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
Freddie Mac Pool
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
Teachers Insurance & Annuity Association of America
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
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
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
Fannie Mae Pool
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
United States Treasury Note/Bond
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
Government National Mortgage Association
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
Fannie Mae REMICS
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
Palmer Square CLO 2019-1 Ltd
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
Fannie Mae REMICS
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
KazMunayGas National Co JSC
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
AbbVie Inc
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
Oracle Corp
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
Occidental Petroleum Corp
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
OBX 2021-NQM3 Trust
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
IRS USD
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
Fannie Mae Pool
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
Ginnie Mae II Pool
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
United States Treasury Note/Bond
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
Navient Student Loan Trust 2020-1
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
Fannie Mae Pool
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
Fannie Mae Pool
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
Barclays PLC
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
NatWest Group PLC
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
Goldman Sachs Group Inc/The
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
Fannie Mae or Freddie Mac
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
Fannie Mae Pool
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
Freddie Mac Pool
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
Fannie Mae or Freddie Mac
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
Chevron Corp
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
United States Treasury Note/Bond
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
JPMBB Commercial Mortgage Securities Trust 2014-C22
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
UnitedHealth Group Inc
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
Fannie Mae-Aces
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
Comision Federal de Electricidad
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
AbbVie Inc
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
Broadcom Inc
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
Mars Inc
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
Ginnie Mae I Pool
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
NIKE Inc
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
Peruvian Government International Bond
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
Freddie Mac Pool
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
Glencore Funding LLC
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
Union Pacific Corp
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
Ginnie Mae II Pool
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
Fannie Mae REMICS
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
Freddie Mac STACR REMIC Trust 2022-DNA1
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
Ellington Financial Mortgage Trust 2021-2
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
Apidos CLO XII
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
Raytheon Technologies Corp
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
Gilead Sciences Inc
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
Occidental Petroleum Corp
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
Fannie Mae Pool
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
New Residential Mortgage Loan Trust 2017-4
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
Residential Mortgage Loan Trust 2020-2
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
Philip Morris International Inc
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
SOFR 1 YEAR MIDCURVE
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
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
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
New Residential Mortgage Loan Trust 2021-NQM3
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
Fannie Mae or Freddie Mac
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
Hertz Vehicle Financing III LP
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
BRAVO Residential Funding Trust 2021-NQM2
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
United States Treasury Note/Bond
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
AB BSL CLO 4 Ltd
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
Warnermedia Holdings Inc
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
Ginnie Mae II Pool
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
United States Treasury Note/Bond
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
FirstEnergy Corp
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
Fannie Mae Pool
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
Banco Santander SA
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
PepsiCo Inc
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
CSMC Series 2022-7R
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
Fannie Mae Pool
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
UBS Group AG
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
Bank of America Corp
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
Intel Corp
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
Ginnie Mae II Pool
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
Fannie Mae Pool
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
IRS USD
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
United States Treasury Note/Bond
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
American Express Co
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
Ginnie Mae II Pool
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
Bank of America Corp
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
Verizon Communications Inc
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
Countrywide Home Equity Loan Trust
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
KREF 2022-FL3 Ltd
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
Virginia Housing Development Authority
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
T-Mobile USA Inc
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
Ginnie Mae I Pool
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
Freddie Mac Pool
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
Visa Inc
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
CSMC Trust 2018-J1 Trust
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
Comcast Corp
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
Fannie Mae Pool
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
Golub Capital Partners Clo 25M Ltd
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
Home Depot Inc/The
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
Fannie Mae Pool
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
Fannie Mae Pool
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
Boeing Co/The
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
Salesforce Inc
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
IRS USD
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
Goldman Sachs Group Inc/The
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
CSMC 2021-AFC1 Trust
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
Onslow Bay Mortgage Loan Trust
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
Bank of Nova Scotia/The
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
Halliburton Co
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
Fannie Mae Pool
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
New Residential Mortgage Loan Trust 2017-1
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
US 5 YEAR TREASURY NOTE
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
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-29
0.00000000
USD
100000.00000000
112.25000000
USD
2023-06-23
XXXX
31754.17000000
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
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
Constellation Brands Inc
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
Fannie Mae Pool
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
Adjustable Rate Mortgage Trust 2004-5
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
Credit Suisse AG/New York NY
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
Hildene Community Funding CDO Ltd
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
Mastercard Inc
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
Wells Fargo & Co
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
Freddie Mac Pool
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
Diamondback Energy Inc
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
Fannie Mae Pool
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
VASA Trust 2021-VASA
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
PRKCM 2021-AFC1 Trust
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
J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-ACB
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
JPMBB Commercial Mortgage Securities Trust 2015-C30
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
Fannie Mae Pool
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
Freddie Mac Multifamily Structured Pass Through Certificates
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
Fannie Mae Pool
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
Fannie Mae Pool
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
SG Residential Mortgage Trust 2022-1
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
Fannie Mae Pool
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
General Dynamics Corp
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
Fannie Mae Pool
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
Fannie Mae Pool
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
GRMT Mortgage Loan Trust 2001-1
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
Energy Transfer LP
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
Freddie Mac Pool
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
US 5 YEAR TREASURY NOTE
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
SACO I Trust 2007-VA1
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
Fannie Mae or Freddie Mac
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
BNP Paribas SA
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
Three-Month SOFR
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
Fannie Mae Pool
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
US 5 YEAR TREASURY NOTE
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
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-29
0.00000000
USD
100000.00000000
111.00000000
USD
2023-06-23
XXXX
-32076.01000000
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
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
Continental Resources Inc/OK
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
Verizon Communications Inc
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
Lockheed Martin Corp
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
TSMC Arizona Corp
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
OPG Trust 2021-PORT
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
Devon Energy Corp
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
OBX 2021-NQM2 Trust
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
Fannie Mae Pool
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
General Motors Co
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
Government National Mortgage Association
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
Hardee's Funding LLC
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
Fannie Mae or Freddie Mac
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
United States Treasury Note/Bond
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
Otis Worldwide Corp
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
Halsey Point CLO I Ltd
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
Comcast Corp
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
Government National Mortgage Association
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
Altria Group Inc
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
Johnson & Johnson
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
UBS Commercial Mortgage Trust 2018-C11
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
Fannie Mae Pool
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
Ginnie Mae II Pool
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
Freddie Mac Pool
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
Freddie Mac REMICS
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
Impac CMB Trust Series 2007-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
Fannie Mae Pool
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
Fannie Mae Pool
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
Fannie Mae Pool
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
Fannie Mae Pool
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
Fannie Mae Pool
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
Fannie Mae REMICS
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
Citigroup Inc
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
Freddie Mac Pool
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
Costco Wholesale Corp
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
Fannie Mae Pool
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
FirstEnergy Corp
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
United States Treasury Inflation Indexed Bonds
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
SOFR 1 YEAR MIDCURVE
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
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
0.00000000
USD
2500.00000000
97.00000000
USD
2023-10-13
XXXX
59260.10000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
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
Freddie Mac Pool
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
Devon Energy Corp
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
Ginnie Mae II Pool
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
10 YEAR US TREASURY NOTE
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
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-20
0.00000000
USD
100000.00000000
114.00000000
USD
2023-06-23
XXXX
9149.49000000
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
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
Enterprise Products Operating LLC
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
GoodLeap Sustainable Home Solutions Trust 2022-1
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
United States Treasury Note/Bond
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
THREE-MONTH SOFR
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
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-12-19
0.00000000
USD
2500.00000000
96.75000000
USD
2023-09-15
XXXX
10265.20000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
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
Fannie Mae Pool
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
US 5 YEAR TREASURY NOTE
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
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-29
0.00000000
USD
100000.00000000
111.50000000
USD
2023-06-23
XXXX
-37888.51000000
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
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
Freddie Mac Pool
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
Freddie Mac Pool
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
Silver Rock CLO I Ltd
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
Freddie Mac Pool
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
Fannie Mae Pool
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
Ginnie Mae
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
McDonald's Corp
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
United States Treasury Note/Bond
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
Ginnie Mae II Pool
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
Legacy Mortgage Asset Trust 2021-GS2
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
McDonald's Corp
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
Orbia Advance Corp SAB de CV
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
Pfizer Inc
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
Mars Inc
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
United States Treasury Note/Bond
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
United States Treasury Note/Bond
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
Bank of America Corp
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
Fannie Mae Pool
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
Ginnie Mae II Pool
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
Abbott Laboratories
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
Fannie Mae Pool
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
EQT Corp
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
Freddie Mac Pool
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
Bank of America Corp
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
Fannie Mae Pool
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
Government National Mortgage Association
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
Danske Bank A/S
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
Charter Communications Operating LLC / Charter Communications Operating Capital
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
Fannie Mae Pool
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
Freddie Mac Pool
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
Las Vegas Sands Corp
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
Fannie Mae Pool
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
Fannie Mae Pool
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
PayPal Holdings Inc
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
Mondelez International Inc
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
JPMorgan Chase & Co
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
HSBC Holdings PLC
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
Ginnie Mae II Pool
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
Freddie Mac Pool
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
American Express Co
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
Fannie Mae Pool
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
ABN AMRO Bank NV
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
United States Treasury Note/Bond
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
Apple Inc
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
Fannie Mae Pool
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
Lowe's Cos Inc
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
Government National Mortgage Association
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
Kenvue Inc
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
Chevron USA Inc
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
COMM 2013-CCRE12 Mortgage Trust
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
Fannie Mae REMICS
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
Comcast Corp
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
Kazakhstan Government International Bond
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
ABPCI Direct Lending Fund CLO X LP
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
Freddie Mac Pool
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
Cooperatieve Rabobank UA
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
Government National Mortgage Association
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
Bank of America Corp
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
BDS 2021-FL10 Ltd
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
Intel Corp
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
United States Treasury Note/Bond
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
HalseyPoint CLO 3 Ltd
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
Costco Wholesale Corp
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
Enterprise Products Operating LLC
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
Charter Communications Operating LLC / Charter Communications Operating Capital
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
Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd
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
CSMC 2020-AFC1 Trust
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
Boeing Co/The
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
Government National Mortgage Association
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
HSBC Holdings PLC
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
Comcast Corp
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
KKR Clo 32 Ltd
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
Freddie Mac Strips
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
Boeing Co/The
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
GS Mortgage Securities Corp Trust 2018-SRP5
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
Natixis Commercial Mortgage Securities Trust 2019-FAME
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
Tennessee Gas Pipeline Co LLC
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
Petroleos Mexicanos
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
Freddie Mac Pool
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
Goldman Sachs Group Inc/The
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
Fannie Mae Pool
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
Fannie Mae REMICS
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
Fannie Mae Pool
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
Bank of America Corp
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
United States Treasury Note/Bond
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
Lowe's Cos Inc
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
Fannie Mae Pool
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
Ginnie Mae II Pool
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
Humana Inc
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
McDonald's Corp
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
Fannie Mae Pool
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
Micron Technology Inc
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
Occidental Petroleum Corp
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
Principal Life Global Funding II
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
Connecticut Avenue Securities Trust 2021-R03
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
Fannie Mae Pool
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
3M Co
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
BP Capital Markets America Inc
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
Fannie Mae Pool
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
MSCG Trust 2015-ALDR
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
Panama Government International Bond
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
Ginnie Mae II Pool
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
Fannie Mae Pool
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
College Ave Student Loans 2021-C LLC
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
United States Treasury Note/Bond
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
Towd Point Mortgage Trust 2022-4
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
Pacific Gas and Electric Co
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
Sinopec Group Overseas Development 2014 Ltd
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
IRS USD
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
Lockheed Martin Corp
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
Ginnie Mae II Pool
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
United States Treasury Note/Bond
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
Boeing Co/The
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
Fannie Mae Pool
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
United States Treasury Note/Bond
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
GS Mortgage Securities Corp Trust 2018-SRP5
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
United States Treasury Note/Bond
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
Constellation Brands Inc
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
Cooperatieve Rabobank UA
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
Western Midstream Operating LP
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
Credit Suisse Mortgage Capital Certificates 2019-ICE4
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
Fannie Mae Pool
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
Fannie Mae Pool
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
Fannie Mae Pool
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
Government National Mortgage Association
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
Fannie Mae or Freddie Mac
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
Ginnie Mae II Pool
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
Fannie Mae Pool
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
FANNIE MAE-ACES
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
Reliance Industries Ltd
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
Eaton Vance CLO 2020-2 Ltd
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
Freddie Mac Pool
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
Becton Dickinson & Co
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
Mill City Mortgage Loan Trust 2019-1
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
Freddie Mac Pool
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
Freddie Mac Pool
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
Diageo Capital PLC
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
T-Mobile USA Inc
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
UnitedHealth Group Inc
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
Freddie Mac REMICS
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
Union Pacific Corp
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
Ginnie Mae II Pool
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
Fannie Mae Pool
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
Fannie Mae Pool
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
Morgan Stanley Capital I Trust 2019-BPR
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
Freddie Mac Pool
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
Ginnie Mae II Pool
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
Freddie Mac Pool
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
Blackbird Capital Aircraft
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
Toronto-Dominion Bank/The
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
Aetna Inc
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
EQT Corp
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
CSMC 2019-AFC1 Trust
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
AT&T Inc
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
Vale Overseas Ltd
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
Johnson & Johnson
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
10 YEAR US TREASURY NOTE
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
Ginnie Mae II Pool
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
Morgan Stanley
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
REESE PARK CLO LTD
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
Ginnie Mae II Pool
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
Williams Cos Inc/The
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
Freddie Mac Pool
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
Ginnie Mae II Pool
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
KeyCorp Student Loan Trust 2006-A
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
BX Commercial Mortgage Trust 2022-LP2
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
Freddie Mac Pool
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
Amazon.com Inc
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
Pertamina Persero PT
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
SOFI PROFESSIONAL LOAN PROGRAM 2021-A TRUST
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
Fox Corp
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
NXP BV / NXP Funding LLC / NXP USA Inc
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
Pioneer Natural Resources Co
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
UnitedHealth Group Inc
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
SOFR 1 YEAR MIDCURVE
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
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
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
BRAVO Residential Funding Trust 2022-NQM3
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
Freddie Mac Pool
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
Fannie Mae Pool
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
Three-Month SOFR
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
Home Depot Inc/The
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
SMBC Aviation Capital Finance DAC
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
Ginnie Mae II Pool
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
Ginnie Mae II Pool
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
JPMorgan Chase & Co
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
Bank of America Corp
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
Johnson & Johnson
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
Freddie Mac Pool
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
Royal Bank of Canada
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
SOFR 1 YEAR MIDCURVE
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
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
0.00000000
USD
2500.00000000
95.87500000
USD
2023-12-15
XXXX
-49160.35000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
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
Uruguay Government International Bond
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
BNP Paribas SA
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
Ecopetrol SA
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
Dryden 75 CLO Ltd
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
Fannie Mae Pool
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
Enterprise Products Operating LLC
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
Charter Communications Operating LLC / Charter Communications Operating Capital
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
2 YEAR US TREASURY NOTE
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
2 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-09-29
0.00000000
USD
200000.00000000
103.12500000
USD
2023-06-23
XXXX
13323.70000000
N
N
N
HALEON US CAPITAL LLC
549300N8C3A3L0UVQB07
Haleon US Capital LLC
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
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
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
SWOP IRS USD
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
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2033-08-31
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
United States Treasury Note/Bond
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
Pioneer Natural Resources Co
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
AbbVie Inc
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
CVS Health Corp
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
Altria Group Inc
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
Ginnie Mae II Pool
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
Citigroup Inc
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
Lloyds Banking Group PLC
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
Republic Services Inc
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
Williams Cos Inc/The
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
Gilead Sciences Inc
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
American Transmission Systems Inc
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
Benchmark 2018-B7 Mortgage Trust
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
Avis Budget Rental Car Funding AESOP LLC
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
Fannie Mae Pool
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
Continental Resources Inc/OK
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
BNP Paribas SA
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
Freddie Mac Pool
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
Citigroup Inc
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
United States Treasury Note/Bond
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
Mitsubishi UFJ Financial Group Inc
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
Amazon.com Inc
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
BCAP LLC 2015-RR6 Trust
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
Whitebox Clo II Ltd
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
BP Capital Markets America Inc
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
Zais Clo 13 Ltd
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
Ginnie Mae II Pool
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
Ginnie Mae II Pool
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
Wells Fargo & Co
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
Fannie Mae Pool
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
Diamondback Energy Inc
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
Fannie Mae Pool
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
Fannie Mae Pool
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
Credit Agricole SA/London
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
HSBC Holdings PLC
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
Fannie Mae Pool
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
Chevron Corp
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
Fannie Mae Pool
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
Freddie Mac Pool
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
Citigroup Inc
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
Fannie Mae Pool
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
Fannie Mae Pool
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
UnitedHealth Group Inc
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
Toyota Auto Loan Extended Note Trust 2021-1
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
Boeing Co/The
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
Government National Mortgage Association
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
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
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
NatWest Group PLC
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
CSMC 2019-AFC1 Trust
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
Freddie Mac STACR REMIC Trust 2022-DNA4
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
Raytheon Technologies Corp
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
Freddie Mac Pool
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
Energy Transfer LP
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
United States Treasury Note/Bond
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
JPMorgan Chase & Co
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
AREIT 2022-CRE7 LLC
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
TRTX 2022-FL5 Issuer Ltd
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
Citigroup Inc
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
Chubb INA Holdings Inc
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
CSMC 2021-NQM2
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
Texas Instruments Inc
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
Freddie Mac Pool
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
Ginnie Mae II Pool
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
Wells Fargo & Co
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
Energy Transfer LP
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
Freddie Mac REMICS
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
Freddie Mac Pool
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
Morgan Stanley
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
Government National Mortgage Association
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
EOG Resources Inc
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
Ginnie Mae I Pool
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
Cameron LNG LLC
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
5 YEAR US TREASURY NOTE WEEK 1
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
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-29
0.00000000
USD
100000.00000000
108.50000000
USD
2023-06-02
XXXX
24497.04000000
N
N
N
COMM Mortgage Trust
549300MGZ5FI5VFL1177
COMM 2013-CCRE12 Mortgage Trust
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
United States Treasury Note/Bond
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
Fannie Mae Pool
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
Micron Technology Inc
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
Chile Government International Bond
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
Fannie Mae Pool
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
STWD 2022-FL3 Ltd
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
Anheuser-Busch InBev Worldwide Inc
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
Fannie Mae Pool
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
Fannie Mae Pool
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
MidAmerican Energy Co
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
Fannie Mae Pool
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
Ginnie Mae II Pool
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
UnitedHealth Group Inc
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
Fannie Mae Pool
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
Freddie Mac Pool
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
Fannie Mae REMICS
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
Amazon.com Inc
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
CSMC 2022-NQM1
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
Cigna Group/The
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
BCRED MML CLO 2021-1 LLC
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
Citigroup Inc
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
Goldman Sachs Group Inc/The
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
Fannie Mae Pool
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
Verizon Communications Inc
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
United States Treasury Note/Bond
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
2 YEAR US TREASURY NOTE
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
Panama Government International Bond
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
COMM 2013-300P Mortgage Trust
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
Hershey Co/The
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
Fannie Mae Pool
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
Nordea Bank Abp
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
Orbia Advance Corp SAB de CV
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
Petrobras Global Finance BV
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
Comm 2014-UBS2 Mortgage Trust
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
Freddie Mac Pool
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
Fannie Mae Pool
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
IRS USD
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
Danske Bank A/S
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
Procter & Gamble Co/The
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
Fannie Mae Pool
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
Freddie Mac Pool
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
Freeport-McMoRan Inc
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
Freddie Mac Pool
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
WaMu Mortgage Pass-Through Certificates Series 2005-AR8
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
Ginnie Mae II Pool
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
BP Capital Markets America Inc
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
Fannie Mae Pool
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
Ginnie Mae II Pool
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
Procter & Gamble Co/The
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
Citigroup Inc
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
AbbVie Inc
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
Goldman Sachs Group Inc/The
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
Freddie Mac Pool
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
Aviation Capital Group LLC
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
Apple Inc
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
Abbott Laboratories
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
Asian Development Bank
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
US TREASURY LONG BOND
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
Fannie Mae Pool
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
Intel Corp
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
Freddie Mac Pool
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
Oracle Corp
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
SOFR 1 YEAR MIDCURVE
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
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
0.00000000
USD
2500.00000000
96.50000000
USD
2023-10-13
XXXX
-44252.40000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
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
Benchmark 2019-B10 Mortgage Trust
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
Toronto-Dominion Bank/The
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
American International Group Inc
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
Goldman Sachs Group Inc/The
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
Fannie Mae Pool
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
Colombia Government International Bond
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
HPS Loan Management 2021-16 Ltd
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
AbbVie Inc
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
Bear Stearns Asset Backed Securities Trust 2004-SD2
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
Freddie Mac Pool
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
Merck & Co Inc
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
Comcast Corp
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
Fannie Mae Pool
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
Golub Capital Partners CLO 66B Ltd
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
Amazon.com Inc
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
Freddie Mac REMICS
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
10 YEAR US TREASURY NOTE
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
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-20
0.00000000
USD
100000.00000000
116.00000000
USD
2023-06-23
XXXX
16771.86000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
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
Freddie Mac Pool
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
United States Treasury Strip Principal
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
Deephaven Residential Mortgage Trust 2022-1
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
Citigroup Inc
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
Williams Cos Inc/The
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
Wells Fargo & Co
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
Pioneer Natural Resources Co
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
Cintas Corp No 2
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
Ginnie Mae II Pool
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
Canadian Imperial Bank of Commerce
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
US TREASURY LONG BOND
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
US TREASURY LONG BOND
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
Wells Fargo & Co
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
Verizon Communications Inc
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
Amazon.com Inc
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
UnitedHealth Group Inc
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
WFRBS Commercial Mortgage Trust 2014-C23
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
Occidental Petroleum Corp
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
COMM 2013-CCRE12 Mortgage Trust
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
Newell Brands Inc
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
Continental Resources Inc/OK
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
Government National Mortgage Association
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
Banco Santander SA
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
Exxon Mobil Corp
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
Fannie Mae Pool
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
Fannie Mae Pool
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
AbbVie Inc
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
US Bancorp
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
Ginnie Mae
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
Vale Overseas Ltd
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
Fannie Mae Pool
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
Wells Fargo & Co
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
Home Depot Inc/The
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
UnitedHealth Group Inc
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
Energy Transfer LP
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
Ares LXIII CLO Ltd
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
10 YEAR US TREASURY NOTE
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
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-20
0.00000000
USD
100000.00000000
115.00000000
USD
2023-06-23
XXXX
-7911.33000000
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
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
United States Treasury Note/Bond
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
SOFR 1 YEAR MIDCURVE
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
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
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
Myers Park CLO Ltd
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
Energy Transfer LP / Regency Energy Finance Corp
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
Fannie Mae Pool
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
CVS Health Corp
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
Citigroup Inc
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
New Residential Mortgage Loan Trust 2015-1
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
Catskill Park CLO Ltd
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
Petroleos Mexicanos
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
Danske Bank A/S
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
MPLX LP
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
Comcast Corp
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
Freddie Mac Multifamily Structured Pass Through Certificates
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
United States Treasury Note/Bond
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
Citigroup Inc
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
Colombia Government International Bond
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
Mexico Government International Bond
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
United States Treasury Note/Bond
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
Access Group Inc 2005-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
SMB Private Education Loan Trust 2021-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
Fannie Mae Pool
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
WEA Finance LLC
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
Fannie Mae Pool
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
Morgan Stanley
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
Shell International Finance BV
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
Anglo American Capital PLC
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
Verizon Communications Inc
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
MPLX LP
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
Ginnie Mae II Pool
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
Mexico Government International Bond
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
Fannie Mae Pool
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
Freddie Mac Pool
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
Cigna Group/The
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
Freddie Mac Pool
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
CVS Health Corp
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
United States Treasury Note/Bond
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
Telefonica Emisiones SA
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
KazMunayGas National Co JSC
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
Boeing Co/The
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
US TREASURY LONG BOND
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
US TREASURY LONG BOND
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
Toyota Motor Corp
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
Ginnie Mae II Pool
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
US 5 YEAR TREASURY NOTE
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
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-29
0.00000000
USD
100000.00000000
110.50000000
USD
2023-06-23
XXXX
11430.46000000
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
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
Microsoft Corp
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
Freddie Mac Pool
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
Haleon US Capital LLC
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
Freddie Mac Pool
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
BNP Paribas SA
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
Voya CLO 2018-3 Ltd
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
Ginnie Mae II Pool
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
United States Treasury Note/Bond
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
US 5 YEAR TREASURY NOTE
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
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-29
0.00000000
USD
100000.00000000
109.25000000
USD
2023-06-23
XXXX
-4874.62000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
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
United States Treasury Note/Bond
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
CVS Health Corp
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
Chevron USA Inc
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
Kinder Morgan Inc
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
3M Co
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
Midocean Credit Clo VII
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
Fannie Mae Pool
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
2 YEAR US TREASURY NOTE
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
2 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-29
0.00000000
USD
200000.00000000
103.37500000
USD
2023-06-23
XXXX
-15822.66000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
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
Freddie Mac Pool
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
McDonald's Corp
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
Government National Mortgage Association
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
Verizon Communications Inc
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
United States Treasury Note/Bond
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
Warnermedia Holdings Inc
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
Las Vegas Sands Corp
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
Avis Budget Rental Car Funding AESOP LLC
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
Ginnie Mae II Pool
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
Comcast Corp
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
JPMorgan Chase & Co
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
Bank of America Corp
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
Ginnie Mae II Pool
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
United States Treasury Note/Bond
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
AT&T Inc
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
IRS USD
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
Fannie Mae Pool
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
Carrier Global Corp
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
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A1
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
Amazon.com Inc
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
Goldman Sachs Group Inc/The
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
GS Mortgage Securities Trust 2016-GS3
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
Toronto-Dominion Bank/The
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
Citigroup Inc
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
Diamondback Energy Inc
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
Fannie Mae or Freddie Mac
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
Walmart Inc
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
Fannie Mae Pool
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
THREE-MONTH SOFR
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
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-12-19
0.00000000
USD
2500.00000000
96.00000000
USD
2023-09-15
XXXX
-10129.90000000
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
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
Fannie Mae or Freddie Mac
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
Fannie Mae Pool
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
Freddie Mac Pool
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
Waterfall Commercial Mortgage Trust 2015-SBC5
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
Coca-Cola Co/The
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
IRS USD
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
Freddie Mac Pool
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
Citigroup Commercial Mortgage Trust 2014-GC25
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
Ginnie Mae
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
10 YEAR US TREASURY NOTE
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
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-20
0.00000000
USD
100000.00000000
116.25000000
USD
2023-06-23
XXXX
-17.35000000
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
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
Bristol-Myers Squibb Co
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
CSMC 2017-RPL3 Trust
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
AmeriCredit Automobile Receivables Trust 2022-2
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
Ginnie Mae II Pool
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
10 YEAR US TREASURY NOTE
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
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-20
0.00000000
USD
100000.00000000
119.00000000
USD
2023-06-23
XXXX
54066.73000000
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
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
United States Treasury Note/Bond
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
Apple Inc
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
PayPal Holdings Inc
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
Western Midstream Operating LP
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
Freddie Mac Pool
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
Fox Corp
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
Fannie Mae REMICS
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
BNP Paribas SA
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
Anheuser-Busch InBev Worldwide Inc
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
Fannie Mae Pool
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
Fannie Mae Pool
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
Wells Fargo & Co
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
Fannie Mae Pool
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
Royal Bank of Canada
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
Amazon.com Inc
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
Humana Inc
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
WaMu Mortgage Pass-Through Certificates Series 2004-AR13 Trust
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
Walmart Inc
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
IRS USD
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
Oracle Corp
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
Ginnie Mae II Pool
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
Fannie Mae Pool
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
Ginnie Mae II Pool
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
United States Treasury Note/Bond
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
Octagon Investment Partners XXI Ltd
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
Fannie Mae-Aces
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
Ginnie Mae II Pool
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
Bank of New York Mellon Corp/The
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
New York Life Global Funding
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
2 YEAR US TREASURY NOTE
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
2 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-29
0.00000000
USD
200000.00000000
104.00000000
USD
2023-06-23
XXXX
18229.68000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
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
Energy Transfer LP
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
Towd Point Mortgage Trust 2017-4
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
Fannie Mae Pool
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
Constellation Brands Inc
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
Enterprise Products Operating LLC
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
Northrop Grumman Corp
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
Microsoft Corp
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
Fannie Mae Pool
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
New Residential Mortgage Loan Trust 2022-NQM2
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
National Securities Clearing Corp
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
CDS CDX.NA.IG.40.V1
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
PNC Financial Services Group Inc/The
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
Freddie Mac Pool
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
Ginnie Mae
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
SOFR 1 YEAR MIDCURVE
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
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
0.00000000
USD
2500.00000000
95.25000000
USD
2023-12-15
XXXX
44866.80000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
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
Devon Energy Corp
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
Bank of America Corp
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
Cigna Group/The
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
Cayuga Park CLO Ltd
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
T-Mobile USA Inc
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
NIKE Inc
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
Fannie Mae or Freddie Mac
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
Altria Group Inc
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
Aqua Finance Trust 2021-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
Citigroup Inc
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
Balboa Bay Loan Funding 2021-2 Ltd
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
Fannie Mae Pool
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
Microsoft Corp
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
Boeing Co/The
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
Fannie Mae Pool
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
Ginnie Mae
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
CSMC 2021-NQM7
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
WFRBS Commercial Mortgage Trust 2013-C14
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
Indonesia Government International Bond
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
UBS Group AG
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
Freddie Mac REMICS
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
US 5 YEAR TREASURY NOTE
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
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-09-29
0.00000000
USD
100000.00000000
109.50000000
USD
2023-06-23
XXXX
-44619.31000000
N
N
N
PRKCM Trust
N/A
PRKCM 2021-AFC2 Trust
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
Visa Inc
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
Bank of America Corp
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
Comcast Corp
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
Visa Inc
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
Charles Schwab Corp/The
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
Apache Corp
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
Bristol-Myers Squibb Co
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
Fannie Mae Pool
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
Air Lease Corp
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
Fannie Mae REMICS
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
Ginnie Mae II Pool
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
Fannie Mae Pool
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
Altria Group Inc
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
Southern Copper Corp
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
Freddie Mac REMICS
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
Kimberly-Clark Corp
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
Government National Mortgage Association
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
Freddie Mac Multifamily Structured Pass Through Certificates
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
Fannie Mae Pool
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
AbbVie Inc
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
CIM Trust 2021-R6
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
Fannie Mae Pool
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
Enterprise Products Operating LLC
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
Fannie Mae Pool
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
United States Treasury Note/Bond
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
Fannie Mae Pool
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
522 Funding CLO 2020-6 Ltd
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
Dryden 87 CLO Ltd
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
Citigroup Inc
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
OCP SA
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
US ULTRA BOND CBT
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
Ginnie Mae II Pool
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
Elevance Health Inc
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
JP Morgan Chase Commercial Mortgage Securities Trust 2015-FL7
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
United States Treasury Note/Bond
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
Point Au Roche Park CLO Ltd
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
Warnermedia Holdings Inc
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
Boeing Co/The
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
Exxon Mobil Corp
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
Goldman Sachs Group Inc/The
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
Ford Motor Credit Co LLC
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
Fannie Mae or Freddie Mac
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
Fannie Mae Pool
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
Nuveen LLC
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
Ford Credit Floorplan Master Owner Trust A
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
McDonald's Corp
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
Metropolitan Life Global Funding I
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
UBS Group AG
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
US 10YR ULTRA
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
Golub Capital Partners Clo 57M Ltd
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
Lloyds Banking Group PLC
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
MetLife Capital Trust IV
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
6-7 YEAR US TREASURY NOTE WEEK 1
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
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-20
0.00000000
USD
100000.00000000
113.50000000
USD
2023-06-02
XXXX
22239.84000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
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
Intesa Sanpaolo SpA
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
GS Mortgage Securities Trust 2013-GC16
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
Verizon Communications Inc
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
Freddie Mac REMICS
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
Ginnie Mae II Pool
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
Ginnie Mae I Pool
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
Amgen Inc
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
Fannie Mae or Freddie Mac
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
Freddie Mac STACR REMIC Trust 2022-DNA2
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
Guardian Life Global Funding
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
Ginnie Mae II Pool
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
CVS Health Corp
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
BNP Paribas SA
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
Freddie Mac Pool
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
United States Treasury Note/Bond
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
US Bancorp
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
AT&T Inc
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
Bank of America Corp
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
SLM Private Education Loan Trust 2010-C
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
PepsiCo Inc
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
DBJPM 16-C1 Mortgage Trust
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
Government National Mortgage Association
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
Freddie Mac REMICS
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
Home Depot Inc/The
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
Target Corp
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
Energy Transfer LP
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
Citigroup Inc
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
T-Mobile USA Inc
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
Natixis Commercial Mortgage Securities Trust 2019-FAME
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
Nationwide Building Society
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
Ginnie Mae
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
Fannie Mae Pool
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
Benefit Street Partners CLO IV Ltd
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
Fannie Mae Pool
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
UnitedHealth Group Inc
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
Fannie Mae Pool
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
Freddie Mac Pool
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
Fannie Mae Pool
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
TSMC Arizona Corp
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
Home Depot Inc/The
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
EOG Resources Inc
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
THE VANGUARD GROUP INC
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
Ginnie Mae II Pool
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
Mitsubishi UFJ Financial Group Inc
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
Elevance Health Inc
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
Wells Fargo & Co
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
Amazon.com Inc
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
Uruguay Government International Bond
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
Mosaic Solar Loan Trust 2018-2-GS
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
CSMC 2020-RPL4 Trust
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
United States Treasury Note/Bond
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
Walmart Inc
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
Government National Mortgage Association
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
IRS USD
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
280 Park Avenue 2017-280P Mortgage Trust
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
Goldman Sachs Capital II
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
JP Morgan Mortgage Trust 2019-LTV3
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
Ginnie Mae II Pool
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
Deere & Co
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
Carrier Global Corp
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
Reliance Industries Ltd
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
Wells Fargo & Co
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
Export-Import Bank of India
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
Freddie Mac Pool
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
Fannie Mae Pool
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
Credit Suisse AG/New York NY
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
Fannie Mae Pool
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
United States Treasury Note/Bond
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
Devon Energy Corp
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
Pfizer Inc
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
Corp Nacional del Cobre de Chile
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
Freddie Mac Pool
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
United States Treasury Note/Bond
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
Devon Energy Corp
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
Government National Mortgage Association
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
Apple Inc
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
Verizon Communications Inc
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
Raytheon Technologies Corp
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
Fannie Mae Pool
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
Fannie Mae Pool
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
Ginnie Mae II Pool
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
AT&T Inc
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
CSMC 2021-RPL6 Trust
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
MPLX LP
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
Government National Mortgage Association
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
Ginnie Mae II Pool
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
Alphabet Inc
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
American Express Co
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
JPMDB Commercial Mortgage Securities Trust 2017-C5
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
Adobe Inc
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
CSMC 2014-USA OA LLC
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
Fannie Mae REMICS
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
Fannie Mae Pool
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
Intel Corp
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
JPMorgan Chase & Co
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
Ginnie Mae II Pool
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
CSMC 2021-NQM5 Trust
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
Bank of America Corp
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
Humana Inc
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
Energy Transfer LP
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
Fannie Mae Connecticut Avenue Securities
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
Fannie Mae Pool
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
Coterra Energy Inc
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
T-Mobile USA Inc
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
JPMorgan Chase & Co
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
BP Capital Markets America Inc
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
Credit Suisse AG/New York NY
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
Navient Student Loan Trust 2016-3
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
Freddie Mac Pool
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
Targa Resources Corp
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
Verizon Communications Inc
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
Goldman Sachs Group Inc/The
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
Becton Dickinson & Co
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
NVIDIA Corp
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
Recette Clo Ltd
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
2 YEAR US TREASURY NOTE
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
2 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-09-29
0.00000000
USD
200000.00000000
103.25000000
USD
2023-06-23
XXXX
-53263.44000000
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
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
Mastercard Inc
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
Freddie Mac Pool
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
Ginnie Mae II Pool
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
Coca-Cola Co/The
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
Warnermedia Holdings Inc
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
Honeywell International Inc
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
Ellington Financial Mortgage Trust 2022-1
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
Freddie Mac Pool
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
Citigroup Inc
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
Fannie Mae Pool
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
Fannie Mae Pool
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
New Residential Mortgage Loan Trust 2017-3
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
Fannie Mae Pool
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
Fannie Mae Interest Strip
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
Cerberus Loan Funding XXVIII LP
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
Bank of America Corp
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
Fannie Mae Pool
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
Ginnie Mae
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
CVS Health Corp
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
Freddie Mac Pool
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
Shell International Finance BV
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
Goldman Sachs Group Inc/The
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
Fannie Mae Pool
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
Intel Corp
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
Credit Suisse Group AG
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
Freddie Mac STACR REMIC Trust 2022-DNA2
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
Transcontinental Gas Pipe Line Co LLC
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
Danske Bank A/S
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
Bank of Montreal
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
Ginnie Mae II Pool
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
Ginnie Mae II Pool
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
Whitebox CLO III Ltd
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
IRS USD
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
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25
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
United States Treasury Note/Bond
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
MassMutual Global Funding II
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
Wells Fargo & Co
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
Cigna Group/The
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
Ginnie Mae
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
Fannie Mae Pool
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
Mexico Government International Bond
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
Air Lease Corp
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
Humana Inc
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
Bank of America Corp
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
Danske Bank A/S
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
Alphabet Inc
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
Bank of New York Mellon Corp/The
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
Ginnie Mae II Pool
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
PepsiCo Inc
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
McDonald's Corp
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
Elevance Health Inc
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
Bank of America Corp
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
Kenvue Inc
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
IRS USD
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
Becton Dickinson & Co
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
JPMorgan Chase & Co
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
Fannie Mae Pool
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
Fannie Mae Pool
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
Raytheon Technologies Corp
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
United States Treasury Note/Bond
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
10 YEAR US TREASURY NOTE
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
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-20
0.00000000
USD
100000.00000000
117.00000000
USD
2023-06-23
XXXX
4305.80000000
N
N
N
PERUSAHAAN LISTRIK NEGAR
254900OYVDRYS9J51J61
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
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
US 5 YEAR TREASURY NOTE
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
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-29
0.00000000
USD
100000.00000000
109.25000000
USD
2023-06-23
XXXX
-2771.34000000
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
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
JPMBB Commercial Mortgage Securities Trust 2013-C17
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
Great Lakes Kcap F3c Senior LLC
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
Petroleos del Peru SA
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
Grippen Park CLO Ltd
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
Anglo American Capital PLC
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
Freddie Mac Pool
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
CWHEQ Revolving Home Equity Loan Trust Series 2006-I
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
Canyon CLO 2020-1 Ltd
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
Fannie Mae or Freddie Mac
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
Freddie Mac Pool
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
Fannie Mae REMICS
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
JPMorgan Chase & Co
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
10 YEAR US TREASURY NOTE
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
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-20
0.00000000
USD
100000.00000000
114.50000000
USD
2023-06-23
XXXX
2670.97000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
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
Ginnie Mae II Pool
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
US 5 YEAR TREASURY NOTE
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
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-29
0.00000000
USD
100000.00000000
113.00000000
USD
2023-06-23
XXXX
33691.79000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
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
Western Asset Premier Institutional Government Reserves
52470G494
10094816.25000000
NS
USD
10094816.25000000
1.415272414657
Long
STIV
RF
US
N
1
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
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
Kinder Morgan Inc
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
Coterra Energy Inc
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
Swedbank AB
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
Freddie Mac Pool
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
First Franklin Mortgage Loan Trust 2003-FF1
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
Exxon Mobil Corp
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
BAT Capital Corp
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
Bank of America Corp
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
Fannie Mae Pool
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
Uruguay Government International Bond
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
Alphabet Inc
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
Fannie Mae Pool
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
Shell International Finance BV
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
Fannie Mae Pool
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
Suzano Austria GmbH
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
Fannie Mae or Freddie Mac
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
Ginnie Mae I Pool
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
Ginnie Mae II Pool
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
Enterprise Products Operating LLC
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
McDonald's Corp
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
WaMu Mortgage Pass-Through Certificates Series 2004-AR9 Trust
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
Ginnie Mae II Pool
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
Ginnie Mae II Pool
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
Nelnet Student Loan Trust 2012-2
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
Structured Asset Investment Loan Trust 2004-7
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
MEGlobal BV
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
Colombia Government International Bond
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
McDonald's Corp
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
Verizon Communications Inc
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
Bank of America Corp
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
MAD Mortgage Trust 2017-330M
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
Petrobras Global Finance BV
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
Fannie Mae REMICS
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
Fannie Mae Pool
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
US 5 YEAR TREASURY NOTE
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
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-09-29
0.00000000
USD
100000.00000000
109.50000000
USD
2023-06-23
XXXX
-28148.09000000
N
N
N
AREIT CRE Trust
N/A
AREIT 2022-CRE6 Trust
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
Amazon.com Inc
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
MF1 2021-FL7 Ltd
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
Fannie Mae Pool
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
Fannie Mae-Aces
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
Freddie Mac Pool
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
Three-Month SOFR
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
BPR Trust 2021-TY
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
Alphabet Inc
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
Freddie Mac Pool
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
Freddie Mac STACR REMIC Trust 2021-DNA6
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
United States Treasury Note/Bond
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
MEGlobal BV
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
United States Treasury Note/Bond
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