.103193775496
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MB4M8
92082.91000000
PA
USD
90598.27000000
0.019010989267
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
4.00000000
N
N
N
N
N
N
BrightSpire Capital, Inc
N/A
BRSP 2021-FL1 Ltd
05591XAA9
1600000.00000000
PA
USD
1550685.04000000
0.325393152120
Long
ABS-CBDO
CORP
KY
N
2
2038-08-19
Floating
5.08857000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDU7
510000.00000000
PA
USD
493183.49000000
0.103488797689
Long
DBT
CORP
US
N
2
2025-04-07
Fixed
3.80000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
-208.00000000
NC
USD
256704.65000000
0.053866473895
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-19
-49958304.65000000
USD
256704.65000000
N
N
N
ATLAS LUXCO 4 / ALL UNI
N/A
Allied Universal Holdco LLC/Allied Universal Finance Corp/Atlas Luxco 4 Sarl
049362AA4
660000.00000000
PA
USD
556050.00000000
0.116680600876
Long
DBT
CORP
N/A
N
2
2028-06-01
Fixed
4.62500000
N
N
N
N
N
N
WORKDAY INC
549300J0DYC0N31V7G13
Workday Inc
98138HAJ0
1170000.00000000
PA
USD
1046467.32000000
0.219588950085
Long
DBT
CORP
US
N
2
2032-04-01
Fixed
3.80000000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
48667QAN5
1010000.00000000
PA
USD
937795.10000000
0.196785353415
Long
DBT
CORP
KZ
N
2
2027-04-19
Fixed
4.75000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
38342000.00000000
PA
6785961.75000000
1.423954850305
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2015-2R
12649QBC7
118849.81000000
PA
USD
118480.90000000
0.024861833655
Long
ABS-MBS
CORP
US
N
2
2036-08-27
Variable
3.09698000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
237.00000000
NC
USD
12961.06000000
0.002719727126
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
107.75000000
USD
2022-12-02
XXXX
-26097.51000000
N
N
N
Goldentree Loan Opportunities
549300IOBSI2NBFBJX90
GoldenTree Loan Opportunities IX Ltd
38123HAW4
1550000.00000000
PA
USD
1462336.34000000
0.306854208855
Long
ABS-CBDO
CORP
KY
N
2
2029-10-29
Floating
7.41471000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378BF61
1426485.76000000
PA
USD
4909.54000000
0.001030209652
Long
ABS-MBS
USGA
US
N
2
2053-02-16
Variable
0.12765000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NG2
470000.00000000
PA
USD
427374.22000000
0.089679490672
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
3.07000000
N
N
N
N
N
N
PRKCM Trust
N/A
PRKCM 2022-AFC1 Trust
69377CAA1
664661.80000000
PA
USD
617755.82000000
0.129628846816
Long
ABS-MBS
CORP
US
N
2
2057-04-25
Variable
4.10000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023BY0
150000.00000000
PA
USD
111251.89000000
0.023344910302
Long
DBT
CORP
US
N
2
2038-03-01
Fixed
3.55000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-576.00000000
NC
USD
-3600.00000000
-0.00075541797
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-12-19
0.00000000
USD
1000000.00000000
98.37500000
USD
2022-12-19
XXXX
437090.40000000
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AH0
110000.00000000
PA
USD
101654.34000000
0.021330976482
Long
DBT
CORP
US
N
2
2025-06-25
Fixed
2.90000000
N
N
N
N
N
N
WORKDAY INC
549300J0DYC0N31V7G13
Workday Inc
98138HAG6
1200000.00000000
PA
USD
1135085.20000000
0.238184377630
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAT2
570000.00000000
PA
USD
567227.86000000
0.119026144300
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.37500000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAQ8
1000000.00000000
PA
USD
927567.36000000
0.194639181580
Long
DBT
CORP
ES
N
2
2028-03-24
Fixed
4.17500000
N
N
N
N
N
N
WILLIS-KNIGHTON MED CTR
N/A
Willis-Knighton Medical Center
97068LAA6
710000.00000000
PA
USD
625197.06000000
0.131190304157
Long
DBT
CORP
US
N
2
2048-09-01
Fixed
4.81300000
N
N
N
N
N
N
PARSLEY ENERGY LLC/FINAN
N/A
Parsley Energy LLC / Parsley Finance Corp
701885AJ4
70000.00000000
PA
USD
64422.26000000
0.013518259161
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.12500000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BB7
180000.00000000
PA
USD
159418.06000000
0.033452018759
Long
DBT
CORP
US
N
2
2042-12-01
Fixed
4.62500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAR4
230000.00000000
PA
USD
189922.04000000
0.039852922842
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
5.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
JPY/USD FORWARD
000000000
1.00000000
NC
USD
121745.62000000
0.025546897033
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-2208013.93000000
USD
319600000.00000000
JPY
2023-01-18
121745.62000000
N
N
N
Highbridge Loan Management Ltd
2549009NI8GVCM3ROT27
HPS Loan Management 10-2016 Ltd
40436TBA3
1520000.00000000
PA
USD
1409753.73000000
0.295820362024
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
7.39257000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
EUR/USD FORWARD
000000000
1.00000000
NC
USD
116700.50000000
0.024488237501
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-2926597.12000000
USD
2912790.49000000
EUR
2023-01-18
116700.50000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAG8
130000.00000000
PA
USD
126649.05000000
0.026575824574
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
Dividend Solar Loans LLC
N/A
Dividend Solar Loans 2018-1 LLC
255396AC7
2636764.57000000
PA
USD
2370212.72000000
0.497361468166
Long
ABS-O
CORP
US
N
2
2038-07-20
Fixed
5.14000000
N
N
N
N
N
N
CALIFORNIA INSTITUTE OF
549300CITPNHOTVPHC04
California Institute of Technology
13034VAD6
870000.00000000
PA
USD
573784.85000000
0.120402052102
Long
DBT
CORP
US
N
2
2119-09-01
Fixed
3.65000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-356.00000000
NC
USD
-17800.00000000
-0.00373512219
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-06-19
0.00000000
USD
1000000.00000000
97.50000000
USD
2023-06-19
XXXX
88252.40000000
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
Lennar Corp
526057BV5
110000.00000000
PA
USD
107893.05000000
0.022640096941
Long
DBT
CORP
US
N
2
2025-05-30
Fixed
4.75000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2018-GW MZ
12433RAA0
3000000.00000000
PA
USD
2867968.80000000
0.601809770484
Long
ABS-MBS
CORP
US
N
2
2037-05-15
Floating
9.36315700
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AK0
479000.00000000
PA
USD
443889.30000000
0.093144987404
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.75000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CB4
1900000.00000000
PA
USD
1795994.89000000
0.376868560265
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.40000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 10 Year Euro BUND
000000000
-144.00000000
NC
431918.93000000
0.090633145008
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2022-12-08
-20586462.72000000
USD
431918.93000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-860.61000000
-0.00018058896
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-570000.00000000
EUR
594678.15000000
USD
2023-01-18
-860.61000000
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A3
59020UHN8
32653.36000000
PA
USD
28837.14000000
0.006051137168
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Variable
3.06829700
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAT8
200000.00000000
PA
USD
196808.24000000
0.041297911519
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.95000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397WW9
200000.00000000
PA
USD
192257.00000000
0.040342886939
Long
DBT
CORP
US
N
2
2024-09-08
Fixed
3.66400000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F052615
-3400000.00000000
PA
USD
-3437800.49000000
-0.72138229811
Short
ABS-MBS
USGSE
US
N
2
2053-01-15
Fixed
5.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JW8
580000.00000000
PA
USD
500015.59000000
0.104922434113
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0306C7
1700000.00000000
PA
USD
1505211.64000000
0.315851090011
Long
ABS-MBS
USGSE
US
N
2
2052-12-15
Fixed
3.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
JPY/USD FORWARD
000000000
1.00000000
NC
USD
-15339.17000000
-0.00321874574
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-31400000.00000000
JPY
213554.60000000
USD
2023-01-18
-15339.17000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CDS VOLKSWAGEN INTERNATIONAL
000000000
1.00000000
NC
38882.45000000
0.008159028198
N/A
DCR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
VOLKSWAGEN INTERNATIONAL FINANCE NV
VOLKSWAGEN INTERNATIONAL FINANCE NV
Y
Default Event
2024-12-20
37546.49000000
USD
0.00000000
USD
7380000.00000000
EUR
1335.96000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS JPY
000000000
1.00000000
NC
1759055.76000000
0.369117315082
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-04-19
2140.43000000
USD
0.00000000
USD
-2608760000.00000000
JPY
1756915.33000000
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAN9
280000.00000000
PA
USD
249502.20000000
0.052355123848
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WDM8
78528.54000000
PA
USD
72969.42000000
0.015311780903
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-164.00000000
NC
USD
-371562.51000000
-0.07796805490
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
111.50000000
USD
2022-12-23
XXXX
-82002.47000000
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636ABD2
1290000.00000000
PA
USD
1242444.64000000
0.260712502743
Long
DBT
CORP
DK
N
2
2025-03-28
Fixed
3.77300000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBF1
320000.00000000
PA
USD
260136.00000000
0.054586502633
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.75000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBG7
428000.00000000
PA
USD
403039.09000000
0.084573047743
Long
DBT
CORP
US
N
2
2059-02-14
Fixed
6.20000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
173973000.00000000
PA
1225864.65000000
0.257233385405
Long
DBT
NUSS
RU
N
2
2029-05-23
Fixed
6.90000000
N
Y
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAN1
460000.00000000
PA
USD
374902.30000000
0.078668870845
Long
DBT
CORP
US
N
2
2032-01-31
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F060626
3400000.00000000
PA
USD
3471035.08000000
0.728356188825
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
6.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABS3
360000.00000000
PA
USD
307171.40000000
0.064456332207
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
2.62500000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HX1
143434.80159600
PA
USD
36694.96000000
0.007700008959
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
237.00000000
NC
USD
49992.30000000
0.010490300518
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
108.75000000
USD
2022-12-02
XXXX
16738.43000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXKP6
40217.12000000
PA
USD
39585.51000000
0.008306557131
Long
ABS-MBS
USGSE
US
N
2
2058-08-01
Fixed
4.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2P8
1580000.00000000
PA
USD
1249017.18000000
0.262091673531
Long
DBT
CORP
FR
N
2
2032-04-19
Fixed
2.87100000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-ARIA
05608RAQ8
1030000.00000000
PA
USD
897042.45000000
0.188233885581
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
7.01710000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAW4
1060000.00000000
PA
USD
1020048.49000000
0.214045267037
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
4.60000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370DA5
1290000.00000000
PA
USD
1021628.15000000
0.214376740246
Long
DBT
CORP
US
N
2
2032-02-12
Fixed
3.25000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-3218826.84000000
-0.67543323407
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2025-08-10
0.00000000
USD
-591372.80000000
USD
160183000.00000000
USD
-2627454.04000000
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBY8
520000.00000000
PA
USD
386193.25000000
0.081038144886
Long
DBT
CORP
US
N
2
2051-01-31
Fixed
3.70000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AJ8
1180000.00000000
PA
USD
814200.00000000
0.170850364595
Long
DBT
CORP
CO
N
2
2045-05-28
Fixed
5.87500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
180000.00000000
PA
USD
135310.57000000
0.028393343426
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR3 Trust
92925CDB5
1320785.59000000
PA
USD
1143885.25000000
0.240030965386
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
2.68872000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0226C0
-900000.00000000
PA
USD
-791296.88000000
-0.16604441224
Short
ABS-MBS
USGA
US
N
2
2052-12-15
Fixed
2.50000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAF0
5040000.00000000
PA
USD
4977000.00000000
1.044365345850
Long
DBT
CORP
CH
N
2
N/A
Fixed
7.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TB4
11910000.00000000
PA
USD
7835942.61000000
1.644281075740
Long
DBT
UST
US
N
2
2051-11-15
Fixed
1.87500000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DM9
2140000.00000000
PA
USD
1836196.78000000
0.385304457543
Long
DBT
CORP
US
N
2
2027-08-21
Fixed
1.30000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-21CB
02147GAF1
1547534.35000000
PA
USD
174080.75000000
0.036528813076
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
1.55643000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PDG8
1790000.00000000
PA
USD
1753830.47000000
0.368020848978
Long
DBT
CORP
US
N
2
2028-07-25
Fixed
4.85100000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CL7
670000.00000000
PA
USD
523826.10000000
0.109918791660
Long
DBT
CORP
US
N
2
2047-02-15
Fixed
4.10000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.39.V1
000000000
1.00000000
NC
USD
91707.57000000
0.019243762921
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.39.V1
Y
Default Event
2027-12-20
0.00000000
USD
-14603.53000000
USD
7109000.00000000
USD
106311.10000000
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BX7
520000.00000000
PA
USD
460685.52000000
0.096669478083
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042612
400000.00000000
PA
USD
391921.87000000
0.082240228914
Long
ABS-MBS
USGA
US
N
2
2053-01-20
Fixed
4.50000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
225611900.00000000
PA
10011242.51000000
2.100742364145
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AS8
120000.00000000
PA
USD
112969.20000000
0.023705267757
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
5.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-677.00000000
NC
USD
-46543.75000000
-0.00976666256
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-09-19
0.00000000
USD
2500.00000000
97.25000000
USD
2023-06-16
XXXX
512159.55000000
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F052623
3400000.00000000
PA
USD
3436339.54000000
0.721075734810
Long
ABS-MBS
USGSE
US
N
2
2053-02-15
Fixed
5.50000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AH3
10000.00000000
PA
USD
9756.05000000
0.002047193195
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SX7
7270000.00000000
PA
USD
5409760.32000000
1.135175046728
Long
DBT
UST
US
N
2
2051-05-15
Fixed
2.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-1758.00000000
NC
USD
-10987.50000000
-0.00230559860
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-12-19
0.00000000
USD
1000000.00000000
98.87500000
USD
2022-12-19
XXXX
336920.70000000
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
Targa Resources Corp
87612KAA0
860000.00000000
PA
USD
849314.58000000
0.178218749262
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
5.20000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAHA5
6469.62000000
PA
USD
6071.55000000
0.001274043884
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
Apex Credit CLO LLC
549300OKB854VBBC1981
Apex Credit CLO 2019-II Ltd
03755CAN4
1000000.00000000
PA
USD
910055.26000000
0.190964471841
Long
ABS-CBDO
CORP
KY
N
2
2032-10-25
Floating
8.40843000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-370.00000000
NC
USD
-25437.50000000
-0.00533776240
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-06-19
0.00000000
USD
1000000.00000000
97.12500000
USD
2023-06-19
XXXX
223535.50000000
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-2
64830DAB9
1228053.86000000
PA
USD
1166750.52000000
0.244828975354
Long
ABS-MBS
CORP
US
N
2
2057-12-25
Variable
4.25000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F050627
3500000.00000000
PA
USD
3482910.17000000
0.730848037825
Long
ABS-MBS
USGSE
US
N
2
2053-02-15
Fixed
5.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12
46632HAL5
76755.92000000
PA
USD
68880.76000000
0.014453823335
Long
ABS-MBS
CORP
US
N
2
2051-02-15
Variable
6.72445700
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
723.00000000
NC
USD
208669.13000000
0.043786780815
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
2023-03-31
78287665.00000000
USD
208669.13000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
1.00000000
NC
USD
6.25000000
0.000001311489
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-12-19
0.00000000
USD
1000000.00000000
97.00000000
USD
2022-12-19
XXXX
-239.60000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCE1
2060000.00000000
PA
USD
1738104.40000000
0.364720916783
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.50000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBF9
50000.00000000
PA
USD
44484.11000000
0.009334471152
Long
DBT
CORP
US
N
2
2049-02-14
Fixed
5.95000000
N
N
N
N
N
N
Goldentree Loan Opportunities
549300IOBSI2NBFBJX90
GoldenTree Loan Opportunities IX Ltd
38123HAU8
2270000.00000000
PA
USD
2168381.14000000
0.455009467392
Long
ABS-CBDO
CORP
KY
N
2
2029-10-29
Floating
6.51471000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R05
20754HAD0
1770390.12000000
PA
USD
1733205.73000000
0.363692988073
Long
ABS-MBS
CORP
US
N
2
2039-07-25
Floating
8.11614000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
1549766.62000000
0.325200432405
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2048-02-15
1036980.54000000
USD
0.00000000
USD
-15086000.00000000
USD
512786.08000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
22.00000000
NC
USD
26468.76000000
0.005554160275
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
113.00000000
USD
2022-12-23
XXXX
7524.44000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-391.00000000
NC
USD
-173506.25000000
-0.03640826095
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-19
0.00000000
USD
2500.00000000
96.87500000
USD
2023-12-15
XXXX
35835.15000000
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822CE2
260000.00000000
PA
USD
245958.44000000
0.051611507184
Long
DBT
CORP
JP
N
2
2028-04-19
Fixed
4.08000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2006-GP3
525228AD4
10951.84000000
PA
USD
21090.95000000
0.004425689630
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Floating
4.48357000
N
N
N
N
N
N
MILEAGE PLUS HLDINGS LLC
N/A
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd
599191AA1
475000.00000000
PA
USD
473216.38000000
0.099298932762
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZR7
220000.00000000
PA
USD
205378.80000000
0.043096343478
Long
DBT
CORP
US
N
2
2029-05-03
Fixed
5.11300000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
154.00000000
NC
USD
-370642.84000000
-0.07777507289
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-03-13
36884042.84000000
USD
-370642.84000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAL4
30000.00000000
PA
USD
26218.50000000
0.005501646136
Long
DBT
CORP
US
N
2
N/A
Fixed
6.75000000
N
N
N
N
N
N
DETROIT MI
549300BQRJP7MKKHOY28
City of Detroit MI
251093S84
790000.00000000
PA
USD
581644.37000000
0.122051280618
Long
DBT
MUN
US
N
2
2044-04-01
Variable
4.00000000
N
N
N
N
N
N
TEVA PHARMACEUT FIN BV
549300Q840R30TDKVK53
Teva Pharmaceutical Finance Co BV
88165FAG7
2170000.00000000
PA
USD
2167036.02000000
0.454727209664
Long
DBT
CORP
CW
N
2
2022-12-18
Fixed
2.95000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
474.00000000
NC
USD
59250.00000000
0.012432920783
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
109.00000000
USD
2022-12-02
XXXX
18476.85000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
530.00000000
NC
USD
112625.00000000
0.023633041405
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-09
0.00000000
USD
2500.00000000
95.75000000
USD
2022-12-16
XXXX
-318338.00000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKS7
1170000.00000000
PA
USD
1141361.10000000
0.239501301977
Long
DBT
CORP
US
N
2
2025-04-25
Fixed
3.84100000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABT1
2330000.00000000
PA
USD
1949498.19000000
0.409079435691
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.87500000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AN0
60000.00000000
PA
USD
54607.36000000
0.011458716980
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.60000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CP8
570000.00000000
PA
USD
432930.88000000
0.090845490902
Long
DBT
CORP
US
N
2
2035-02-01
Fixed
3.25000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2019-4
89178BBA1
1840000.00000000
PA
USD
1239521.15000000
0.260099042497
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
3.50000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDS2
120000.00000000
PA
USD
96374.81000000
0.020223128747
Long
DBT
CORP
US
N
2
2032-01-12
Fixed
3.10000000
N
N
N
N
N
N
Mercury Financial Credit Card
N/A
Mercury Financial Credit Card Master Trust
58940BAB2
2000000.00000000
PA
USD
1847159.20000000
0.387604793399
Long
ABS-O
CORP
US
N
2
2026-03-20
Fixed
2.33000000
N
N
N
N
N
N
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
TSE Japanese 10 Year Bond
000000000
-15.00000000
NC
-33253.68000000
-0.00697789652
N/A
DIR
CORP
JP
N
1
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
Short
JAPAN (10 YEAR ISSUE)
Japan Government Ten Year Bond
2022-12-13
-15458182.38000000
USD
-33253.68000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-285.00000000
NC
USD
-1781.25000000
-0.00037377451
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-12-19
0.00000000
USD
1000000.00000000
98.12500000
USD
2022-12-19
XXXX
246995.25000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAQ6
410000.00000000
PA
USD
363846.76000000
0.076348994845
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.75000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
180300000.00000000
PA
1270446.54000000
0.266588374549
Long
DBT
NUSS
RU
N
2
2027-10-06
Fixed
6.00000000
N
Y
N
N
N
N
Magenta Buyer LLC
N/A
Magenta Buyer LLC
55910RAB9
64879.72000000
PA
USD
58635.05000000
0.012303880705
Long
LON
CORP
US
N
2
2028-07-27
Floating
9.17000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAL7
780000.00000000
PA
USD
755552.15000000
0.158543797959
Long
DBT
CORP
US
N
2
2041-07-15
Fixed
5.60000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
02156LAH4
310000.00000000
PA
USD
248973.40000000
0.052244161341
Long
DBT
CORP
FR
N
2
2029-10-15
Fixed
5.50000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAA1
670000.00000000
PA
USD
654104.08000000
0.137256104828
Long
DBT
CORP
GB
N
2
2024-11-04
Fixed
4.50000000
N
N
N
N
N
N
INDIA GOVERNMENT BOND
335800IV7VCDQGIOI391
India Government Bond
000000000
200000000.00000000
PA
2252855.45000000
0.472735415147
Long
DBT
NUSS
IN
N
2
2030-05-11
Fixed
5.79000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBC6
870000.00000000
PA
USD
855657.05000000
0.179549642546
Long
DBT
CORP
US
N
2
2026-02-14
Fixed
4.40000000
N
N
N
N
N
N
Bristol Park CLO, Ltd.
549300XRS6MFERKEPO61
Bristol Park CLO LTD
11014PAQ8
1420000.00000000
PA
USD
1302512.57000000
0.273317056588
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
7.02914000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAU8
1760000.00000000
PA
USD
1726991.46000000
0.362388996062
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
4.00000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
SWOP IRS USD
000000000
4800000.00000000
NC
USD
66934.36000000
0.014045394018
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
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-01-19
0.00000000
USD
0.00000000
USD
0.00000000
USD
4800000.00000000
USD
101.00000000
USD
2023-01-18
XXXX
23254.36000000
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2022-ONL
95003WAN6
1190000.00000000
PA
USD
920450.24000000
0.193145737037
Long
ABS-MBS
CORP
US
N
2
2039-12-15
Variable
5.09191500
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VAG8
800000.00000000
PA
USD
729454.70000000
0.153067552752
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.75500000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F060618
-3400000.00000000
PA
USD
-3474089.77000000
-0.72899717985
Short
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
6.00000000
N
N
N
N
N
N
HalseyPoint CLO I, Ltd.
549300POBLM5RW6LD816
Halsey Point CLO I Ltd
40638CAC3
860000.00000000
PA
USD
698882.51000000
0.146652335596
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
12.44257000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
984245AU4
1382450.00000000
PA
USD
1284883.59000000
0.269617820946
Long
DBT
CORP
AR
N
2
2026-02-12
Variable
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/GBP FORWARD
000000000
1.00000000
NC
USD
96614.10000000
0.020273340960
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-1968478.16000000
USD
1710493.05000000
GBP
2023-01-18
96614.10000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
5125048.87000000
1.075431672818
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-05-15
1068578.06000000
USD
0.00000000
USD
-19008000.00000000
USD
4056470.81000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEK7
1260000.00000000
PA
USD
1120293.04000000
0.235080415546
Long
DBT
CORP
US
N
2
2028-01-21
Fixed
2.47500000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
Vale Overseas Ltd
91911TAH6
1220000.00000000
PA
USD
1262324.24000000
0.264884004718
Long
DBT
CORP
KY
N
2
2036-11-21
Fixed
6.87500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/NZD FORWARD
000000000
1.00000000
NC
USD
184961.51000000
0.038812013534
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-1676585.92000000
USD
2952058.00000000
NZD
2023-01-18
184961.51000000
N
N
N
Bank
N/A
BANK 2018-BNK15
06036FBG5
1050000.00000000
PA
USD
954445.80000000
0.200279308421
Long
ABS-MBS
CORP
US
N
2
2061-11-15
Variable
4.81122400
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AL8
710000.00000000
PA
USD
587063.50000000
0.123188421782
Long
DBT
CORP
US
N
2
2048-08-15
Fixed
5.50000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBN1
30000.00000000
PA
USD
30859.05000000
0.006475411377
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.87500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GLA5
950000.00000000
PA
USD
937979.75000000
0.196824100062
Long
DBT
CORP
US
N
2
2026-07-22
Fixed
4.82700000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABW4
1310000.00000000
PA
USD
1143041.42000000
0.239853897512
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
3.50000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2004-AR13 Trust
92922FB49
1529743.01000000
PA
USD
1393052.67000000
0.292315839560
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
4.73614000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
393.00000000
NC
USD
416352.93000000
0.087366801634
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
2023-03-22
49494647.07000000
USD
416352.93000000
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBV9
100000.00000000
PA
USD
102575.67000000
0.021524306826
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
5.55000000
N
N
N
N
N
N
Babson CLO Ltd
5493000D71NBEM2WZE67
Barings CLO Ltd 2018-III
06760PAJ0
1270000.00000000
PA
USD
1176280.58000000
0.246828747186
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
7.14257000
N
N
N
N
N
N
Deutsche Mortgage Securities,
N/A
Deutsche Mortgage Securities Inc Mortgage Loan Trust 2004-4
251563FE7
2939.75000000
PA
USD
2645.50000000
0.000555127290
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
4.49357000
N
N
N
N
N
N
GreenPoint Mortgage Funding Tr
N/A
GreenPoint Mortgage Funding Trust 2006-AR3
39538WHC5
8926.46000000
PA
USD
10114.79000000
0.002122470596
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
4.50357000
N
N
N
N
N
N
METLIFE INC
C4BXATY60WC6XEOZDX54
MetLife Inc
59156RAP3
630000.00000000
PA
USD
594146.55000000
0.124674717134
Long
DBT
CORP
US
N
2
2036-12-15
Fixed
6.40000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3A9
870000.00000000
PA
USD
850334.31000000
0.178432727697
Long
DBT
CORP
US
N
2
2028-07-25
Fixed
4.80800000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBE2
26000.00000000
PA
USD
26023.01000000
0.005460624842
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
5.87500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/CNH FORWARD
000000000
1.00000000
NC
USD
-9650.44000000
-0.00202503216
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-5479831.00000000
CNY
771112.10000000
USD
2023-01-18
-9650.44000000
N
N
N
CFK Trust
N/A
CFK Trust 2020-MF2
12529AAJ3
1440000.00000000
PA
USD
1163762.93000000
0.244202064472
Long
ABS-MBS
CORP
US
N
2
2039-03-15
Variable
3.57275000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617MKLU1
43391.25000000
PA
USD
40951.77000000
0.008593250841
Long
ABS-MBS
USGA
US
N
2
2050-05-15
Fixed
3.50000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAD3
1200000.00000000
PA
USD
1171710.00000000
0.245869664333
Long
DBT
CORP
NL
N
2
2023-07-21
Fixed
2.80000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-193.00000000
NC
USD
-361875.00000000
-0.07593524402
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
112.00000000
USD
2022-12-23
XXXX
-170412.01000000
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAF6
2250000.00000000
PA
USD
2085528.74000000
0.437623858515
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.90000000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAC4
30000.00000000
PA
USD
27834.00000000
0.005840639951
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
5.50000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAA3
1550000.00000000
PA
USD
1556781.25000000
0.326672370618
Long
DBT
CORP
MA
N
2
2024-04-25
Fixed
5.62500000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2003-60
12669FJC8
30864.84000000
PA
USD
29076.53000000
0.006101370365
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
2.16797700
N
N
N
N
N
N
WW International Inc
SGT8R1MU6ESIC7UJC518
WW International Inc
92941PAC7
1207000.00000000
PA
USD
755883.75000000
0.158613380347
Long
LON
CORP
US
N
2
2028-04-13
Floating
7.58000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2021-2 Receivables Funding LLC
82652RAA7
330719.23000000
PA
USD
305158.44000000
0.064033936051
Long
ABS-O
CORP
US
N
2
2038-09-20
Fixed
1.35000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-SDMF
12434CAQ7
860000.00000000
PA
USD
795888.38000000
0.167007884918
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
5.81200000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F060618
3400000.00000000
PA
USD
3474089.77000000
0.728997179859
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
6.00000000
N
N
N
N
N
N
NGPL PIPECO LLC
549300K3NT1HSQFEM073
NGPL PipeCo LLC
62912XAF1
1980000.00000000
PA
USD
1886336.58000000
0.395825709214
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
4.87500000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
98030000.00000000
PA
4465433.36000000
0.937019058748
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS Pass-Through Trust
126650AW0
8929.77000000
PA
USD
8857.35000000
0.001858611492
Long
DBT
CORP
US
N
2
2027-01-11
Fixed
5.29800000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAC7
250000.00000000
PA
USD
203750.00000000
0.042754558813
Long
DBT
CORP
US
N
2
2033-11-01
Fixed
3.87500000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CA5
380000.00000000
PA
USD
327267.40000000
0.068673243196
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-643.00000000
NC
USD
-4018.75000000
-0.00084328777
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-03-14
0.00000000
USD
2500.00000000
95.75000000
USD
2022-12-16
XXXX
26780.95000000
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAH0
2910000.00000000
PA
USD
2593572.54000000
0.544230918771
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.62500000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.38.V1
000000000
1.00000000
NC
USD
116587.04000000
0.024464429244
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.38.V1
Y
Default Event
2032-06-20
211983.85000000
USD
0.00000000
USD
-36918000.00000000
USD
-95396.81000000
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F050619
-3500000.00000000
PA
USD
-3483046.88000000
-0.73087672482
Short
ABS-MBS
USGSE
US
N
2
2050-01-15
Fixed
5.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
108.00000000
NC
USD
22950.00000000
0.004815789569
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-09
0.00000000
USD
2500.00000000
95.75000000
USD
2022-12-16
XXXX
-63951.80000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-25.00000000
NC
USD
-15781.25000000
-0.00331151107
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-19
0.00000000
USD
2500.00000000
96.50000000
USD
2023-12-15
XXXX
6803.75000000
N
N
N
BIG Commercial Mortgage Trust
N/A
BIG Commercial Mortgage Trust 2022-BIG
05551UAF2
1950000.00000000
PA
USD
1810727.69000000
0.379960066346
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Floating
9.22985000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAP4
450000.00000000
PA
USD
449307.00000000
0.094281828500
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
5.67800000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-836.00000000
NC
USD
-52250.00000000
-0.01096405250
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-12-19
0.00000000
USD
2500.00000000
98.25000000
USD
2023-09-15
XXXX
217694.40000000
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CY3
2610000.00000000
PA
USD
2557426.22000000
0.536646035511
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.95000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-482.00000000
NC
USD
-267359.62000000
-0.05610229495
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
108.75000000
USD
2022-12-23
XXXX
-119615.22000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
NOK/USD FORWARD
000000000
1.00000000
NC
USD
425495.98000000
0.089285363936
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-4817277.61000000
USD
51538608.00000000
NOK
2023-01-18
425495.98000000
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325CU7
370000.00000000
PA
USD
245524.64000000
0.051520479318
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VAQ6
300000.00000000
PA
USD
232801.53000000
0.048850683221
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14100000
N
N
N
N
N
N
Nomura Asset Acceptance Corpor
N/A
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AF2
65536XAD5
66173.43000000
PA
USD
39228.08000000
0.008231554618
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Variable
3.78150700
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
Netflix Inc
000000000
840000.00000000
PA
838737.75000000
0.175999324966
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWBP7
2175047.25000000
PA
USD
1800127.90000000
0.377735824162
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
WP CityMD Bidco LLC
N/A
WP CityMD Bidco LLC
92940KAK1
5358.00000000
PA
USD
5341.26000000
0.001120801054
Long
LON
CORP
US
N
2
2028-12-22
Floating
6.92410000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBG9
260000.00000000
PA
USD
248720.13000000
0.052191015589
Long
DBT
CORP
US
N
2
2024-09-06
Fixed
2.78900000
N
N
N
N
N
N
Access Group Inc
635400C9RW3TYNTIJP57
AccessLex Institute
00432CBK6
450000.00000000
PA
USD
427961.25000000
0.089802672064
Long
ABS-O
CORP
US
N
2
2039-07-01
Variable
5.57100000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
595.00000000
NC
USD
368156.25000000
0.077253291010
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-09-19
0.00000000
USD
2500.00000000
95.25000000
USD
2023-06-16
XXXX
-19843.25000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
57.00000000
NC
USD
203953.13000000
0.042797183273
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
110.00000000
USD
2022-12-23
XXXX
126870.14000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A54N3
28419.41000000
PA
USD
30679.11000000
0.006437653069
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Fixed
7.00000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BK2
1240000.00000000
PA
USD
785614.18000000
0.164851963994
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
5.00000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DCH6
200000.00000000
PA
USD
182947.88000000
0.038389476786
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
4.62500000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCQ4
200000.00000000
PA
USD
167499.00000000
0.035147709677
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
ROCKIES EXPRESS PIPELINE
W2ZGZGZKY5GGNY6F3V51
Rockies Express Pipeline LLC
77340RAM9
1920000.00000000
PA
USD
1601923.20000000
0.336144881815
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
6.87500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFF3
200000.00000000
PA
USD
185281.25000000
0.038879107240
Long
DBT
UST
US
N
2
2032-08-15
Fixed
2.75000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AU2
2590000.00000000
PA
USD
1766876.50000000
0.370758406067
Long
DBT
CORP
CH
N
2
2032-05-14
Fixed
3.09100000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
48667QAS4
530000.00000000
PA
USD
426641.52000000
0.089525742131
Long
DBT
CORP
KZ
N
2
2048-10-24
Fixed
6.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
130786.42000000
0.027444003366
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-03-16
0.00000000
USD
-255957.28000000
USD
33010000.00000000
USD
386743.70000000
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822CF9
460000.00000000
PA
USD
442750.94000000
0.092906115848
Long
DBT
CORP
JP
N
2
2026-04-17
Fixed
3.83700000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
14.00000000
NC
USD
12906.25000000
0.002708225888
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
113.50000000
USD
2022-12-23
XXXX
413.28000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CDS DAIMLER AG
000000000
1.00000000
NC
-99079.23000000
-0.02079061971
N/A
DCR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
DAIMLER AG
DAIMLER AG
Y
Default Event
2024-12-20
0.00000000
USD
-73724.84000000
USD
-7380000.00000000
EUR
-25354.39000000
N
N
N
Western Asset Premier Institutional Government Reserves
549300WB3XRN9YTWFB76
Western Asset Premier Institutional Government Reserves
52470G494
10499180.26000000
NS
USD
10499180.26000000
2.203130404537
Long
STIV
RF
US
N
1
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAV5
180000.00000000
PA
USD
122956.39000000
0.025800962983
Long
DBT
CORP
US
N
2
2046-09-16
Fixed
3.87500000
N
N
N
N
N
N
SMR 2022-IND Mortgage Trust
N/A
SMR 2022-IND Mortgage Trust
78458MAL8
665567.43000000
PA
USD
613599.73000000
0.128756739850
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Floating
9.79425000
N
N
N
N
N
N
COTERRA ENERGY INC
FCNMH6O7VWU7LHXMK351
Coterra Energy Inc
127097AH6
230000.00000000
PA
USD
219262.80000000
0.046009738789
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.37500000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-XL2
05609KAQ2
991585.11000000
PA
USD
912357.66000000
0.191447603601
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
7.76500000
N
N
N
N
N
N
Amortizing Residential Collate
N/A
Amortizing Residential Collateral Trust 2002-BC5
86358RZ67
29395.62000000
PA
USD
28920.29000000
0.006068585225
Long
ABS-MBS
CORP
US
N
2
2032-07-25
Floating
5.07857000
N
N
N
N
N
N
NTT FINANCE CORP
3538007PR116187GD960
NTT Finance Corp
62954WAK1
580000.00000000
PA
USD
572515.02000000
0.120135593101
Long
DBT
CORP
JP
N
2
2027-07-27
Fixed
4.37200000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397A86
1860000.00000000
PA
USD
1699175.10000000
0.356552057659
Long
DBT
CORP
US
N
2
2027-08-17
Fixed
4.12500000
N
N
N
N
N
N
XPO LOGISTICS INC
54930096DB9LCLPN7H13
XPO Logistics Inc
983793AH3
28000.00000000
PA
USD
28409.28000000
0.005961355742
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.25000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CL6
820000.00000000
PA
USD
658372.70000000
0.138151824901
Long
DBT
CORP
US
N
2
2063-04-01
Fixed
5.50000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BV1
130000.00000000
PA
USD
126981.76000000
0.026645639883
Long
DBT
CORP
US
N
2
2044-06-24
Fixed
5.75000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAS4
200000.00000000
PA
USD
160380.00000000
0.033653870638
Long
DBT
CORP
KY
N
2
2031-08-08
Variable
3.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/INR FORWARD
000000000
1.00000000
NC
USD
-82298.53000000
-0.01726938572
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-656551393.00000000
INR
7959887.16000000
USD
2023-01-18
-82298.53000000
N
N
N
Countrywide Home Equity Loan T
N/A
CWHEQ Revolving Home Equity Loan Trust Series 2007-A
126682AA1
698225.51000000
PA
USD
647165.40000000
0.135800103836
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Floating
3.99529000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397A45
246000.00000000
PA
USD
228083.82000000
0.047860726854
Long
DBT
CORP
US
N
2
2027-01-09
Fixed
4.27100000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RY6
6390000.00000000
PA
USD
5131719.16000000
1.076831355302
Long
DBT
UST
US
N
2
2047-08-15
Fixed
2.75000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKJ7
1310000.00000000
PA
USD
1172785.67000000
0.246095381124
Long
DBT
CORP
US
N
2
2028-02-04
Fixed
2.55100000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAV5
160000.00000000
PA
USD
163779.90000000
0.034367299961
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
5.85000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDS7
290000.00000000
PA
USD
193918.39000000
0.040691510234
Long
DBT
CORP
US
N
2
2051-11-01
Fixed
2.88700000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
1998.00000000
NC
USD
-11823427.30000000
-2.48100818591
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-12-19
486860414.80000000
USD
-11823427.30000000
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0226C4
6300000.00000000
PA
USD
5391914.09000000
1.131430223709
Long
ABS-MBS
USGSE
US
N
2
2052-12-15
Fixed
2.50000000
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust Series 2004-4
86359BNU1
38920.72000000
PA
USD
38371.11000000
0.008051729468
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Variable
3.94589300
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
1013420.74000000
0.212654511075
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-08-15
0.00000000
USD
-3973.39000000
USD
-8260000.00000000
USD
1017394.13000000
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAN9
690000.00000000
PA
USD
571937.21000000
0.120014346418
Long
DBT
CORP
NL
N
2
2115-06-05
Fixed
6.85000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAF3
1040000.00000000
PA
USD
993317.94000000
0.208436173186
Long
DBT
CORP
US
N
2
2045-05-22
Fixed
5.15000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN MZ
46652EBY8
264875.91000000
PA
USD
227475.43000000
0.047733063316
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Fixed
8.54200000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NF99
938420.26000000
PA
USD
24513.32000000
0.005143834020
Long
ABS-MBS
USGA
US
N
2
2055-09-16
Variable
0.62934000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-HTL5
46654PAQ9
2140000.00000000
PA
USD
1922958.63000000
0.403510418862
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
8.14100000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAK7
620000.00000000
PA
USD
542859.60000000
0.113912749427
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MB5S4
30155.57000000
PA
USD
29667.33000000
0.006225342848
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
4.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBD0
60000.00000000
PA
USD
56493.81000000
0.011854566489
Long
DBT
CORP
US
N
2
2048-11-14
Fixed
4.87500000
N
N
N
N
N
N
Freddie Mac - STACR
5493003FQV7GR462GO02
Freddie Mac Stacr Remic Trust 2020-DNA1
35565HBD6
2310000.00000000
PA
USD
2205868.20000000
0.462875689289
Long
ABS-MBS
CORP
US
N
2
2050-01-25
Floating
6.31614000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AG2
860000.00000000
PA
USD
822250.01000000
0.172539565213
Long
DBT
CORP
US
N
2
2024-08-08
Fixed
3.20000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
474.00000000
NC
USD
14812.50000000
0.003108230195
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
107.50000000
USD
2022-12-02
XXXX
-33898.37000000
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAK6
30000.00000000
PA
USD
30366.56000000
0.006372068100
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.60000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAQ8
330000.00000000
PA
USD
269572.05000000
0.056566547564
Long
DBT
CORP
KY
N
2
2029-03-08
Variable
3.35000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H060614
3400000.00000000
PA
USD
3466386.63000000
0.727380765861
Long
ABS-MBS
USGA
US
N
2
2053-01-15
Fixed
6.00000000
N
N
N
N
N
N
Residential Asset Securitizati
N/A
Residential Asset Securitization Trust 2005-A15
45660L4B2
8163782.66000000
PA
USD
973033.09000000
0.204179634229
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
1.50643000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-155.00000000
NC
USD
-968.75000000
-0.00020328087
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-12-19
0.00000000
USD
1000000.00000000
96.50000000
USD
2022-12-19
XXXX
101393.25000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2017-CHOP
12651QAU3
3659000.00000000
PA
USD
3305437.78000000
0.693607528691
Long
ABS-MBS
CORP
US
N
2
2032-07-15
Floating
11.22500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032613
900000.00000000
PA
USD
836296.88000000
0.175487136892
Long
ABS-MBS
USGA
US
N
2
2053-01-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F030611
4000000.00000000
PA
USD
3544643.20000000
0.743801993467
Long
ABS-MBS
USGSE
US
N
2
2053-01-15
Fixed
3.00000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BF3
1590000.00000000
PA
USD
1149744.90000000
0.241260544530
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.37500000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAF2
1650000.00000000
PA
USD
1598520.00000000
0.335430760026
Long
DBT
CORP
KY
N
2
2025-08-08
Variable
5.62500000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
115450000.00000000
PA
5571850.78000000
1.169187837428
Long
DBT
NUSS
MX
N
2
2027-06-03
Fixed
7.50000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-4CB
12668BPQ0
5760191.33000000
PA
USD
469362.28000000
0.098490194872
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
1.25643000
N
N
N
N
N
N
Starwood Retail Property Trust
5493007115G809OI4R97
Starwood Retail Property Trust 2014-STAR
85571XAS6
7530000.00000000
PA
USD
15097.65000000
0.003168065594
Long
ABS-MBS
CORP
US
N
2
2027-11-15
Floating
8.27600000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
88000000000.00000000
PA
5607213.55000000
1.176608301869
Long
DBT
NUSS
ID
N
2
2042-06-15
Fixed
7.12500000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F030629
100000.00000000
PA
USD
88678.58000000
0.018608164732
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
ML-CFC Commercial Mortgage Tru
N/A
ML-CFC Commercial Mortgage Trust 2007-5
55312YAH5
351213.87000000
PA
USD
92190.06000000
0.019345007815
Long
ABS-MBS
CORP
US
N
2
2048-08-12
Variable
5.45000000
N
N
N
N
N
N
Tharaldson Hotel Portfolio Tru
N/A
Tharaldson Hotel Portfolio Trust 2018-THPT
88327HAN3
1603958.92000000
PA
USD
1503052.58000000
0.315398036476
Long
ABS-MBS
CORP
US
N
2
2034-11-11
Floating
7.32700000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0AB5
312780.84000000
PA
USD
320902.82000000
0.067337710386
Long
ABS-MBS
CORP
US
N
2
2023-07-25
Floating
11.16614000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
643.00000000
NC
USD
4018.75000000
0.000843287770
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-03-14
0.00000000
USD
2500.00000000
95.62500000
USD
2022-12-16
XXXX
-45556.55000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
179.00000000
NC
USD
39156.25000000
0.008216481931
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-06-18
0.00000000
USD
2500.00000000
95.62500000
USD
2023-01-13
XXXX
-23869.65000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-518.00000000
NC
USD
-291375.00000000
-0.06114164208
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-19
0.00000000
USD
2500.00000000
96.62500000
USD
2023-12-15
XXXX
220087.20000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCN1
550000.00000000
PA
USD
454476.00000000
0.095366482805
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
4.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
544857.97000000
0.114332084042
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-02-15
9300.13000000
USD
0.00000000
USD
-1916000.00000000
USD
535557.84000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RPH0
526300.26000000
PA
USD
15523.23000000
0.003257368589
Long
ABS-MBS
USGA
US
N
2
2058-07-16
Variable
0.60550000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F042616
2200000.00000000
PA
USD
2142078.11000000
0.449490083622
Long
ABS-MBS
USGSE
US
N
2
2053-01-15
Fixed
4.50000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687DX1
350000.00000000
PA
USD
439689.06000000
0.092263616076
Long
DBT
CORP
US
N
2
2034-08-01
Fixed
8.45000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAN5
500000.00000000
PA
USD
417915.00000000
0.087694583787
Long
DBT
CORP
KY
N
2
2027-03-08
Variable
2.80000000
N
N
N
N
N
N
CHENIERE ENERGY INC
MIHC87W9WTYSYZWV1J40
Cheniere Energy Inc
16411RAK5
280000.00000000
PA
USD
258875.40000000
0.054321980440
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.62500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-1019.00000000
NC
USD
-6368.75000000
-0.00133640783
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-12-19
0.00000000
USD
1000000.00000000
98.00000000
USD
2022-12-19
XXXX
55178.85000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
CAD/USD FORWARD
000000000
1.00000000
NC
USD
-55978.26000000
-0.01174638434
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-3473890.00000000
CAD
2528588.37000000
USD
2023-01-18
-55978.26000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-3.00000000
NC
USD
-18.75000000
-0.00000393446
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-12-19
0.00000000
USD
1000000.00000000
96.50000000
USD
2022-12-19
XXXX
1962.45000000
N
N
N
RUSSIAN FEDERATION
5493004EHVGF71PDBU58
Russian Foreign Bond - Eurobond
78307ADG5
1400000.00000000
PA
USD
1027600.00000000
0.215629863250
Long
DBT
NUSS
RU
N
2
2023-09-16
Fixed
4.87500000
N
N
N
N
N
N
Greenwood Park CLO, Ltd
N/A
Greenwood Park CLO Ltd
39729TAA2
1000000.00000000
PA
USD
828396.83000000
0.173829403629
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
9.02914000
N
N
N
N
N
N
Saranac CLO LTD
5493000LWP4BVD5LGS13
Saranac CLO III Ltd
803169AW1
2000000.00000000
PA
USD
1810248.62000000
0.379859539100
Long
ABS-CBDO
CORP
JE
N
2
2030-06-22
Floating
6.85171000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDRK4
372521.87000000
PA
USD
307999.53000000
0.064630105619
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F032617
4400000.00000000
PA
USD
4031156.27000000
0.845891081393
Long
ABS-MBS
USGSE
US
N
2
2053-01-15
Fixed
3.50000000
N
N
N
N
N
N
UNIV OF CALIFORNIA CA RGTS MED
N/A
Regents of the University of California Medical Center Pooled Revenue
913366KD1
190000.00000000
PA
USD
122649.05000000
0.025736471272
Long
DBT
MUN
US
N
2
2120-05-15
Fixed
3.70600000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long Gilt
000000000
37.00000000
NC
-19116.55000000
-0.00401138484
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long
UK TSY 4 1/2% 2034
United Kingdom Gilt
2023-03-29
4706137.49000000
USD
-19116.55000000
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AD6
750000.00000000
PA
USD
617621.30000000
0.129600619364
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.45000000
N
N
N
N
N
N
Marathon CLO LTD
N/A
Marathon CLO 14 Ltd
56578HAJ5
1410000.00000000
PA
USD
1328968.70000000
0.278868566606
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
7.54257000
N
N
N
N
N
N
INDIA GOVERNMENT BOND
335800IV7VCDQGIOI391
India Government Bond
000000000
220000000.00000000
PA
2740710.53000000
0.575106108205
Long
DBT
NUSS
IN
N
2
2026-01-11
Fixed
7.59000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
-595.00000000
NC
USD
-401625.00000000
-0.08427631746
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
0.00000000
USD
2500.00000000
96.87500000
USD
2023-06-16
XXXX
-16124.50000000
N
N
N
Redstone Holdco 2 LP
N/A
Redstone Holdco 2 LP
75774EAK1
1500000.00000000
PA
USD
682185.00000000
0.143148558058
Long
LON
CORP
US
N
2
2029-04-27
Floating
12.10800000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAD7
680000.00000000
PA
USD
643586.55000000
0.135049123945
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.75000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2006-13
41162KAA1
75256.49000000
PA
USD
52416.57000000
0.010999005275
Long
ABS-MBS
CORP
US
N
2
2046-11-19
Floating
4.11857000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAJ7
10000.00000000
PA
USD
9597.59000000
0.002013942214
Long
DBT
CORP
US
N
2
2037-05-01
Fixed
6.55000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/BRL FORWARD
000000000
1.00000000
NC
USD
9623.79000000
0.002019439978
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-467259.37000000
USD
2497968.59000000
BRL
2023-01-18
9623.79000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-658807.71000000
-0.13824310667
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-03-04
0.00000000
USD
-10752.24000000
USD
7817000.00000000
USD
-648055.47000000
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89115A2E1
1670000.00000000
PA
USD
1598925.85000000
0.335515922910
Long
DBT
CORP
CA
N
2
2032-06-08
Fixed
4.45600000
N
N
N
N
N
N
Greywolf CLO Ltd
5493008JNE27URH1VF66
Greywolf CLO IV Ltd
39809TAQ0
1840000.00000000
PA
USD
1638247.05000000
0.343767017673
Long
ABS-CBDO
CORP
KY
N
2
2034-04-17
Floating
7.77361000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
232429.18000000
0.048772549920
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-02-15
5533.46000000
USD
0.00000000
USD
-6807000.00000000
USD
226895.72000000
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
74977RDN1
450000.00000000
PA
USD
415207.51000000
0.087126448619
Long
DBT
CORP
NL
N
2
2028-04-06
Fixed
3.64900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WDR6
926980.92000000
PA
USD
820230.41000000
0.172115775731
Long
ABS-MBS
USGA
US
N
2
2051-04-20
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-44.00000000
NC
USD
-99687.50000000
-0.02091825807
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
111.50000000
USD
2022-12-23
XXXX
-25701.12000000
N
N
N
VanEck J. P. Morgan EM Local Currency Bond ETF
549300CNWPR88MZBEA63
VanEck J. P. Morgan EM Local Currency Bond ETF
92189H300
16200.00000000
NS
USD
392688.00000000
0.082400992351
Long
EC
RF
US
N
1
N
N
N
INDIA GOVERNMENT BOND
335800IV7VCDQGIOI391
India Government Bond
000000000
100000000.00000000
PA
1178991.36000000
0.247397572722
Long
DBT
NUSS
IN
N
2
2025-06-15
Fixed
5.22000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MB5B1
72609.91000000
PA
USD
71281.80000000
0.014957653548
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
4.00000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2H3
360000.00000000
PA
USD
327967.53000000
0.068820157302
Long
DBT
CORP
CH
N
2
2025-02-21
Fixed
3.70000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/IDR FORWARD
000000000
1.00000000
NC
USD
80760.49000000
0.016946645985
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-40758871352.00000000
IDR
2669950.56000000
USD
2023-01-18
80760.49000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKK4
1970000.00000000
PA
USD
1611935.85000000
0.338245919524
Long
DBT
CORP
US
N
2
2033-02-04
Fixed
2.97200000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AA5
460000.00000000
PA
USD
375808.50000000
0.078859026336
Long
DBT
CORP
US
N
2
2050-02-01
Variable
5.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-62.00000000
NC
USD
-4843.75000000
-0.00101640438
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
118.00000000
USD
2022-12-23
XXXX
108423.99000000
N
N
N
National Collegiate Student Lo
635400VQIBXGEB9ZUC59
National Collegiate Student Loan Trust 2007-2
63543LAD7
795347.87000000
PA
USD
744955.11000000
0.156320132830
Long
ABS-O
CORP
US
N
2
2033-01-25
Floating
4.30614000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
EUR/USD FORWARD
000000000
1.00000000
NC
USD
55178.13000000
0.011578486401
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-8313478.77000000
USD
8009779.95000000
EUR
2023-01-18
55178.13000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAH3
5230000.00000000
PA
USD
4452346.59000000
0.934272952845
Long
DBT
CORP
US
N
2
N/A
Fixed
6.25000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 2 Year Euro SCHATZ
000000000
-163.00000000
NC
196553.11000000
0.041244375467
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESSCHATZANWEISUNGEN
Bundesschatzanweisungen
2022-12-08
-17481422.64000000
USD
196553.11000000
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAD5
600000.00000000
PA
USD
444404.51000000
0.093253098208
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.81700000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
SWOP IRS USD
000000000
-7200000.00000000
NC
USD
-32602.71000000
-0.00684129807
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Call
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
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-01-19
0.00000000
USD
0.00000000
USD
0.00000000
USD
-7200000.00000000
USD
103.00000000
USD
2023-01-18
XXXX
-13882.71000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R01
20754CAF6
1790000.00000000
PA
USD
1645436.38000000
0.345275614642
Long
ABS-MBS
CORP
US
N
2
2040-01-25
Floating
7.26614000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H040616
400000.00000000
PA
USD
382093.75000000
0.080177912671
Long
ABS-MBS
USGA
US
N
2
2053-01-15
Fixed
4.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TG3
8460000.00000000
PA
USD
7035018.75000000
1.476216554131
Long
DBT
UST
US
N
2
2052-05-15
Fixed
2.87500000
N
N
N
N
N
N
Venture CDO Ltd
549300SNYYGJ2M6QEK53
Venture XVII CLO Ltd
92330CAD3
1000000.00000000
PA
USD
815498.99000000
0.171122942481
Long
ABS-CBDO
CORP
KY
N
2
2027-04-15
Floating
9.81914000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
14980000.00000000
PA
2170335.88000000
0.455419646760
Long
DBT
NUSS
CN
N
2
2029-05-23
Fixed
3.29000000
N
N
N
N
N
N
Golub Capital Partners CLO Ltd
254900SGGS5FSVUNJG17
Golub Capital Partners Clo 45M Ltd
38172HAE4
950000.00000000
PA
USD
883826.61000000
0.185460695845
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Floating
8.04257000
N
N
N
N
N
N
MASTR Specialized Loan Trust
N/A
Mastr Specialized Loan Trust
57643BAA6
77841.34000000
PA
USD
73678.16000000
0.015460501717
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Floating
4.30357000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-2242230.55000000
-0.47050590392
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-07-11
0.00000000
USD
0.00000000
USD
25026000.00000000
USD
-2242230.55000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CNY/USD FORWARD
000000000
1.00000000
NC
USD
36539.89000000
0.007667469330
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-81110966.00000000
CNY
11436938.27000000
USD
2023-01-18
36539.89000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2X0
2150000.00000000
PA
USD
2083894.06000000
0.437280840001
Long
DBT
CORP
US
N
2
2026-04-25
Fixed
3.90800000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
39614000000.00000000
PA
2697549.34000000
0.566049236371
Long
DBT
NUSS
ID
N
2
2029-05-15
Fixed
8.25000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAN0
80000.00000000
PA
USD
69054.40000000
0.014490259662
Long
DBT
CORP
US
N
2
N/A
Fixed
6.50000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
48370000.00000000
PA
2406197.54000000
0.504912462537
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
MORONGO BAND OF MISSION
N/A
Morongo Band of Mission Indians/The
617734AG3
360000.00000000
PA
USD
385531.06000000
0.080899192046
Long
DBT
USGA
US
N
2
2039-10-01
Fixed
7.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/AUD FORWARD
000000000
1.00000000
NC
USD
316112.34000000
0.066332484085
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-5377112.09000000
USD
8370120.00000000
AUD
2023-01-18
316112.34000000
N
N
N
H&E EQUIPMENT SERVICES
254900KVLRCDMQRYY541
H&E Equipment Services Inc
404030AJ7
2280000.00000000
PA
USD
1974240.60000000
0.414271341573
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.87500000
N
N
N
N
N
N
ML-CFC Commercial Mortgage Tru
N/A
ML-CFC Commercial Mortgage Trust 2007-5
55312YAR3
452900.91000000
PA
USD
118881.42000000
0.024945878101
Long
ABS-MBS
CORP
US
N
2
2048-08-12
Variable
5.45000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CNH/USD FORWARD
000000000
1.00000000
NC
USD
88756.98000000
0.018624616056
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-6190028.11000000
USD
44068048.12000000
CNY
2023-01-18
88756.98000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPBX0
60000.00000000
PA
USD
55255.80000000
0.011594784544
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL1 Trust
12660KAD3
870000.00000000
PA
USD
816992.90000000
0.171436422054
Long
ABS-MBS
CORP
US
N
2
2060-09-27
Fixed
3.93711000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DN5L3
295086.99000000
PA
USD
255845.04000000
0.053686094772
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HV5
1460000.00000000
PA
USD
398691.14000000
0.083660681196
Long
DBT
NUSS
AR
N
2
2041-07-09
Variable
3.50000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAQ4
730000.00000000
PA
USD
656270.00000000
0.137710597854
Long
DBT
CORP
NL
N
2
2029-05-09
Fixed
5.12500000
N
N
N
N
N
N
GoodLeap Sustainable Home Impr
N/A
GoodLeap Sustainable Home Solutions Trust 2022-1
38237JAC7
1577236.62000000
PA
USD
1016368.44000000
0.213273051507
Long
ABS-O
CORP
US
N
2
2049-01-20
Fixed
3.50000000
N
N
N
N
N
N
Waterfall Commercial Mortgage
N/A
Waterfall Commercial Mortgage Trust 2015-SBC5
94132LAA5
136831.36000000
PA
USD
134528.23000000
0.028229178511
Long
ABS-MBS
CORP
US
N
2
2022-09-14
Variable
4.10370000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBX6
90000.00000000
PA
USD
82256.10000000
0.017260482283
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YET8
1690000.00000000
PA
USD
1671410.56000000
0.350725993078
Long
DBT
CORP
US
N
2
2026-07-17
Fixed
4.67900000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
304.00000000
NC
USD
-7050.90000000
-0.00147954904
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
73597850.90000000
USD
-7050.90000000
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHMZ
46650BAA9
10150000.00000000
PA
USD
10160.15000000
0.002131988862
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
12.38265000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DH5
1530000.00000000
PA
USD
1653963.40000000
0.347064910240
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
7.95000000
N
N
N
N
N
N
CSMC 2022-7R 1A1
N/A
CSMC 2022-7R 1A1
000000000
1092802.86000000
PA
USD
1095477.82000000
0.229873231335
Long
DBT
CORP
US
N
2
2066-10-25
Floating
0.00204000
N
N
N
N
N
N
ML-CFC Commercial Mortgage Tru
N/A
ML-CFC Commercial Mortgage Trust 2007-9
60688CAJ5
9825.38000000
PA
USD
9673.68000000
0.002029908812
Long
ABS-MBS
CORP
US
N
2
2049-09-12
Variable
6.19300000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0206C8
-2100000.00000000
PA
USD
-1730613.28000000
-0.36314899270
Short
ABS-MBS
USGSE
US
N
2
2052-12-15
Fixed
2.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HB0
980000.00000000
PA
USD
995394.48000000
0.208871910862
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
5.50000000
N
N
N
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
Lennar Corp
526057CV4
40000.00000000
PA
USD
39264.37000000
0.008239169651
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
5.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TC2
1270000.00000000
PA
USD
925661.33000000
0.194239223437
Long
DBT
UST
US
N
2
2041-11-15
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030617
400000.00000000
PA
USD
361729.94000000
0.075904804880
Long
ABS-MBS
USGA
US
N
2
2052-01-20
Fixed
3.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RC4
570000.00000000
PA
USD
537648.05000000
0.112819166502
Long
DBT
UST
US
N
2
2043-08-15
Fixed
3.62500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-501.00000000
NC
USD
-277898.69000000
-0.05831379575
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
109.50000000
USD
2023-01-27
XXXX
51969.08000000
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PED0
70000.00000000
PA
USD
58587.45000000
0.012293892401
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
2.30000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
1260000.00000000
PA
USD
1240166.83000000
0.260234530907
Long
DBT
CORP
US
N
2
2024-03-12
Fixed
4.12500000
N
N
N
N
N
N
BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The
06417XAH4
1390000.00000000
PA
USD
1345918.72000000
0.282425330419
Long
DBT
CORP
CA
N
2
2025-04-11
Fixed
3.45000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
000000000
2200000.00000000
PA
2139614.50000000
0.448973123825
Long
DBT
CORP
NL
N
2
N/A
Fixed
4.62500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA3
35564KFG9
1210000.00000000
PA
USD
1075993.47000000
0.225784667958
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
7.02080000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDB2
460000.00000000
PA
USD
445064.08000000
0.093391501272
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
5.82080000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBC0
530000.00000000
PA
USD
528467.44000000
0.110892722673
Long
DBT
CORP
IT
N
2
2023-01-12
Fixed
3.37500000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAX3
640000.00000000
PA
USD
510510.54000000
0.107124676847
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/MXN FORWARD
000000000
1.00000000
NC
USD
7055.19000000
0.001480449255
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-815126.88000000
USD
16000000.00000000
MXN
2023-01-18
7055.19000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WGQ6
80825.50000000
PA
USD
75102.50000000
0.015759382838
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
3.00000000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AB7
790000.00000000
PA
USD
732505.11000000
0.153707645678
Long
DBT
CORP
JP
N
2
2025-09-17
Fixed
3.52200000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM 37 Ltd
50204JAJ6
940000.00000000
PA
USD
858406.62000000
0.180126607710
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
7.51361000
N
N
N
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
14916RAD6
1620000.00000000
PA
USD
1374717.68000000
0.288468455961
Long
DBT
CORP
US
N
2
2042-11-01
Fixed
4.35000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-8T1
12668BMF7
3402883.23000000
PA
USD
383461.04000000
0.080464822515
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
1.45643000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F040628
600000.00000000
PA
USD
567914.06000000
0.119170135359
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
4.00000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2021-GS2
52476DAB3
1200000.00000000
PA
USD
1010531.28000000
0.212048191627
Long
ABS-MBS
CORP
US
N
2
2061-04-25
Variable
3.50000000
N
N
N
N
N
N
BRASKEM AMERICA FINANCE
254900QMQAJ26H49CL75
Braskem America Finance Co
000000000
1440000.00000000
PA
USD
1335898.54000000
0.280322712627
Long
DBT
CORP
US
N
2
2041-07-22
Fixed
7.12500000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
506371000.00000000
PA
3568038.18000000
0.748711156894
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
Y
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
509.00000000
NC
USD
3181.25000000
0.000667548172
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-12-19
0.00000000
USD
1000000.00000000
96.00000000
USD
2022-12-19
XXXX
-32881.40000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-29.00000000
NC
USD
-16312.50000000
-0.00342298768
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-19
0.00000000
USD
2500.00000000
96.62500000
USD
2023-12-15
XXXX
13351.60000000
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAG5
1490000.00000000
PA
USD
1446689.81000000
0.303570967201
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
3.65000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2U6
140000.00000000
PA
USD
119865.15000000
0.025152302357
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
3.35000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAE1
1830000.00000000
PA
USD
1594149.60000000
0.334513682608
Long
DBT
CORP
NL
N
2
2026-10-01
Fixed
3.15000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
255.00000000
NC
USD
124312.50000000
0.026085526834
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-09
0.00000000
USD
2500.00000000
95.50000000
USD
2022-12-16
XXXX
-26035.50000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-189004.85000000
-0.03966046122
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-01-18
0.00000000
USD
-2999.47000000
USD
5055000.00000000
USD
-186005.38000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NN7
540000.00000000
PA
USD
471906.57000000
0.099024084425
Long
DBT
CORP
US
N
2
2033-03-17
Fixed
3.78500000
N
N
N
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAR5
780000.00000000
PA
USD
775504.10000000
0.162730481737
Long
DBT
CORP
US
N
2
2024-07-05
Fixed
5.90000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2020-2
35563PRE1
2120000.00000000
PA
USD
1735947.58000000
0.364268333286
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
4.25000000
N
N
N
N
N
N
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
SFE 10 Year Australian Bond
000000000
116.00000000
NC
24872.86000000
0.005219279291
N/A
DIR
CORP
AU
N
1
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
Long
AUSTRALIAN GOVERNMENT
Australia Government Bond
2022-12-15
9547849.68000000
USD
24872.86000000
N
N
N
Whitehorse Ltd
N/A
Whitehorse XII Ltd
96525YAJ8
2260000.00000000
PA
USD
2095116.95000000
0.439635832446
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
7.72914000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AC1
3400000.00000000
PA
USD
3034415.00000000
0.636736562372
Long
DBT
CORP
US
N
2
2030-02-01
Variable
4.30000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
-237.00000000
NC
USD
-38882.92000000
-0.00815912682
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
108.25000000
USD
2022-12-02
XXXX
42293.01000000
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F050619
3500000.00000000
PA
USD
3483046.88000000
0.730876724823
Long
ABS-MBS
USGSE
US
N
2
2050-01-15
Fixed
5.00000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2006-16N
52522DAN1
9037.79000000
PA
USD
9105.42000000
0.001910666085
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
4.52357000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
1753163.83000000
0.367880962357
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-07-11
0.00000000
USD
0.00000000
USD
-13295000.00000000
USD
1753163.83000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DN5J8
498822.36000000
PA
USD
429459.06000000
0.090116970007
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78016EZ59
1680000.00000000
PA
USD
1627733.05000000
0.341560777519
Long
DBT
CORP
CA
N
2
2025-04-14
Fixed
3.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
8.00000000
NC
USD
1750.00000000
0.000367217069
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-06-18
0.00000000
USD
2500.00000000
95.62500000
USD
2023-01-13
XXXX
-1066.80000000
N
N
N
UCFC Manufactured Housing Cont
N/A
UCFC Manufactured Housing Contract
90263ABB5
914805.72000000
PA
USD
832726.51000000
0.174737936430
Long
ABS-O
CORP
US
N
2
2029-01-15
Fixed
7.11500000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LBF2
130000.00000000
PA
USD
123229.05000000
0.025858177500
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.25000000
N
N
N
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Republic of Kenya Government International Bond
491798AJ3
1230000.00000000
PA
USD
1112166.00000000
0.233375051081
Long
DBT
NUSS
KE
N
2
2027-05-22
Fixed
7.00000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBD4
26000.00000000
PA
USD
26103.95000000
0.005477609156
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.25000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAF0
90000.00000000
PA
USD
87164.87000000
0.018290530360
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.95000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFT3
3420000.00000000
PA
USD
3472368.75000000
0.728636043905
Long
DBT
UST
US
N
2
2029-10-31
Fixed
4.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RD2
7350000.00000000
PA
USD
7058153.33000000
1.481071075658
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MXN/USD FORWARD
000000000
1.00000000
NC
USD
-27772.60000000
-0.00582775587
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-46355142.00000000
MXN
2354250.33000000
USD
2023-01-18
-27772.60000000
N
N
N
TRANS-ALLEGHENY INTERSTA
N/A
Trans-Allegheny Interstate Line Co
893045AE4
730000.00000000
PA
USD
706271.49000000
0.148202826786
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.85000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36241LUX2
37897.99000000
PA
USD
38296.39000000
0.008036050349
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Fixed
4.50000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636ABC4
1190000.00000000
PA
USD
1089889.79000000
0.228700648477
Long
DBT
CORP
DK
N
2
2028-04-01
Fixed
4.29800000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
243.00000000
NC
USD
-614085.30000000
-0.12885863104
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-12-19
58484535.30000000
USD
-614085.30000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-129.00000000
NC
USD
-26203.13000000
-0.00549842092
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
109.00000000
USD
2023-01-27
XXXX
19604.96000000
N
N
N
INDIA GOVERNMENT BOND
335800IV7VCDQGIOI391
India Government Bond
000000000
370000000.00000000
PA
4566482.04000000
0.958222944550
Long
DBT
NUSS
IN
N
2
2024-06-22
Fixed
7.35000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/JPY FORWARD
000000000
1.00000000
NC
USD
13507.77000000
0.002834447837
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-241628.60000000
USD
35000000.00000000
JPY
2023-01-18
13507.77000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/JPY FORWARD
000000000
1.00000000
NC
USD
532935.17000000
0.111830223655
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-12182859.20000000
USD
1744372238.00000000
JPY
2023-01-18
532935.17000000
N
N
N
MidOcean Credit CLO
5493004MLF21SFT7F415
Midocean Credit Clo VII
59801WAJ5
1000000.00000000
PA
USD
846253.35000000
0.177576385885
Long
ABS-CBDO
CORP
KY
N
2
2029-07-15
Floating
7.95914000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABV6
120000.00000000
PA
USD
106242.11000000
0.022293666456
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.37500000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AT6
320000.00000000
PA
USD
280132.60000000
0.058782555692
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
61942.13000000
0.012997832835
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2048-02-15
77127.66000000
USD
0.00000000
USD
-2502000.00000000
USD
-15185.53000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
2 YEAR US TREASURY NOTE
000000000
664.00000000
NC
USD
159664.11000000
0.033503649479
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
2023-03-31
136198961.55000000
USD
159664.11000000
N
N
N
Deutsche Bank Commercial Mortg
N/A
DBJPM 2016-C3 Mortgage Trust
23312VAF3
440000.00000000
PA
USD
401151.56000000
0.084176971609
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Fixed
2.89000000
N
N
N
N
N
N
HACKENSACK MERIDIAN HLTH
5493001CB3OCWTEJY668
Hackensack Meridian Health Inc
404530AB3
1060000.00000000
PA
USD
903801.96000000
0.189652289840
Long
DBT
CORP
US
N
2
2048-07-01
Fixed
4.21100000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
6665000.00000000
PA
1097125.45000000
0.230218967255
Long
DBT
NUSS
BR
N
2
2033-01-01
Fixed
10.00000000
N
N
N
N
N
N
TSTAT 2022-2, Ltd.
N/A
TSTAT 2022-2 Ltd
87300FAG5
820000.00000000
PA
USD
820000.00000000
0.172067426883
Long
ABS-CBDO
CORP
BM
N
2
2031-01-20
Floating
0.01000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2022-6
92539AAC8
1492333.38000000
PA
USD
1388740.52000000
0.291410985225
Long
ABS-MBS
CORP
US
N
2
2067-06-25
Variable
4.91000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
28368EAE6
890000.00000000
PA
USD
1020285.04000000
0.214094904292
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
7.75000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
4.00000000
NC
USD
-14658.40000000
-0.00307589411
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-09-19
965508.40000000
USD
-14658.40000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
19.00000000
NC
USD
67984.38000000
0.014265728457
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-03-22
0.00000000
USD
100000.00000000
110.00000000
USD
2022-12-23
XXXX
44201.51000000
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859AZ5
480000.00000000
PA
USD
570553.70000000
0.119724032997
Long
DBT
CORP
US
N
2
2038-06-15
Fixed
8.15000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCZ7
1120000.00000000
PA
USD
1092152.70000000
0.229175493722
Long
DBT
CORP
US
N
2
2026-04-26
Fixed
4.08000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-386.00000000
NC
USD
-27140.82000000
-0.00569518422
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-03-31
0.00000000
USD
100000.00000000
106.25000000
USD
2022-12-23
XXXX
162285.25000000
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AJ4
1250000.00000000
PA
USD
1274256.25000000
0.267387797716
Long
DBT
CORP
FR
N
2
N/A
Fixed
8.12500000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AU5
460000.00000000
PA
USD
398337.00000000
0.083586369051
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
2.26800000
N
N
N
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AB3
360000.00000000
PA
USD
341491.54000000
0.071658012914
Long
DBT
CORP
N/A
N
2
2028-10-20
Fixed
4.75000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CX1
540000.00000000
PA
USD
502320.75000000
0.105406145027
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
5.93000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBF9
304000.00000000
PA
USD
285537.91000000
0.059916796891
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0226C0
900000.00000000
PA
USD
791296.88000000
0.166044412246
Long
ABS-MBS
USGA
US
N
2
2052-12-15
Fixed
2.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABR5
120000.00000000
PA
USD
110018.10000000
0.023086013875
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
2.25000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMM1
120000.00000000
PA
USD
94384.92000000
0.019805573562
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2021-1
61947DAD1
518633.07000000
PA
USD
440642.48000000
0.092463680132
Long
ABS-O
CORP
US
N
2
2046-12-20
Fixed
3.71000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAL0
600000.00000000
PA
USD
597933.97000000
0.125469463004
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
4.25000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAS8
4400000.00000000
PA
USD
2330750.84000000
0.489080853347
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
4.37330000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEG3
980000.00000000
PA
USD
950811.48000000
0.199516688798
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.70000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAM2
310000.00000000
PA
USD
261175.00000000
0.054804524653
Long
DBT
CORP
US
N
2
N/A
Fixed
7.12500000
N
N
N
N
N
N
Cook Park CLO, Ltd
N/A
Cook Park CLO Ltd
21623PAJ6
840000.00000000
PA
USD
726389.08000000
0.152424268184
Long
ABS-CBDO
CORP
KY
N
2
2030-04-17
Floating
6.67914000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CW3
590000.00000000
PA
USD
557604.79000000
0.117006855406
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
N
N
N
N
N
N
THE VANGUARD GROUP INC
N/A
THE VANGUARD GROUP INC
000000000
1000000.00000000
PA
USD
660951.34000000
0.138692922400
Long
DBT
CORP
US
N
3
2050-08-22
Fixed
3.05000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZR8
1400000.00000000
PA
USD
1302917.92000000
0.273402114554
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
3.61500000
N
N
N
N
N
N
Babson CLO Ltd
549300I8OP7Y4MO3JF74
Barings CLO Ltd 2018-II
06760JAJ4
2480000.00000000
PA
USD
2351619.75000000
0.493459950475
Long
ABS-CBDO
CORP
KY
N
2
2030-04-15
Floating
5.97914000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AB3
280000.00000000
PA
USD
268744.00000000
0.056392790939
Long
DBT
CORP
US
N
2
2025-02-01
Variable
3.35000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBE4
380000.00000000
PA
USD
326942.50000000
0.068605066724
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
5.25000000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAG2
260000.00000000
PA
USD
242326.55000000
0.050849397468
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
4.37500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RN0
7660000.00000000
PA
USD
6312767.55000000
1.324660571756
Long
DBT
UST
US
N
2
2045-08-15
Fixed
2.87500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
270000.00000000
PA
USD
265900.26000000
0.055796065299
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AL3
570000.00000000
PA
USD
533064.00000000
0.111857257126
Long
DBT
CORP
CO
N
2
2026-06-26
Fixed
5.37500000
N
N
N
N
N
N
Z Capital Credit Partners CLO
N/A
Z Capital Credit Partners CLO 2021-1 Ltd
98878FAS8
1450000.00000000
PA
USD
1321895.52000000
0.277384342359
Long
ABS-CBDO
CORP
KY
N
2
2033-07-15
Floating
8.27914000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XSQ5
32760197.53000000
PA
USD
169003.31000000
0.035463371568
Long
ABS-MBS
USGA
US
N
2
2055-01-16
Variable
0.14813000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2001-HYB1
12669B2W1
3674.98000000
PA
USD
3512.12000000
0.000736977379
Long
ABS-MBS
CORP
US
N
2
2031-06-19
Variable
3.24778400
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JU6
788000.00000000
PA
USD
700770.67000000
0.147048543929
Long
DBT
CORP
US
N
2
2045-07-30
Fixed
4.65000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-4.00000000
NC
USD
-200.00000000
-0.00004196766
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-06-19
0.00000000
USD
1000000.00000000
97.50000000
USD
2023-06-19
XXXX
991.60000000
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
60000.00000000
PA
USD
55794.16000000
0.011707753105
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAE5
590000.00000000
PA
USD
550956.75000000
0.115611841824
Long
DBT
CORP
KY
N
2
2028-08-08
Variable
5.90000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAKS2
254105.97000000
PA
USD
231294.02000000
0.048534349847
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
3.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IMM EURODOLLAR TIME DEPOSIT
000000000
-101.00000000
NC
USD
-631.25000000
-0.00013246044
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2022-12-19
0.00000000
USD
1000000.00000000
98.12500000
USD
2022-12-19
XXXX
87531.65000000
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AT8
1100000.00000000
PA
USD
1032126.81000000
0.216579761480
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
5.75000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-VOLT
05609VAS4
850000.00000000
PA
USD
780115.38000000
0.163698105010
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
6.72529000
N
N
N
N
N
N
2023-01-24
Western Asset Funds Inc
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer