0001752724-23-160574.txt : 20230724 0001752724-23-160574.hdr.sgml : 20230724 20230724141537 ACCESSION NUMBER: 0001752724-23-160574 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20230531 FILED AS OF DATE: 20230724 DATE AS OF CHANGE: 20230724 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: 231104696 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 S000000711 Western Asset Intermediate Bond Fund C000002076 Class I WATIX C000066986 Class IS WABSX C000113698 CLASS A WATAX C000113699 CLASS C WATCX C000113700 CLASS R WATRX NPORT-P 1 primary_doc.xml NPORT-P false 0000863520 XXXXXXXX S000000711 C000066986 C000002076 C000113699 C000113700 C000113698 Western Asset Funds Inc 811-06110 0000863520 5493004NC00X8WKL1P34 620 Eighth Avenue 47th Floor New York 10018 1-877-721-1926 Western Asset Intermediate Bond Fund S000000711 549300NZV8UE1KQUNO03 2023-05-31 2023-05-31 N 768417177.83 55139921.42 713277256.41 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 8361785.26000000 22403796.96000000 0.00000000 380000.00000000 USD N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DP2V9 98455.28000000 PA USD 94458.33000000 0.013242863017 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 4.00000000 N N N N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 878091BC0 32000.00000000 PA USD 35704.58000000 0.005005708464 Long DBT CORP US N 2 2039-12-16 Fixed 6.85000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAW5 910000.00000000 PA USD 789510.10000000 0.110687687418 Long DBT CORP IE N 2 2028-10-29 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X7YH6 71662.81000000 PA USD 64319.65000000 0.009017482251 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CFJ5 520000.00000000 PA USD 502003.12000000 0.070379801891 Long DBT UST US N 2 2029-08-31 Fixed 3.12500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381B4T8 192009.37000000 PA USD 178976.77000000 0.025092173960 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AYSU8 29547.70000000 PA USD 2768.58000000 0.000388149204 Long ABS-MBS USGSE US N 2 2047-11-25 Floating 1.06200000 N N N N N N Palmer Square CLO Ltd 549300Y43K78UTRMTN21 69700GAJ1 750000.00000000 PA USD 731400.00000000 0.102540771267 Long ABS-CBDO CORP KY N 2 2034-11-14 Floating 6.47071000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AETS6 18134.37000000 PA USD 2147.21000000 0.000301034412 Long ABS-MBS USGSE US N 2 2043-06-25 Floating 1.01200000 N N N N N N KAZMUNAYGAS NATIONAL CO 2138001H1M69RFJCSH88 48667QAP0 660000.00000000 PA USD 509215.08000000 0.071390903806 Long DBT CORP KZ N 2 2047-04-19 Fixed 5.75000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBZ1 1050000.00000000 PA USD 1011376.55000000 0.141792906041 Long DBT CORP US N 2 2024-11-21 Fixed 2.60000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCC7 360000.00000000 PA USD 328892.47000000 0.046110045854 Long DBT CORP US N 2 2026-03-25 Fixed 1.65000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DB8 56000.00000000 PA USD 56599.20000000 0.007935091087 Long DBT CORP US N 2 2024-07-01 Fixed 6.95000000 N N N N N N Onslow Bay Financial LLC N/A 67114JAA8 518383.58000000 PA USD 398361.40000000 0.055849446539 Long ABS-MBS CORP US N 2 2061-07-25 Variable 1.05400000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 182276.63000000 0.025554807525 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2048-02-15 137085.02000000 USD 0.00000000 USD -4447000.00000000 USD 45191.61000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSAY7 99919.72000000 PA USD 100516.20000000 0.014092163895 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WTY4 89451.12000000 PA USD 78341.13000000 0.010983264823 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 2.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 9128286X3 1190000.00000000 PA USD 1126269.92000000 0.157900719513 Long DBT UST US N 2 2026-05-31 Fixed 2.12500000 N N N N N N Navient Student Loan Trust N/A 63942FAB1 206008.90000000 PA USD 203261.83000000 0.028496889277 Long ABS-O CORP US N 2 2069-06-25 Floating 6.18800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDN77 142463.34000000 PA USD 135095.09000000 0.018940052943 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFL74 369116.41000000 PA USD 305338.34000000 0.042807805415 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 1000000.00000000 PA USD 955511.88000000 0.133960794545 Long DBT CORP GB N 2 2029-05-16 Fixed 4.97200000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 200000.00000000 PA USD 199641.36000000 0.027989306851 Long DBT CORP GB N 2 2024-06-25 Fixed 4.51900000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZT4 1260000.00000000 PA USD 1236114.75000000 0.173300738091 Long DBT CORP US N 2 2027-06-15 Fixed 4.38700000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F020661 9000000.00000000 PA USD 7401557.34000000 1.037683071131 Long ABS-MBS USGSE US N 2 2053-06-15 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9BG4 61324.22000000 PA USD 55906.92000000 0.007838034859 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BGDX3 197192.52000000 PA USD 186720.57000000 0.026177838746 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.00000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F030660 2300000.00000000 PA USD 2041923.81000000 0.286273506080 Long ABS-MBS USGSE US N 2 2053-06-15 Fixed 3.00000000 N N N N N N CHEVRON CORP N/A 166764BW9 240000.00000000 PA USD 226454.08000000 0.031748394886 Long DBT CORP US N 2 2025-05-11 Fixed 1.55400000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828YG9 220000.00000000 PA USD 203998.44000000 0.028600160479 Long DBT UST US N 2 2026-09-30 Fixed 1.62500000 N N N N N N JPMBB Commercial Mortgage Secu N/A 46642NBK1 300000.00000000 PA USD 243537.21000000 0.034143414473 Long ABS-MBS CORP US N 2 2047-09-15 Variable 4.54683400 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PCP5 400000.00000000 PA USD 392344.28000000 0.055005858728 Long DBT CORP US N 2 2025-07-15 Fixed 3.75000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B57A7 414228.35000000 PA USD 375757.80000000 0.052680468446 Long ABS-MBS USGSE US N 2 2029-09-25 Fixed 2.56000000 N N N N N N COMISION FEDERAL DE ELEC 4469000001BFPONMPF32 200447AF7 690000.00000000 PA USD 660057.45000000 0.092538692923 Long DBT CORP MX N 2 2027-02-23 Fixed 4.75000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBV0 180000.00000000 PA USD 169847.15000000 0.023812220069 Long DBT CORP US N 2 2026-11-21 Fixed 2.95000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBP5 2010000.00000000 PA USD 1533414.67000000 0.214981573605 Long DBT CORP US N 2 2035-11-15 Fixed 3.13700000 N N N N N N MARS INC 54930073HKEO6GZBSS03 571676AA3 360000.00000000 PA USD 345775.52000000 0.048477014638 Long DBT CORP US N 2 2025-04-01 Fixed 2.70000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MKLU1 164730.57000000 PA USD 156097.99000000 0.021884616198 Long ABS-MBS USGA US N 2 2050-05-15 Fixed 3.50000000 N N N N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106AK9 410000.00000000 PA USD 374245.53000000 0.052468451312 Long DBT CORP US N 2 2030-03-27 Fixed 2.85000000 N N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 715638BM3 310000.00000000 PA USD 311248.92000000 0.043636456539 Long DBT NUSS PE N 2 2050-11-18 Fixed 5.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMZJ7 177948.20000000 PA USD 148055.56000000 0.020757084102 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272AT5 1080000.00000000 PA USD 1063555.76000000 0.149108323648 Long DBT CORP US N 2 2024-03-12 Fixed 4.12500000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FQ6 340000.00000000 PA USD 274197.12000000 0.038441870610 Long DBT CORP US N 2 2036-04-06 Fixed 2.89100000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ACD72 99140.49000000 PA USD 98348.12000000 0.013788203551 Long ABS-MBS USGA US N 2 2052-10-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BN3N4 187734.90000000 PA USD 180250.40000000 0.025270734259 Long ABS-MBS USGSE US N 2 2052-09-25 Fixed 4.00000000 N N N N N N Freddie Mac - STACR N/A 35564KPU7 1110396.58000000 PA USD 1091536.38000000 0.153031148854 Long ABS-MBS CORP US N 2 2042-01-25 Floating 5.97299000 N N N N N N Ellington Financial Mortgage T N/A 31572LAA4 998392.78000000 PA USD 807814.27000000 0.113253894294 Long ABS-MBS CORP US N 2 2066-06-25 Variable 0.93100000 N N N N N N Apidos CLO Ltd 549300M5NMLBQJXUO195 03764DAH4 750000.00000000 PA USD 742147.45000000 0.104047541587 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.34029000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 75513EBX8 210000.00000000 PA USD 202873.15000000 0.028442397143 Long DBT CORP US N 2 2024-12-15 Fixed 3.15000000 N N N N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 375558BL6 700000.00000000 PA USD 694689.88000000 0.097394088169 Long DBT CORP US N 2 2023-09-01 Fixed 2.50000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CM5 500000.00000000 PA USD 452412.50000000 0.063427299263 Long DBT CORP US N 2 2027-02-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NBEP2 94279.03000000 PA USD 96720.24000000 0.013559978133 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 6.50000000 N N N N N N New Residential Mortgage Loan N/A 64829NAA2 567037.35000000 PA USD 527639.03000000 0.073973903591 Long ABS-MBS CORP US N 2 2057-05-25 Variable 4.00000000 N N N N N N Residential Mortgage Loan Trus N/A 76123MAA1 414081.76000000 PA USD 405235.15000000 0.056813132110 Long ABS-MBS CORP US N 2 2060-05-25 Variable 1.65400000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CP2 310000.00000000 PA USD 256499.14000000 0.035960650321 Long DBT CORP US N 2 2030-05-01 Fixed 2.10000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -144.00000000 NC USD -85500.00000000 -0.01198692363 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-03-18 0.00000000 USD 2500.00000000 96.25000000 USD 2023-10-13 XXXX -33489.90000000 N N N New Residential Mortgage Loan N/A 64831TAC1 311044.33000000 PA USD 255195.79000000 0.035777923339 Long ABS-MBS CORP US N 2 2056-11-27 Variable 1.51626000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F022667 4800000.00000000 PA USD 4104468.72000000 0.575438047843 Long ABS-MBS USGSE US N 2 2053-06-15 Fixed 2.50000000 N N N N N N Hertz Vehicle Financing LLC N/A 42806MAG4 1090000.00000000 PA USD 948552.55000000 0.132985110835 Long ABS-O CORP US N 2 2027-12-27 Fixed 2.52000000 N N N N N N BRAVO Residential Funding Trus N/A 10569EAA9 146759.76000000 PA USD 136977.52000000 0.019203965746 Long ABS-MBS CORP US N 2 2060-03-25 Variable 0.97000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CGM7 540000.00000000 PA USD 533671.88000000 0.074819696717 Long DBT UST US N 2 2033-02-15 Fixed 3.50000000 N N N N N N AB BSL CLO 4 Ltd N/A 00037VAA6 360000.00000000 PA USD 360198.71000000 0.050499116123 Long ABS-CBDO CORP JE N 2 2036-04-20 Floating 6.95662000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBG7 310000.00000000 PA USD 310755.29000000 0.043567250631 Long DBT CORP US N 2 2026-03-15 Fixed 6.41200000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABUU4 96564.03000000 PA USD 84567.24000000 0.011856152602 Long ABS-MBS USGA US N 2 2052-04-20 Fixed 3.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CFH9 1220000.00000000 PA USD 1184496.10000000 0.166063909840 Long DBT UST US N 2 2027-08-31 Fixed 3.12500000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AH0 1500000.00000000 PA USD 1437180.00000000 0.201489671384 Long DBT CORP US N 2 2027-07-15 Variable 4.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGB32 370097.46000000 PA USD 328839.54000000 0.046102625177 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAQ8 1600000.00000000 PA USD 1505567.92000000 0.211077516697 Long DBT CORP ES N 2 2028-03-24 Fixed 4.17500000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448ER5 60000.00000000 PA USD 56526.86000000 0.007924949168 Long DBT CORP US N 2 2027-03-19 Fixed 2.62500000 N N N N N N Credit Suisse Mortgage Trust N/A 12662TAA8 1118209.05000000 PA USD 1099581.81000000 0.154159101544 Long DBT CORP US N 2 2066-10-25 Floating 7.12101000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XLDT2 100000.00000000 PA USD 85779.87000000 0.012026160827 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 2.00000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90352JAC7 690000.00000000 PA USD 645203.73000000 0.090456232019 Long DBT CORP CH N 2 2028-03-23 Fixed 4.25300000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJA8 240000.00000000 PA USD 193299.52000000 0.027100193965 Long DBT CORP US N 2 2051-03-20 Fixed 4.08300000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BQ2 170000.00000000 PA USD 165096.39000000 0.023146173317 Long DBT CORP US N 2 2027-03-25 Fixed 3.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WRZ3 178971.59000000 PA USD 152053.21000000 0.021317546386 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QPAQ0 92649.39000000 PA USD 88289.25000000 0.012377970726 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 4.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 728257.43000000 0.102100189436 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2048-02-15 7263.55000000 USD 0.00000000 USD -6372000.00000000 USD 720993.88000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CGR6 50000.00000000 PA USD 50714.84000000 0.007110115953 Long DBT UST US N 2 2026-03-15 Fixed 4.62500000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816CV9 790000.00000000 PA USD 774984.90000000 0.108651284340 Long DBT CORP US N 2 2024-05-03 Fixed 3.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UEA6 234938.10000000 PA USD 231166.96000000 0.032409130940 Long ABS-MBS USGA US N 2 2048-10-20 Fixed 4.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJB6 550000.00000000 PA USD 462443.62000000 0.064833641595 Long DBT CORP US N 2 2031-04-29 Fixed 2.59200000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VES9 360000.00000000 PA USD 340623.22000000 0.047754672806 Long DBT CORP US N 2 2029-02-08 Fixed 3.87500000 N N N N N N Countrywide Home Equity Loan T N/A 126686AH7 335525.67000000 PA USD 314602.56000000 0.044106629949 Long ABS-MBS CORP US N 2 2036-11-15 Floating 5.25743000 N N N N N N KREF 2022-Fl3 Ltd 549300DG0FGL1EU1CT79 48275EAA4 2020000.00000000 PA USD 1974612.82000000 0.276836644131 Long ABS-CBDO CORP KY N 2 2039-02-17 Floating 6.52326000 N N N N N N VIRGINIA ST HSG DEV AUTH CMWLT 549300LW3QBOVLQBP895 92812ULT3 279057.20450000 PA USD 277297.00000000 0.038876467391 Long ABS-MBS MUN US N 2 2034-06-25 Fixed 6.00000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 2620000.00000000 PA USD 2431715.09000000 0.340921439474 Long DBT CORP US N 2 2030-04-15 Fixed 3.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178WGQ6 51427.52000000 PA USD 46910.95000000 0.006576818422 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133D4QF3 270199.59000000 PA USD 231024.39000000 0.032389142920 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 2.00000000 N N N N N N VISA INC 549300JZ4OKEHW3DPJ59 92826CAL6 400000.00000000 PA USD 368698.38000000 0.051690752324 Long DBT CORP US N 2 2027-04-15 Fixed 1.90000000 N N N N N N Credit Suisse Mortgage Trust N/A 12653TAB7 1364060.54000000 PA USD 1227308.97000000 0.172066185900 Long ABS-MBS CORP US N 2 2048-02-25 Variable 3.50000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDH1 50000.00000000 PA USD 41804.48000000 0.005860901861 Long DBT CORP US N 2 2040-04-01 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MAWL4 95479.09000000 PA USD 94824.66000000 0.013294221727 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 5.00000000 N N N N N N Golub Capital Partners CLO Ltd 254900XWTZJ46JGSP919 38175NAA6 350909.04000000 PA USD 348201.95000000 0.048817195118 Long ABS-CBDO CORP KY N 2 2030-05-05 Floating 6.70629000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076BS0 30000.00000000 PA USD 25096.24000000 0.003518441079 Long DBT CORP US N 2 2047-06-15 Fixed 3.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNWJ7 563070.20000000 PA USD 464367.61000000 0.065103381024 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KYDF8 82270.02000000 PA USD 71678.23000000 0.010049139988 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CX1 10000.00000000 PA USD 9757.79000000 0.001368022029 Long DBT CORP US N 2 2060-05-01 Fixed 5.93000000 N N N N N N SALESFORCE INC RCGZFPDMRW58VJ54VR07 79466LAF1 250000.00000000 PA USD 243844.77000000 0.034186533750 Long DBT CORP US N 2 2028-04-11 Fixed 3.70000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 233516.04000000 0.032738467110 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2048-02-15 136376.07000000 USD 0.00000000 USD -1984000.00000000 USD 97139.97000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXJ8 570000.00000000 PA USD 550704.08000000 0.077207576023 Long DBT CORP US N 2 2025-04-01 Fixed 3.50000000 N N N N N N Credit Suisse Mortgage Trust N/A 12657LAC8 314379.57000000 PA USD 225076.28000000 0.031555230168 Long ABS-MBS CORP US N 2 2056-03-25 Variable 1.16900000 N N N N N N Onslow Bay Financial LLC N/A 67115DAA0 421507.52000000 PA USD 348833.13000000 0.048905685252 Long ABS-MBS CORP US N 2 2061-10-25 Variable 1.95700000 N N N N N N BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 064159VL7 480000.00000000 PA USD 442624.81000000 0.062055085315 Long DBT CORP CA N 2 2025-06-11 Fixed 1.30000000 N N N N N N HALLIBURTON CO ENYF8GB5SMQZ25S06U51 406216BG5 17000.00000000 PA USD 16553.96000000 0.002320831044 Long DBT CORP US N 2 2025-11-15 Fixed 3.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXFZ0 42837.62000000 PA USD 40653.67000000 0.005699560673 Long ABS-MBS USGSE US N 2 2057-01-01 Fixed 4.00000000 N N N N N N New Residential Mortgage Loan N/A 64829JAA1 372754.71000000 PA USD 353274.18000000 0.049528311301 Long ABS-MBS CORP US N 2 2057-02-25 Variable 4.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -124.00000000 NC USD -10656.31000000 -0.00149399268 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 112.25000000 USD 2023-06-23 XXXX 31754.17000000 N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636ABC4 1160000.00000000 PA USD 1090267.11000000 0.152853199818 Long DBT CORP DK N 2 2028-04-01 Fixed 4.29800000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBM9 420000.00000000 PA USD 411973.08000000 0.057757775997 Long DBT CORP US N 2 2024-05-09 Fixed 3.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QFLM9 303836.46000000 PA USD 273833.93000000 0.038390952121 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 3.00000000 N N N N N N Adjustable Rate Mortgage Trust N/A 007036ER3 37270.78000000 PA USD 37088.79000000 0.005199771851 Long ABS-MBS CORP US N 2 2035-04-25 Variable 3.97442800 N N N N N N CREDIT SUISSE NEW YORK 549300D0YARF5HYP1809 22546QAP2 2550000.00000000 PA USD 2443639.50000000 0.342593217159 Long DBT CORP CH N 2 2024-09-09 Fixed 3.62500000 N N N N N N Hildene Community Funding CLO 549300845E8YWIPN4S43 43133KAC9 527774.32000000 PA USD 428396.96000000 0.060060370094 Long ABS-CBDO CORP KY N 2 2035-11-01 Fixed 2.60000000 N N N N N N MASTERCARD INC AR5L2ODV9HN37376R084 57636QAB0 230000.00000000 PA USD 226651.07000000 0.031776012478 Long DBT CORP US N 2 2024-04-01 Fixed 3.37500000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SH5 720000.00000000 PA USD 672069.84000000 0.094222805221 Long DBT CORP US N 2 2026-10-23 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KLBE6 173024.06000000 PA USD 135299.79000000 0.018968751461 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 1.50000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAR0 160000.00000000 PA USD 136481.24000000 0.019134388314 Long DBT CORP US N 2 2031-03-24 Fixed 3.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QFB32 154288.55000000 PA USD 133640.43000000 0.018736112612 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N VASA Trust N/A 92230AAA4 880000.00000000 PA USD 822044.08000000 0.115248884303 Long ABS-MBS CORP US N 2 2039-07-15 Floating 6.00700000 N N N N N N PRKCM Trust N/A 69357TAA8 1071753.76000000 PA USD 853661.84000000 0.119681629033 Long ABS-MBS CORP US N 2 2056-08-25 Variable 1.51000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46593EAA3 620000.00000000 PA USD 607054.65000000 0.085107809697 Long ABS-MBS CORP US N 2 2039-03-15 Floating 6.27227000 N N N N N N JPMBB Commercial Mortgage Secu N/A 46644UBF4 654000.00000000 PA USD 600148.46000000 0.084139576105 Long ABS-MBS CORP US N 2 2048-07-15 Variable 4.22689900 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QHG66 926275.00000000 PA USD 765727.13000000 0.107353364083 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137BXRT1 590000.00000000 PA USD 562393.31000000 0.078846381956 Long ABS-MBS USGSE US N 2 2027-03-25 Fixed 3.29100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGGN3 87694.81000000 PA USD 76055.89000000 0.010662878889 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDP34 348881.10000000 PA USD 288599.03000000 0.040460988683 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N SG Capital Partners N/A 78433QAA3 1832925.27000000 PA USD 1661840.03000000 0.232986544161 Long ABS-MBS CORP US N 2 2062-03-27 Variable 3.16600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140N6NC2 196097.46000000 PA USD 190149.77000000 0.026658605512 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.50000000 N N N N N N GENERAL DYNAMICS CORP 9C1X8XOOTYY2FNYTVH06 369550BC1 340000.00000000 PA USD 328373.05000000 0.046037224241 Long DBT CORP US N 2 2028-05-15 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFA27 81503.75000000 PA USD 71259.52000000 0.009990437709 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MRBS5 279032.16000000 PA USD 275818.70000000 0.038669212781 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 5.00000000 N N N N N N GRMT Mortgage Loan Trust N/A 36226MAE3 12216.92000000 PA USD 12149.53000000 0.001703339043 Long ABS-MBS CORP US N 2 2031-07-20 Fixed 6.65000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAQ6 760000.00000000 PA USD 688776.66000000 0.096565066923 Long DBT CORP US N 2 2030-05-15 Fixed 3.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQB70 199535.80000000 PA USD 200376.40000000 0.028092357943 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 237.00000000 NC USD 141534.29000000 0.019842815500 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 25709982.52000000 USD 141534.29000000 N N N SACO I Trust N/A 78386KAA3 7304.58000000 PA USD 6109.64000000 0.000856558925 Long ABS-MBS CORP US N 2 2021-06-25 Variable 4.22055000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F020661 -3500000.00000000 PA USD -2878383.41000000 -0.40354341655 Short ABS-MBS USGSE US N 2 2053-06-15 Fixed 2.00000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2G8 2010000.00000000 PA USD 1991456.64000000 0.279198112950 Long DBT CORP FR N 2 2025-01-10 Fixed 4.70500000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 13.00000000 NC USD -59502.30000000 -0.00834209971 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 3137902.30000000 USD -59502.30000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EBJ8 90986.69000000 PA USD 77833.54000000 0.010912101752 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 2.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 62.00000000 NC USD 11140.66000000 0.001561897551 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 111.00000000 USD 2023-06-23 XXXX -32076.01000000 N N N CARGILL INC QXZYQNMR4JZ5RIRN4T31 141781BL7 470000.00000000 PA USD 467424.50000000 0.065531950696 Long DBT CORP US N 2 2023-07-23 Fixed 1.37500000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AN1 1020000.00000000 PA USD 1000124.17000000 0.140215345577 Long DBT CORP US N 2 2024-06-01 Fixed 3.80000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGH1 530000.00000000 PA USD 468028.19000000 0.065616586789 Long DBT CORP US N 2 2028-03-22 Fixed 2.10000000 N N N N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BR9 1020000.00000000 PA USD 963955.37000000 0.135144554426 Long DBT CORP US N 2 2032-06-15 Fixed 3.90000000 N N N N N N TSMC ARIZONA CORP 2549005GOBWLCSY63Q97 872898AC5 1250000.00000000 PA USD 1057366.73000000 0.148240634409 Long DBT CORP US N 2 2031-10-25 Fixed 2.50000000 N N N N N N OPG Trust N/A 67118AAA3 1418244.86000000 PA USD 1366553.81000000 0.191588025234 Long ABS-MBS CORP US N 2 2036-10-15 Floating 5.59100000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MBD4 356000.00000000 PA USD 352330.98000000 0.049396076607 Long DBT CORP US N 2 2027-10-15 Fixed 5.25000000 N N N N N N Onslow Bay Financial LLC N/A 670857AA9 321585.71000000 PA USD 258000.08000000 0.036171079013 Long ABS-MBS CORP US N 2 2061-05-25 Variable 1.10100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QGXH5 742962.78000000 PA USD 614318.95000000 0.086126249572 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAZ3 130000.00000000 PA USD 125311.86000000 0.017568464278 Long DBT CORP US N 2 2032-10-15 Fixed 5.60000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382NZ83 229648.54000000 PA USD 232447.75000000 0.032588695056 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 5.00000000 N N N N N N CKE Restaurants Holdings Inc N/A 411707AK8 520725.00000000 PA USD 416992.05000000 0.058461425238 Long ABS-O CORP US N 2 2051-06-20 Fixed 2.86500000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F012668 -200000.00000000 PA USD -155791.55000000 -0.02184165394 Short ABS-MBS USGSE US N 2 2053-06-15 Fixed 1.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828YQ7 570000.00000000 PA USD 527673.05000000 0.073978673125 Long DBT UST US N 2 2026-10-31 Fixed 1.62500000 N N N N N N OTIS WORLDWIDE CORP 549300ZLBKR8VSU25153 68902VAH0 120000.00000000 PA USD 113385.46000000 0.015896407600 Long DBT CORP US N 2 2025-04-05 Fixed 2.05600000 N N N N N N HalseyPoint CLO I, Ltd. 549300POBLM5RW6LD816 406375AA3 250000.00000000 PA USD 246184.04000000 0.034514494579 Long ABS-CBDO CORP KY N 2 2033-01-20 Floating 6.60043000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDK4 190000.00000000 PA USD 181365.52000000 0.025427071783 Long DBT CORP US N 2 2027-04-01 Fixed 3.30000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378XCY5 243865.80000000 PA USD 2011.77000000 0.000282046004 Long ABS-MBS USGA US N 2 2054-06-16 Variable 0.12285000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBL6 2560000.00000000 PA USD 2005842.92000000 0.281215039730 Long DBT CORP US N 2 2032-02-04 Fixed 2.45000000 N N N N N N JOHNSON & JOHNSON 549300G0CFPGEF6X2043 478160CP7 600000.00000000 PA USD 527823.59000000 0.073999778523 Long DBT CORP US N 2 2027-09-01 Fixed 0.95000000 N N N N N N UBS Commercial Mortgage Trust N/A 90276XAZ8 1040000.00000000 PA USD 890639.46000000 0.124865815080 Long ABS-MBS CORP US N 2 2051-06-15 Variable 4.71290000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QFA25 300307.42000000 PA USD 248852.52000000 0.034888609970 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XX35 99750.68000000 PA USD 94836.55000000 0.013295888681 Long ABS-MBS USGA US N 2 2053-04-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVKW4 95538.81000000 PA USD 86124.20000000 0.012074435182 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FVQG0 322879.22000000 PA USD 51187.88000000 0.007176435185 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.50000000 N N N N N N Impac CMB Trust N/A 452550AA4 536213.65000000 PA USD 500584.34000000 0.070180891862 Long ABS-MBS CORP US N 2 2037-05-25 Floating 5.63800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L2QE6 399055.10000000 PA USD 330019.35000000 0.046268032105 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LPCJ9 95524.38000000 PA USD 78971.66000000 0.011071663829 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKCJ7 98880.50000000 PA USD 99376.28000000 0.013932349462 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKTY6 398482.69000000 PA USD 399663.98000000 0.056032065568 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFHS3 176396.29000000 PA USD 159780.42000000 0.022400885288 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ANE86 45827.04000000 PA USD 41059.02000000 0.005756389907 Long ABS-MBS USGSE US N 2 2045-06-25 Fixed 3.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967HS3 116000.00000000 PA USD 106289.24000000 0.014901532194 Long DBT CORP US N 2 2044-05-06 Fixed 5.30000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPEH7 880666.98000000 PA USD 810068.92000000 0.113569991573 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.50000000 N N N N N N COSTCO WHOLESALE CORP 29DX7H14B9S6O3FD6V18 22160KAP0 170000.00000000 PA USD 142582.06000000 0.019989710693 Long DBT CORP US N 2 2030-04-20 Fixed 1.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QRDB6 288404.24000000 PA USD 297092.10000000 0.041651699578 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6.50000000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AN7 190000.00000000 PA USD 173746.45000000 0.024358893885 Long DBT CORP US N 2 2026-01-15 Fixed 1.60000000 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 91282CGK1 8339376.70000000 PA USD 8093360.92000000 1.134672505995 Long DBT UST US N 2 2033-01-15 Fixed 1.12500000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 144.00000000 NC USD 216000.00000000 0.030282754435 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Purchased CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-03-18 0.00000000 USD 2500.00000000 97.00000000 USD 2023-10-13 XXXX 59260.10000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWDT7 754545.80000000 PA USD 693770.34000000 0.097265170558 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9K29 1149275.44000000 PA USD 983129.39000000 0.137832712478 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 2.00000000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAU7 90000.00000000 PA USD 77333.51000000 0.010841998578 Long DBT CORP US N 2 2045-06-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179V7D6 825706.86000000 PA USD 702588.28000000 0.098501427556 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 2.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 31.00000000 NC USD 37781.25000000 0.005296853314 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 114.00000000 USD 2023-06-23 XXXX 9149.49000000 N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F032666 1900000.00000000 PA USD 1745847.66000000 0.244764240596 Long ABS-MBS USGSE US N 2 2053-06-15 Fixed 3.50000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBW2 100000.00000000 PA USD 81063.18000000 0.011364890618 Long DBT CORP US N 2 2050-01-31 Fixed 4.20000000 N N N N N N GoodLeap Sustainable Home Impr N/A 38237JAB9 849737.59000000 PA USD 649521.65000000 0.091061595496 Long ABS-O CORP US N 2 2049-01-20 Fixed 2.94000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CHC8 1310000.00000000 PA USD 1282060.16000000 0.179742189797 Long DBT UST US N 2 2033-05-15 Fixed 3.37500000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -88.00000000 NC USD -10450.00000000 -0.00146506844 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 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 96.75000000 USD 2023-09-15 XXXX 10265.20000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAY2 1250000.00000000 PA USD 1239093.86000000 0.173718403168 Long DBT CORP US N 2 2024-12-05 Fixed 4.02300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXKP6 38406.17000000 PA USD 37435.61000000 0.005248395299 Long ABS-MBS USGSE US N 2 2058-08-01 Fixed 4.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 62.00000000 NC USD 7750.00000000 0.001086534013 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 111.50000000 USD 2023-06-23 XXXX -37888.51000000 N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822CE2 340000.00000000 PA USD 324896.95000000 0.045549882192 Long DBT CORP JP N 2 2028-04-19 Fixed 4.08000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYWN5 186643.57000000 PA USD 159488.58000000 0.022359969922 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KNJF1 87624.66000000 PA USD 76083.20000000 0.010666707695 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N SILVER ROCK CLO LTD N/A 82811RAA5 1410000.00000000 PA USD 1405678.91000000 0.197073283546 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 6.90043000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWAW3 78890.14000000 PA USD 65270.03000000 0.009150723566 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHJL2 657487.82000000 PA USD 626856.51000000 0.087883989622 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H050664 200000.00000000 PA USD 197527.34000000 0.027692925608 Long ABS-MBS USGA US N 2 2052-06-15 Fixed 5.00000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MEY6 130000.00000000 PA USD 126754.31000000 0.017770692793 Long DBT CORP US N 2 2026-01-30 Fixed 3.70000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TD0 12405000.00000000 PA USD 8950498.27000000 1.254841394361 Long DBT UST US N 2 2052-02-15 Fixed 2.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179W7M4 96032.83000000 PA USD 91301.90000000 0.012800338042 Long ABS-MBS USGA US N 2 2052-06-20 Fixed 4.00000000 N N N N N N Legacy Mortgage Asset Trust N/A 52476DAA5 393859.26000000 PA USD 370647.09000000 0.051963957446 Long ABS-MBS CORP US N 2 2061-04-25 Variable 1.75000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFL3 80000.00000000 PA USD 74283.93000000 0.010414453753 Long DBT CORP US N 2 2025-09-01 Fixed 1.45000000 N N N N N N ORBIA ADVANCE CORP SAB 549300MVHZ20SBIOEQ79 68560EAA6 740000.00000000 PA USD 667665.00000000 0.093605255740 Long DBT CORP MX N 2 2026-05-11 Fixed 1.87500000 N N N N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081EY5 430000.00000000 PA USD 358790.95000000 0.050301751075 Long DBT CORP US N 2 2030-05-28 Fixed 1.70000000 N N N N N N MARS INC 54930073HKEO6GZBSS03 571676AB1 910000.00000000 PA USD 834689.87000000 0.117021797975 Long DBT CORP US N 2 2030-04-01 Fixed 3.20000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CFF3 1430000.00000000 PA USD 1330011.71000000 0.186464898193 Long DBT UST US N 2 2032-08-15 Fixed 2.75000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TS7 2570000.00000000 PA USD 2524021.11000000 0.353862553069 Long DBT UST US N 2 2043-05-15 Fixed 3.87500000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKP3 470000.00000000 PA USD 454731.88000000 0.063752471554 Long DBT CORP US N 2 2028-04-27 Fixed 4.37600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ECZ1 369975.41000000 PA USD 324027.54000000 0.045427992703 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TCY9 40933.44000000 PA USD 39476.82000000 0.005534568731 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 4.00000000 N N N N N N ABBOTT LABORATORIES HQD377W2YR662HK5JX27 002824BE9 700000.00000000 PA USD 692340.00000000 0.097064639840 Long DBT CORP US N 2 2023-11-30 Fixed 3.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHCC9 192344.32000000 PA USD 177215.94000000 0.024845309226 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAF6 660000.00000000 PA USD 613866.00000000 0.086062746916 Long DBT CORP US N 2 2027-10-01 Fixed 3.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9L28 98242.68000000 PA USD 83781.18000000 0.011745948612 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 2.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHD4 1572000.00000000 PA USD 1446640.00000000 0.202815943870 Long DBT CORP US N 2 2028-12-20 Fixed 3.41900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKM49 97710.82000000 PA USD 96455.83000000 0.013522908396 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BA77 257970.02000000 PA USD 255876.75000000 0.035873392527 Long ABS-MBS USGA US N 2 2062-12-20 Floating 5.20771000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAW1 200000.00000000 PA USD 199486.74000000 0.027967629446 Long DBT CORP DK N 2 2024-06-22 Fixed 1.22600000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BT0 170000.00000000 PA USD 124598.82000000 0.017468497541 Long DBT CORP US N 2 2050-03-01 Fixed 4.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKYL8 98605.14000000 PA USD 81597.95000000 0.011439864269 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPAG3 390494.56000000 PA USD 380506.82000000 0.053346271254 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.50000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AH0 40000.00000000 PA USD 37421.73000000 0.005246449352 Long DBT CORP US N 2 2025-06-25 Fixed 2.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QFA33 77212.87000000 PA USD 63887.54000000 0.008956901320 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFMQ1 90018.56000000 PA USD 78715.17000000 0.011035704460 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAG8 420000.00000000 PA USD 395234.25000000 0.055411026560 Long DBT CORP US N 2 2025-06-01 Fixed 1.65000000 N N N N N N MONDELEZ INTERNATIONAL 549300DV9GIB88LZ5P30 609207AU9 900000.00000000 PA USD 844650.97000000 0.118418323647 Long DBT CORP US N 2 2025-05-04 Fixed 1.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAX4 1770000.00000000 PA USD 1709458.76000000 0.239662591879 Long DBT CORP US N 2 2029-12-05 Fixed 4.45200000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AP4 430000.00000000 PA USD 423258.36000000 0.059339948974 Long DBT CORP GB N 2 2024-03-14 Fixed 4.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MKK99 265580.31000000 PA USD 254509.53000000 0.035681711103 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWA60 133276.74000000 PA USD 114322.42000000 0.016027767459 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816CW7 150000.00000000 PA USD 144361.80000000 0.020239226570 Long DBT CORP US N 2 2029-05-03 Fixed 4.05000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGV97 88710.76000000 PA USD 80809.36000000 0.011329305578 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.00000000 N N N N N N ABN AMRO BANK NV BFXS5XCH7N0Y05NIXW11 00080QAF2 310000.00000000 PA USD 300812.83000000 0.042173338249 Long DBT CORP NL N 2 2025-07-28 Fixed 4.75000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CGS4 4070000.00000000 PA USD 4049650.00000000 0.567752576379 Long DBT UST US N 2 2030-03-31 Fixed 3.62500000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833BZ2 1170000.00000000 PA USD 1108353.14000000 0.155388823916 Long DBT CORP US N 2 2026-08-04 Fixed 2.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXTC6 2135404.87000000 PA USD 1769272.41000000 0.248048342225 Long ABS-MBS USGSE US N 2 2061-07-01 Fixed 2.50000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661ED5 460000.00000000 PA USD 394760.79000000 0.055344648445 Long DBT CORP US N 2 2028-09-15 Fixed 1.70000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378XUN9 865858.63000000 PA USD 6182.14000000 0.000866723275 Long ABS-MBS USGA US N 2 2055-05-16 Variable 0.19103000 N N N N N N KENVUE INC 5493008HSF8L4M2LIJ82 49177JAE2 780000.00000000 PA USD 797115.75000000 0.111753983859 Long DBT CORP US N 2 2028-03-22 Fixed 5.05000000 N N N N N N CHEVRON USA INC VA8TZDWPEZYU430RZ444 166756AS5 490000.00000000 PA USD 457123.26000000 0.064087738097 Long DBT CORP US N 2 2029-10-15 Fixed 3.25000000 N N N N N N COMM Mortgage Trust 549300MGZ5FI5VFL1177 12591KAG0 80000.00000000 PA USD 70165.31000000 0.009837031724 Long ABS-MBS CORP US N 2 2046-10-10 Fixed 4.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BCD80 76253.36000000 PA USD 11375.63000000 0.001594839860 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 2.50000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCT6 1890000.00000000 PA USD 1844348.22000000 0.258573815921 Long DBT CORP US N 2 2028-10-15 Fixed 4.15000000 N N N N N N REPUBLIC OF KAZAKHSTAN 5493007OEK8EF02UO833 486661AF8 1270000.00000000 PA USD 1138871.23000000 0.159667397181 Long DBT NUSS KZ N 2 2044-10-14 Fixed 4.87500000 N N N N N N ABPCI Direct Lending Fund CLO N/A 000848AA9 1320000.00000000 PA USD 1306248.41000000 0.183133332552 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 6.75771000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNNW9 461980.07000000 PA USD 456929.37000000 0.064060555119 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 5.00000000 N N N N N N COOPERATIEVE RABOBANK UA DG3RU1DBUFHT4ZF9WN62 74977RDN1 2210000.00000000 PA USD 2063664.92000000 0.289321564854 Long DBT CORP NL N 2 2028-04-06 Fixed 3.64900000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378KTM1 3638328.54000000 PA USD 30091.52000000 0.004218769031 Long ABS-MBS USGA US N 2 2047-04-16 Variable 0.42047000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFM6 320000.00000000 PA USD 312739.33000000 0.043845408947 Long DBT CORP US N 2 2025-01-22 Fixed 4.00000000 N N N N N N BDS Ltd N/A 07335YAJ5 2140000.00000000 PA USD 2026666.46000000 0.284134457083 Long ABS-CBDO CORP KY N 2 2036-12-16 Floating 7.96129000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140CF5 250000.00000000 PA USD 253044.30000000 0.035476288880 Long DBT CORP US N 2 2030-02-10 Fixed 5.12500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CFU0 190000.00000000 PA USD 191996.48000000 0.026917510445 Long DBT UST US N 2 2027-10-31 Fixed 4.12500000 N N N N N N HalseyPoint CLO 3, Ltd. N/A 40638UAA7 560000.00000000 PA USD 553500.17000000 0.077599582073 Long ABS-CBDO CORP KY N 2 2032-11-30 Floating 6.74914000 N N N N N N COSTCO WHOLESALE CORP 29DX7H14B9S6O3FD6V18 22160KAN5 830000.00000000 PA USD 742476.52000000 0.104093676523 Long DBT CORP US N 2 2027-06-20 Fixed 1.37500000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBT9 1630000.00000000 PA USD 1575047.53000000 0.220818414697 Long DBT CORP US N 2 2028-10-16 Fixed 4.15000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175AY0 4930000.00000000 PA USD 4849512.67000000 0.679891672756 Long DBT CORP US N 2 2025-07-23 Fixed 4.90800000 N N N N N N Arbor Realty Collateralized Lo N/A 03880XAA4 924000.00000000 PA USD 907412.10000000 0.127217304609 Long ABS-CBDO CORP KY N 2 2037-01-15 Floating 6.32227000 N N N N N N Credit Suisse Mortgage Trust N/A 12597MAA3 597117.41000000 PA USD 555913.44000000 0.077937917549 Long ABS-MBS CORP US N 2 2050-02-25 Variable 2.24000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023BU8 90000.00000000 PA USD 82546.39000000 0.011572833601 Long DBT CORP US N 2 2027-03-01 Fixed 2.80000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BJN3 737265.80000000 PA USD 733224.18000000 0.102796517540 Long ABS-MBS USGA US N 2 2060-11-20 Floating 5.30771000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CG2 1140000.00000000 PA USD 1059823.80000000 0.148585110554 Long DBT CORP GB N 2 2026-06-04 Fixed 2.09900000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDG3 290000.00000000 PA USD 268241.73000000 0.037606937216 Long DBT CORP US N 2 2030-04-01 Fixed 3.40000000 N N N N N N KKR Financial CLO Ltd 5493004Y6G18HN4CQ515 48254HAA2 490000.00000000 PA USD 485272.94000000 0.068034265166 Long ABS-CBDO CORP KY N 2 2032-01-15 Floating 6.58029000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 31325VKQ6 82524.24000000 PA USD 8850.82000000 0.001240866706 Long ABS-MBS USGSE US N 2 2044-08-15 Floating 0.99257000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CD5 330000.00000000 PA USD 297388.67000000 0.041693278080 Long DBT CORP US N 2 2029-03-01 Fixed 3.20000000 N N N N N N GS Mortgage Securities Trust N/A 36255TAA0 2725195.63000000 PA USD 2224106.01000000 0.311815074715 Long ABS-MBS CORP US N 2 2031-09-15 Floating 6.90700000 N N N N N N Natixis Commercial Mortgage Se N/A 63873VAE3 2550000.00000000 PA USD 1946495.84000000 0.272894701535 Long ABS-MBS CORP US N 2 2036-08-15 Fixed 3.65530000 N N N N N N TENNESSEE GAS PIPELINE N/A 880451AZ2 740000.00000000 PA USD 636504.92000000 0.089236676801 Long DBT CORP US N 2 2030-03-01 Fixed 2.90000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QBX9 1100000.00000000 PA USD 604879.88000000 0.084802911429 Long DBT CORP MX N 2 2046-01-23 Fixed 5.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVL94 1457446.37000000 PA USD 1261160.90000000 0.176812156656 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWV2 750000.00000000 PA USD 699750.67000000 0.098103600487 Long DBT CORP US N 2 2029-04-23 Fixed 3.81400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QN4Q2 161049.43000000 PA USD 152323.59000000 0.021355453104 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BBME9 700000.00000000 PA USD 550412.52000000 0.077166699912 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M2SK9 453043.12000000 PA USD 405080.58000000 0.056791461715 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFF1 1560000.00000000 PA USD 1541924.11000000 0.216174579540 Long DBT CORP US N 2 2024-04-01 Fixed 4.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TN8 1960000.00000000 PA USD 1883131.25000000 0.264011116725 Long DBT UST US N 2 2053-02-15 Fixed 3.62500000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661DU8 210000.00000000 PA USD 205363.40000000 0.028791525056 Long DBT CORP US N 2 2030-04-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFN23 88613.21000000 PA USD 80096.13000000 0.011229312203 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB5B1 65445.52000000 PA USD 63731.77000000 0.008935062688 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 4.00000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BR2 120000.00000000 PA USD 95514.89000000 0.013390990549 Long DBT CORP US N 2 2032-02-03 Fixed 2.15000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFQ2 240000.00000000 PA USD 224415.67000000 0.031462614009 Long DBT CORP US N 2 2030-07-01 Fixed 3.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ECH1 273507.60000000 PA USD 239597.94000000 0.033591136945 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 2.50000000 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BZ5 480000.00000000 PA USD 478135.55000000 0.067033617811 Long DBT CORP US N 2 2033-02-09 Fixed 5.87500000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DC6 1730000.00000000 PA USD 1727266.60000000 0.242159214313 Long DBT CORP US N 2 2026-03-15 Fixed 5.55000000 N N N N N N PRINCIPAL LFE GLB FND II 635400WSLKBQWSOIIT41 74256LEE5 160000.00000000 PA USD 146846.41000000 0.020587563767 Long DBT CORP US N 2 2025-06-23 Fixed 1.25000000 N N N N N N Fannie Mae - CAS N/A 20754AAB9 2140000.00000000 PA USD 2075968.85000000 0.291046550460 Long ABS-MBS CORP US N 2 2041-12-25 Floating 6.62299000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W5GH5 36598.48000000 PA USD 33335.13000000 0.004673516462 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.00000000 N N N N N N 3M COMPANY LUZQVYP4VS22CLWDAR65 88579YBJ9 100000.00000000 PA USD 85967.11000000 0.012052411489 Long DBT CORP US N 2 2029-08-26 Fixed 2.37500000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBL3 320000.00000000 PA USD 300713.88000000 0.042159465663 Long DBT CORP US N 2 2030-04-06 Fixed 3.63300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDGP5 85771.24000000 PA USD 74377.98000000 0.010427639369 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.50000000 N N N N N N MSCG Trust N/A 55352NAC1 1440000.00000000 PA USD 1322468.50000000 0.185407355711 Long ABS-MBS CORP US N 2 2035-06-07 Variable 3.46175000 N N N N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299BB9 1370000.00000000 PA USD 1006584.65000000 0.141121091546 Long DBT NUSS PA N 2 2053-04-29 Fixed 4.30000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XLJ3 591425.86000000 PA USD 591749.33000000 0.082962035405 Long ABS-MBS USGA US N 2 2052-11-20 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9XA6 235914.68000000 PA USD 225063.49000000 0.031553437036 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.00000000 N N N N N N College Ave Student Loans N/A 19424WAD9 1100000.00000000 PA USD 916524.07000000 0.128494784007 Long ABS-O CORP US N 2 2055-07-26 Fixed 3.06000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TL2 3390000.00000000 PA USD 3485873.44000000 0.488712265626 Long DBT UST US N 2 2052-11-15 Fixed 4.00000000 N N N N N N Towd Point Mortgage Trust N/A 89180YAA8 1509950.64000000 PA USD 1410954.05000000 0.197812847293 Long ABS-MBS CORP US N 2 2062-09-25 Fixed 3.75000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JF5 770000.00000000 PA USD 666990.63000000 0.093510710457 Long DBT CORP US N 2 2027-08-01 Fixed 2.10000000 N N N N N N SINOPEC GRP OVERSEA 2014 549300ZIMV82UUECOQ45 82937WAE5 1620000.00000000 PA USD 1609145.81000000 0.225598923215 Long DBT CORP VG N 2 2024-04-10 Fixed 4.37500000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 1278747.75000000 0.179277796748 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2047-02-15 69464.37000000 USD 0.00000000 USD -4875000.00000000 USD 1209283.38000000 N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BH1 226000.00000000 PA USD 221265.44000000 0.031020958261 Long DBT CORP US N 2 2026-01-15 Fixed 3.55000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WDR6 295771.57000000 PA USD 259897.72000000 0.036437124226 Long ABS-MBS USGA US N 2 2051-04-20 Fixed 2.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CHF1 5840000.00000000 PA USD 5859162.50000000 0.821442496216 Long DBT UST US N 2 2030-05-31 Fixed 3.75000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CW3 380000.00000000 PA USD 372444.11000000 0.052215895944 Long DBT CORP US N 2 2050-05-01 Fixed 5.80500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHNB9 381378.67000000 PA USD 362011.88000000 0.050753318817 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828M56 460000.00000000 PA USD 439093.36000000 0.061559983309 Long DBT UST US N 2 2025-11-15 Fixed 2.25000000 N N N N N N GS Mortgage Securities Trust N/A 36255TAJ1 2122594.61000000 PA USD 1087994.45000000 0.152534577574 Long ABS-MBS CORP US N 2 2031-09-15 Floating 8.10700000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TQ1 1700000.00000000 PA USD 1669187.50000000 0.234016644299 Long DBT UST US N 2 2043-02-15 Fixed 3.87500000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBH0 90000.00000000 PA USD 73547.92000000 0.010311266669 Long DBT CORP US N 2 2031-08-01 Fixed 2.25000000 N N N N N N COOPERATIEVE RABOBANK UA DG3RU1DBUFHT4ZF9WN62 21684AAC0 2630000.00000000 PA USD 2562788.61000000 0.359297676600 Long DBT CORP NL N 2 2025-08-04 Fixed 4.37500000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AC1 120000.00000000 PA USD 106836.65000000 0.014978277947 Long DBT CORP US N 2 2030-02-01 Variable 4.30000000 N N N N N N Credit Suisse Mortgage Trust N/A 12653VAA4 189528.48000000 PA USD 188423.89000000 0.026416640697 Long ABS-MBS CORP US N 2 2036-05-15 Floating 6.08700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LUFQ9 254054.24000000 PA USD 217969.44000000 0.030558865860 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XLKT4 200000.00000000 PA USD 199965.91000000 0.028034808092 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QMCQ5 264157.89000000 PA USD 235244.86000000 0.032980844108 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380QBN1 112498.04000000 PA USD 113303.47000000 0.015884912771 Long ABS-MBS USGA US N 2 2070-04-20 Floating 6.10771000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F012668 200000.00000000 PA USD 155791.55000000 0.021841653943 Long ABS-MBS USGSE US N 2 2053-06-15 Fixed 1.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XFH4 195500.23000000 PA USD 190073.97000000 0.026647978509 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QPHK6 377675.46000000 PA USD 336977.19000000 0.047243506921 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.00000000 N N N N N N FANNIEMAE-ACES B1V7KEBTPIMZEU4LTD58 3136BP3K5 200000.00000000 PA USD 191099.34000000 0.026791733268 Long ABS-MBS USGSE US N 2 2032-08-25 Variable 3.89356500 N N N N N N RELIANCE INDUSTRIES LTD 5493003UOETFYRONLG31 759470BD8 1120000.00000000 PA USD 797005.55000000 0.111738534046 Long DBT CORP IN N 2 2052-01-12 Fixed 3.62500000 N N N N N N Eaton Vance CDO Ltd 549300FU3GAH1NNHOO94 27829PAL0 930000.00000000 PA USD 909987.83000000 0.127578416642 Long ABS-CBDO CORP KY N 2 2035-01-15 Floating 6.41029000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPT73 197435.50000000 PA USD 195303.71000000 0.027381177269 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.00000000 N N N N N N BECTON DICKINSON & CO ICE2EP6D98PQUILVRZ91 075887BG3 200000.00000000 PA USD 180596.40000000 0.025319242745 Long DBT CORP US N 2 2044-12-15 Fixed 4.68500000 N N N N N N Mill City Mortgage Trust N/A 59981AAC0 689234.90000000 PA USD 657437.19000000 0.092171337876 Long ABS-MBS CORP US N 2 2069-10-25 Variable 3.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KQ3M6 199605.51000000 PA USD 204852.10000000 0.028719841850 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KKK24 297281.69000000 PA USD 257800.52000000 0.036143101112 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N DIAGEO CAPITAL PLC 213800L23DJLALFC4O95 25243YAY5 220000.00000000 PA USD 218699.41000000 0.030661206148 Long DBT CORP GB N 2 2023-09-18 Fixed 3.50000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACB9 290000.00000000 PA USD 242735.07000000 0.034030956099 Long DBT CORP US N 2 2031-02-15 Fixed 2.55000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDL3 60000.00000000 PA USD 52384.98000000 0.007344266136 Long DBT CORP US N 2 2048-06-15 Fixed 4.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FW3E8 164110.22000000 PA USD 24727.50000000 0.003466744492 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.50000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818ES3 600000.00000000 PA USD 587758.58000000 0.082402540487 Long DBT CORP US N 2 2025-07-15 Fixed 3.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB5S4 29866.22000000 PA USD 29147.67000000 0.004086443208 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QPKM8 190149.17000000 PA USD 174906.67000000 0.024521554336 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXTS1 366172.26000000 PA USD 303387.43000000 0.042534291858 Long ABS-MBS USGSE US N 2 2061-09-01 Fixed 2.50000000 N N N N N N Morgan Stanley Capital I Trust N/A 61769GAA5 1517344.42000000 PA USD 1468999.40000000 0.205950685627 Long ABS-MBS CORP US N 2 2036-05-15 Floating 7.00700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9M92 500000.00000000 PA USD 430334.74000000 0.060332042853 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VN48 394787.70000000 PA USD 369827.11000000 0.051848997942 Long ABS-MBS USGA US N 2 2050-06-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KRCQ5 100000.00000000 PA USD 103378.62000000 0.014493469274 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 6.50000000 N N N N N N Blackbird Capital Aircraft N/A 09229CAA7 429501.76000000 PA USD 377468.52000000 0.052920307861 Long ABS-O CORP US N 2 2046-07-15 Fixed 2.44300000 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89114QCG1 910000.00000000 PA USD 908758.46000000 0.127406061504 Long DBT CORP CA N 2 2023-06-12 Fixed 0.75000000 N N N N N N AETNA INC 549300QKBENKLBXQ8968 00817YAV0 1070000.00000000 PA USD 1069142.11000000 0.149891518395 Long DBT CORP US N 2 2023-06-15 Fixed 2.80000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAG4 500000.00000000 PA USD 518025.00000000 0.072626036417 Long DBT CORP US N 2 2030-02-01 Variable 7.00000000 N N N N N N Credit Suisse Mortgage Trust N/A 12596XAA0 417047.02000000 PA USD 386801.60000000 0.054228786425 Long ABS-MBS CORP US N 2 2049-07-25 Variable 2.57300000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKH4 560000.00000000 PA USD 448617.93000000 0.062895308376 Long DBT CORP US N 2 2032-02-01 Fixed 2.25000000 N N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAH6 608000.00000000 PA USD 632467.14000000 0.088670588374 Long DBT CORP KY N 2 2036-11-21 Fixed 6.87500000 N N N N N N JOHNSON & JOHNSON 549300G0CFPGEF6X2043 478160CN2 290000.00000000 PA USD 266791.97000000 0.037403683855 Long DBT CORP US N 2 2025-09-01 Fixed 0.55000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 1330.00000000 NC USD 1120681.96000000 0.157117299048 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 151122755.54000000 USD 1120681.96000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XFD3 189664.11000000 PA USD 166114.32000000 0.023288885003 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 2.50000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAP3 1390000.00000000 PA USD 1304230.48000000 0.182850422928 Long DBT CORP US N 2 2029-01-24 Fixed 3.77200000 N N N N N N Reese Park CLO, Ltd. N/A 758465BA5 1840000.00000000 PA USD 1797968.32000000 0.252071449614 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 6.39029000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MQCZ7 245011.95000000 PA USD 214507.66000000 0.030073531445 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96949LAC9 350000.00000000 PA USD 310232.06000000 0.043493894865 Long DBT CORP US N 2 2045-09-15 Fixed 5.10000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KRCS1 200000.00000000 PA USD 206025.06000000 0.028884288423 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TSH9 13510.41000000 PA USD 13029.43000000 0.001826699208 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 4.00000000 N N N N N N Keycorp Student Loan Trust 254900QO9Y4JHZFBGC87 49327HAH8 188910.40000000 PA USD 188019.27000000 0.026359913807 Long ABS-O CORP US N 2 2041-12-27 Floating 5.61371000 N N N N N N BX Trust N/A 05610HAA1 872686.58000000 PA USD 849005.27000000 0.119028787525 Long ABS-MBS CORP US N 2 2039-02-15 Floating 6.07219000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BUNF0 94361.72000000 PA USD 96666.64000000 0.013552463524 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6.50000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BS4 160000.00000000 PA USD 132205.86000000 0.018534988857 Long DBT CORP US N 2 2030-06-03 Fixed 1.50000000 N N N N N N PERTAMINA PERSERO PT 254900NDAKGNZ2IBBL45 69369EAD1 580000.00000000 PA USD 568400.00000000 0.079688507504 Long DBT CORP ID N 2 2042-05-03 Fixed 6.00000000 N N N N N N Social Professional Loan Progr N/A 83405YAA0 416221.30000000 PA USD 353816.28000000 0.049604312603 Long ABS-O CORP US N 2 2043-08-17 Fixed 1.03000000 N N N N N N FOX CORP 549300DDU6FDRBIELS05 35137LAH8 210000.00000000 PA USD 204782.80000000 0.028710126133 Long DBT CORP US N 2 2029-01-25 Fixed 4.70900000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HAW8 300000.00000000 PA USD 284983.53000000 0.039954103041 Long DBT CORP N/A N 2 2025-05-01 Fixed 2.70000000 N N N N N N PIONEER NATURAL RESOURCE FY8JBF7CCL2VE4F1B628 723787AT4 300000.00000000 PA USD 271586.74000000 0.038075900718 Long DBT CORP US N 2 2026-01-15 Fixed 1.12500000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PEH1 660000.00000000 PA USD 638613.93000000 0.089532355652 Long DBT CORP US N 2 2029-05-15 Fixed 4.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -568.00000000 NC USD -142000.00000000 -0.01990810708 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-03-18 0.00000000 USD 2500.00000000 95.37500000 USD 2023-12-15 XXXX 95044.70000000 N N N BRAVO Residential Funding Trus N/A 10569JAA8 366660.54000000 PA USD 357722.79000000 0.050151997247 Long ABS-MBS CORP US N 2 2062-07-25 Variable 5.10800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DM2J3 358367.38000000 PA USD 308562.24000000 0.043259789545 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHJF5 286238.28000000 PA USD 271871.14000000 0.038115773012 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 79.00000000 NC USD 117404.30000000 0.016459840678 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Long THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2026-03-17 19036145.70000000 USD 117404.30000000 N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076BW1 40000.00000000 PA USD 39101.52000000 0.005481952445 Long DBT CORP US N 2 2028-12-06 Fixed 3.90000000 N N N N N N SMBC AVIATION CAPITAL FI 549300OD7VKRVNWB2J98 78448TAD4 710000.00000000 PA USD 707894.98000000 0.099245415949 Long DBT CORP IE N 2 2023-07-15 Fixed 4.12500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WNF1 566735.15000000 PA USD 512327.81000000 0.071827302131 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TXX8 69639.75000000 PA USD 69833.12000000 0.009790459372 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 5.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBQ8 1410000.00000000 PA USD 1410244.64000000 0.197713389474 Long DBT CORP US N 2 2024-06-01 Fixed 1.51400000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFX2 460000.00000000 PA USD 443485.89000000 0.062175806955 Long DBT CORP US N 2 2026-04-19 Fixed 3.50000000 N N N N N N JOHNSON & JOHNSON 549300G0CFPGEF6X2043 478160BY9 1390000.00000000 PA USD 1325439.23000000 0.185823845929 Long DBT CORP US N 2 2026-03-01 Fixed 2.45000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYWE5 365607.92000000 PA USD 312755.74000000 0.043847709595 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 2.00000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016FZQ0 230000.00000000 PA USD 210343.86000000 0.029489775274 Long DBT CORP CA N 2 2032-05-04 Fixed 3.87500000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 121.00000000 NC USD 59743.75000000 0.008375950510 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Purchased CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-03-18 0.00000000 USD 2500.00000000 95.87500000 USD 2023-12-15 XXXX -49160.35000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QP4C8 85997.41000000 PA USD 86285.56000000 0.012097057522 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 5.50000000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 760942BE1 1270000.00000000 PA USD 1390489.05000000 0.194943696508 Long DBT NUSS UY N 2 2034-10-28 Fixed 5.75000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2V5 1290000.00000000 PA USD 1286936.13000000 0.180425790733 Long DBT CORP FR N 2 2029-01-13 Fixed 5.12500000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AL3 2440000.00000000 PA USD 2327456.22000000 0.326304560966 Long DBT CORP CO N 2 2026-06-26 Fixed 5.37500000 N N N N N N Dryden Senior Loan Fund 254900JFO9XUH2EREJ70 26252JAS7 800000.00000000 PA USD 780178.93000000 0.109379476632 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 6.30029000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XLET1 200000.00000000 PA USD 189401.14000000 0.026553649131 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 4.00000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBY8 50000.00000000 PA USD 37277.73000000 0.005226260849 Long DBT CORP US N 2 2051-01-31 Fixed 3.70000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175CJ1 500000.00000000 PA USD 434907.06000000 0.060973072685 Long DBT CORP US N 2 2033-04-01 Fixed 4.40000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 111.00000000 NC USD 105796.98000000 0.014832518357 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 200000.00000000 103.12500000 USD 2023-06-23 XXXX 13323.70000000 N N N HALEON US CAPITAL LLC 549300N8C3A3L0UVQB07 36264FAK7 750000.00000000 PA USD 708992.02000000 0.099399218694 Long DBT CORP US N 2 2027-03-24 Fixed 3.37500000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAV7 940000.00000000 PA USD 838713.04000000 0.117585838110 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45000000 N N N N N N MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 000000000 -11757000.00000000 NC USD -29800.09000000 -0.00417791114 N/A DIR CORP GB N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 Put Written MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP GB US THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2033-08-31 0.00000000 USD 0.00000000 USD 0.00000000 USD -11757000.00000000 USD 4.10000000 USD 2023-08-29 XXXX 99526.91000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CHE4 7830000.00000000 PA USD 7785956.25000000 1.091575005375 Long DBT UST US N 2 2028-05-31 Fixed 3.62500000 N N N N N N PIONEER NATURAL RESOURCE FY8JBF7CCL2VE4F1B628 723787AR8 400000.00000000 PA USD 327226.52000000 0.045876483100 Long DBT CORP US N 2 2031-01-15 Fixed 2.15000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCB3 80000.00000000 PA USD 67811.76000000 0.009507068869 Long DBT CORP US N 2 2049-11-21 Fixed 4.25000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DJ6 210000.00000000 PA USD 193292.79000000 0.027099250433 Long DBT CORP US N 2 2030-04-01 Fixed 3.75000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBH5 130000.00000000 PA USD 123236.81000000 0.017277546549 Long DBT CORP US N 2 2025-05-06 Fixed 2.35000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAKS2 371259.93000000 PA USD 334569.21000000 0.046905913092 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 3.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JC6 180000.00000000 PA USD 173813.05000000 0.024368231068 Long DBT CORP US N 2 2026-11-20 Fixed 4.30000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAH6 1690000.00000000 PA USD 1663374.27000000 0.233201641444 Long DBT CORP GB N 2 2024-03-12 Fixed 3.90000000 N N N N N N REPUBLIC SERVICES INC NKNQHM6BLECKVOQP7O46 760759AQ3 750000.00000000 PA USD 726441.31000000 0.101845573158 Long DBT CORP US N 2 2025-03-15 Fixed 3.20000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96949LAD7 920000.00000000 PA USD 876850.66000000 0.122932653764 Long DBT CORP US N 2 2027-06-15 Fixed 3.75000000 N N N N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 375558AW3 90000.00000000 PA USD 88741.99000000 0.012441443940 Long DBT CORP US N 2 2024-04-01 Fixed 3.70000000 N N N N N N AMERICAN TRANSMISSION SY N/A 030288AC8 140000.00000000 PA USD 116294.64000000 0.016304268635 Long DBT CORP US N 2 2032-01-15 Fixed 2.65000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162TBB8 785000.00000000 PA USD 750103.61000000 0.105162978807 Long ABS-MBS CORP US N 2 2053-05-15 Variable 4.51000000 N N N N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377REH3 2650000.00000000 PA USD 2342833.73000000 0.328460456147 Long ABS-O CORP US N 2 2027-08-20 Fixed 1.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGGV5 179617.83000000 PA USD 154537.75000000 0.021665873769 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AT8 50000.00000000 PA USD 47671.09000000 0.006683388482 Long DBT CORP US N 2 2031-01-15 Fixed 5.75000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2H6 370000.00000000 PA USD 363602.41000000 0.050976307842 Long DBT CORP FR N 2 2030-01-10 Fixed 5.19800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DM2N4 170134.38000000 PA USD 151373.29000000 0.021222223005 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JP7 1810000.00000000 PA USD 1757402.03000000 0.246384139436 Long DBT CORP US N 2 2025-04-27 Fixed 3.30000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CFT3 6220000.00000000 PA USD 6308440.63000000 0.884430363271 Long DBT UST US N 2 2029-10-31 Fixed 4.00000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822BD5 3120000.00000000 PA USD 3067276.06000000 0.430025776433 Long DBT CORP JP N 2 2024-03-07 Fixed 3.40700000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BR6 350000.00000000 PA USD 310865.86000000 0.043582752317 Long DBT CORP US N 2 2027-06-03 Fixed 1.20000000 N N N N N N BCAP LLC Trust N/A 05490QAB4 725365.50000000 PA USD 718897.27000000 0.100787914312 Long ABS-MBS CORP US N 2 2037-05-26 Variable 3.50000000 N N N N N N Whitebox CLO I Ltd 549300C89ZJ5IWOT1F21 96466CAL2 1110000.00000000 PA USD 1086412.50000000 0.152312791447 Long ABS-CBDO CORP KY N 2 2034-10-24 Floating 6.49271000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QAT7 1070000.00000000 PA USD 1026592.64000000 0.143926170472 Long DBT CORP US N 2 2026-05-04 Fixed 3.11900000 N N N N N N Zais CLO 13, Limited 549300GODB02F7ODZK39 98876NAA2 602500.00000000 PA USD 591859.46000000 0.082977475404 Long ABS-CBDO CORP KY N 2 2032-07-15 Floating 6.75029000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617XSQ60 359565.93000000 PA USD 324461.60000000 0.045488847020 Long ABS-MBS USGA US N 2 2052-01-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TV69 10872.02000000 PA USD 10468.82000000 0.001467706968 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 4.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGL8 1790000.00000000 PA USD 1726374.99000000 0.242034212430 Long DBT CORP US N 2 2027-07-22 Fixed 4.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MJ7H2 177855.93000000 PA USD 165561.03000000 0.023211314886 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.50000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAM1 360000.00000000 PA USD 343346.34000000 0.048136448612 Long DBT CORP US N 2 2026-12-01 Fixed 3.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M2PG1 184178.62000000 PA USD 157812.70000000 0.022125015003 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGY52 91028.49000000 PA USD 78337.90000000 0.010982811984 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N CREDIT AGRICOLE LONDON 969500TJ5KRTCJQWXH05 22535WAG2 400000.00000000 PA USD 369916.86000000 0.051861580707 Long DBT CORP FR N 2 2026-06-16 Fixed 1.90700000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BK4 700000.00000000 PA USD 661015.78000000 0.092673048812 Long DBT CORP GB N 2 2028-03-13 Fixed 4.04100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ECG3 91668.70000000 PA USD 78374.17000000 0.010987896963 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 2.00000000 N N N N N N CHEVRON CORP N/A 166764BX7 260000.00000000 PA USD 238254.54000000 0.033402795036 Long DBT CORP US N 2 2027-05-11 Fixed 1.99500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D6L1 88372.12000000 PA USD 75667.58000000 0.010608438628 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYUH0 1220143.38000000 PA USD 1002342.05000000 0.140526287778 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 1.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JU6 84000.00000000 PA USD 74534.43000000 0.010449573336 Long DBT CORP US N 2 2045-07-30 Fixed 4.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGGW3 371243.88000000 PA USD 309743.24000000 0.043425363309 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDQS8 509154.63000000 PA USD 458265.92000000 0.064247936672 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.00000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PED0 70000.00000000 PA USD 59792.29000000 0.008382755718 Long DBT CORP US N 2 2031-05-15 Fixed 2.30000000 N N N N N N Toyota Auto Loan Extended Note 54930055QDKD6LCRW256 89237MAA7 540000.00000000 PA USD 486773.82000000 0.068244685446 Long ABS-O CORP US N 2 2034-02-27 Fixed 1.07000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CH6 70000.00000000 PA USD 65972.61000000 0.009249223833 Long DBT CORP US N 2 2026-05-01 Fixed 3.10000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378XQX2 1075544.08000000 PA USD 8253.30000000 0.001157095635 Long ABS-MBS USGA US N 2 2054-08-16 Variable 0.22362000 N N N N N N PERUSAHAAN LISTRIK NEGAR 254900OYVDRYS9J51J61 71568PAE9 380000.00000000 PA USD 381442.10000000 0.053477395581 Long DBT CORP ID N 2 2028-05-21 Fixed 5.45000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BK6 590000.00000000 PA USD 580162.51000000 0.081337587142 Long DBT CORP GB N 2 2025-03-22 Fixed 4.26900000 N N N N N N Credit Suisse Mortgage Trust N/A 12596XAC6 916991.25000000 PA USD 848497.41000000 0.118957586601 Long ABS-MBS CORP US N 2 2049-07-25 Variable 2.87700000 N N N N N N Freddie Mac - STACR N/A 35564KWS4 1179675.12000000 PA USD 1190220.71000000 0.166866488354 Long ABS-MBS CORP US N 2 2042-05-25 Floating 7.17299000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 75513EAD3 340000.00000000 PA USD 288129.67000000 0.040395185379 Long DBT CORP US N 2 2030-07-01 Fixed 2.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLP8 689562.25000000 PA USD 599614.97000000 0.084064781907 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAH6 20000.00000000 PA USD 19805.34000000 0.002776667813 Long DBT CORP US N 2 2024-04-15 Fixed 4.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CGP0 400000.00000000 PA USD 403585.94000000 0.056581916270 Long DBT UST US N 2 2028-02-29 Fixed 4.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HMN7 2200000.00000000 PA USD 2161787.78000000 0.303078187419 Long DBT CORP US N 2 2025-07-15 Fixed 3.90000000 N N N N N N AREIT CRE Trust N/A 00217VAA8 1810000.00000000 PA USD 1807489.53000000 0.253406303615 Long ABS-MBS CORP US N 2 2039-06-17 Floating 7.30842000 N N N N N N TPG Real Estate Finance N/A 87277JAA9 2000000.00000000 PA USD 1948800.80000000 0.273217852172 Long ABS-CBDO CORP KY N 2 2039-02-15 Floating 6.55571000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967HB0 870000.00000000 PA USD 870347.18000000 0.122020879283 Long DBT CORP US N 2 2025-09-13 Fixed 5.50000000 N N N N N N CHUBB INA HOLDINGS INC CZCBJZWDMLTHWJDXU843 00440EAV9 100000.00000000 PA USD 97576.14000000 0.013679973547 Long DBT CORP US N 2 2026-05-03 Fixed 3.35000000 N N N N N N Credit Suisse Mortgage Trust N/A 12662EAC7 233298.78000000 PA USD 193913.37000000 0.027186254469 Long ABS-MBS CORP US N 2 2066-02-25 Variable 1.53800000 N N N N N N TEXAS INSTRUMENTS INC WDJNR2L6D8RWOEB8T652 882508BJ2 290000.00000000 PA USD 243977.37000000 0.034205123997 Long DBT CORP US N 2 2030-05-04 Fixed 1.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KKS75 223901.70000000 PA USD 193965.43000000 0.027193553174 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179V4U1 295390.90000000 PA USD 251733.85000000 0.035292566493 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 2.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2L6 330000.00000000 PA USD 314369.92000000 0.044074014301 Long DBT CORP US N 2 2031-04-04 Fixed 4.47800000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAV1 250000.00000000 PA USD 215318.79000000 0.030187250198 Long DBT CORP US N 2 2047-10-01 Fixed 5.40000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H7G72 100000.00000000 PA USD 93055.79000000 0.013046229802 Long ABS-MBS USGSE US N 2 2052-04-25 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AYE30 93938.90000000 PA USD 83590.77000000 0.011719253522 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.00000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468L6 1000000.00000000 PA USD 855585.45000000 0.119951315187 Long DBT CORP US N 2 2031-01-22 Fixed 2.69900000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BGS5 245728.57000000 PA USD 243926.10000000 0.034197936049 Long ABS-MBS USGA US N 2 2058-08-20 Floating 5.20771000 N N N N N N EOG RESOURCES INC XWTZDRYZPBUHIQBKDB46 26875PAU5 210000.00000000 PA USD 207156.39000000 0.029042898555 Long DBT CORP US N 2 2030-04-15 Fixed 4.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB5P0 32120.89000000 PA USD 30881.70000000 0.004329550637 Long ABS-MBS USGA US N 2 2050-03-15 Fixed 4.00000000 N N N N N N CAMERON LNG LLC 549300C39FLHGVD73K22 133434AA8 350000.00000000 PA USD 304953.68000000 0.042753876877 Long DBT CORP US N 2 2031-07-15 Fixed 2.90200000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 83.00000000 NC USD 57710.98000000 0.008090960349 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 108.50000000 USD 2023-06-02 XXXX 24497.04000000 N N N COMM Mortgage Trust 549300MGZ5FI5VFL1177 12591KAK1 40000.00000000 PA USD 19820.02000000 0.002778725919 Long ABS-MBS CORP US N 2 2046-10-10 Variable 5.03962500 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TH1 150000.00000000 PA USD 134789.06000000 0.018897148169 Long DBT UST US N 2 2042-05-15 Fixed 3.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EDL1 93241.69000000 PA USD 79675.79000000 0.011170381402 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 2.00000000 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112CB7 90000.00000000 PA USD 88616.34000000 0.012423828070 Long DBT CORP US N 2 2033-09-15 Fixed 5.87500000 N N N N N N REPUBLIC OF CHILE 549300FLZTJM5YJF8D34 168863DS4 630000.00000000 PA USD 473051.24000000 0.066320808037 Long DBT NUSS CL N 2 2041-05-07 Fixed 3.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGRZ4 86267.99000000 PA USD 78584.76000000 0.011017421247 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 3.00000000 N N N N N N Starwood Commercial Mortgage T N/A 78485KAA3 690000.00000000 PA USD 676701.22000000 0.094872115144 Long ABS-O CORP KY N 2 2038-11-15 Floating 6.22227000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AV2 1100000.00000000 PA USD 1033023.66000000 0.144827786210 Long DBT CORP US N 2 2030-06-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGFQ7 362861.50000000 PA USD 326229.48000000 0.045736700149 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGWR6 94336.60000000 PA USD 87176.12000000 0.012221912197 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.50000000 N N N N N N MIDAMERICAN ENERGY CO NINLOILYRTLIMK26MZ18 595620AT2 810000.00000000 PA USD 770586.33000000 0.108034613900 Long DBT CORP US N 2 2029-04-15 Fixed 3.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGJR1 1251953.26000000 PA USD 1114034.21000000 0.156185298211 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAHA5 39194.44000000 PA USD 36123.01000000 0.005064371487 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 3.50000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDJ8 150000.00000000 PA USD 149902.36000000 0.021016001653 Long DBT CORP US N 2 2023-06-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EDM9 184560.38000000 PA USD 161640.35000000 0.022661643638 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPUU0 96721.26000000 PA USD 95478.96000000 0.013385953237 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AHGQ7 21837.32000000 PA USD 2326.74000000 0.000326204148 Long ABS-MBS USGSE US N 2 2043-12-25 Floating 0.81200000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BP0 1040000.00000000 PA USD 1039752.40000000 0.145771141678 Long DBT CORP US N 2 2023-06-03 Fixed 0.40000000 N N N N N N Credit Suisse Mortgage Trust N/A 126416AA4 1475237.21000000 PA USD 1275352.75000000 0.178801824751 Long ABS-MBS CORP US N 2 2066-11-25 Variable 2.26500000 N N N N N N CIGNA GROUP/THE 549300VIWYMSIGT1U456 125523BX7 820000.00000000 PA USD 802978.78000000 0.112575968570 Long DBT CORP US N 2 2024-06-15 Fixed 3.50000000 N N N N N N BCRED MML CLO 2021-1 LLC N/A 05554LAG7 740000.00000000 PA USD 719926.25000000 0.100932175185 Long ABS-CBDO CORP US N 2 2035-01-15 Floating 6.74029000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JT9 670000.00000000 PA USD 654659.93000000 0.091781971753 Long DBT CORP US N 2 2025-06-10 Fixed 4.40000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GVM3 1480000.00000000 PA USD 1460988.56000000 0.204827582384 Long DBT CORP US N 2 2024-03-03 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QC6H4 230483.69000000 PA USD 219783.86000000 0.030813243801 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 4.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VDY7 930000.00000000 PA USD 912631.63000000 0.127949071949 Long DBT CORP US N 2 2027-03-16 Fixed 4.12500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RC4 550000.00000000 PA USD 520781.25000000 0.073012456982 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 000000000 413.00000000 NC USD -207831.27000000 -0.02913751533 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 85214847.30000000 USD -207831.27000000 N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299AW4 400000.00000000 PA USD 428643.22000000 0.060094895238 Long DBT NUSS PA N 2 2036-01-26 Fixed 6.70000000 N N N N N N COMM Mortgage Trust 549300NMFC2YLCA2NF13 12625XAG2 560000.00000000 PA USD 489510.00000000 0.068628292238 Long ABS-MBS CORP US N 2 2030-08-10 Variable 4.39350000 N N N N N N HERSHEY COMPANY 21X2CX66SU2BR6QTAD08 427866BF4 140000.00000000 PA USD 130126.24000000 0.018243430423 Long DBT CORP US N 2 2025-06-01 Fixed 0.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHG92 96755.05000000 PA USD 92187.63000000 0.012924515561 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 4.00000000 N N N N N N NORDEA BANK ABP 529900ODI3047E2LIV03 65557CBE2 860000.00000000 PA USD 859060.68000000 0.120438535265 Long DBT CORP FI N 2 2023-06-09 Fixed 1.00000000 N N N N N N ORBIA ADVANCE CORP SAB 549300MVHZ20SBIOEQ79 68560EAB4 710000.00000000 PA USD 561798.29000000 0.078762961380 Long DBT CORP MX N 2 2031-05-11 Fixed 2.87500000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NAN9 390000.00000000 PA USD 332588.92000000 0.046628280519 Long DBT CORP NL N 2 2115-06-05 Fixed 6.85000000 N N N N N N COMM Mortgage Trust N/A 12591UAG8 2383219.19000000 PA USD 7795.75000000 0.001092948068 Long ABS-MBS CORP US N 2 2047-03-10 Variable 1.05278200 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ASGU1 90044.96000000 PA USD 77991.08000000 0.010934188535 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDGD2 615192.07000000 PA USD 527470.73000000 0.073950308279 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 217432.27000000 0.030483555734 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2029-02-15 22647.88000000 USD 0.00000000 USD -5694000.00000000 USD 194784.39000000 N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAP6 200000.00000000 PA USD 198578.33000000 0.027840272238 Long DBT CORP DK N 2 2023-09-12 Fixed 3.87500000 N N N N N N PROCTER & GAMBLE CO/THE 2572IBTT8CCZW6AU4141 742718FG9 80000.00000000 PA USD 76274.53000000 0.010693531766 Long DBT CORP US N 2 2027-03-25 Fixed 2.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFPU9 88249.78000000 PA USD 76827.84000000 0.010771104687 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLA1 686456.06000000 PA USD 595294.39000000 0.083459045504 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N FREEPORT-MCMORAN INC 549300IRDTHJQ1PVET45 35671DBJ3 150000.00000000 PA USD 144076.43000000 0.020199218285 Long DBT CORP US N 2 2034-11-14 Fixed 5.40000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AR4L6 89191.99000000 PA USD 73918.68000000 0.010363246456 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.00000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FS25 1409817.30000000 PA USD 1322741.63000000 0.185445647973 Long ABS-MBS CORP US N 2 2045-07-25 Floating 5.85800000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UGE6 138191.40000000 PA USD 138625.35000000 0.019434988113 Long ABS-MBS USGA US N 2 2048-11-20 Fixed 5.00000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBE9 420000.00000000 PA USD 406679.54000000 0.057015632609 Long DBT CORP US N 2 2026-02-11 Fixed 3.41000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGNF2 90569.99000000 PA USD 81965.34000000 0.011491371589 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WBY3 1752931.58000000 PA USD 1540676.97000000 0.215999733084 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 2.50000000 N N N N N N PROCTER & GAMBLE CO/THE 2572IBTT8CCZW6AU4141 742718FH7 260000.00000000 PA USD 242575.37000000 0.034008566489 Long DBT CORP US N 2 2030-03-25 Fixed 3.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LW9 1620000.00000000 PA USD 1532159.68000000 0.214805626596 Long DBT CORP US N 2 2029-04-23 Fixed 4.07500000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBC2 110000.00000000 PA USD 109155.36000000 0.015303356306 Long DBT CORP US N 2 2023-11-14 Fixed 3.75000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWB6 160000.00000000 PA USD 153797.45000000 0.021562085236 Long DBT CORP US N 2 2027-01-26 Fixed 3.85000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPZN1 196813.94000000 PA USD 187885.34000000 0.026341137098 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.00000000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAD3 790000.00000000 PA USD 744056.57000000 0.104315196273 Long DBT CORP US N 2 2025-08-01 Fixed 4.12500000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833DT4 1140000.00000000 PA USD 1068786.84000000 0.149841710273 Long DBT CORP US N 2 2025-05-11 Fixed 1.12500000 N N N N N N ABBOTT LABORATORIES HQD377W2YR662HK5JX27 002824BF6 430000.00000000 PA USD 424415.20000000 0.059502135556 Long DBT CORP US N 2 2026-11-30 Fixed 3.75000000 N N N N N N ASIAN DEVELOPMENT BANK 549300X0MVH42CY8Q105 045167FH1 1280000.00000000 PA USD 1169967.49000000 0.164027028688 Long DBT NUSS N/A N 2 2027-01-20 Fixed 1.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -600.00000000 NC USD -1189389.14000000 -0.16674990395 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2023-09-20 -75816860.86000000 USD -1189389.14000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGLW7 87542.08000000 PA USD 81019.34000000 0.011358744341 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 3.50000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BT6 240000.00000000 PA USD 208360.77000000 0.029211750147 Long DBT CORP US N 2 2028-08-12 Fixed 1.60000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BQSA5 191737.04000000 PA USD 185876.62000000 0.026059518697 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.50000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCE3 300000.00000000 PA USD 255187.89000000 0.035776815776 Long DBT CORP US N 2 2031-03-25 Fixed 2.87500000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -144.00000000 NC USD -121500.00000000 -0.01703404936 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-03-18 0.00000000 USD 2500.00000000 96.50000000 USD 2023-10-13 XXXX -44252.40000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXF98 73787.42000000 PA USD 70711.52000000 0.009913609240 Long ABS-MBS USGSE US N 2 2057-06-01 Fixed 4.00000000 N N N N N N BENCHMARK Mortgage Trust N/A 08162VAE8 1260000.00000000 PA USD 1158317.37000000 0.162393705896 Long ABS-MBS CORP US N 2 2062-03-15 Fixed 3.71700000 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89115A2E1 1100000.00000000 PA USD 1040897.44000000 0.145931673924 Long DBT CORP CA N 2 2032-06-08 Fixed 4.45600000 N N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DQ7 186000.00000000 PA USD 176407.19000000 0.024731924145 Long DBT CORP US N 2 2025-06-30 Fixed 2.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141EC23 280000.00000000 PA USD 275537.49000000 0.038629787719 Long DBT CORP US N 2 2024-07-08 Fixed 3.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGQ44 643016.13000000 PA USD 571741.39000000 0.080156963489 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325DQ5 1520000.00000000 PA USD 1030529.60000000 0.144478124143 Long DBT NUSS CO N 2 2049-05-15 Fixed 5.20000000 N N N N N N HPS Loan Management Ltd N/A 40440XAA9 890000.00000000 PA USD 868306.25000000 0.121734745107 Long ABS-CBDO CORP KY N 2 2035-01-23 Floating 6.41271000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBX6 1940000.00000000 PA USD 1761695.69000000 0.246986101711 Long DBT CORP US N 2 2029-11-21 Fixed 3.20000000 N N N N N N Bear Stearns Asset Backed Secu N/A 07384YTK2 194650.18000000 PA USD 191708.39000000 0.026877120821 Long ABS-MBS CORP US N 2 2044-03-25 Variable 4.64014500 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KM3V5 77899.73000000 PA USD 73762.72000000 0.010341381186 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 4.00000000 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YAZ8 290000.00000000 PA USD 238383.64000000 0.033420894590 Long DBT CORP US N 2 2030-06-24 Fixed 1.45000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NBS9 330000.00000000 PA USD 318785.92000000 0.044693128392 Long DBT CORP US N 2 2026-03-01 Fixed 3.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JBLD6 92377.85000000 PA USD 77284.99000000 0.010835196174 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N Golub Capital Partners CLO, LT N/A 38179MAA4 370000.00000000 PA USD 369366.12000000 0.051784368095 Long ABS-CBDO CORP JE N 2 2036-04-25 Floating 6.92592000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BC9 1640000.00000000 PA USD 1565463.13000000 0.219474701587 Long DBT CORP US N 2 2027-08-22 Fixed 3.15000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FVQ54 201228.12000000 PA USD 29754.96000000 0.004171584013 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -168.00000000 NC USD -65625.00000000 -0.00920048962 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 116.00000000 USD 2023-06-23 XXXX 16771.86000000 N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 441033.59000000 0.061831999553 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2048-02-15 21754.56000000 USD 0.00000000 USD -3315000.00000000 USD 419279.03000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPQC5 198436.52000000 PA USD 192476.00000000 0.026984738160 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.50000000 N N N N N N STRIP PRINC 254900HROIFWPRGM1V77 912803FJ7 5220000.00000000 PA USD 1916905.16000000 0.268746149239 Long DBT UST US N 2 2049-05-15 None 0.00000000 N N N N N N Deephaven Residential Mortgage N/A 24382JAA4 874694.95000000 PA USD 781163.99000000 0.109517580012 Long ABS-MBS CORP US N 2 2067-01-25 Variable 2.20500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KU4 280000.00000000 PA USD 263065.20000000 0.036881198388 Long DBT CORP US N 2 2028-07-25 Fixed 4.12500000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96950FAP9 230000.00000000 PA USD 198360.27000000 0.027809700676 Long DBT CORP US N 2 2045-01-15 Fixed 4.90000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BFY1 400000.00000000 PA USD 385865.69000000 0.054097573774 Long DBT CORP US N 2 2026-06-03 Fixed 4.10000000 N N N N N N PIONEER NATURAL RESOURCE FY8JBF7CCL2VE4F1B628 723787AQ0 370000.00000000 PA USD 300827.96000000 0.042175459443 Long DBT CORP US N 2 2030-08-15 Fixed 1.90000000 N N N N N N CINTAS CORPORATION NO. 2 549300QVUQTTKMTE0G41 17252MAN0 1040000.00000000 PA USD 1012390.82000000 0.141935104603 Long DBT CORP US N 2 2027-04-01 Fixed 3.70000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UQ70 99398.60000000 PA USD 99384.94000000 0.013933563576 Long ABS-MBS USGA US N 2 2049-04-20 Fixed 5.00000000 N N N N N N CANADIAN IMPERIAL BANK 2IGI19DL77OX0HC3ZE78 13607GRK2 480000.00000000 PA USD 478702.96000000 0.067113167523 Long DBT CORP CA N 2 2023-06-23 Fixed 0.95000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -20.00000000 NC USD -2812.50000000 -0.00039430669 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 135.00000000 USD 2023-06-23 XXXX 13559.15000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGQ7 90000.00000000 PA USD 78435.60000000 0.010996509323 Long DBT CORP US N 2 2045-11-17 Fixed 4.90000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFF6 140000.00000000 PA USD 131963.00000000 0.018500940386 Long DBT CORP US N 2 2027-03-22 Fixed 3.00000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BT2 240000.00000000 PA USD 156303.80000000 0.021913470336 Long DBT CORP US N 2 2050-06-03 Fixed 2.50000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDP4 790000.00000000 PA USD 766015.53000000 0.107393797168 Long DBT CORP US N 2 2028-12-15 Fixed 3.87500000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU N/A 92939HBE4 4498642.25000000 PA USD 22302.47000000 0.003126760288 Long ABS-MBS CORP US N 2 2057-10-15 Variable 0.54869800 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CH6 910000.00000000 PA USD 844270.70000000 0.118365010577 Long DBT CORP US N 2 2026-04-15 Fixed 3.40000000 N N N N N N COMM Mortgage Trust 549300MGZ5FI5VFL1177 12591KAH8 70000.00000000 PA USD 52743.28000000 0.007394499057 Long ABS-MBS CORP US N 2 2046-10-10 Variable 4.76200000 N N N N N N NEWELL BRANDS INC 549300LWGYFM1TVO1Z12 651229AW6 10000.00000000 PA USD 9287.55000000 0.001302095351 Long DBT CORP US N 2 2026-04-01 Variable 4.70000000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AS0 580000.00000000 PA USD 545644.00000000 0.076498163245 Long DBT CORP US N 2 2028-01-15 Fixed 4.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380PXV1 588324.58000000 PA USD 459573.98000000 0.064431323986 Long ABS-MBS USGA US N 2 2063-01-16 Fixed 1.45000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05971KAE9 1000000.00000000 PA USD 935558.51000000 0.131163373231 Long DBT CORP ES N 2 2025-05-28 Fixed 2.74600000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GAT9 1670000.00000000 PA USD 1611608.77000000 0.225944225126 Long DBT CORP US N 2 2026-03-01 Fixed 3.04300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MNP83 91936.10000000 PA USD 85486.91000000 0.011985088439 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QM6A7 1557236.14000000 PA USD 1386120.43000000 0.194331224996 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCX5 570000.00000000 PA USD 557802.33000000 0.078202736031 Long DBT CORP US N 2 2025-03-15 Fixed 3.80000000 N N N N N N US BANCORP N1GZ7BBF3NP8GI976H15 91159HHV5 4580000.00000000 PA USD 4505160.24000000 0.631614172401 Long DBT CORP US N 2 2024-02-05 Fixed 3.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H030666 -100000.00000000 PA USD -90021.49000000 -0.01262082720 Short ABS-MBS USGA US N 2 2053-06-15 Fixed 3.00000000 N N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAP8 690000.00000000 PA USD 712164.73000000 0.099844026092 Long DBT CORP KY N 2 2026-08-10 Fixed 6.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DV66 169062.90000000 PA USD 131925.03000000 0.018495617070 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 1.50000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2N2 880000.00000000 PA USD 828366.54000000 0.116135280153 Long DBT CORP US N 2 2026-04-30 Fixed 2.18800000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CC4 210000.00000000 PA USD 168689.49000000 0.023649918525 Long DBT CORP US N 2 2040-04-15 Fixed 3.30000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDQ2 20000.00000000 PA USD 18020.89000000 0.002526491604 Long DBT CORP US N 2 2048-12-15 Fixed 4.45000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAP8 400000.00000000 PA USD 380181.22000000 0.053300622805 Long DBT CORP US N 2 2025-05-15 Fixed 2.90000000 N N N N N N ARES CLO Ltd N/A 039937AA5 1340000.00000000 PA USD 1317541.38000000 0.184716583650 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 6.42845000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 21.00000000 NC USD 15093.75000000 0.002116112614 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 115.00000000 USD 2023-06-23 XXXX -7911.33000000 N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAP6 220000.00000000 PA USD 212743.30000000 0.029826171813 Long DBT CORP US N 2 2028-03-01 Fixed 4.30000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TG3 320000.00000000 PA USD 265075.00000000 0.037162968203 Long DBT UST US N 2 2052-05-15 Fixed 2.87500000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 284.00000000 NC USD 165075.00000000 0.023143174483 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Purchased CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-03-18 0.00000000 USD 2500.00000000 96.00000000 USD 2023-12-15 XXXX -96246.40000000 N N N Myers Park CLO LTD N/A 62848FAE2 550000.00000000 PA USD 536593.06000000 0.075229240127 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 6.85043000 N N N N N N ENRGY TRANS LP/REG FIN N/A 75886AAJ7 500000.00000000 PA USD 497294.37000000 0.069719644854 Long DBT CORP US N 2 2023-11-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFTH4 91319.91000000 PA USD 78930.69000000 0.011065919919 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CX6 631000.00000000 PA USD 615209.04000000 0.086251038354 Long DBT CORP US N 2 2028-03-25 Fixed 4.30000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MQ1 370000.00000000 PA USD 354866.71000000 0.049751580722 Long DBT CORP US N 2 2026-04-08 Fixed 3.10600000 N N N N N N New Residential Mortgage Loan 549300RCJSGOC0A85G53 64829CAB4 310871.02000000 PA USD 287761.46000000 0.040343563097 Long ABS-MBS CORP US N 2 2052-05-28 Variable 3.75000000 N N N N N N Catskill Park CLO, LTD. 549300QY7L9WFVGWC115 149420AE1 1250000.00000000 PA USD 1234181.58000000 0.173029711645 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 6.95043000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QBV3 760000.00000000 PA USD 714790.64000000 0.100212173257 Long DBT CORP MX N 2 2025-01-15 Fixed 4.25000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAT8 1400000.00000000 PA USD 1389331.12000000 0.194781357111 Long DBT CORP DK N 2 2024-01-12 Fixed 5.37500000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAS9 720000.00000000 PA USD 701291.53000000 0.098319625881 Long DBT CORP US N 2 2029-02-15 Fixed 4.80000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCU3 200000.00000000 PA USD 193949.37000000 0.027191301595 Long DBT CORP US N 2 2030-10-15 Fixed 4.25000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FLNB6 2450955.60000000 PA USD 67887.06000000 0.009517625774 Long ABS-MBS USGSE US N 2 2029-03-25 Variable 0.56100100 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TR9 1120000.00000000 PA USD 1077912.51000000 0.151121110383 Long DBT UST US N 2 2053-05-15 Fixed 3.62500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967ME8 1840000.00000000 PA USD 1707501.71000000 0.239388217506 Long DBT CORP US N 2 2030-03-20 Fixed 3.98000000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325DS1 1110000.00000000 PA USD 827338.90000000 0.115991207144 Long DBT NUSS CO N 2 2031-04-15 Fixed 3.12500000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAS9 1780000.00000000 PA USD 1383421.00000000 0.193952770478 Long DBT NUSS MX N 2 2052-02-12 Fixed 4.40000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SS8 9010000.00000000 PA USD 5585496.14000000 0.783075037063 Long DBT UST US N 2 2050-11-15 Fixed 1.62500000 N N N N N N Access Group Inc N/A 00432CCJ8 293370.81000000 PA USD 287079.06000000 0.040247892025 Long ABS-MBS CORP US N 2 2034-07-25 Floating 5.65514000 N N N N N N SMB Private Education Loan Tru N/A 78448YAC5 1638691.03000000 PA USD 1437024.86000000 0.201467921076 Long ABS-O CORP US N 2 2053-01-15 Fixed 1.59000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKM31 195955.85000000 PA USD 190062.89000000 0.026646425116 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.50000000 N N N N N N WEA FINANCE LLC 3CYEJKBUJZO3UW777J80 92928QAE8 500000.00000000 PA USD 437897.59000000 0.061392338822 Long DBT CORP US N 2 2028-09-20 Fixed 4.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X83X3 83207.35000000 PA USD 71978.85000000 0.010091286291 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468Q5 1180000.00000000 PA USD 1114827.53000000 0.156296520039 Long DBT CORP US N 2 2026-04-28 Fixed 2.18800000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582BT8 400000.00000000 PA USD 383072.94000000 0.053706035984 Long DBT CORP NL N 2 2026-05-10 Fixed 2.87500000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AR1 690000.00000000 PA USD 673735.80000000 0.094456369377 Long DBT CORP GB N 2 2027-04-10 Fixed 4.75000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VEA8 120000.00000000 PA USD 113445.28000000 0.015904794241 Long DBT CORP US N 2 2033-08-10 Fixed 4.50000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBP4 250000.00000000 PA USD 213471.85000000 0.029928313020 Long DBT CORP US N 2 2047-12-01 Fixed 5.20000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MKP78 147267.66000000 PA USD 126337.34000000 0.017712234459 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAM2 1325000.00000000 PA USD 1103500.64000000 0.154708513426 Long DBT NUSS MX N 2 2031-05-24 Fixed 2.65900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DV74 78920.85000000 PA USD 65292.52000000 0.009153876618 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KRCR3 100000.00000000 PA USD 103164.93000000 0.014463510377 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 6.50000000 N N N N N N CIGNA GROUP/THE 549300VIWYMSIGT1U456 125523AF7 114000.00000000 PA USD 113702.94000000 0.015940917641 Long DBT CORP US N 2 2023-07-15 Fixed 3.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNXP3 1310215.13000000 PA USD 1219645.58000000 0.170991794430 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 3.50000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DQ0 100000.00000000 PA USD 79900.66000000 0.011201907712 Long DBT CORP US N 2 2031-02-28 Fixed 1.87500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SF6 1290000.00000000 PA USD 1093526.95000000 0.153310222662 Long DBT UST US N 2 2049-02-15 Fixed 3.00000000 N N N N N N TELEFONICA EMISIONES SAU 549300Y5MFC4SW5Z3K71 87938WAW3 870000.00000000 PA USD 702026.59000000 0.098422679777 Long DBT CORP ES N 2 2048-03-06 Fixed 4.89500000 N N N N N N KAZMUNAYGAS NATIONAL CO 2138001H1M69RFJCSH88 48667QAQ8 1070000.00000000 PA USD 970945.95000000 0.136124619322 Long DBT CORP KZ N 2 2030-04-24 Fixed 5.37500000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CV5 620000.00000000 PA USD 611364.58000000 0.085712052992 Long DBT CORP US N 2 2040-05-01 Fixed 5.70500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 10.00000000 NC USD 23437.50000000 0.003285889153 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 127.00000000 USD 2023-06-23 XXXX 7326.45000000 N N N TOYOTA MOTOR CORP 5493006W3QUS5LMH6R84 892331AM1 950000.00000000 PA USD 868232.02000000 0.121724338214 Long DBT CORP JP N 2 2026-03-25 Fixed 1.33900000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AB4U3 97016.28000000 PA USD 94796.72000000 0.013290304597 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 4.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -126.00000000 NC USD -32484.44000000 -0.00455425147 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 110.50000000 USD 2023-06-23 XXXX 11430.46000000 N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F052664 300000.00000000 PA USD 299835.94000000 0.042036380286 Long ABS-MBS USGSE US N 2 2053-06-15 Fixed 5.50000000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918BS2 10000.00000000 PA USD 9152.69000000 0.001283188257 Long DBT CORP US N 2 2036-08-08 Fixed 3.45000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYWJ4 275072.35000000 PA USD 240969.19000000 0.033783383366 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 2.50000000 N N N N N N HALEON US CAPITAL LLC 549300N8C3A3L0UVQB07 36264FAL5 390000.00000000 PA USD 358965.79000000 0.050326263283 Long DBT CORP US N 2 2029-03-24 Fixed 3.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVMH5 887762.18000000 PA USD 848212.23000000 0.118917604953 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 4.00000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2F0 750000.00000000 PA USD 719155.83000000 0.100824163890 Long DBT CORP FR N 2 2028-08-14 Fixed 4.40000000 N N N N N N Voya CLO Ltd 54930068MLVF3BECCK93 92917KAA2 1090000.00000000 PA USD 1076375.00000000 0.150905554653 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 6.41029000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SJU2 183924.86000000 PA USD 177147.28000000 0.024835683236 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 4.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TJ7 7430000.00000000 PA USD 6317096.26000000 0.885643864742 Long DBT UST US N 2 2052-08-15 Fixed 3.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 63.00000000 NC USD 41343.75000000 0.005796308466 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 109.25000000 USD 2023-06-23 XXXX -4874.62000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2L7 600000.00000000 PA USD 557206.00000000 0.078119131795 Long DBT CORP FR N 2 2026-06-09 Fixed 2.21900000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CGZ8 3570000.00000000 PA USD 3525375.00000000 0.494250302854 Long DBT UST US N 2 2030-04-30 Fixed 3.50000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CL2 868000.00000000 PA USD 850185.79000000 0.119194293994 Long DBT CORP US N 2 2025-07-20 Fixed 3.87500000 N N N N N N CHEVRON USA INC VA8TZDWPEZYU430RZ444 166756AR7 620000.00000000 PA USD 611820.79000000 0.085776012693 Long DBT CORP US N 2 2028-01-15 Fixed 3.85000000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAH4 120000.00000000 PA USD 109020.55000000 0.015284456222 Long DBT CORP US N 2 2045-06-01 Fixed 5.55000000 N N N N N N 3M COMPANY LUZQVYP4VS22CLWDAR65 88579YBN0 90000.00000000 PA USD 80095.24000000 0.011229187427 Long DBT CORP US N 2 2030-04-15 Fixed 3.05000000 N N N N N N MidOcean Credit CLO 5493004MLF21SFT7F415 59801WAR7 750000.00000000 PA USD 725171.26000000 0.101667514768 Long ABS-CBDO CORP KY N 2 2029-07-15 Floating 6.86029000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QLZG4 447601.78000000 PA USD 412575.37000000 0.057842215813 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 3.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 42.00000000 NC USD 15093.79000000 0.002116118222 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 200000.00000000 103.37500000 USD 2023-06-23 XXXX -15822.66000000 N N N AT&T INC 549300Z40J86GGSTL398 00206RDQ2 580000.00000000 PA USD 569859.92000000 0.079893185276 Long DBT CORP US N 2 2027-03-01 Fixed 4.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B5EE8 185844.06000000 PA USD 165851.20000000 0.023251996122 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFB5 560000.00000000 PA USD 541011.64000000 0.075848715928 Long DBT CORP US N 2 2027-03-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BKP6 75141.01000000 PA USD 74644.33000000 0.010464981089 Long ABS-MBS USGA US N 2 2061-02-20 Floating 5.35771000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFX7 954000.00000000 PA USD 759010.55000000 0.106411713422 Long DBT CORP US N 2 2030-10-30 Fixed 1.68000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SX7 10670000.00000000 PA USD 7932894.90000000 1.112175501000 Long DBT UST US N 2 2051-05-15 Fixed 2.37500000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBB8 280000.00000000 PA USD 255931.82000000 0.035881113227 Long DBT CORP US N 2 2029-03-15 Fixed 4.05400000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AG2 310000.00000000 PA USD 299168.41000000 0.041942793957 Long DBT CORP US N 2 2024-08-08 Fixed 3.20000000 N N N N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377RDY7 2770000.00000000 PA USD 2538675.64000000 0.355917087946 Long ABS-O CORP US N 2 2027-02-20 Fixed 2.02000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XNC6 689117.12000000 PA USD 639512.68000000 0.089658358548 Long ABS-MBS USGA US N 2 2052-12-20 Fixed 3.50000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCS8 1910000.00000000 PA USD 1878019.44000000 0.263294451508 Long DBT CORP US N 2 2025-10-15 Fixed 3.95000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HJY7 1790000.00000000 PA USD 1755885.75000000 0.246171560107 Long DBT CORP US N 2 2024-09-10 Fixed 3.87500000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHQ5 2210000.00000000 PA USD 2052041.02000000 0.287691918052 Long DBT CORP US N 2 2030-02-07 Fixed 3.97400000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XHZ2 294045.04000000 PA USD 290565.74000000 0.040736717368 Long ABS-MBS USGA US N 2 2052-10-20 Fixed 5.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RN0 1740000.00000000 PA USD 1442908.59000000 0.202292807885 Long DBT UST US N 2 2045-08-15 Fixed 2.87500000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RJX1 400000.00000000 PA USD 362489.95000000 0.050820343245 Long DBT CORP US N 2 2027-06-01 Fixed 2.30000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 1305679.77000000 0.183053610397 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2047-05-15 203694.73000000 USD 0.00000000 USD -4800000.00000000 USD 1101985.04000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KNVZ8 233854.82000000 PA USD 193585.95000000 0.027140350860 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.00000000 N N N N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAL8 60000.00000000 PA USD 50780.91000000 0.007119378831 Long DBT CORP US N 2 2031-02-15 Fixed 2.70000000 N N N N N N Merrill Lynch Mortgage Investo N/A 59020UAB1 92152.55000000 PA USD 84862.45000000 0.011897540435 Long ABS-MBS CORP US N 2 2034-02-25 Variable 4.05946100 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135CF1 640000.00000000 PA USD 617146.23000000 0.086522628396 Long DBT CORP US N 2 2027-04-13 Fixed 3.30000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GVR2 930000.00000000 PA USD 906537.37000000 0.127094669268 Long DBT CORP US N 2 2025-10-21 Fixed 4.25000000 N N N N N N GS Mortgage Securities Trust N/A 36251PAL8 570000.00000000 PA USD 468307.10000000 0.065655689395 Long ABS-MBS CORP US N 2 2049-10-10 Variable 3.98878900 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89114QCH9 460000.00000000 PA USD 424097.40000000 0.059457580651 Long DBT CORP CA N 2 2025-06-12 Fixed 1.15000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MS7 780000.00000000 PA USD 653655.72000000 0.091641183582 Long DBT CORP US N 2 2031-06-03 Fixed 2.57200000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAN9 550000.00000000 PA USD 497276.02000000 0.069717072222 Long DBT CORP US N 2 2029-12-01 Fixed 3.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F030660 -200000.00000000 PA USD -177558.59000000 -0.02489334805 Short ABS-MBS USGSE US N 2 2053-06-15 Fixed 3.00000000 N N N N N N WALMART INC Y87794H0US1R65VBXU25 931142ES8 140000.00000000 PA USD 122305.77000000 0.017147016661 Long DBT CORP US N 2 2028-09-22 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGGA1 276011.24000000 PA USD 255125.29000000 0.035768039385 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 44.00000000 NC USD 9900.00000000 0.001387959578 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Call Purchased CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 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 96.00000000 USD 2023-09-15 XXXX -10129.90000000 N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918BY9 1220000.00000000 PA USD 1193596.06000000 0.167339705461 Long DBT CORP US N 2 2027-02-06 Fixed 3.30000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F022667 -1200000.00000000 PA USD -1026117.18000000 -0.14385951196 Short ABS-MBS USGSE US N 2 2053-06-15 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKGX2 194042.43000000 PA USD 188296.88000000 0.026398834157 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ABRE2 235685.68000000 PA USD 195008.07000000 0.027339729151 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.00000000 N N N N N N Waterfall Commercial Mortgage N/A 94132LAA5 74474.78000000 PA USD 71200.27000000 0.009982130982 Long ABS-MBS CORP US N 2 2022-09-14 Variable 4.10370000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 191216CU2 520000.00000000 PA USD 472361.74000000 0.066224141559 Long DBT CORP US N 2 2027-06-01 Fixed 1.45000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -24477.40000000 -0.00343168098 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2029-06-30 1725.91000000 USD 0.00000000 USD -1377000.00000000 USD -26203.31000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQFF8 198763.78000000 PA USD 191078.25000000 0.026788776493 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 4.00000000 N N N N N N Citigroup Commercial Mortgage N/A 17322YAF7 640000.00000000 PA USD 610927.30000000 0.085650747238 Long ABS-MBS CORP US N 2 2047-10-10 Fixed 4.01700000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H032662 800000.00000000 PA USD 742218.75000000 0.104057537700 Long ABS-MBS USGA US N 2 2053-06-15 Fixed 3.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -1.00000000 NC USD -343.75000000 -0.00004819304 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 116.25000000 USD 2023-06-23 XXXX -17.35000000 N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CZ1 270000.00000000 PA USD 244102.20000000 0.034222624905 Long DBT CORP US N 2 2048-03-25 Fixed 5.05000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CM8 881000.00000000 PA USD 860440.18000000 0.120631938319 Long DBT CORP US N 2 2024-07-26 Fixed 2.90000000 N N N N N N Credit Suisse Mortgage Trust N/A 12651YAA0 553185.62000000 PA USD 511225.55000000 0.071672767553 Long ABS-MBS CORP US N 2 2057-08-01 Variable 4.00000000 N N N N N N AmeriCredit Automobile Receiva N/A 03065WAD7 420000.00000000 PA USD 413079.07000000 0.057912833514 Long ABS-O CORP US N 2 2028-04-18 Fixed 4.38000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TUB9 551698.92000000 PA USD 532072.92000000 0.074595525823 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 4.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -124.00000000 NC USD -9687.50000000 -0.00135816751 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 119.00000000 USD 2023-06-23 XXXX 54066.73000000 N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 45866FAW4 520000.00000000 PA USD 507025.19000000 0.071083885746 Long DBT CORP US N 2 2033-03-15 Fixed 4.60000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RK6 1560000.00000000 PA USD 1212412.50000000 0.169977731534 Long DBT UST US N 2 2045-02-15 Fixed 2.50000000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833CJ7 80000.00000000 PA USD 77944.30000000 0.010927630076 Long DBT CORP US N 2 2027-02-09 Fixed 3.35000000 N N N N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAL7 220000.00000000 PA USD 212090.80000000 0.029734692658 Long DBT CORP US N 2 2032-06-01 Fixed 4.40000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AB3 230000.00000000 PA USD 219667.66000000 0.030796952801 Long DBT CORP US N 2 2025-02-01 Variable 3.35000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVL52 356002.58000000 PA USD 308083.54000000 0.043192676793 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N FOX CORP 549300DDU6FDRBIELS05 35137LAG0 170000.00000000 PA USD 168146.22000000 0.023573753191 Long DBT CORP US N 2 2024-01-25 Fixed 4.03000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ADXW4 1935.17000000 PA USD 80.22000000 0.000011246678 Long ABS-MBS USGSE US N 2 2032-04-25 Fixed 3.00000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659T2A8 360000.00000000 PA USD 329441.33000000 0.046186994894 Long DBT CORP FR N 2 2033-03-01 Fixed 4.37500000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AQ3 220000.00000000 PA USD 221703.76000000 0.031082409821 Long DBT CORP US N 2 2029-01-23 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGTU3 89526.98000000 PA USD 83468.54000000 0.011702117129 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJV91 579070.03000000 PA USD 532726.90000000 0.074687212470 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.50000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2U6 190000.00000000 PA USD 163336.94000000 0.022899502056 Long DBT CORP US N 2 2033-03-02 Fixed 3.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QRRN5 294091.75000000 PA USD 285084.92000000 0.039968317710 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 4.50000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78015K7H1 460000.00000000 PA USD 424400.77000000 0.059500112499 Long DBT CORP CA N 2 2025-06-10 Fixed 1.15000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BQ8 240000.00000000 PA USD 223026.31000000 0.031267828603 Long DBT CORP US N 2 2025-06-03 Fixed 0.80000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BM3 80000.00000000 PA USD 79159.54000000 0.011098004217 Long DBT CORP US N 2 2025-04-01 Fixed 4.50000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FB72 255204.25000000 PA USD 233630.81000000 0.032754557628 Long ABS-MBS CORP US N 2 2034-11-25 Floating 5.87800000 N N N N N N WALMART INC Y87794H0US1R65VBXU25 931142ET6 110000.00000000 PA USD 91782.33000000 0.012867693337 Long DBT CORP US N 2 2031-09-22 Fixed 1.80000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 135752.92000000 0.019032279352 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2048-05-15 0.00000000 USD -2270588.60000000 USD -7054000.00000000 USD 2406341.52000000 N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCN3 260000.00000000 PA USD 251279.52000000 0.035228870364 Long DBT CORP US N 2 2030-05-06 Fixed 4.65000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABFG2 88506.24000000 PA USD 76681.55000000 0.010750595131 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QKQL5 654085.10000000 PA USD 562090.39000000 0.078803913197 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB4M8 40325.00000000 PA USD 39360.80000000 0.005518302966 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CBS9 7030000.00000000 PA USD 6240772.69000000 0.874943457668 Long DBT UST US N 2 2028-03-31 Fixed 1.25000000 N N N N N N Octagon Investment Partners XX 549300XIS9D4AHDX5A35 67590QBK2 720000.00000000 PA USD 710280.00000000 0.099579790834 Long ABS-CBDO CORP KY N 2 2031-02-14 Floating 6.32071000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B35Z9 254176.02000000 PA USD 240685.35000000 0.033743589584 Long ABS-MBS USGSE US N 2 2031-02-25 Fixed 3.61000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179V7E4 986139.53000000 PA USD 866637.48000000 0.121500786995 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 2.50000000 N N N N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 06406RBH9 1130000.00000000 PA USD 1067158.33000000 0.149613396531 Long DBT CORP US N 2 2033-06-13 Fixed 4.28900000 N N N N N N NEW YORK LIFE GLOBAL FDG 635400DPNHEAUHB7ZI15 64952WDQ3 340000.00000000 PA USD 312842.42000000 0.043859861952 Long DBT CORP US N 2 2025-06-24 Fixed 0.95000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -84.00000000 NC USD -10500.00000000 -0.00147207834 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 200000.00000000 104.00000000 USD 2023-06-23 XXXX 18229.68000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGG45 357278.44000000 PA USD 328823.05000000 0.046100313313 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.50000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAN3 320000.00000000 PA USD 321007.71000000 0.045004618767 Long DBT CORP US N 2 2027-06-01 Fixed 5.50000000 N N N N N N Towd Point Mortgage Trust N/A 89173UAF4 1010000.00000000 PA USD 797519.13000000 0.111810536903 Long ABS-MBS CORP US N 2 2057-06-25 Variable 3.54307500 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DXJ6 240616.61000000 PA USD 187744.98000000 0.026321458915 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 1.50000000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBK3 50000.00000000 PA USD 49137.71000000 0.006889005580 Long DBT CORP US N 2 2027-05-09 Fixed 4.35000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBV4 720000.00000000 PA USD 650503.48000000 0.091199246037 Long DBT CORP US N 2 2029-07-31 Fixed 3.12500000 N N N N N N NORTHROP GRUMMAN CORP RIMU48P07456QXSO0R61 666807BM3 1350000.00000000 PA USD 1302368.13000000 0.182589325300 Long DBT CORP US N 2 2025-01-15 Fixed 2.93000000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918CE2 10000.00000000 PA USD 7406.06000000 0.001038314334 Long DBT CORP US N 2 2052-03-17 Fixed 2.92100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CR89 845880.73000000 PA USD 787950.14000000 0.110468984244 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N New Residential Mortgage Loan N/A 64831MAA0 1767923.43000000 PA USD 1601199.76000000 0.224484903396 Long ABS-MBS CORP US N 2 2062-03-27 Variable 3.07900000 N N N N N N NATIONAL SECS CLEARING 549300RYC9NELN2ICA34 637639AB1 600000.00000000 PA USD 559901.95000000 0.078497098423 Long DBT CORP US N 2 2025-04-23 Fixed 1.50000000 N N N N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 000000000 1.00000000 NC USD 1411247.27000000 0.197853956132 N/A DCR CORP US N 2 INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 IHS MARKIT LTD CDX.NA.IG.40.V1 Y Default Event 2028-06-20 771338.15000000 USD 0.00000000 USD 106533000.00000000 USD 639909.12000000 N N N PNC FINANCIAL SERVICES CFGNEKW0P8842LEUIA51 693475AV7 2070000.00000000 PA USD 2041736.14000000 0.286247195133 Long DBT CORP US N 2 2024-01-23 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AUP44 451931.38000000 PA USD 387373.29000000 0.054308936184 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H020667 1300000.00000000 PA USD 1102359.38000000 0.154548511128 Long ABS-MBS USGA US N 2 2052-06-15 Fixed 2.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -242.00000000 NC USD -51425.00000000 -0.00720967892 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-03-18 0.00000000 USD 2500.00000000 95.25000000 USD 2023-12-15 XXXX 44866.80000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPUT3 297490.40000000 PA USD 288543.74000000 0.040453237139 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.50000000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAV5 1360000.00000000 PA USD 1378594.97000000 0.193276171027 Long DBT CORP US N 2 2025-12-15 Fixed 5.85000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKD0 690000.00000000 PA USD 560705.54000000 0.078609760084 Long DBT CORP US N 2 2032-10-20 Fixed 2.57200000 N N N N N N CIGNA GROUP/THE 549300VIWYMSIGT1U456 125523AH3 1830000.00000000 PA USD 1784582.18000000 0.250194740398 Long DBT CORP US N 2 2028-10-15 Fixed 4.37500000 N N N N N N Cayuga Park CLO, Ltd. 549300SVH2QJEV4A2G21 149791AP0 1020000.00000000 PA USD 996976.92000000 0.139774107619 Long ABS-CBDO CORP KY N 2 2034-07-17 Floating 6.38029000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABX2 250000.00000000 PA USD 201168.92000000 0.028203467612 Long DBT CORP US N 2 2031-11-15 Fixed 2.25000000 N N N N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106AJ2 420000.00000000 PA USD 398123.85000000 0.055816142519 Long DBT CORP US N 2 2027-03-27 Fixed 2.75000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F040669 700000.00000000 PA USD 661390.63000000 0.092725602009 Long ABS-MBS USGSE US N 2 2053-06-15 Fixed 4.00000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBG7 115000.00000000 PA USD 108907.66000000 0.015268629277 Long DBT CORP US N 2 2059-02-14 Fixed 6.20000000 N N N N N N Aqua Finance Trust N/A 03842VAB3 1050000.00000000 PA USD 867572.16000000 0.121631827203 Long ABS-O CORP US N 2 2046-07-17 Fixed 2.40000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NN7 870000.00000000 PA USD 772955.86000000 0.108366817118 Long DBT CORP US N 2 2033-03-17 Fixed 3.78500000 N N N N N N Balboa Bay Loan Funding Ltd 549300N3EVICXRV85R74 05766GAA5 630000.00000000 PA USD 613957.48000000 0.086075572224 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 6.42043000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XB4K3 85449.78000000 PA USD 74447.96000000 0.010437450420 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918BR4 3060000.00000000 PA USD 2902960.71000000 0.406989103313 Long DBT CORP US N 2 2026-08-08 Fixed 2.40000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CY9 1500000.00000000 PA USD 1488378.36000000 0.208667575844 Long DBT CORP US N 2 2030-05-01 Fixed 5.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFBC4 89346.83000000 PA USD 80782.10000000 0.011325483782 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H030666 900000.00000000 PA USD 810193.37000000 0.113587439206 Long ABS-MBS USGA US N 2 2053-06-15 Fixed 3.00000000 N N N N N N Credit Suisse Mortgage Trust N/A 12662QAA4 359106.88000000 PA USD 301865.17000000 0.042320874146 Long ABS-MBS CORP US N 2 2066-10-25 Variable 1.75600000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU 549300GADFYEKC4OLM57 92890PAH7 1060000.00000000 PA USD 886798.86000000 0.124327370882 Long ABS-MBS CORP US N 2 2046-06-15 Variable 3.84100000 N N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 000000000 540000.00000000 PA USD 529200.00000000 0.074192748365 Long DBT NUSS ID N 2 2045-01-15 Fixed 5.12500000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AM0 580000.00000000 PA USD 560858.61000000 0.078631220182 Long DBT CORP CH N 2 2026-05-12 Fixed 4.48800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B2DY3 228980.23000000 PA USD 18957.64000000 0.002657822022 Long ABS-MBS USGSE US N 2 2042-09-15 Floating 1.14257000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -78.00000000 NC USD -75562.50000000 -0.01059370662 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 109.50000000 USD 2023-06-23 XXXX -44619.31000000 N N N PRKCM Trust N/A 69361JAA4 443806.93000000 PA USD 371531.73000000 0.052087982150 Long ABS-MBS CORP US N 2 2056-11-25 Variable 2.07100000 N N N N N N VISA INC 549300JZ4OKEHW3DPJ59 92826CAF9 320000.00000000 PA USD 297384.06000000 0.041692631768 Long DBT CORP US N 2 2045-12-14 Fixed 4.30000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GGR4 1140000.00000000 PA USD 1063605.61000000 0.149115312515 Long DBT CORP US N 2 2028-07-21 Fixed 3.59300000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCY5 210000.00000000 PA USD 165360.98000000 0.023183268289 Long DBT CORP US N 2 2039-11-01 Fixed 3.25000000 N N N N N N VISA INC 549300JZ4OKEHW3DPJ59 92826CAD4 1400000.00000000 PA USD 1355731.13000000 0.190070707823 Long DBT CORP US N 2 2025-12-14 Fixed 3.15000000 N N N N N N CHARLES SCHWAB CORP 549300VSGCJ7E698NM85 808513AX3 600000.00000000 PA USD 580569.10000000 0.081394590221 Long DBT CORP US N 2 2025-05-21 Fixed 3.85000000 N N N N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411BF1 180000.00000000 PA USD 161834.40000000 0.022688849047 Long DBT CORP US N 2 2030-01-15 Fixed 4.25000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CN6 486000.00000000 PA USD 469188.86000000 0.065779310328 Long DBT CORP US N 2 2026-06-15 Fixed 3.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXDJ8 38886.37000000 PA USD 36903.92000000 0.005173853458 Long ABS-MBS USGSE US N 2 2056-02-01 Fixed 4.00000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAU6 350000.00000000 PA USD 346133.00000000 0.048527132596 Long DBT CORP US N 2 2028-02-01 Fixed 5.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BBMQ2 156972.12000000 PA USD 23903.70000000 0.003351249431 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UKZ4 131250.49000000 PA USD 131229.81000000 0.018398148661 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6L74 595014.70000000 PA USD 574757.14000000 0.080579765418 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 4.00000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBD4 59000.00000000 PA USD 57733.89000000 0.008094172284 Long DBT CORP US N 2 2029-02-14 Fixed 4.80000000 N N N N N N SOUTHERN COPPER CORP 2549007U6NAP46Q9TU15 84265VAG0 780000.00000000 PA USD 726751.43000000 0.101889051342 Long DBT CORP US N 2 2042-11-08 Fixed 5.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FXC89 84833.52000000 PA USD 11364.31000000 0.001593252819 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 2.00000000 N N N N N N KIMBERLY-CLARK CORP MP3J6QPYPGN75NVW2S34 494368CB7 130000.00000000 PA USD 119636.60000000 0.016772804533 Long DBT CORP US N 2 2030-03-26 Fixed 3.10000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378XW72 842367.41000000 PA USD 8357.55000000 0.001171711270 Long ABS-MBS USGA US N 2 2054-08-16 Variable 0.37332000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FMCT7 1980748.96000000 PA USD 89366.64000000 0.012529018582 Long ABS-MBS USGSE US N 2 2029-05-25 Variable 0.95198900 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XK5J5 98997.68000000 PA USD 95678.99000000 0.013413997031 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 4.00000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAQ2 510000.00000000 PA USD 496991.83000000 0.069677229371 Long DBT CORP US N 2 2025-05-14 Fixed 3.60000000 N N N N N N CIM Trust N/A 12567RAA8 339243.44000000 PA USD 294406.18000000 0.041275139134 Long ABS-MBS CORP US N 2 2061-07-25 Variable 1.42500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGDU0 91388.97000000 PA USD 75914.70000000 0.010643084343 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBU6 70000.00000000 PA USD 62524.81000000 0.008765849385 Long DBT CORP US N 2 2049-02-01 Fixed 4.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X6PV1 51429.50000000 PA USD 46904.91000000 0.006575971626 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 3.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CEN7 7540000.00000000 PA USD 7223231.63000000 1.012682174440 Long DBT UST US N 2 2027-04-30 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHD61 179175.58000000 PA USD 154157.91000000 0.021612620984 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.50000000 N N N N N N 522 Funding CLO Ltd N/A 33835AAJ8 770000.00000000 PA USD 749577.31000000 0.105089192633 Long ABS-CBDO CORP KY N 2 2034-10-23 Floating 6.42271000 N N N N N N Dryden Senior Loan Fund N/A 26246GAA1 2020000.00000000 PA USD 1978590.00000000 0.277394236563 Long ABS-CBDO CORP KY N 2 2034-05-20 Floating 6.47914000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KA8 2390000.00000000 PA USD 2297919.85000000 0.322163622819 Long DBT CORP US N 2 2027-09-29 Fixed 4.45000000 N N N N N N OFFICE CHERIFIEN DES PHO 213800D26TAPVTCVWG40 67091TAC9 550000.00000000 PA USD 535044.40000000 0.075012121190 Long DBT CORP MA N 2 2025-10-22 Fixed 4.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -303.00000000 NC USD -585008.53000000 -0.08201698915 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2023-09-20 -40888116.47000000 USD -585008.53000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UH62 196933.25000000 PA USD 197149.18000000 0.027639908356 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 5.00000000 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 036752AU7 40000.00000000 PA USD 35172.18000000 0.004931067082 Long DBT CORP US N 2 2052-05-15 Fixed 4.55000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46644PAG4 586094.37000000 PA USD 524847.51000000 0.073582538246 Long ABS-MBS CORP US N 2 2028-05-15 Floating 8.85743000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SZ2 3210000.00000000 PA USD 2184367.38000000 0.306243800761 Long DBT UST US N 2 2051-08-15 Fixed 2.00000000 N N N N N N Point Au Roche Park CLO, Ltd 5493000RMLD359CPH591 73052VAA3 1650000.00000000 PA USD 1608947.59000000 0.225571133180 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 6.33043000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBC6 1390000.00000000 PA USD 1215105.75000000 0.170355319629 Long DBT CORP US N 2 2032-03-15 Fixed 4.27900000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DE2 870000.00000000 PA USD 844100.79000000 0.118341189546 Long DBT CORP US N 2 2024-02-04 Fixed 1.43300000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBH4 1850000.00000000 PA USD 1794905.56000000 0.251642056979 Long DBT CORP US N 2 2025-03-19 Fixed 2.99200000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZR8 150000.00000000 PA USD 141670.22000000 0.019861872606 Long DBT CORP US N 2 2028-03-15 Fixed 3.61500000 N N N N N N FORD MOTOR CREDIT CO LLC UDSQCVRUX5BONN0VY111 345397WW9 200000.00000000 PA USD 192961.10000000 0.027052748179 Long DBT CORP US N 2 2024-09-08 Fixed 3.66400000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F050668 600000.00000000 PA USD 591082.03000000 0.082868481321 Long ABS-MBS USGSE US N 2 2053-06-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCCC0 76789.29000000 PA USD 69557.27000000 0.009751785771 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3.00000000 N N N N N N NUVEEN LLC N/A 67080LAA3 1000000.00000000 PA USD 955301.72000000 0.133931330547 Long DBT CORP US N 2 2028-11-01 Fixed 4.00000000 N N N N N N Ford Credit Floorplan Master O 5493001DTG5N7T8BG747 34528PAK2 2220000.00000000 PA USD 2132329.98000000 0.298948264624 Long ABS-O CORP US N 2 2030-11-15 Fixed 4.06000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFK5 60000.00000000 PA USD 46229.22000000 0.006481241282 Long DBT CORP US N 2 2049-09-01 Fixed 3.62500000 N N N N N N MET LIFE GLOB FUNDING I 635400MMSOCXNNNZDZ82 59217GEH8 970000.00000000 PA USD 969274.59000000 0.135890298097 Long DBT CORP US N 2 2023-06-08 Fixed 0.90000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90351DAB3 290000.00000000 PA USD 278669.80000000 0.039068931119 Long DBT CORP CH N 2 2025-09-24 Fixed 4.12500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 115.00000000 NC USD 65387.85000000 0.009167241687 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 13786722.10000000 USD 65387.85000000 N N N Golub Capital Partners CLO Ltd N/A 38179AAA0 1730000.00000000 PA USD 1692344.64000000 0.237263227558 Long ABS-CBDO CORP US N 2 2034-10-25 Floating 6.74514000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAB9 680000.00000000 PA USD 649798.10000000 0.091100353216 Long DBT CORP GB N 2 2026-03-24 Fixed 4.65000000 N N N N N N METLIFE CAPITAL TRUST IV N/A 591560AA5 390000.00000000 PA USD 408073.47000000 0.057211058719 Long DBT CORP US N 2 2037-12-15 Fixed 7.87500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 42.00000000 NC USD 44625.00000000 0.006256332947 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 113.50000000 USD 2023-06-02 XXXX 22239.84000000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NS6 630000.00000000 PA USD 620398.60000000 0.086978603961 Long DBT CORP US N 2 2028-05-24 Fixed 4.65800000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HAT4 1580000.00000000 PA USD 1537253.98000000 0.215519836947 Long DBT CORP IT N 2 2024-06-26 Fixed 5.01700000 N N N N N N GS Mortgage Securities Trust N/A 36248GAJ9 240000.00000000 PA USD 235785.22000000 0.033056601466 Long ABS-MBS CORP US N 2 2046-11-10 Variable 5.16100000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VER1 484000.00000000 PA USD 470598.40000000 0.065976924929 Long DBT CORP US N 2 2028-09-21 Fixed 4.32900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137ARFB7 746398.62000000 PA USD 31315.98000000 0.004390435797 Long ABS-MBS USGSE US N 2 2031-09-15 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XVU7 198981.22000000 PA USD 201096.02000000 0.028193247183 Long ABS-MBS USGA US N 2 2053-03-20 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178NF95 126466.73000000 PA USD 116852.59000000 0.016382492074 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 3.00000000 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162BV1 120000.00000000 PA USD 117785.13000000 0.016513232258 Long DBT CORP US N 2 2024-05-22 Fixed 3.62500000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F040669 -600000.00000000 PA USD -566906.25000000 -0.07947908683 Short ABS-MBS USGSE US N 2 2053-06-15 Fixed 4.00000000 N N N N N N Freddie Mac - STACR N/A 35564KRF8 2000000.00000000 PA USD 1976529.40000000 0.277105344694 Long ABS-MBS CORP US N 2 2042-02-25 Floating 7.37299000 N N N N N N GUARDIAN LIFE GLOB FUND 635400NHILJ5JEKILC36 40139LAG8 180000.00000000 PA USD 164812.19000000 0.023106329063 Long DBT CORP US N 2 2025-06-23 Fixed 1.10000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ACER7 298345.89000000 PA USD 296879.90000000 0.041621949575 Long ABS-MBS USGA US N 2 2053-02-20 Fixed 5.00000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DR8 330000.00000000 PA USD 265555.36000000 0.037230313684 Long DBT CORP US N 2 2031-09-15 Fixed 2.12500000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2D5 260000.00000000 PA USD 250820.95000000 0.035164579796 Long DBT CORP FR N 2 2025-01-09 Fixed 3.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNBV4 95795.76000000 PA USD 86112.89000000 0.012072849544 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828Y95 2960000.00000000 PA USD 2774421.88000000 0.388968224497 Long DBT UST US N 2 2026-07-31 Fixed 1.87500000 N N N N N N US BANCORP N1GZ7BBF3NP8GI976H15 91159HHZ6 1060000.00000000 PA USD 980526.35000000 0.137467771639 Long DBT CORP US N 2 2025-05-12 Fixed 1.45000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKG6 40000.00000000 PA USD 34657.69000000 0.004858936646 Long DBT CORP US N 2 2028-02-01 Fixed 1.65000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHG7 1500000.00000000 PA USD 1416258.65000000 0.198556541270 Long DBT CORP US N 2 2029-03-05 Fixed 3.97000000 N N N N N N SLM Student Loan Trust 549300JEA36NHBYED811 78445QAE1 355528.33000000 PA USD 371464.67000000 0.052078580476 Long ABS-O CORP US N 2 2041-10-15 Floating 9.85743000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448EQ7 50000.00000000 PA USD 48012.00000000 0.006731183360 Long DBT CORP US N 2 2025-03-19 Fixed 2.25000000 N N N N N N Deutsche Bank Commercial Mortg N/A 23312LAU2 1060000.00000000 PA USD 925081.72000000 0.129694548884 Long ABS-MBS CORP US N 2 2049-05-10 Variable 4.19500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381BDT8 224825.24000000 PA USD 216767.01000000 0.030390287654 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H6H81 253796.48000000 PA USD 232894.69000000 0.032651355122 Long ABS-MBS USGSE US N 2 2049-09-25 Fixed 3.00000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CA8 1160000.00000000 PA USD 1086997.37000000 0.152394789015 Long DBT CORP US N 2 2027-04-15 Fixed 2.50000000 N N N N N N TARGET CORP 8WDDFXB5T1Z6J0XC1L66 87612EBL9 450000.00000000 PA USD 429900.32000000 0.060271138065 Long DBT CORP US N 2 2025-04-15 Fixed 2.25000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29279FAA7 90000.00000000 PA USD 85800.89000000 0.012029107787 Long DBT CORP US N 2 2049-04-15 Fixed 6.25000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MP3 660000.00000000 PA USD 624740.31000000 0.087587302747 Long DBT CORP US N 2 2031-03-31 Fixed 4.41200000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABB0 490000.00000000 PA USD 475288.18000000 0.066634422411 Long DBT CORP US N 2 2025-04-15 Fixed 3.50000000 N N N N N N Natixis Commercial Mortgage Se N/A 63873VAA1 1300000.00000000 PA USD 1145398.67000000 0.160582530805 Long ABS-MBS CORP US N 2 2036-08-15 Fixed 3.04690000 N N N N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAC1 940000.00000000 PA USD 936511.74000000 0.131297014111 Long DBT CORP GB N 2 2024-08-01 Fixed 4.36300000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H022663 -300000.00000000 PA USD -262529.30000000 -0.03680606631 Short ABS-MBS USGA US N 2 2053-06-15 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M32Z2 186568.54000000 PA USD 153969.76000000 0.021586242743 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N Benefit Street Partners CLO Lt 5493002BNZCV0YE1MG83 08180FBG5 750000.00000000 PA USD 740116.64000000 0.103762826215 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 6.43043000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QLMX1 266254.89000000 PA USD 220040.74000000 0.030849257847 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.00000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDW9 170000.00000000 PA USD 156252.44000000 0.021906269770 Long DBT CORP US N 2 2026-01-15 Fixed 1.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QRVY6 298972.32000000 PA USD 289991.67000000 0.040656233939 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNHH9 289981.62000000 PA USD 275255.88000000 0.038590306578 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHEY9 46650.23000000 PA USD 44122.64000000 0.006185903111 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 4.00000000 N N N N N N TSMC ARIZONA CORP 2549005GOBWLCSY63Q97 872898AA9 1160000.00000000 PA USD 1048158.73000000 0.146949691803 Long DBT CORP US N 2 2026-10-25 Fixed 1.75000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CN0 800000.00000000 PA USD 758988.74000000 0.106408655705 Long DBT CORP US N 2 2027-04-15 Fixed 2.87500000 N N N N N N EOG RESOURCES INC XWTZDRYZPBUHIQBKDB46 26875PAP6 740000.00000000 PA USD 732142.92000000 0.102644927119 Long DBT CORP US N 2 2026-01-15 Fixed 4.15000000 N N N N N N THE VANGUARD GROUP INC N/A 000000000 660000.00000000 PA USD 425878.50000000 0.059707287197 Long DBT CORP US N 3 2050-08-22 Fixed 3.05000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617JYLP6 60631.48000000 PA USD 56267.43000000 0.007888577617 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 3.50000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822CF9 340000.00000000 PA USD 328200.35000000 0.046013012058 Long DBT CORP JP N 2 2026-04-17 Fixed 3.83700000 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 036752AB9 240000.00000000 PA USD 228951.81000000 0.032098571480 Long DBT CORP US N 2 2027-12-01 Fixed 3.65000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2M4 1080000.00000000 PA USD 989168.27000000 0.138679350997 Long DBT CORP US N 2 2051-04-04 Fixed 5.01300000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BZ8 190000.00000000 PA USD 160785.92000000 0.022541854314 Long DBT CORP US N 2 2031-05-12 Fixed 2.10000000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 917288BK7 410000.00000000 PA USD 409711.99000000 0.057440775843 Long DBT NUSS UY N 2 2031-01-23 Fixed 4.37500000 N N N N N N Mosaic Solar Loans LLC N/A 61946LAA0 1200448.39000000 PA USD 1109231.60000000 0.155511982196 Long ABS-O CORP US N 2 2044-02-22 Fixed 4.20000000 N N N N N N Credit Suisse Mortgage Trust N/A 126405AA7 1362015.88000000 PA USD 1194917.10000000 0.167524912544 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RD2 4780000.00000000 PA USD 4607005.06000000 0.645892606079 Long DBT UST US N 2 2043-11-15 Fixed 3.75000000 N N N N N N WALMART INC Y87794H0US1R65VBXU25 931142EQ2 50000.00000000 PA USD 44662.52000000 0.006261593174 Long DBT CORP US N 2 2029-09-24 Fixed 2.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378BQJ1 1096831.07000000 PA USD 3420.47000000 0.000479542838 Long ABS-MBS USGA US N 2 2053-04-16 Variable 0.26785000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 239228.37000000 0.033539323993 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2029-04-30 0.00000000 USD -295801.13000000 USD -19736000.00000000 USD 535029.50000000 N N N 280 Park Avenue Mortgage Trust N/A 90205FAA8 730000.00000000 PA USD 704976.70000000 0.098836279113 Long ABS-MBS CORP US N 2 2034-09-15 Floating 5.97900000 N N N N N N GOLDMAN SACHS CAPITAL II N/A 381427AA1 71000.00000000 PA USD 53928.64000000 0.007560684083 Long DBT CORP US N 2 N/A Floating 5.72993000 N N N N N N JP Morgan Mortgage Trust N/A 46651HBT3 488766.39000000 PA USD 446938.25000000 0.062659820705 Long ABS-MBS CORP US N 2 2050-03-25 Variable 4.38134000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABE65 88654.57000000 PA USD 76805.50000000 0.010767972665 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 2.50000000 N N N N N N DEERE & COMPANY PWFTNG3EI0Y73OXWDH08 244199BJ3 20000.00000000 PA USD 18355.92000000 0.002573462119 Long DBT CORP US N 2 2030-04-15 Fixed 3.10000000 N N N N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAQ7 140000.00000000 PA USD 120683.42000000 0.016919566538 Long DBT CORP US N 2 2030-02-15 Fixed 2.72200000 N N N N N N RELIANCE INDUSTRIES LTD 5493003UOETFYRONLG31 759470BB2 640000.00000000 PA USD 538148.70000000 0.075447337646 Long DBT CORP IN N 2 2032-01-12 Fixed 2.87500000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2D4 500000.00000000 PA USD 474072.71000000 0.066464016024 Long DBT CORP US N 2 2029-01-24 Fixed 4.15000000 N N N N N N EXPORT-IMPORT BK INDIA 335800OFZ8YEIVN1QI11 30216JAA3 660000.00000000 PA USD 622013.46000000 0.087205004002 Long DBT NUSS IN N 2 2026-08-05 Fixed 3.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BQRW8 98160.03000000 PA USD 95159.67000000 0.013341189438 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKNS5 96291.75000000 PA USD 100291.66000000 0.014060683850 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 6.00000000 N N N N N N CREDIT SUISSE NEW YORK 549300D0YARF5HYP1809 22550L2J9 340000.00000000 PA USD 331591.80000000 0.046488486352 Long DBT CORP CH N 2 2024-08-09 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DPR7 165691.81000000 PA USD 162495.01000000 0.022781465207 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 4.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CFC0 66660000.00000000 PA USD 62566659.38000000 8.771716582539 Long DBT UST US N 2 2029-07-31 Fixed 2.62500000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MBF9 128000.00000000 PA USD 120463.17000000 0.016888687942 Long DBT CORP US N 2 2030-01-15 Fixed 4.50000000 N N N N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081EW9 450000.00000000 PA USD 400439.72000000 0.056140822716 Long DBT CORP US N 2 2030-04-01 Fixed 2.62500000 N N N N N N CODELCO INC 549300UVMBCBCIPSUI70 21987BAW8 1110000.00000000 PA USD 1054892.06000000 0.147893690780 Long DBT CORP CL N 2 2027-08-01 Fixed 3.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYWA3 90586.79000000 PA USD 77521.36000000 0.010868334760 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 2.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TB4 4260000.00000000 PA USD 2804694.16000000 0.393212335707 Long DBT UST US N 2 2051-11-15 Fixed 1.87500000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAL7 90000.00000000 PA USD 83601.29000000 0.011720728405 Long DBT CORP US N 2 2041-07-15 Fixed 5.60000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BLE0 80046.25000000 PA USD 79576.83000000 0.011156507414 Long ABS-MBS USGA US N 2 2061-03-20 Floating 5.35771000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833DB3 850000.00000000 PA USD 809168.57000000 0.113443764360 Long DBT CORP US N 2 2027-09-12 Fixed 2.90000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGN8 2285000.00000000 PA USD 1843952.32000000 0.258518311558 Long DBT CORP US N 2 2032-03-15 Fixed 2.35500000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 913017DD8 280000.00000000 PA USD 274920.30000000 0.038543258954 Long DBT CORP US N 2 2025-08-16 Fixed 3.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKLX6 298909.66000000 PA USD 295866.86000000 0.041479923457 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCQ76 160760.37000000 PA USD 145620.62000000 0.020415710537 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VX21 445762.29000000 PA USD 413733.21000000 0.058004542592 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 3.50000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMM1 380000.00000000 PA USD 298790.76000000 0.041889848206 Long DBT CORP US N 2 2033-12-01 Fixed 2.55000000 N N N N N N Credit Suisse Mortgage Trust N/A 12657GAA3 563374.61000000 PA USD 501530.73000000 0.070313573788 Long ABS-MBS CORP US N 2 2060-10-25 Variable 2.00000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAL4 160000.00000000 PA USD 138255.01000000 0.019383067209 Long DBT CORP US N 2 2047-03-01 Fixed 5.20000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382MTZ2 152726.80000000 PA USD 158054.55000000 0.022158921874 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WR34 1390128.34000000 PA USD 1255766.00000000 0.176055802805 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 3.00000000 N N N N N N ALPHABET INC 5493006MHB84DD0ZWV18 02079KAF4 150000.00000000 PA USD 92209.59000000 0.012927594308 Long DBT CORP US N 2 2050-08-15 Fixed 2.05000000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816CG2 420000.00000000 PA USD 406493.69000000 0.056989576822 Long DBT CORP US N 2 2024-07-30 Fixed 2.50000000 N N N N N N JPMDB Commercial Mortgage Secu N/A 46590TAK1 1030000.00000000 PA USD 851854.08000000 0.119428184810 Long ABS-MBS CORP US N 2 2050-03-15 Variable 4.00880000 N N N N N N ADOBE INC FU4LY2G4933NH2E1CP29 00724PAD1 380000.00000000 PA USD 335214.96000000 0.046996445910 Long DBT CORP US N 2 2030-02-01 Fixed 2.30000000 N N N N N N Credit Suisse Mortgage Trust 549300818AKCJ4Q9TD76 12649AAJ8 2820000.00000000 PA USD 2340645.97000000 0.328153736708 Long ABS-MBS CORP US N 2 2037-09-15 Fixed 4.18460000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AFRX4 452187.21000000 PA USD 25710.82000000 0.003604603927 Long ABS-MBS USGSE US N 2 2032-09-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DSJ2 56882.54000000 PA USD 49095.24000000 0.006883051374 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.50000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BM1 100000.00000000 PA USD 87971.96000000 0.012333487323 Long DBT CORP US N 2 2050-03-25 Fixed 4.75000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PDE3 3410000.00000000 PA USD 3343121.82000000 0.468698782970 Long DBT CORP US N 2 2025-06-14 Fixed 3.84500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179T7K5 177177.25000000 PA USD 170540.92000000 0.023909485192 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 4.00000000 N N N N N N Credit Suisse Mortgage Trust N/A 22946DAA0 533338.97000000 PA USD 421885.42000000 0.059147465618 Long ABS-MBS CORP US N 2 2066-05-25 Variable 0.93800000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFL8 1360000.00000000 PA USD 1316447.67000000 0.184563247765 Long DBT CORP US N 2 2026-10-22 Fixed 4.25000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BF8 970000.00000000 PA USD 936261.36000000 0.131261911351 Long DBT CORP US N 2 2027-03-15 Fixed 3.95000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAF0 70000.00000000 PA USD 68444.36000000 0.009595758084 Long DBT CORP US N 2 2028-06-15 Fixed 4.95000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XAR5 27706.24000000 PA USD 27930.39000000 0.003915783063 Long ABS-MBS CORP US N 2 2024-11-25 Floating 10.13800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QEYV8 302565.98000000 PA USD 250381.54000000 0.035102975420 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.00000000 N N N N N N COTERRA ENERGY INC FCNMH6O7VWU7LHXMK351 127097AG8 1830000.00000000 PA USD 1738147.23000000 0.243684656195 Long DBT CORP US N 2 2027-05-15 Fixed 3.90000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABD6 90000.00000000 PA USD 85524.51000000 0.011990359881 Long DBT CORP US N 2 2027-04-15 Fixed 3.75000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBK1 860000.00000000 PA USD 809058.05000000 0.113428269684 Long DBT CORP US N 2 2026-04-22 Fixed 2.08300000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QAZ3 970000.00000000 PA USD 935248.41000000 0.131119897851 Long DBT CORP US N 2 2027-04-14 Fixed 3.58800000 N N N N N N CREDIT SUISSE NEW YORK 549300D0YARF5HYP1809 22550L2C4 530000.00000000 PA USD 496567.23000000 0.069617701326 Long DBT CORP CH N 2 2025-04-09 Fixed 2.95000000 N N N N N N Navient Student Loan Trust N/A 63940HAC7 1319516.73000000 PA USD 1309083.18000000 0.183530761458 Long ABS-O CORP US N 2 2065-06-25 Floating 6.48800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AYBT6 87452.68000000 PA USD 74932.04000000 0.010505317438 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.50000000 N N N N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612KAA0 810000.00000000 PA USD 800025.61000000 0.112161940228 Long DBT CORP US N 2 2027-07-01 Fixed 5.20000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VDD3 300000.00000000 PA USD 281808.00000000 0.039508900286 Long DBT CORP US N 2 2026-08-15 Fixed 2.62500000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXE9 1000000.00000000 PA USD 984902.17000000 0.138081252577 Long DBT CORP US N 2 2024-02-20 Fixed 3.62500000 N N N N N N BECTON DICKINSON & CO ICE2EP6D98PQUILVRZ91 075887BV0 848000.00000000 PA USD 830391.44000000 0.116419166956 Long DBT CORP US N 2 2024-06-06 Fixed 3.36300000 N N N N N N NVIDIA CORP 549300S4KLFTLO7GSQ80 67066GAG9 650000.00000000 PA USD 550884.50000000 0.077232870535 Long DBT CORP US N 2 2040-04-01 Fixed 3.50000000 N N N N N N Recette CLO LLC 549300392I5L5XOJ0016 75620TAW8 510000.00000000 PA USD 498206.25000000 0.069847488549 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 6.33043000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -80.00000000 NC USD -88750.08000000 -0.01244257814 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 200000.00000000 103.25000000 USD 2023-06-23 XXXX -53263.44000000 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAK6 780000.00000000 PA USD 756129.90000000 0.106007852234 Long DBT CORP US N 2 2027-03-01 Fixed 4.12500000 N N N N N N MASTERCARD INC AR5L2ODV9HN37376R084 57636QAQ7 40000.00000000 PA USD 34131.07000000 0.004785105608 Long DBT CORP US N 2 2050-03-26 Fixed 3.85000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYVY2 175324.80000000 PA USD 150282.43000000 0.021069286683 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WNE4 1028947.08000000 PA USD 901785.90000000 0.126428522975 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 2.50000000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 191216CR9 590000.00000000 PA USD 575383.71000000 0.080667609240 Long DBT CORP US N 2 2027-03-25 Fixed 3.37500000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBA0 860000.00000000 PA USD 806230.08000000 0.113031794124 Long DBT CORP US N 2 2027-03-15 Fixed 3.75500000 N N N N N N HONEYWELL INTERNATIONAL ISRPG12PN4EIEOEMW547 438516CB0 330000.00000000 PA USD 309383.93000000 0.043374988788 Long DBT CORP US N 2 2025-06-01 Fixed 1.35000000 N N N N N N Ellington Financial Mortgage T N/A 31573CAA3 445373.36000000 PA USD 376890.39000000 0.052839255228 Long ABS-MBS CORP US N 2 2067-01-25 Variable 2.20600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133C1NL0 199817.97000000 PA USD 200252.51000000 0.028074988821 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967EW7 34000.00000000 PA USD 43233.75000000 0.006061282567 Long DBT CORP US N 2 2039-07-15 Fixed 8.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXET5 541628.22000000 PA USD 500979.40000000 0.070236278459 Long ABS-MBS USGSE US N 2 2057-03-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJGY3 96445.27000000 PA USD 94127.50000000 0.013196481333 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4.50000000 N N N N N N New Residential Mortgage Loan N/A 64828MAA5 570075.29000000 PA USD 545885.91000000 0.076532078528 Long ABS-MBS CORP US N 2 2057-04-25 Variable 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGDV8 463474.21000000 PA USD 383821.37000000 0.053810964327 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FLFM3 16039.84000000 PA USD 2984.83000000 0.000418467008 Long ABS-MBS USGSE US N 2 2042-04-25 Fixed 4.00000000 N N N N N N Cerberus N/A 15673EAA1 295113.47000000 PA USD 294605.73000000 0.041303115633 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 7.11029000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKK4 610000.00000000 PA USD 509120.36000000 0.071377624258 Long DBT CORP US N 2 2033-02-04 Fixed 2.97200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QPJ24 92767.59000000 PA USD 92131.73000000 0.012916678496 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H022663 400000.00000000 PA USD 350039.06000000 0.049074754151 Long ABS-MBS USGA US N 2 2053-06-15 Fixed 2.50000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DH0 800000.00000000 PA USD 765393.39000000 0.107306574424 Long DBT CORP US N 2 2027-04-01 Fixed 3.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNHU0 1297756.45000000 PA USD 1275205.61000000 0.178781196027 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 4.50000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582CG5 230000.00000000 PA USD 205813.66000000 0.028854650579 Long DBT CORP NL N 2 2030-04-06 Fixed 2.75000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAH3 1350000.00000000 PA USD 1280395.55000000 0.179508814909 Long DBT CORP US N 2 2026-11-16 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ELCK7 371142.90000000 PA USD 368665.83000000 0.051686188881 Long ABS-MBS USGSE US N 2 2043-05-01 Floating 4.19100000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140AS9 140000.00000000 PA USD 136977.14000000 0.019203912471 Long DBT CORP US N 2 2025-07-29 Fixed 3.70000000 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225401BB3 260000.00000000 PA USD 309030.80000000 0.043325480691 Long DBT CORP CH N 2 2033-11-15 Fixed 9.01600000 N N N N N N Freddie Mac - STACR N/A 35564KRE1 1354059.96000000 PA USD 1346556.03000000 0.188784377729 Long ABS-MBS CORP US N 2 2042-02-25 Floating 6.27299000 N N N N N N TRANSCONT GAS PIPE LINE N/A 893574AH6 1490000.00000000 PA USD 1579323.28000000 0.221417866027 Long DBT CORP US N 2 2026-02-01 Fixed 7.85000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAV3 210000.00000000 PA USD 200172.32000000 0.028063746348 Long DBT CORP DK N 2 2025-12-20 Fixed 3.24400000 N N N N N N BANK OF MONTREAL NQQ6HPCNCCU6TUTQYE16 06367WB85 920000.00000000 PA USD 862204.40000000 0.120879278324 Long DBT CORP CA N 2 2025-05-01 Fixed 1.85000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABCD2 85303.12000000 PA USD 73897.73000000 0.010360309309 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VHV5 94781.33000000 PA USD 93260.72000000 0.013074960565 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 4.50000000 N N N N N N Whitebox CLO III Ltd 549300JXCQSPB1A61C68 96467HAA4 1050000.00000000 PA USD 1026057.31000000 0.143851118310 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 6.48029000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -43853.02000000 -0.00614810294 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2029-12-31 0.00000000 USD -216.86000000 USD 5780000.00000000 USD -43636.16000000 N N N Morgan Stanley BAML Trust N/A 61765TAF0 1245000.00000000 PA USD 1185814.82000000 0.166248791664 Long ABS-MBS CORP US N 2 2048-10-15 Fixed 3.63500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CGT2 1210000.00000000 PA USD 1200877.74000000 0.168360581976 Long DBT UST US N 2 2028-03-31 Fixed 3.62500000 N N N N N N MASSMUTUAL GLOBAL FUNDIN 549300K1IE3K7YU6VG29 57629WCU2 1400000.00000000 PA USD 1398593.74000000 0.196079957328 Long DBT CORP US N 2 2023-06-09 Fixed 0.85000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2C6 5790000.00000000 PA USD 5726112.21000000 0.802789120014 Long DBT CORP US N 2 2024-01-24 Fixed 3.75000000 N N N N N N CIGNA GROUP/THE 549300VIWYMSIGT1U456 125523AG5 740000.00000000 PA USD 724915.59000000 0.101631670361 Long DBT CORP US N 2 2025-11-15 Fixed 4.12500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H020667 -400000.00000000 PA USD -339187.50000000 -0.04755338782 Short ABS-MBS USGA US N 2 2052-06-15 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MKAF9 174963.13000000 PA USD 166814.64000000 0.023387068422 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 4.00000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91086QBB3 2040000.00000000 PA USD 1727991.83000000 0.242260890063 Long DBT NUSS MX N 2 2044-03-08 Fixed 4.75000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAH5 310000.00000000 PA USD 294192.14000000 0.041245131168 Long DBT CORP US N 2 2025-07-01 Fixed 3.37500000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BT8 770000.00000000 PA USD 714402.80000000 0.100157798889 Long DBT CORP US N 2 2029-03-23 Fixed 3.70000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06053FAA7 930000.00000000 PA USD 927271.11000000 0.130001496846 Long DBT CORP US N 2 2023-07-24 Fixed 4.10000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636ABD2 1430000.00000000 PA USD 1396779.64000000 0.195825624250 Long DBT CORP DK N 2 2025-03-28 Fixed 3.77300000 N N N N N N ALPHABET INC 5493006MHB84DD0ZWV18 02079KAD9 240000.00000000 PA USD 196097.53000000 0.027492469195 Long DBT CORP US N 2 2030-08-15 Fixed 1.10000000 N N N N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 06406RAN7 270000.00000000 PA USD 253837.28000000 0.035587463040 Long DBT CORP US N 2 2025-04-24 Fixed 1.60000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VFS4 138805.82000000 PA USD 136551.14000000 0.019144188150 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 4.50000000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448EZ7 300000.00000000 PA USD 250609.12000000 0.035134881667 Long DBT CORP US N 2 2030-05-01 Fixed 1.62500000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFF6 300000.00000000 PA USD 290349.89000000 0.040706455644 Long DBT CORP US N 2 2028-04-01 Fixed 3.80000000 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 036752AT0 280000.00000000 PA USD 263510.32000000 0.036943603294 Long DBT CORP US N 2 2032-05-15 Fixed 4.10000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJD2 110000.00000000 PA USD 100957.67000000 0.014154057078 Long DBT CORP US N 2 2026-06-19 Fixed 1.31900000 N N N N N N KENVUE INC 5493008HSF8L4M2LIJ82 49177JAC6 570000.00000000 PA USD 579552.62000000 0.081252081822 Long DBT CORP US N 2 2026-03-22 Fixed 5.35000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -188733.99000000 -0.02646011607 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2024-09-30 0.00000000 USD -40689.40000000 USD 8839000.00000000 USD -148044.59000000 N N N BECTON DICKINSON & CO ICE2EP6D98PQUILVRZ91 075887BF5 23000.00000000 PA USD 22465.10000000 0.003149560678 Long DBT CORP US N 2 2024-12-15 Fixed 3.73400000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBL9 700000.00000000 PA USD 595048.08000000 0.083424513350 Long DBT CORP US N 2 2031-04-22 Fixed 2.52200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M5AJ4 80937.60000000 PA USD 72012.15000000 0.010095954883 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKHM5 193788.37000000 PA USD 188779.59000000 0.026466509103 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.50000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 913017CY3 90000.00000000 PA USD 87125.50000000 0.012214815377 Long DBT CORP US N 2 2028-11-16 Fixed 4.12500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CFV8 919000.00000000 PA USD 953247.10000000 0.133643277061 Long DBT UST US N 2 2032-11-15 Fixed 4.12500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -40.00000000 NC USD -8750.00000000 -0.00122673195 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 117.00000000 USD 2023-06-23 XXXX 4305.80000000 N N N PERUSAHAAN LISTRIK NEGAR 254900OYVDRYS9J51J61 71568PAC3 440000.00000000 PA USD 421850.00000000 0.059142499807 Long DBT CORP ID N 2 2027-05-15 Fixed 4.12500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 62.00000000 NC USD 40687.50000000 0.005704303569 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 109.25000000 USD 2023-06-23 XXXX -2771.34000000 N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BM7 60000.00000000 PA USD 53295.35000000 0.007471898132 Long DBT CORP US N 2 2057-08-22 Fixed 4.25000000 N N N N N N JPMBB Commercial Mortgage Secu N/A 46640UAJ1 90000.00000000 PA USD 81636.79000000 0.011445309557 Long ABS-MBS CORP US N 2 2047-01-15 Variable 4.88343500 N N N N N N KCAP Senior Funding I LLC 5493006EPGSPYDWRRN21 48669RAA9 1218334.63000000 PA USD 1216709.45000000 0.170580155061 Long ABS-CBDO CORP US N 2 2029-12-20 Floating 6.86257000 N N N N N N PETROLEOS DEL PERU SA 549300ZMGDLC9JT2OR80 716564AA7 2040000.00000000 PA USD 1462390.93000000 0.205024191765 Long DBT CORP PE N 2 2032-06-19 Fixed 4.75000000 N N N N N N Grippen Park CLO LTD 549300P7KR0IARP7PG22 39862EAA2 365816.04000000 PA USD 362974.29000000 0.050888246714 Long ABS-CBDO CORP KY N 2 2030-01-20 Floating 6.51043000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AS9 990000.00000000 PA USD 963521.61000000 0.135083742169 Long DBT CORP GB N 2 2024-09-11 Fixed 3.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQBZ8 198857.65000000 PA USD 199708.59000000 0.027998732359 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N Countrywide Home Equity Loan T N/A 12668FAB0 351107.50000000 PA USD 315535.78000000 0.044237465468 Long ABS-MBS CORP US N 2 2037-01-15 Floating 5.24743000 N N N N N N Canyon Capital CLO Ltd 549300IVUME0ILZ1W208 13876LAJ6 1360000.00000000 PA USD 1329816.81000000 0.186437573615 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 6.44029000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F032666 -1300000.00000000 PA USD -1194527.35000000 -0.16747027039 Short ABS-MBS USGSE US N 2 2053-06-15 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ARAC9 88953.23000000 PA USD 73720.98000000 0.010335529324 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AP3N0 262217.04000000 PA USD 227114.96000000 0.031841048899 Long ABS-MBS USGSE US N 2 2045-09-25 Fixed 3.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAR7 1180000.00000000 PA USD 1121048.64000000 0.157168706828 Long DBT CORP US N 2 2029-04-23 Fixed 4.00500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 136.00000000 NC USD 129625.00000000 0.018173157609 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 114.50000000 USD 2023-06-23 XXXX 2670.97000000 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 840000.00000000 PA USD 702370.65000000 0.098470916279 Long DBT CORP GB N 2 2031-06-04 Fixed 2.84800000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TZ65 247693.63000000 PA USD 244023.83000000 0.034211637593 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 4.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -124.00000000 NC USD -7750.00000000 -0.00108653401 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 113.00000000 USD 2023-06-23 XXXX 33691.79000000 N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CT0 1700000.00000000 PA USD 1683498.83000000 0.236023063243 Long DBT CORP US N 2 2025-05-01 Fixed 4.87500000 N N N N N N Western Asset Premier Institutional Government Reserves 549300WB3XRN9YTWFB76 52470G494 10094816.25000000 NS USD 10094816.25000000 1.415272414657 Long STIV RF US N 1 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BTCA6 196686.77000000 PA USD 194418.21000000 0.027257031996 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 5.00000000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAF8 410000.00000000 PA USD 402353.93000000 0.056409191010 Long DBT CORP US N 2 2025-06-01 Fixed 4.30000000 N N N N N N COTERRA ENERGY INC FCNMH6O7VWU7LHXMK351 127097AK9 570000.00000000 PA USD 538129.72000000 0.075444676689 Long DBT CORP US N 2 2029-03-15 Fixed 4.37500000 N N N N N N SWEDBANK AB M312WZV08Y7LYUC71685 87020PAK3 610000.00000000 PA USD 610000.00000000 0.085520741691 Long DBT CORP SE N 2 2023-06-02 Fixed 1.30000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVMB8 3432662.01000000 PA USD 2967699.19000000 0.416065304666 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.50000000 N N N N N N First Franklin Mtg Loan Asset N/A 32027NBX8 251449.50000000 PA USD 245816.93000000 0.034463026514 Long ABS-MBS CORP US N 2 2033-03-25 Floating 6.15914000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBG6 30000.00000000 PA USD 26837.30000000 0.003762534100 Long DBT CORP US N 2 2050-03-19 Fixed 4.32700000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBB0 1150000.00000000 PA USD 1057849.65000000 0.148308338797 Long DBT CORP US N 2 2027-08-15 Fixed 3.55700000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFH7 710000.00000000 PA USD 698625.14000000 0.097945803503 Long DBT CORP US N 2 2024-08-26 Fixed 4.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGTL3 94465.97000000 PA USD 87295.73000000 0.012238681272 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.50000000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 760942BA9 1240000.00000000 PA USD 1222501.63000000 0.171392206749 Long DBT NUSS UY N 2 2050-06-18 Fixed 5.10000000 N N N N N N ALPHABET INC 5493006MHB84DD0ZWV18 02079KAE7 250000.00000000 PA USD 170802.40000000 0.023946144148 Long DBT CORP US N 2 2040-08-15 Fixed 1.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KQPL9 302265.56000000 PA USD 250165.40000000 0.035072673038 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582BD3 2550000.00000000 PA USD 2485267.61000000 0.348429392310 Long DBT CORP NL N 2 2025-05-11 Fixed 3.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGWS4 372950.47000000 PA USD 346696.85000000 0.048606183203 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N SUZANO AUSTRIA GMBH 254900287ZNSGVP1R341 86964WAF9 1690000.00000000 PA USD 1672677.50000000 0.234505935100 Long DBT CORP AT N 2 2029-01-15 Fixed 6.00000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F052664 -300000.00000000 PA USD -299835.94000000 -0.04203638028 Short ABS-MBS USGSE US N 2 2053-06-15 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178WDN6 59091.87000000 PA USD 53902.19000000 0.007556975848 Long ABS-MBS USGA US N 2 2042-10-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABV33 87038.30000000 PA USD 76576.50000000 0.010735867337 Long ABS-MBS USGA US N 2 2052-04-20 Fixed 3.00000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBX0 430000.00000000 PA USD 378714.30000000 0.053094963647 Long DBT CORP US N 2 2030-01-31 Fixed 2.80000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFN9 320000.00000000 PA USD 310099.37000000 0.043475292000 Long DBT CORP US N 2 2025-07-01 Fixed 3.30000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FWL8 761525.04000000 PA USD 723679.45000000 0.101458366083 Long ABS-MBS CORP US N 2 2034-08-25 Variable 3.93853300 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179W2W7 379371.14000000 PA USD 352062.34000000 0.049358413833 Long ABS-MBS USGA US N 2 2052-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UKY7 357883.85000000 PA USD 351998.06000000 0.049349401910 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 4.50000000 N N N N N N Nelnet Student Loan Trust N/A 64031CAA0 466090.22000000 PA USD 459957.68000000 0.064485117935 Long ABS-O CORP US N 2 2033-12-26 Floating 5.93800000 N N N N N N Structured Asset Investment Lo N/A 86358EKJ4 432380.50000000 PA USD 420181.36000000 0.058908559921 Long ABS-O CORP US N 2 2034-08-25 Floating 6.33800000 N N N N N N MEGLOBAL BV 549300WBVLU2FILR7W19 29441WAD7 1200000.00000000 PA USD 1054488.00000000 0.147837042401 Long DBT CORP NL N 2 2028-04-28 Fixed 2.62500000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325BR5 920000.00000000 PA USD 667530.75000000 0.093586434167 Long DBT NUSS CO N 2 2044-02-26 Fixed 5.62500000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFP4 160000.00000000 PA USD 153797.03000000 0.021562026353 Long DBT CORP US N 2 2027-07-01 Fixed 3.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGJ7 190000.00000000 PA USD 159185.22000000 0.022317439476 Long DBT CORP US N 2 2031-03-21 Fixed 2.55000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHR3 660000.00000000 PA USD 647409.50000000 0.090765476423 Long DBT CORP US N 2 2025-03-15 Fixed 3.45800000 N N N N N N Madison Avenue Trust N/A 55282MAA2 630000.00000000 PA USD 578389.58000000 0.081089026013 Long ABS-MBS CORP US N 2 2034-08-15 Variable 3.18810000 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NAM1 470000.00000000 PA USD 472726.00000000 0.066275210060 Long DBT CORP NL N 2 2024-03-17 Fixed 6.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B3HQ6 312997.37000000 PA USD 293406.40000000 0.041134972041 Long ABS-MBS USGSE US N 2 2048-10-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKR69 99673.09000000 PA USD 94432.05000000 0.013239178615 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 4.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -54.00000000 NC USD -52312.50000000 -0.00733410458 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 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 109.50000000 USD 2023-06-23 XXXX -28148.09000000 N N N AREIT CRE Trust N/A 04002VAA9 962063.83000000 PA USD 934990.10000000 0.131083683321 Long ABS-MBS CORP KY N 2 2037-01-20 Floating 6.16443000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135CG9 740000.00000000 PA USD 707734.28000000 0.099222886141 Long DBT CORP US N 2 2029-04-13 Fixed 3.45000000 N N N N N N MF1 Multifamily Housing Mortga N/A 55284AAA6 2100000.00000000 PA USD 2050549.20000000 0.287482767966 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 6.19129000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MJ6K6 90204.38000000 PA USD 77774.98000000 0.010903891761 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.50000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B7GA3 172792.88000000 PA USD 161666.52000000 0.022665312618 Long ABS-MBS USGSE US N 2 2027-02-25 Fixed 2.23200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B6T83 91783.40000000 PA USD 79272.22000000 0.011113801721 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -469.00000000 NC USD 645044.31000000 0.090433881664 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 -112214281.81000000 USD 645044.31000000 N N N BPR Trust N/A 05592AAG5 2140000.00000000 PA USD 1987424.85000000 0.278632864309 Long ABS-MBS CORP US N 2 2038-09-15 Floating 6.25700000 N N N N N N ALPHABET INC 5493006MHB84DD0ZWV18 02079KAH0 100000.00000000 PA USD 92195.17000000 0.012925572653 Long DBT CORP US N 2 2025-08-15 Fixed 0.45000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DN6L2 483837.36000000 PA USD 471975.40000000 0.066169977488 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.50000000 N N N N N N Freddie Mac - STACR N/A 35564KKY4 1230000.00000000 PA USD 1196018.18000000 0.167679281689 Long ABS-MBS CORP US N 2 2041-10-25 Floating 6.47299000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SU3 30530000.00000000 PA USD 20180806.88000000 2.829307495597 Long DBT UST US N 2 2051-02-15 Fixed 1.87500000 N N N N N N MEGLOBAL BV 549300WBVLU2FILR7W19 29441WAC9 880000.00000000 PA USD 852836.16000000 0.119565870401 Long DBT CORP NL N 2 2026-11-03 Fixed 4.25000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TM0 2830000.00000000 PA USD 2832653.13000000 0.397132125627 Long DBT UST US N 2 2042-11-15 Fixed 4.00000000 N N N N N N 2023-07-24 Western Asset Funds Inc Christopher Berarducci Christopher Berarducci Principal Financial Officer