0001752724-23-160577.txt : 20230724
0001752724-23-160577.hdr.sgml : 20230724
20230724141540
ACCESSION NUMBER: 0001752724-23-160577
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: 231104698
BUSINESS ADDRESS:
STREET 1: 100 INTERNATIONAL DRIVE
CITY: BALTIMORE
STATE: MD
ZIP: 21202
BUSINESS PHONE: 410-454-2760
MAIL ADDRESS:
STREET 1: 100 INTERNATIONAL DRIVE
STREET 2: 7TH FLOOR
CITY: BALTIMORE
STATE: MD
ZIP: 21202
FORMER COMPANY:
FORMER CONFORMED NAME: LM INSTITUTIONAL FUND ADVISORS I INC
DATE OF NAME CHANGE: 19980818
FORMER COMPANY:
FORMER CONFORMED NAME: WESTERN ASSET TRUST INC
DATE OF NAME CHANGE: 19920703
0000863520
S000012738
Western Asset Total Return Unconstrained Fund
C000034298
Class I
WAARX
C000034299
Class FI
WARIX
C000066992
Class IS
WAASX
C000113713
CLASS A
WAUAX
C000113714
CLASS C
WAUCX
C000113715
CLASS R
WAURX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000863520
XXXXXXXX
S000012738
C000066992
C000113714
C000034299
C000113713
C000113715
C000034298
Western Asset Funds Inc
811-06110
0000863520
5493004NC00X8WKL1P34
620 Eighth Avenue
47th Floor
New York
10018
1-877-721-1926
Western Asset Total Return Unconstrained Fund
S000012738
549300TRHXU9STZER182
2023-05-31
2023-05-31
N
340684580.63
28062719.13
312621861.50
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
2621803.23000000
10649918.00000000
0.00000000
10085555.70000000
AUD
BRL
EUR
GBP
IDR
INR
JPY
MXN
USD
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAQ6
120000.00000000
PA
USD
108754.21000000
0.034787781468
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XKLX6
99636.55000000
PA
USD
98622.28000000
0.031546827700
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
5.00000000
N
N
N
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAD5
390000.00000000
PA
USD
298250.18000000
0.095402854608
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.81700000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KE6
1030000.00000000
PA
USD
1013024.73000000
0.324041551393
Long
DBT
CORP
US
N
2
2025-06-08
Fixed
4.95000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BB7
30000.00000000
PA
USD
26577.10000000
0.008501356838
Long
DBT
CORP
US
N
2
2042-12-01
Fixed
4.62500000
N
N
N
N
N
N
Countrywide Home Equity Loan T
N/A
CWHEQ Revolving Home Equity Loan Trust Series 2007-A
126682AA1
641759.29000000
PA
USD
592398.37000000
0.189493584088
Long
ABS-MBS
CORP
US
N
2
2037-04-15
Floating
5.22743000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370DB3
210000.00000000
PA
USD
197587.22000000
0.063203263857
Long
DBT
CORP
US
N
2
2032-08-19
Fixed
6.10000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-1353.00000000
NC
USD
-321337.50000000
-0.10278791715
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
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
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-19
0.00000000
USD
2500.00000000
94.25000000
USD
2023-12-15
XXXX
158096.20000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKZ4
54044.32000000
PA
USD
54035.80000000
0.017284715707
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
5.00000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
180300000.00000000
PA
110545.68000000
0.035360828404
Long
DBT
NUSS
RU
N
3
2027-10-06
Fixed
6.00000000
N
Y
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636ABD2
1290000.00000000
PA
USD
1260031.98000000
0.403053060318
Long
DBT
CORP
DK
N
2
2025-03-28
Fixed
3.77300000
N
N
N
N
N
N
INDIA GOVERNMENT BOND
335800IV7VCDQGIOI391
India Government Bond
000000000
220000000.00000000
PA
2704398.18000000
0.865070077640
Long
DBT
NUSS
IN
N
2
2026-01-11
Fixed
7.59000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-435.00000000
NC
USD
-182156.25000000
-0.05826727827
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
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
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-09-19
0.00000000
USD
2500.00000000
94.87500000
USD
2023-06-16
XXXX
-128694.75000000
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-4CB
12668BPQ0
5612498.39000000
PA
USD
455965.54000000
0.145852096783
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
0.16200000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030666
1100000.00000000
PA
USD
990236.34000000
0.316752109161
Long
ABS-MBS
USGA
US
N
2
2053-06-15
Fixed
3.00000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2006-GP3
525228AD4
10565.97000000
PA
USD
22769.63000000
0.007283441372
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Floating
5.57800000
N
N
N
N
N
N
TRANS-ALLEGHENY INTERSTA
N/A
Trans-Allegheny Interstate Line Co
893045AE4
550000.00000000
PA
USD
533931.00000000
0.170791318763
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.85000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RML3
370000.00000000
PA
USD
338348.88000000
0.108229436795
Long
DBT
CORP
US
N
2
2026-03-25
Fixed
1.70000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
26180000.00000000
PA
1399443.77000000
0.447647443235
Long
DBT
NUSS
MX
N
2
2027-06-03
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F022667
-700000.00000000
PA
USD
-598568.36000000
-0.19146721125
Short
ABS-MBS
USGSE
US
N
2
2053-06-15
Fixed
2.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
63.00000000
NC
USD
-49538.57000000
-0.01584616308
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
15288451.07000000
USD
-49538.57000000
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822CF9
460000.00000000
PA
USD
444035.77000000
0.142036058473
Long
DBT
CORP
JP
N
2
2026-04-17
Fixed
3.83700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HKJD1
853435.39000000
PA
USD
706104.26000000
0.225865285496
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DM9
920000.00000000
PA
USD
794456.69000000
0.254127042231
Long
DBT
CORP
US
N
2
2027-08-21
Fixed
1.30000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NL1
750000.00000000
PA
USD
721747.94000000
0.230869311741
Long
DBT
CORP
US
N
2
2026-03-17
Fixed
3.29000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133BQRW8
98160.03000000
PA
USD
95159.67000000
0.030439224417
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
Goldentree Loan Opportunities
549300IOBSI2NBFBJX90
GoldenTree Loan Opportunities IX Ltd
38123HAW4
1550000.00000000
PA
USD
1501984.01000000
0.480447529418
Long
ABS-CBDO
CORP
KY
N
2
2029-10-29
Floating
8.29914000
N
N
N
N
N
N
WW International Inc
SGT8R1MU6ESIC7UJC518
WW International Inc
92941PAC7
507000.00000000
PA
USD
335887.50000000
0.107442102221
Long
LON
CORP
US
N
2
2028-04-13
Floating
8.66000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MKP78
220901.49000000
PA
USD
189506.01000000
0.060618284687
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.50000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAQ8
800000.00000000
PA
USD
752783.96000000
0.240796966785
Long
DBT
CORP
ES
N
2
2028-03-24
Fixed
4.17500000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
293791AF6
500000.00000000
PA
USD
563753.28000000
0.180330728406
Long
DBT
CORP
US
N
2
2033-03-01
Fixed
6.87500000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F042665
800000.00000000
PA
USD
774921.88000000
0.247878339755
Long
ABS-MBS
USGSE
US
N
2
2053-06-15
Fixed
4.50000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAA3
1100000.00000000
PA
USD
1096947.50000000
0.350886369474
Long
DBT
CORP
MA
N
2
2024-04-25
Fixed
5.62500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
IDR/USD FORWARD
000000000
1.00000000
NC
USD
2791.65000000
0.000892979776
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-35609404898.00000000
IDR
2377129.83000000
USD
2023-07-18
2791.65000000
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBE2
26000.00000000
PA
USD
26059.13000000
0.008335671048
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
5.87500000
N
N
N
N
N
N
ML-CFC Commercial Mortgage Tru
N/A
ML-CFC Commercial Mortgage Trust 2007-5
55312YAH5
351152.47000000
PA
USD
90195.79000000
0.028851401999
Long
ABS-MBS
CORP
US
N
2
2048-08-12
Variable
5.45000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBD0
60000.00000000
PA
USD
55665.62000000
0.017806054807
Long
DBT
CORP
US
N
2
2048-11-14
Fixed
4.87500000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAA1
470000.00000000
PA
USD
457842.42000000
0.146452464265
Long
DBT
CORP
GB
N
2
2024-11-04
Fixed
4.50000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
28368EAE6
310000.00000000
PA
USD
350880.05000000
0.112237848087
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
7.75000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
-299.00000000
NC
USD
153058.10000000
0.048959499910
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-06-17
-72589545.60000000
USD
153058.10000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPAG3
195247.28000000
PA
USD
190253.41000000
0.060857359458
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.50000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AX6
1680000.00000000
PA
USD
58800.00000000
0.018808665433
Long
DBT
CORP
CH
N
2
N/A
Fixed
9.75000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
533.00000000
NC
USD
26650.00000000
0.008524675744
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
0.00000000
USD
2500.00000000
97.00000000
USD
2023-06-16
XXXX
-174344.30000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XK5J5
98997.68000000
PA
USD
95678.99000000
0.030605342038
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LUFQ9
84684.75000000
PA
USD
72656.48000000
0.023241010609
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
CFK Trust
N/A
CFK Trust 2020-MF2
12529AAJ3
1440000.00000000
PA
USD
1132291.15000000
0.362191928794
Long
ABS-MBS
CORP
US
N
2
2039-03-15
Variable
3.45750000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
177791900.00000000
PA
8851753.04000000
2.831456826956
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBX6
90000.00000000
PA
USD
81728.15000000
0.026142813432
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
GreenPoint Mortgage Funding Tr
N/A
GreenPoint Mortgage Funding Trust 2006-AR3
39538WHC5
5832.09000000
PA
USD
7321.56000000
0.002341985926
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
5.59800000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RN0
1170000.00000000
PA
USD
970231.64000000
0.310353100498
Long
DBT
UST
US
N
2
2045-08-15
Fixed
2.87500000
N
N
N
N
N
N
Bear Stearns Mortgage Funding
N/A
Bear Stearns Mortgage Funding Trust 2007-AR1
07401MAA9
1064982.49000000
PA
USD
930238.24000000
0.297560201176
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
5.29800000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CM5
460000.00000000
PA
USD
422672.55000000
0.135202492868
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
2.70000000
N
N
N
N
N
N
PARSLEY ENERGY LLC/FINAN
N/A
Parsley Energy LLC / Parsley Finance Corp
701885AJ4
70000.00000000
PA
USD
65477.43000000
0.020944610106
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.12500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NN7
540000.00000000
PA
USD
479765.71000000
0.153465182408
Long
DBT
CORP
US
N
2
2033-03-17
Fixed
3.78500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MB4M8
80649.99000000
PA
USD
78721.60000000
0.025181092461
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPT73
98717.75000000
PA
USD
97651.85000000
0.031236411149
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
5.00000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-8T1
12668BMF7
3387030.98000000
PA
USD
359266.10000000
0.114920338032
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
0.36200000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-76
12668BDJ9
64511.28000000
PA
USD
57509.74000000
0.018395943176
Long
ABS-MBS
CORP
US
N
2
2046-01-25
Floating
5.65800000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBC6
255000.00000000
PA
USD
252267.32000000
0.080694075196
Long
DBT
CORP
US
N
2
2026-02-14
Fixed
4.40000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WBY3
631055.37000000
PA
USD
554643.71000000
0.177416802311
Long
ABS-MBS
USGA
US
N
2
2051-03-20
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
129.00000000
NC
USD
4031.25000000
0.001289497151
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-09-29
0.00000000
USD
100000.00000000
107.75000000
USD
2023-06-02
XXXX
-9527.91000000
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A3
59020UHN8
31691.93000000
PA
USD
28485.63000000
0.009111848372
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Variable
4.61482800
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12
46632HAL5
76755.92000000
PA
USD
67714.07000000
0.021660055913
Long
ABS-MBS
CORP
US
N
2
2051-02-15
Variable
6.51710300
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XNC6
295335.91000000
PA
USD
274076.87000000
0.087670410727
Long
ABS-MBS
USGA
US
N
2
2052-12-20
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/INR FORWARD
000000000
1.00000000
NC
USD
5775.18000000
0.001847337218
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-214436892.00000000
INR
2593262.69000000
USD
2023-07-18
5775.18000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WR34
347532.08000000
PA
USD
313941.50000000
0.100422119711
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DN5J8
480863.65000000
PA
USD
414610.92000000
0.132623776856
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
-455.00000000
NC
USD
-2843.75000000
-0.00090964527
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
2024-09-17
0.00000000
USD
2500.00000000
94.00000000
USD
2023-06-16
XXXX
18950.75000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
NOK/USD FORWARD
000000000
1.00000000
NC
USD
4572.03000000
0.001462479296
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1027543.00000000
NOK
97353.45000000
USD
2023-07-18
4572.03000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
376.00000000
NC
USD
410732.75000000
0.131383246209
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
47846517.25000000
USD
410732.75000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133BQSA5
95868.52000000
PA
USD
92938.31000000
0.029728666304
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
78561.89000000
PA
USD
65002.69000000
0.020792752524
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
205445.97000000
0.065717083576
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-04-30
0.00000000
USD
-298253.54000000
USD
-16949000.00000000
USD
503699.51000000
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HS2
768100.00000000
PA
USD
203546.98000000
0.065109643651
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
133.00000000
NC
USD
-479079.30000000
-0.15324561682
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-12-19
32010054.30000000
USD
-479079.30000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
-898.00000000
NC
USD
-5612.50000000
-0.00179529991
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
2024-09-17
0.00000000
USD
2500.00000000
94.25000000
USD
2023-06-16
XXXX
37401.70000000
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBV9
100000.00000000
PA
USD
104681.16000000
0.033484913530
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
5.55000000
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2021-1
61947DAD1
482041.05000000
PA
USD
418950.02000000
0.134011747607
Long
ABS-O
CORP
US
N
2
2046-12-20
Fixed
3.71000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NG2
330000.00000000
PA
USD
305942.63000000
0.097863479070
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
3.07000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAE5
590000.00000000
PA
USD
558036.15000000
0.178501959946
Long
DBT
CORP
KY
N
2
2028-08-08
Variable
5.90000000
N
N
N
N
N
N
VanEck J. P. Morgan EM Local Currency Bond ETF
549300CNWPR88MZBEA63
VanEck J. P. Morgan EM Local Currency Bond ETF
92189H300
16200.00000000
NS
USD
405000.00000000
0.129549481298
Long
EC
RF
US
N
1
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
6665000.00000000
PA
1203243.73000000
0.384887903944
Long
DBT
NUSS
BR
N
2
2033-01-01
Fixed
10.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPUT3
99163.47000000
PA
USD
96181.25000000
0.030766002588
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAH0
2010000.00000000
PA
USD
1822783.37000000
0.583063308897
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.62500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-798310.49000000
-0.25535977751
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-07-18
137413.15000000
USD
0.00000000
USD
312170000.00000000
MXN
-935723.64000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
255.00000000
NC
USD
7968.75000000
0.002549005997
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
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-09-20
0.00000000
USD
100000.00000000
112.75000000
USD
2023-06-02
XXXX
-31316.15000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DQBZ8
198857.65000000
PA
USD
199708.59000000
0.063881837643
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
5.50000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAX3
640000.00000000
PA
USD
520567.28000000
0.166516595321
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBA0
480000.00000000
PA
USD
449988.88000000
0.143940311096
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.75500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/GBP FORWARD
000000000
1.00000000
NC
USD
-3448.26000000
-0.00110301307
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-285000.00000000
GBP
351418.20000000
USD
2023-07-18
-3448.26000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CDS VOLKSWAGEN INTERNATIONAL
000000000
1.00000000
NC
49474.03000000
0.015825518331
N/A
DCR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
VOLKSWAGEN INTERNATIONAL FINANCE NV
VOLKSWAGEN INTERNATIONAL FINANCE NV
Y
Default Event
2024-12-20
28539.75000000
USD
0.00000000
USD
7380000.00000000
EUR
20934.28000000
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
12451000000.00000000
PA
914396.79000000
0.292492913199
Long
DBT
NUSS
ID
N
2
2029-05-15
Fixed
8.25000000
N
N
N
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
Targa Resources Corp
87612KAA0
630000.00000000
PA
USD
622242.14000000
0.199039867850
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
5.20000000
N
N
N
N
N
N
Western Asset Premier Institutional Government Reserves
549300WB3XRN9YTWFB76
Western Asset Premier Institutional Government Reserves
52470G494
14422359.91000000
NS
USD
14422359.91000000
4.613356161593
Long
STIV
RF
US
N
1
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/MXN FORWARD
000000000
1.00000000
NC
USD
-461158.36000000
-0.14751315144
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-251326977.44000000
MXN
13605834.64000000
USD
2023-07-18
-461158.36000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L2QE6
159622.04000000
PA
USD
132007.74000000
0.042226010480
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-RPL3
64830NAA9
175730.79000000
PA
USD
164040.74000000
0.052472574762
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.75000000
N
N
N
N
N
N
GoldenTree Loan Management US
549300TB55YBQBSW5Z77
Goldentree Loan Management US Clo 3 Ltd
38138BAL4
2170000.00000000
PA
USD
2095491.30000000
0.670295829583
Long
ABS-CBDO
CORP
KY
N
2
2030-04-20
Floating
7.15043000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2X0
1380000.00000000
PA
USD
1343699.21000000
0.429816137474
Long
DBT
CORP
US
N
2
2026-04-25
Fixed
3.90800000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617JYLP6
90947.23000000
PA
USD
84401.16000000
0.026997843207
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
3.50000000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AB7
790000.00000000
PA
USD
733883.71000000
0.234751244355
Long
DBT
CORP
JP
N
2
2025-09-17
Fixed
3.52200000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DQ0
90000.00000000
PA
USD
71910.59000000
0.023002418850
Long
DBT
CORP
US
N
2
2031-02-28
Fixed
1.87500000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
2506000000.00000000
PA
173258.39000000
0.055421072975
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XKM31
97977.93000000
PA
USD
95031.45000000
0.030398210011
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370DA5
1290000.00000000
PA
USD
981396.53000000
0.313924472617
Long
DBT
CORP
US
N
2
2032-02-12
Fixed
3.25000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2P8
1130000.00000000
PA
USD
932967.09000000
0.298433092786
Long
DBT
CORP
FR
N
2
2032-04-19
Fixed
2.87100000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837BB8
400000.00000000
PA
USD
379225.76000000
0.121304939513
Long
DBT
CORP
NL
N
2
2028-03-28
Fixed
4.01700000
N
N
N
N
N
N
Greywolf CLO Ltd
5493008JNE27URH1VF66
Greywolf CLO IV Ltd
39809TAQ0
1840000.00000000
PA
USD
1718161.91000000
0.549597491920
Long
ABS-CBDO
CORP
KY
N
2
2034-04-17
Floating
8.89632000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F062663
300000.00000000
PA
USD
307101.56000000
0.098234192108
Long
ABS-MBS
USGSE
US
N
2
2053-06-15
Fixed
6.50000000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
Netflix Inc
000000000
840000.00000000
PA
879609.91000000
0.281365450829
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGG45
178639.22000000
PA
USD
164411.53000000
0.052591181311
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2022-7R
12662TAA8
1061828.76000000
PA
USD
1044140.71000000
0.333994783662
Long
DBT
CORP
US
N
2
2066-10-25
Floating
7.12101000
N
N
N
N
N
N
MORONGO BAND OF MISSION
N/A
Morongo Band of Mission Indians/The
617734AG3
360000.00000000
PA
USD
384583.72000000
0.123018818375
Long
DBT
USGA
US
N
2
2039-10-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYVY2
87662.40000000
PA
USD
75141.21000000
0.024035814270
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
2.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/GBP FORWARD
000000000
1.00000000
NC
USD
-3361.90000000
-0.00107538864
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-2201307.69000000
USD
1765212.05000000
GBP
2023-07-18
-3361.90000000
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AD6
230000.00000000
PA
USD
191902.89000000
0.061384987306
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.45000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PED0
70000.00000000
PA
USD
59792.29000000
0.019126074457
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
2.30000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BF3
590000.00000000
PA
USD
403913.12000000
0.129201815273
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ECG3
91668.70000000
PA
USD
78374.17000000
0.025069958199
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032662
400000.00000000
PA
USD
371109.38000000
0.118708710331
Long
ABS-MBS
USGA
US
N
2
2053-06-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABFC1
86163.87000000
PA
USD
74648.71000000
0.023878275704
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
WYNN RESORTS FINANCE LLC
N/A
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp
983133AA7
10000.00000000
PA
USD
8938.74000000
0.002859281803
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.12500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/CAD FORWARD
000000000
1.00000000
NC
USD
1301.01000000
0.000416160915
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-130204.00000000
CAD
97326.59000000
USD
2023-07-18
1301.01000000
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-VOLT
05609VAS4
850000.00000000
PA
USD
785188.44000000
0.251162358330
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
7.95743000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABE65
265963.70000000
PA
USD
230416.49000000
0.073704535215
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
PROVINCIA DE BUENOS AIRE
549300L6AYROPOTQ4L07
Provincia de Buenos Aires/Government Bonds
000000000
3198882.04403500
PA
USD
1027326.37000000
0.328616292242
Long
DBT
NUSS
AR
N
2
2037-09-01
Variable
5.25000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F052664
-100000.00000000
PA
USD
-99945.31000000
-0.03197003226
Short
ABS-MBS
USGSE
US
N
2
2053-06-15
Fixed
5.50000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBD4
250000.00000000
PA
USD
202418.29000000
0.064748603641
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133C1NL0
99908.98000000
PA
USD
100126.25000000
0.032027910498
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H020667
-200000.00000000
PA
USD
-169593.75000000
-0.05424884529
Short
ABS-MBS
USGA
US
N
2
2052-06-15
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WNE4
600219.13000000
PA
USD
526041.78000000
0.168267752445
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
2.50000000
N
N
N
N
N
N
Dividend Solar Loans LLC
N/A
Dividend Solar Loans 2018-1 LLC
255396AC7
2290978.62000000
PA
USD
2062053.73000000
0.659599978103
Long
ABS-O
CORP
US
N
2
2038-07-20
Fixed
5.14000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCZ7
640000.00000000
PA
USD
626712.28000000
0.200469755055
Long
DBT
CORP
US
N
2
2026-04-26
Fixed
4.08000000
N
N
N
N
N
N
CALIFORNIA INSTITUTE OF
549300CITPNHOTVPHC04
California Institute of Technology
13034VAD6
260000.00000000
PA
USD
177348.54000000
0.056729410780
Long
DBT
CORP
US
N
2
2119-09-01
Fixed
3.65000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AB3
280000.00000000
PA
USD
267421.50000000
0.085541522501
Long
DBT
CORP
US
N
2
2025-02-01
Variable
3.35000000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAT8
160000.00000000
PA
USD
155410.62000000
0.049712012862
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.95000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F040669
500000.00000000
PA
USD
472421.88000000
0.151116072859
Long
ABS-MBS
USGSE
US
N
2
2053-06-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGB32
185048.73000000
PA
USD
164419.77000000
0.052593817083
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AU2
2040000.00000000
PA
USD
1644984.33000000
0.526189794311
Long
DBT
CORP
CH
N
2
2032-05-14
Fixed
3.09100000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2021-L7
61772TBN3
6375549.25000000
PA
USD
366931.99000000
0.117372466608
Long
ABS-MBS
CORP
US
N
2
2054-10-15
Variable
1.09784400
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78016EZ59
1195000.00000000
PA
USD
1156764.52000000
0.370020354446
Long
DBT
CORP
CA
N
2
2025-04-14
Fixed
3.37500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SS8
1000000.00000000
PA
USD
619921.88000000
0.198297674073
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QRVY6
99657.44000000
PA
USD
96663.89000000
0.030920387184
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
4.50000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HV5
1460000.00000000
PA
USD
379449.69000000
0.121376569181
Long
DBT
NUSS
AR
N
2
2041-07-09
Variable
3.50000000
N
N
N
N
N
N
BrightSpire Capital, Inc
N/A
BRSP 2021-FL1 Ltd
05591XAA9
1600000.00000000
PA
USD
1546383.90000000
0.494649955886
Long
ABS-CBDO
CORP
KY
N
2
2038-08-19
Floating
6.33774000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABCD2
85303.12000000
PA
USD
73897.73000000
0.023638055779
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPBT4
2224311.05000000
PA
USD
1992544.24000000
0.637365611745
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
843435.46000000
0.269794139140
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2048-02-15
492576.07000000
USD
0.00000000
USD
-7166000.00000000
USD
350859.39000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XFH4
293250.34000000
PA
USD
285110.96000000
0.091199943162
Long
ABS-MBS
USGA
US
N
2
2052-09-20
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YET8
760000.00000000
PA
USD
751911.75000000
0.240517968382
Long
DBT
CORP
US
N
2
2026-07-17
Fixed
4.67900000
N
N
N
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS Pass-Through Trust
126650AW0
7884.29000000
PA
USD
7807.43000000
0.002497403720
Long
DBT
CORP
US
N
2
2027-01-11
Fixed
5.29800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVMB8
1484394.38000000
PA
USD
1283329.38000000
0.410505322258
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DCH6
200000.00000000
PA
USD
187444.86000000
0.059958973790
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
4.62500000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-XL2
05609KAQ2
991585.11000000
PA
USD
915346.89000000
0.292796826686
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
8.99700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMVG7
135927.95000000
PA
USD
133880.93000000
0.042825197622
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378BF61
1254149.29000000
PA
USD
3689.58000000
0.001180205370
Long
ABS-MBS
USGA
US
N
2
2053-02-16
Variable
0.12956000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XKHN3
195226.68000000
PA
USD
189324.83000000
0.060560329687
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NK51
196364.67000000
PA
USD
922.31000000
0.000295024153
Long
ABS-MBS
USGA
US
N
2
2048-02-16
Variable
0.14675000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2006-13
41162KAA1
73231.99000000
PA
USD
50659.80000000
0.016204816821
Long
ABS-MBS
CORP
US
N
2
2046-11-19
Floating
5.31243000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HB0
510000.00000000
PA
USD
510203.52000000
0.163201484871
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617MKLU1
41182.64000000
PA
USD
39024.49000000
0.012482968981
Long
ABS-MBS
USGA
US
N
2
2050-05-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UGE6
56902.34000000
PA
USD
57081.02000000
0.018258806254
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
5.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
221378.76000000
0.070813588959
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2032-05-15
0.00000000
USD
-64754.79000000
USD
-16566000.00000000
USD
286133.55000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABR5
120000.00000000
PA
USD
111338.05000000
0.035614287966
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A54N3
25851.97000000
PA
USD
27881.80000000
0.008918698093
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Fixed
7.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
211.00000000
NC
USD
13187.50000000
0.004218355023
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
0.00000000
USD
2500.00000000
95.50000000
USD
2023-06-16
XXXX
-61105.60000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABV6
120000.00000000
PA
USD
108726.43000000
0.034778895333
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNT85
2142167.50000000
PA
USD
2027924.04000000
0.648682734556
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AA5
200000.00000000
PA
USD
159866.00000000
0.051137178709
Long
DBT
CORP
US
N
2
2050-02-01
Variable
5.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
211895.27000000
0.067780055106
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-02-15
21602.11000000
USD
0.00000000
USD
-5549000.00000000
USD
190293.16000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36241LUX2
35612.77000000
PA
USD
35611.86000000
0.011391353064
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Fixed
4.50000000
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2019-FAME
63873VAL7
2862000.00000000
PA
USD
2020215.68000000
0.646217020878
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Variable
4.39750000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHMZ
46650BAA9
10150000.00000000
PA
USD
101.50000000
0.000032467339
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
13.61465000
N
N
N
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
14916RAD6
660000.00000000
PA
USD
563478.56000000
0.180242852274
Long
DBT
CORP
US
N
2
2042-11-01
Fixed
4.35000000
N
N
N
N
N
N
CAMERON LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AB6
170000.00000000
PA
USD
141950.50000000
0.045406453444
Long
DBT
CORP
US
N
2
2035-01-15
Fixed
3.30200000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
EUR CALL VERSUS USD PUT
000000000
-4770000.00000000
NC
USD
0.00000000
0.000000
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
Put
Written
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
EUR CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
FR
US
N/A
EUR
N/A
USD
2023-06-01
-4770000.00000000
USD
1.12130000
USD
2023-05-31
XXXX
22934.83000000
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F032666
-600000.00000000
PA
USD
-551320.31000000
-0.17635372886
Short
ABS-MBS
USGSE
US
N
2
2053-06-15
Fixed
3.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CE2
40000.00000000
PA
USD
26150.10000000
0.008364770101
Long
DBT
CORP
US
N
2
2042-03-01
Fixed
3.50000000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
48667QAN5
750000.00000000
PA
USD
707172.75000000
0.226207069015
Long
DBT
CORP
KZ
N
2
2027-04-19
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379U5F9
2886570.53000000
PA
USD
97293.88000000
0.031121905401
Long
ABS-MBS
USGA
US
N
2
2058-10-16
Variable
0.63290000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WNF1
566735.15000000
PA
USD
512327.81000000
0.163880992692
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
2 YEAR US TREASURY NOTE
000000000
158.00000000
NC
USD
-84796.56000000
-0.02712432188
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
32605640.47000000
USD
-84796.56000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WDM8
73827.71000000
PA
USD
68217.27000000
0.021821017145
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 I Pool
3617MB5P0
32120.89000000
PA
USD
30881.70000000
0.009878291892
Long
ABS-MBS
USGA
US
N
2
2050-03-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XKHM5
96894.19000000
PA
USD
94389.80000000
0.030192962049
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F050668
-100000.00000000
PA
USD
-98513.67000000
-0.03151208604
Short
ABS-MBS
USGSE
US
N
2
2053-06-15
Fixed
5.00000000
N
N
N
N
N
N
CIGNA GROUP/THE
549300VIWYMSIGT1U456
Cigna Group/The
125523AH3
10000.00000000
PA
USD
9751.82000000
0.003119365982
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XVU7
99490.62000000
PA
USD
100548.02000000
0.032162824287
Long
ABS-MBS
USGA
US
N
2
2053-03-20
Fixed
6.00000000
N
N
N
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AA5
298000.00000000
PA
USD
292377.49000000
0.093524326352
Long
DBT
CORP
N/A
N
2
2025-10-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UML3
43047.38000000
PA
USD
41370.92000000
0.013233533893
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
4.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
59.00000000
NC
USD
29131.25000000
0.009318366239
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
-23967.65000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPZN1
98406.97000000
PA
USD
93942.67000000
0.030049936223
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.00000000
N
N
N
N
N
N
ML-CFC Commercial Mortgage Tru
N/A
ML-CFC Commercial Mortgage Trust 2007-5
55312YAR3
452821.73000000
PA
USD
116309.71000000
0.037204599013
Long
ABS-MBS
CORP
US
N
2
2048-08-12
Variable
5.45000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAT2
570000.00000000
PA
USD
570658.52000000
0.182539543863
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.37500000
N
N
N
N
N
N
Marathon CLO LTD
N/A
Marathon CLO 14 Ltd
56578HAJ5
1410000.00000000
PA
USD
1388395.00000000
0.444113215031
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
8.55043000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM2N4
85067.19000000
PA
USD
75686.65000000
0.024210287033
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
3.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JW8
460000.00000000
PA
USD
403437.34000000
0.129049625021
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.00000000
N
N
N
N
N
N
Waterfall Commercial Mortgage
N/A
Waterfall Commercial Mortgage Trust 2015-SBC5
94132LAA5
102255.06000000
PA
USD
97759.10000000
0.031270717770
Long
ABS-MBS
CORP
US
N
2
2022-09-14
Variable
4.10370000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKK4
820000.00000000
PA
USD
684391.30000000
0.218919846717
Long
DBT
CORP
US
N
2
2033-02-04
Fixed
2.97200000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2021-2 Receivables Funding LLC
82652RAA7
251210.08000000
PA
USD
232498.42000000
0.074370493120
Long
ABS-O
CORP
US
N
2
2038-09-20
Fixed
1.35000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M2SK9
181217.25000000
PA
USD
162032.23000000
0.051830102099
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
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
-85.00000000
NC
USD
-11953.13000000
-0.00382351059
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
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-09-20
0.00000000
USD
100000.00000000
113.75000000
USD
2023-06-02
XXXX
25056.08000000
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AS8
120000.00000000
PA
USD
110426.41000000
0.035322676881
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
5.37500000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.40.V1
000000000
1.00000000
NC
USD
-260980.00000000
-0.08348104599
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
0.00000000
USD
-137876.43000000
USD
-19701000.00000000
USD
-123103.57000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPWM6
197163.24000000
PA
USD
202615.40000000
0.064811654254
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
6.50000000
N
N
N
N
N
N
Cook Park CLO, Ltd
N/A
Cook Park CLO Ltd
21623RAA1
250000.00000000
PA
USD
200377.14000000
0.064095690249
Long
ABS-CBDO
CORP
KY
N
2
2030-04-17
Floating
10.66029000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325CU7
370000.00000000
PA
USD
246789.73000000
0.078941929657
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-SCHATZ
000000000
-151.00000000
NC
-147878.25000000
-0.04730259403
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESSCHATZANWEISUNGEN
Bundesschatzanweisungen
2023-06-08
-16871933.69000000
USD
-147878.25000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XQX7
792503.39000000
PA
USD
792546.10000000
0.253515891754
Long
ABS-MBS
USGA
US
N
2
2053-01-20
Fixed
5.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL1 Trust
12660KAD3
870000.00000000
PA
USD
793993.41000000
0.253978850420
Long
ABS-MBS
CORP
US
N
2
2060-09-27
Fixed
3.93711000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EDL1
93241.69000000
PA
USD
79675.79000000
0.025486314238
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
2.00000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CY3
2005000.00000000
PA
USD
1957349.27000000
0.626107611479
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.95000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
565334.50000000
0.180836521568
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2026-03-10
266940.55000000
USD
0.00000000
USD
45491000.00000000
USD
298393.95000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CDS DAIMLER AG
000000000
1.00000000
NC
-92126.84000000
-0.02946909712
N/A
DCR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
DAIMLER AG
DAIMLER AG
Y
Default Event
2024-12-20
0.00000000
USD
-56039.44000000
USD
-7380000.00000000
EUR
-36087.40000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XJGY3
192890.56000000
PA
USD
188255.01000000
0.060218120734
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TN8
570000.00000000
PA
USD
547645.31000000
0.175178187274
Long
DBT
UST
US
N
2
2053-02-15
Fixed
3.62500000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABW4
790000.00000000
PA
USD
704398.21000000
0.225319562304
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
3.50000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AT7
290000.00000000
PA
USD
274861.25000000
0.087921314485
Long
DBT
CORP
GB
N
2
2027-09-11
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DPR7
71010.78000000
PA
USD
69640.72000000
0.022276343588
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
4.50000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBF1
320000.00000000
PA
USD
232704.10000000
0.074436285064
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.75000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-44.00000000
NC
USD
-4812.50000000
-0.00153939970
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
118.50000000
USD
2023-06-23
XXXX
18486.38000000
N
N
N
PRKCM Trust
N/A
PRKCM 2022-AFC1 Trust
69377CAA1
637898.91000000
PA
USD
605044.44000000
0.193538749048
Long
ABS-MBS
CORP
US
N
2
2057-04-25
Variable
4.10000000
N
N
N
N
N
N
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
JPN 10Y BOND(OSE)
000000000
-9.00000000
NC
-200302.89000000
-0.06407193951
N/A
DIR
CORP
JP
N
1
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
Short
JAPAN (10 YEAR ISSUE)
Japan Government Ten Year Bond
2023-06-13
-9564974.25000000
USD
-200302.89000000
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
000000000
2200000.00000000
PA
2139937.80000000
0.684513165436
Long
DBT
CORP
NL
N
2
N/A
Fixed
4.62500000
N
N
N
N
N
N
WYNN RESORTS FINANCE LLC
N/A
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp
983133AC3
120000.00000000
PA
USD
120088.61000000
0.038413375642
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
7.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XVQ6
298261.42000000
PA
USD
283568.25000000
0.090706468395
Long
ABS-MBS
USGA
US
N
2
2053-03-20
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/NOK FORWARD
000000000
1.00000000
NC
USD
-364348.77000000
-0.11654615843
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-5017998.49000000
USD
51538608.00000000
NOK
2023-07-18
-364348.77000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QHG66
421034.09000000
PA
USD
348057.78000000
0.111335073730
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
36440000.00000000
PA
2030166.77000000
0.649400128404
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAS8
4400000.00000000
PA
USD
1735973.36000000
0.555294934164
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
4.37330000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QPJ24
92767.59000000
PA
USD
92131.73000000
0.029470661315
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 II Pool
3622ACCK4
196917.62000000
PA
USD
197286.76000000
0.063107154136
Long
ABS-MBS
USGA
US
N
2
2053-01-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPAC2
374881.89000000
PA
USD
376138.01000000
0.120317244672
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
5.50000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBF9
84000.00000000
PA
USD
79053.95000000
0.025287403005
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABFG2
88506.24000000
PA
USD
76681.55000000
0.024528530932
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAF3
590000.00000000
PA
USD
545248.92000000
0.174411641394
Long
DBT
CORP
US
N
2
2045-05-22
Fixed
5.15000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-20.00000000
NC
USD
-125.00000000
-0.00003998440
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-09-19
0.00000000
USD
2500.00000000
96.00000000
USD
2023-06-16
XXXX
2333.00000000
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F020661
3600000.00000000
PA
USD
2960622.94000000
0.947030039996
Long
ABS-MBS
USGSE
US
N
2
2053-06-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBH1
981482.01000000
PA
USD
957079.13000000
0.306145937909
Long
ABS-MBS
USGSE
US
N
2
2056-08-25
Variable
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DYX4
769442.92000000
PA
USD
635312.21000000
0.203220659921
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2019-4
89178BBA1
1840000.00000000
PA
USD
1342578.45000000
0.429457634075
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TXX8
29845.61000000
PA
USD
29928.48000000
0.009573380395
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2020-2
35563PRE1
2120000.00000000
PA
USD
1873922.91000000
0.599421582677
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDQS8
169718.21000000
PA
USD
152755.31000000
0.048862644879
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
3140XKGX2
97021.21000000
PA
USD
94148.44000000
0.030115756955
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
25179MAN3
220000.00000000
PA
USD
184394.91000000
0.058983370233
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.75000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR3 Trust
92925CDB5
1236093.47000000
PA
USD
1091676.96000000
0.349200454108
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
4.74336000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MKK99
298777.85000000
PA
USD
286323.23000000
0.091587718346
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QFLM9
151918.23000000
PA
USD
136916.96000000
0.043796348516
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F052664
100000.00000000
PA
USD
99945.31000000
0.031970032268
Long
ABS-MBS
USGSE
US
N
2
2053-06-15
Fixed
5.50000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
000000000
1312000.00000000
PA
1290548.64000000
0.412814584945
Long
DBT
CORP
GB
N
2
N/A
Fixed
4.94700000
N
N
N
N
N
N
TSMC GLOBAL LTD
549300N2ZLI21P85T117
TSMC Global Ltd
872882AM7
1030000.00000000
PA
USD
1023511.11000000
0.327395884948
Long
DBT
CORP
VG
N
2
2027-07-22
Fixed
4.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CR89
379783.19000000
PA
USD
353773.54000000
0.113163403961
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
Babson CLO Ltd
549300I8OP7Y4MO3JF74
Barings CLO Ltd 2018-II
06760JAJ4
2480000.00000000
PA
USD
2381960.35000000
0.761930192140
Long
ABS-CBDO
CORP
KY
N
2
2030-04-15
Floating
7.16029000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BOBL
000000000
30.00000000
NC
93917.83000000
0.030041990521
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUNDESOBLIGATION
Bundesobligation
2023-06-08
3667345.32000000
USD
93917.83000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29279FAA7
705000.00000000
PA
USD
672106.98000000
0.214990396632
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
Goldentree Loan Opportunities
549300IOBSI2NBFBJX90
GoldenTree Loan Opportunities IX Ltd
38123HAU8
2270000.00000000
PA
USD
2250119.77000000
0.719757652009
Long
ABS-CBDO
CORP
KY
N
2
2029-10-29
Floating
7.39914000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFCD1
71904.11000000
PA
USD
70372.08000000
0.022510287560
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MRBS5
93010.72000000
PA
USD
91939.57000000
0.029409194084
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
5.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
1158473.85000000
0.370567126829
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2052-07-11
0.00000000
USD
0.00000000
USD
-4147000.00000000
USD
1158473.85000000
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAK7
350000.00000000
PA
USD
308398.48000000
0.098649044734
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEQ4
940000.00000000
PA
USD
921205.89000000
0.294670975849
Long
DBT
CORP
US
N
2
2025-04-17
Fixed
3.62000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBF9
50000.00000000
PA
USD
46377.85000000
0.014835126941
Long
DBT
CORP
US
N
2
2049-02-14
Fixed
5.95000000
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
-85.00000000
NC
USD
-73046.88000000
-0.02336588991
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
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
113.75000000
USD
2023-06-02
XXXX
-21756.43000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MB5B1
65445.52000000
PA
USD
63731.77000000
0.020386216656
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
4.00000000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAW4
850000.00000000
PA
USD
828791.18000000
0.265109796232
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
4.60000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DQB70
99767.90000000
PA
USD
100188.20000000
0.032047726771
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
5.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-246590.01000000
-0.07887804417
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-03-16
0.00000000
USD
-184408.10000000
USD
26910000.00000000
USD
-62181.91000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2015-2R
12649QBC7
37271.16000000
PA
USD
37269.93000000
0.011921728640
Long
ABS-MBS
CORP
US
N
2
2036-08-27
Variable
4.07406000
N
N
N
N
N
N
SMR 2022-IND Mortgage Trust
N/A
SMR 2022-IND Mortgage Trust
78458MAL8
640130.09000000
PA
USD
594168.56000000
0.190059824079
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Floating
11.05929000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBL5
210000.00000000
PA
USD
210939.28000000
0.067474257554
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
6.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEK7
760000.00000000
PA
USD
690430.23000000
0.220851551035
Long
DBT
CORP
US
N
2
2028-01-21
Fixed
2.47500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-311811.96000000
-0.09974093254
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-11-30
3214.90000000
USD
0.00000000
USD
16768000.00000000
USD
-315026.86000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
CNH/USD FORWARD
000000000
1.00000000
NC
USD
-132603.53000000
-0.04241658896
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-3822828.99000000
USD
26151973.12000000
CNY
2023-07-18
-132603.53000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R05
20754HAD0
1669876.84000000
PA
USD
1717246.07000000
0.549304537360
Long
ABS-MBS
CORP
US
N
2
2039-07-25
Floating
9.23800000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAF5
1310000.00000000
PA
USD
1006523.00000000
0.321961808803
Long
DBT
CORP
NL
N
2
2031-07-13
Fixed
3.06100000
N
N
N
N
N
N
Nomura Asset Acceptance Corpor
N/A
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AF2
65536XAD5
65600.86000000
PA
USD
40104.94000000
0.012828578208
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Variable
5.18177500
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AS9
740000.00000000
PA
USD
720208.07000000
0.230376745421
Long
DBT
CORP
GB
N
2
2024-09-11
Fixed
3.62500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CL6
585000.00000000
PA
USD
453003.68000000
0.144904671038
Long
DBT
CORP
US
N
2
2063-04-01
Fixed
5.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-20636.72000000
-0.00660117622
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-12-31
0.00000000
USD
-102.05000000
USD
2720000.00000000
USD
-20534.67000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-160003.07000000
-0.05118102401
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2034-03-10
0.00000000
USD
-90189.57000000
USD
-10062000.00000000
USD
-69813.50000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AUP44
180772.55000000
PA
USD
154949.31000000
0.049564451205
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAR6
1190000.00000000
PA
USD
1131187.44000000
0.361838879268
Long
DBT
CORP
IE
N
2
2027-10-15
Fixed
4.62500000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBG7
188000.00000000
PA
USD
178040.34000000
0.056950700487
Long
DBT
CORP
US
N
2
2059-02-14
Fixed
6.20000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AN0
44000.00000000
PA
USD
40468.96000000
0.012945019201
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.60000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/BRL FORWARD
000000000
1.00000000
NC
USD
-36177.28000000
-0.01157221693
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-15578105.41000000
BRL
3008982.73000000
USD
2023-07-18
-36177.28000000
N
N
N
H&E EQUIPMENT SERVICES
254900KVLRCDMQRYY541
H&E Equipment Services Inc
404030AJ7
2280000.00000000
PA
USD
1959579.74000000
0.626821083656
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.87500000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAN9
200000.00000000
PA
USD
180827.64000000
0.057842288806
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.50000000
N
N
N
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Republic of Kenya Government International Bond
491798AJ3
1000000.00000000
PA
USD
861186.00000000
0.275472097782
Long
DBT
NUSS
KE
N
2
2027-05-22
Fixed
7.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-7282230.68000000
-2.32940545010
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2024-07-11
0.00000000
USD
-2503673.17000000
USD
119278000.00000000
USD
-4778557.51000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
2 YEAR US TREASURY NOTE
000000000
47.00000000
NC
USD
44796.92000000
0.014329426542
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
5653.07000000
N
N
N
CELANESE US HOLDINGS LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAR5
640000.00000000
PA
USD
639440.79000000
0.204541290532
Long
DBT
CORP
US
N
2
2024-07-05
Fixed
5.90000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B85
660000.00000000
PA
USD
616663.54000000
0.197255411710
Long
DBT
CORP
US
N
2
2025-02-10
Fixed
2.30000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BV1
130000.00000000
PA
USD
124814.75000000
0.039925150915
Long
DBT
CORP
US
N
2
2044-06-24
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MKAF9
87481.57000000
PA
USD
83407.32000000
0.026679938376
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZR8
680000.00000000
PA
USD
642238.31000000
0.205436147977
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
3.61500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WRZ3
89485.79000000
PA
USD
76026.60000000
0.024319028629
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
2.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BM5
260000.00000000
PA
USD
219485.94000000
0.070208122665
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
5.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
456.00000000
NC
USD
284042.40000000
0.090858137251
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-12-16
110267457.60000000
USD
284042.40000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
1522946.57000000
0.487152933800
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-07-11
0.00000000
USD
0.00000000
USD
-10838000.00000000
USD
1522946.57000000
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAQ4
730000.00000000
PA
USD
658597.46000000
0.210669035377
Long
DBT
CORP
NL
N
2
2029-05-09
Fixed
5.12500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAV1
10000.00000000
PA
USD
8612.75000000
0.002755005666
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
5.40000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CGK1
3840369.10000000
PA
USD
3727076.29000000
1.192199506495
Long
DBT
UST
US
N
2
2033-01-15
Fixed
1.12500000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CA5
380000.00000000
PA
USD
336193.11000000
0.107539859300
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
270000.00000000
PA
USD
265591.97000000
0.084956301112
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
CIGNA GROUP/THE
549300VIWYMSIGT1U456
Cigna Group/The
125523AK6
60000.00000000
PA
USD
54636.06000000
0.017476724032
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
4.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M32Z2
93284.27000000
PA
USD
76984.88000000
0.024625558695
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKJ7
1210000.00000000
PA
USD
1096266.43000000
0.350668512029
Long
DBT
CORP
US
N
2
2028-02-04
Fixed
2.55100000
N
N
N
N
N
N
Foundation Finance Trust
549300RIQ1R4PTXR5G48
Foundation Finance Trust 2017-1
35040UAC5
2600000.00000000
PA
USD
2488700.50000000
0.796073725637
Long
ABS-O
CORP
US
N
2
2033-07-15
Fixed
5.40000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AN8
875000.00000000
PA
USD
836356.05000000
0.267529611008
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
4.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CW3
590000.00000000
PA
USD
578268.49000000
0.184973785014
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CNH/USD FORWARD
000000000
1.00000000
NC
USD
2827.39000000
0.000904412118
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-662910.00000000
CNY
96368.61000000
USD
2023-07-18
2827.39000000
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBR3
130000.00000000
PA
USD
106254.47000000
0.033988176479
Long
DBT
CORP
US
N
2
2078-02-15
Fixed
5.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XHZ2
196030.02000000
PA
USD
193710.48000000
0.061963190632
Long
ABS-MBS
USGA
US
N
2
2052-10-20
Fixed
5.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PDG8
920000.00000000
PA
USD
915663.38000000
0.292898064008
Long
DBT
CORP
US
N
2
2028-07-25
Fixed
4.85100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4MM5
41470.38000000
PA
USD
40820.12000000
0.013057346598
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
4.50000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-52CB
12668AFX8
3241418.10000000
PA
USD
207803.75000000
0.066471279072
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
0.01000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
4.00000000
NC
USD
-18308.40000000
-0.00585640425
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-09-19
965508.40000000
USD
-18308.40000000
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F042665
-700000.00000000
PA
USD
-678056.65000000
-0.21689354888
Short
ABS-MBS
USGSE
US
N
2
2053-06-15
Fixed
4.50000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAZ3
120000.00000000
PA
USD
115672.49000000
0.037000768098
Long
DBT
CORP
US
N
2
2032-10-15
Fixed
5.60000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAN9
560000.00000000
PA
USD
477563.58000000
0.152760775496
Long
DBT
CORP
NL
N
2
2115-06-05
Fixed
6.85000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBY8
240000.00000000
PA
USD
178933.09000000
0.057236269127
Long
DBT
CORP
US
N
2
2051-01-31
Fixed
3.70000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
-43.00000000
NC
USD
-5039.09000000
-0.00161188023
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-09-29
0.00000000
USD
100000.00000000
108.50000000
USD
2023-06-02
XXXX
8456.83000000
N
N
N
Bank
N/A
BANK 2018-BNK15
06036FBG5
1050000.00000000
PA
USD
939284.96000000
0.300454023110
Long
ABS-MBS
CORP
US
N
2
2061-11-15
Variable
4.65788200
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABLA8
91445.42000000
PA
USD
79214.62000000
0.025338797363
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B5EE8
92922.03000000
PA
USD
82925.60000000
0.026525848065
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
Cook Park CLO, Ltd
N/A
Cook Park CLO Ltd
21623PAJ6
840000.00000000
PA
USD
699707.23000000
0.223819033845
Long
ABS-CBDO
CORP
KY
N
2
2030-04-17
Floating
7.86029000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2023-V2 Mortgage Trust
08163TAC6
230000.00000000
PA
USD
235192.80000000
0.075232358630
Long
ABS-MBS
CORP
US
N
2
2055-05-15
Fixed
5.81180000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDP34
174440.55000000
PA
USD
144299.52000000
0.046157846833
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
LONG GILT
000000000
38.00000000
NC
-18027.87000000
-0.00576666964
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long
UNITED KINGDOM GILT
United Kingdom Gilt
2023-09-27
4587023.58000000
USD
-18027.87000000
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BK2
1240000.00000000
PA
USD
537670.45000000
0.171987476314
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RPH0
513197.11000000
PA
USD
14029.78000000
0.004487779559
Long
ABS-MBS
USGA
US
N
2
2058-07-16
Variable
0.59384000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAE1
1830000.00000000
PA
USD
1635570.72000000
0.523178613342
Long
DBT
CORP
NL
N
2
2026-10-01
Fixed
3.15000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376G5V8
2179143.35000000
PA
USD
21.79000000
0.000006970081
Long
ABS-MBS
USGA
US
N
2
2046-09-16
Variable
0.01000000
N
N
N
N
N
N
Fremont Home Loan Trust
N/A
Fremont Home Loan Trust 2006-B
35729QAC2
316661.35000000
PA
USD
107195.60000000
0.034289220685
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
5.33800000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BH9
680000.00000000
PA
USD
473404.39000000
0.151430353503
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
4.50000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAF6
1360000.00000000
PA
USD
1264936.00000000
0.404621735003
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.90000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
-43.00000000
NC
USD
-29898.45000000
-0.00956377454
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2023-09-29
0.00000000
USD
100000.00000000
108.50000000
USD
2023-06-02
XXXX
-9832.20000000
N
N
N
TSTAT 2022-2, Ltd.
N/A
TSTAT 2022-2 Ltd
87300FAG5
820000.00000000
PA
USD
828697.37000000
0.265079788733
Long
ABS-CBDO
CORP
BM
N
2
2031-01-20
Floating
9.31278000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN MZ
46652EBY8
33781.13000000
PA
USD
29912.51000000
0.009568271987
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Fixed
8.54200000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89115A2H4
920000.00000000
PA
USD
903356.45000000
0.288961381544
Long
DBT
CORP
CA
N
2
2027-09-15
Fixed
4.69300000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
129.00000000
NC
USD
31242.25000000
0.009993622918
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
109.25000000
USD
2023-06-02
XXXX
9401.84000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWDN0
378713.23000000
PA
USD
295488.45000000
0.094519445499
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
1.50000000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAU8
1000000.00000000
PA
USD
984361.85000000
0.314873005130
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
4.00000000
N
N
N
N
N
N
UNIV OF CALIFORNIA CA RGTS MED
N/A
Regents of the University of California Medical Center Pooled Revenue
913366KD1
190000.00000000
PA
USD
127344.27000000
0.040734281789
Long
DBT
MUN
US
N
2
2120-05-15
Fixed
3.70600000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZX9
345000.00000000
PA
USD
354606.04000000
0.113429700117
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
7.00000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBB8
1370000.00000000
PA
USD
1371163.45000000
0.438601268452
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
8.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022663
900000.00000000
PA
USD
787587.89000000
0.251929883028
Long
ABS-MBS
USGA
US
N
2
2053-06-15
Fixed
2.50000000
N
N
N
N
N
N
ML-CFC Commercial Mortgage Tru
N/A
ML-CFC Commercial Mortgage Trust 2007-9
60688CAJ5
9708.02000000
PA
USD
9471.99000000
0.003029855287
Long
ABS-MBS
CORP
US
N
2
2049-09-12
Variable
6.19300000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AU5
320000.00000000
PA
USD
286304.21000000
0.091581634318
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
2.26800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXKP6
38406.17000000
PA
USD
37435.61000000
0.011974725574
Long
ABS-MBS
USGSE
US
N
2
2058-08-01
Fixed
4.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMM1
120000.00000000
PA
USD
94354.98000000
0.030181823992
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DH5
530000.00000000
PA
USD
593067.35000000
0.189707574241
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
7.95000000
N
N
N
N
N
N
DIGNITY HEALTH
TFVG45LTYVO3XKPZWP18
Dignity Health
254010AE1
860000.00000000
PA
USD
794960.46000000
0.254288185792
Long
DBT
CORP
US
N
2
2064-11-01
Fixed
5.26700000
N
N
N
N
N
N
THE VANGUARD GROUP INC
N/A
THE VANGUARD GROUP INC
000000000
1000000.00000000
PA
USD
645270.45000000
0.206406054555
Long
DBT
CORP
US
N
3
2050-08-22
Fixed
3.05000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
20.00000000
NC
USD
125.00000000
0.000039984407
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-09-19
0.00000000
USD
2500.00000000
95.50000000
USD
2023-06-16
XXXX
-6417.00000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M2PG1
92089.31000000
PA
USD
78906.35000000
0.025240189416
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
71333.12000000
0.022817700482
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-09-30
3201.11000000
USD
0.00000000
USD
-5162000.00000000
USD
68132.01000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAF0
90000.00000000
PA
USD
87999.89000000
0.028148987910
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.95000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/MXN FORWARD
000000000
1.00000000
NC
USD
4211.93000000
0.001347292214
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-478816.80000000
USD
8630000.00000000
MXN
2023-07-18
4211.93000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
AUD/USD FORWARD
000000000
1.00000000
NC
USD
4739.04000000
0.001515901663
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-191535.00000000
AUD
129547.00000000
USD
2023-07-18
4739.04000000
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2003-60
12669FJC8
19627.58000000
PA
USD
19072.11000000
0.006100696192
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
4.16727500
N
N
N
N
N
N
COTERRA ENERGY INC
FCNMH6O7VWU7LHXMK351
Coterra Energy Inc
127097AK9
230000.00000000
PA
USD
217140.06000000
0.069457733684
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.37500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CNY/USD FORWARD
000000000
1.00000000
NC
USD
258460.90000000
0.082675248224
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-53848697.00000000
CNY
7877799.28000000
USD
2023-07-18
258460.90000000
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAL3
250000.00000000
PA
USD
235999.33000000
0.075490347625
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
4214897.49000000
1.348241440882
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-05-15
871086.76000000
USD
0.00000000
USD
-15495000.00000000
USD
3343810.73000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-435.00000000
NC
USD
-2718.75000000
-0.00086966086
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-09-19
0.00000000
USD
2500.00000000
95.37500000
USD
2023-06-16
XXXX
45305.25000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3A9
380000.00000000
PA
USD
374209.89000000
0.119700486781
Long
DBT
CORP
US
N
2
2028-07-25
Fixed
4.80800000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAM1
190000.00000000
PA
USD
181210.57000000
0.057964778640
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BX7
380000.00000000
PA
USD
340890.99000000
0.109042594898
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
3.50000000
N
N
N
N
N
N
TTAN
N/A
TTAN 2021-MHC
87303TAA5
1460694.17000000
PA
USD
1426356.61000000
0.456256194994
Long
ABS-MBS
CORP
US
N
2
2038-03-15
Floating
5.95800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QP2U0
93326.76000000
PA
USD
90458.61000000
0.028935471616
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
4.50000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CX1
290000.00000000
PA
USD
282975.92000000
0.090516996681
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
5.93000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH62
98466.62000000
PA
USD
98574.59000000
0.031531572848
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
5.00000000
N
N
N
N
N
N
Residential Asset Securitizati
N/A
Residential Asset Securitization Trust 2005-A15
45660L4B2
8164709.05000000
PA
USD
946452.26000000
0.302746665079
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.41200000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
3 MONTH SOFR
000000000
-456.00000000
NC
USD
-128482.60000000
-0.04109840539
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2026-12-15
-110388817.40000000
USD
-128482.60000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-9467.00000000
-0.00302825910
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-11-30
0.00000000
USD
-3067.67000000
USD
21939000.00000000
USD
-6399.33000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XKYL8
98605.14000000
PA
USD
81597.95000000
0.026101165672
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
3140Q9XA6
88468.01000000
PA
USD
84398.81000000
0.026997091500
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2005-AA12
32051GQ57
33976.97000000
PA
USD
26252.97000000
0.008397675669
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
4.87757800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QC6H4
115241.84000000
PA
USD
109891.93000000
0.035151709951
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAG5
885000.00000000
PA
USD
861990.56000000
0.275729456623
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
3.65000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CD6
490000.00000000
PA
USD
468479.39000000
0.149854967836
Long
DBT
NUSS
ID
N
2
2028-01-11
Fixed
3.50000000
N
N
N
N
N
N
GoodLeap Sustainable Home Impr
N/A
GoodLeap Sustainable Home Solutions Trust 2022-1
38237JAC7
1557121.78000000
PA
USD
1009425.37000000
0.322890205168
Long
ABS-O
CORP
US
N
2
2049-01-20
Fixed
3.50000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBC8
460000.00000000
PA
USD
417576.36000000
0.133572347754
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.45000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
180000.00000000
PA
USD
131928.17000000
0.042200558005
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAHA5
5599.21000000
PA
USD
5160.43000000
0.001650693900
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAN8
500000.00000000
PA
USD
511177.32000000
0.163512979401
Long
DBT
CORP
US
N
2
2038-07-01
Fixed
7.30000000
N
N
N
N
N
N
NGPL PIPECO LLC
549300K3NT1HSQFEM073
NGPL PipeCo LLC
62912XAF1
1480000.00000000
PA
USD
1416814.42000000
0.453203884463
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
4.87500000
N
N
N
N
N
N
Magenta Buyer LLC
N/A
Magenta Buyer LLC
55910RAB9
64552.04000000
PA
USD
46020.12000000
0.014720697963
Long
LON
CORP
US
N
2
2028-07-27
Floating
10.03000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-391.00000000
NC
USD
-2443.75000000
-0.00078169517
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-09-19
0.00000000
USD
2500.00000000
96.00000000
USD
2023-06-16
XXXX
45610.15000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
USD/MXN FORWARD
000000000
1.00000000
NC
USD
2719.76000000
0.000869983943
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-318915.52000000
USD
5746475.00000000
MXN
2023-07-18
2719.76000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWBP7
2115694.40000000
PA
USD
1748985.55000000
0.559457211855
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
UCFC Manufactured Housing Cont
N/A
UCFC Manufactured Housing Contract
90263ABB5
814812.18000000
PA
USD
749105.07000000
0.239620180881
Long
ABS-O
CORP
US
N
2
2029-01-15
Fixed
7.11500000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAV5
180000.00000000
PA
USD
124938.45000000
0.039964719485
Long
DBT
CORP
US
N
2
2046-09-16
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6L74
297507.35000000
PA
USD
287378.57000000
0.091925295505
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Bonos del Tesoro
000000000
44960000.00000000
PA
66636.51000000
0.021315371126
Long
DBT
NUSS
AR
N
2
2023-10-17
Fixed
16.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDN77
71231.67000000
PA
USD
67547.54000000
0.021606787086
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
4.00000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
173973000.00000000
PA
106666.46000000
0.034119961888
Long
DBT
NUSS
RU
N
3
2029-05-23
Fixed
6.90000000
N
Y
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822CE2
260000.00000000
PA
USD
248450.61000000
0.079473204083
Long
DBT
CORP
JP
N
2
2028-04-19
Fixed
4.08000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCP6
2560000.00000000
PA
USD
1896265.73000000
0.606568498089
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
4.25000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-HTL5
46654PAQ9
2140000.00000000
PA
USD
2003816.71000000
0.640971396045
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
9.37300000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKS7
810000.00000000
PA
USD
796373.71000000
0.254740249507
Long
DBT
CORP
US
N
2
2025-04-25
Fixed
3.84100000
N
N
N
N
N
N
SPIRIT LOYALTY KY LTD/IP
N/A
Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd
84859BAA9
390000.00000000
PA
USD
394079.40000000
0.126056251507
Long
DBT
CORP
KY
N
2
2025-09-20
Fixed
8.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WDR6
887314.72000000
PA
USD
779693.17000000
0.249404557396
Long
ABS-MBS
USGA
US
N
2
2051-04-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AB6B3
97050.43000000
PA
USD
94410.14000000
0.030199468311
Long
ABS-MBS
USGA
US
N
2
2052-08-20
Fixed
4.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-451.00000000
NC
USD
-200131.25000000
-0.06401703612
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-19
0.00000000
USD
2500.00000000
96.50000000
USD
2023-12-15
XXXX
92071.65000000
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBN1
30000.00000000
PA
USD
30413.51000000
0.009728529493
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MB5S4
29866.22000000
PA
USD
29147.67000000
0.009323618591
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
4.00000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAB6
830000.00000000
PA
USD
821216.97000000
0.262686993820
Long
DBT
CORP
KY
N
2
2024-02-15
Fixed
5.50000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAF0
3910000.00000000
PA
USD
3743825.00000000
1.197557004502
Long
DBT
CORP
CH
N
2
N/A
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGJR1
625976.63000000
PA
USD
557017.10000000
0.178175991060
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDGD2
263653.74000000
PA
USD
226058.88000000
0.072310643572
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
138.00000000
NC
USD
80212.50000000
0.025657994490
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
-46839.80000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNGZ0
2724286.12000000
PA
USD
2505900.83000000
0.801575685710
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.50000000
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust Series 2004-4
86359BNU1
28593.05000000
PA
USD
28147.20000000
0.009003592987
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Variable
5.72453500
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAS4
200000.00000000
PA
USD
160906.02000000
0.051469855379
Long
DBT
CORP
KY
N
2
2031-08-08
Variable
3.75000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBD4
26000.00000000
PA
USD
25732.04000000
0.008231043048
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.25000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2006-16N
52522DAN1
8777.92000000
PA
USD
9469.98000000
0.003029212338
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
5.61800000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM 37 Ltd
50204JAJ6
940000.00000000
PA
USD
883530.25000000
0.282619470615
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
8.63632000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179W5E4
95683.62000000
PA
USD
90970.00000000
0.029099052626
Long
ABS-MBS
USGA
US
N
2
2052-05-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAKS2
247506.62000000
PA
USD
223046.14000000
0.071346942574
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
3.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RY6
1700000.00000000
PA
USD
1372484.38000000
0.439023801283
Long
DBT
UST
US
N
2
2047-08-15
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F020661
-1100000.00000000
PA
USD
-904634.79000000
-0.28937029088
Short
ABS-MBS
USGSE
US
N
2
2053-06-15
Fixed
2.00000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAL7
205000.00000000
PA
USD
190425.16000000
0.060912298035
Long
DBT
CORP
US
N
2
2041-07-15
Fixed
5.60000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F050668
500000.00000000
PA
USD
492568.36000000
0.157560433437
Long
ABS-MBS
USGSE
US
N
2
2053-06-15
Fixed
5.00000000
N
N
N
N
N
N
Saranac CLO LTD
5493000LWP4BVD5LGS13
Saranac CLO III Ltd
803169AW1
2000000.00000000
PA
USD
1716845.54000000
0.549176417721
Long
ABS-CBDO
CORP
JE
N
2
2030-06-22
Floating
8.19714000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
CAD/USD FORWARD
000000000
1.00000000
NC
USD
-25317.47000000
-0.00809843236
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-3085139.27000000
USD
4148905.16000000
CAD
2023-07-18
-25317.47000000
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAK6
30000.00000000
PA
USD
30476.84000000
0.009748787194
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFTF8
277479.98000000
PA
USD
239162.35000000
0.076502119478
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
98030000.00000000
PA
4987897.63000000
1.595505063551
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
INDIAN RAILWAY FINANCE
335800F2JHSOGXQEBY56
Indian Railway Finance Corp Ltd
000000000
100000000.00000000
PA
1207780.24000000
0.386339021271
Long
DBT
NUSS
IN
N
2
2027-06-15
Fixed
7.27000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
391.00000000
NC
USD
2443.75000000
0.000781695172
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-09-19
0.00000000
USD
2500.00000000
95.50000000
USD
2023-06-16
XXXX
-125452.35000000
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F040669
-500000.00000000
PA
USD
-472421.88000000
-0.15111607285
Short
ABS-MBS
USGSE
US
N
2
2053-06-15
Fixed
4.00000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AT8
750000.00000000
PA
USD
715066.30000000
0.228732020393
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
5.75000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023BY0
150000.00000000
PA
USD
116487.65000000
0.037261517617
Long
DBT
CORP
US
N
2
2038-03-01
Fixed
3.55000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VHV5
113737.60000000
PA
USD
111912.86000000
0.035798155465
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
4.50000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AL8
410000.00000000
PA
USD
335450.48000000
0.107302310334
Long
DBT
CORP
US
N
2
2048-08-15
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179V7D6
900771.13000000
PA
USD
766459.95000000
0.245171577676
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
2.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2U6
140000.00000000
PA
USD
120353.54000000
0.038498120196
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
3.35000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-28CB
12667GXC2
799924.83000000
PA
USD
560120.08000000
0.179168557602
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
5.75000000
N
N
N
N
N
N
METLIFE INC
C4BXATY60WC6XEOZDX54
MetLife Inc
59156RAP3
510000.00000000
PA
USD
503239.11000000
0.160973742394
Long
DBT
CORP
US
N
2
2036-12-15
Fixed
6.40000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DP2K3
196453.09000000
PA
USD
199218.60000000
0.063725101963
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WGQ6
77141.29000000
PA
USD
70366.43000000
0.022508480265
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
3.00000000
N
N
N
N
N
N
Tharaldson Hotel Portfolio Tru
N/A
Tharaldson Hotel Portfolio Trust 2018-THPT
88327HAN3
1603958.92000000
PA
USD
1536331.52000000
0.491434448195
Long
ABS-MBS
CORP
US
N
2
2034-11-11
Floating
8.57900000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2001-HYB1
12669B2W1
3393.22000000
PA
USD
3287.37000000
0.001051548341
Long
ABS-MBS
CORP
US
N
2
2031-06-19
Variable
3.25277100
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
898.00000000
NC
USD
22450.00000000
0.007181199642
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
0.00000000
USD
2500.00000000
95.25000000
USD
2023-06-16
XXXX
-321798.30000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/CNY FORWARD
000000000
1.00000000
NC
USD
-4433.64000000
-0.00141821175
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-160711.54000000
USD
1104474.00000000
CNY
2023-07-18
-4433.64000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
1763.00000000
NC
USD
977652.95000000
0.312726993982
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
191327090.24000000
USD
977652.95000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKY7
144857.75000000
PA
USD
142475.41000000
0.045574359168
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UEB4
80248.35000000
PA
USD
80423.18000000
0.025725385810
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
5.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-ARIA
05608RAQ8
1030000.00000000
PA
USD
954236.81000000
0.305236750053
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
8.24910000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABS3
80000.00000000
PA
USD
70050.95000000
0.022407566017
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
2.62500000
N
N
N
N
N
N
HACKENSACK MERIDIAN HLTH
5493001CB3OCWTEJY668
Hackensack Meridian Health Inc
404530AB3
310000.00000000
PA
USD
262814.79000000
0.084067949931
Long
DBT
CORP
US
N
2
2048-07-01
Fixed
4.21100000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAN5
500000.00000000
PA
USD
430821.15000000
0.137809028432
Long
DBT
CORP
KY
N
2
2027-03-08
Variable
2.80000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBE4
380000.00000000
PA
USD
300882.29000000
0.096244801485
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
5.25000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
USD/EUR FORWARD
000000000
1.00000000
NC
USD
114349.31000000
0.036577515549
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-4562509.56000000
EUR
5004676.05000000
USD
2023-07-18
114349.31000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
-5690000.00000000
NC
USD
-14422.26000000
-0.00461332420
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
-5690000.00000000
USD
4.10000000
USD
2023-08-29
XXXX
48167.74000000
N
N
N
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
AUST 10Y BOND
000000000
116.00000000
NC
73787.72000000
0.023602866301
N/A
DIR
CORP
AU
N
1
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
Long
AUSTRALIAN GOVERNMENT
Australia Government Bond
2023-06-15
9127030.46000000
USD
73787.72000000
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAD7
460000.00000000
PA
USD
438425.33000000
0.140241417505
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.75000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CV5
265000.00000000
PA
USD
261309.06000000
0.083586304152
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.70500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XLKT4
100000.00000000
PA
USD
99982.95000000
0.031982072373
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
5.50000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AJ8
1180000.00000000
PA
USD
777656.34000000
0.248753025866
Long
DBT
CORP
CO
N
2
2045-05-28
Fixed
5.87500000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAQ8
330000.00000000
PA
USD
272517.56000000
0.087171626031
Long
DBT
CORP
KY
N
2
2029-03-08
Variable
3.35000000
N
N
N
N
N
N
Starwood Retail Property Trust
5493007115G809OI4R97
Starwood Retail Property Trust 2014-STAR
85571XAS6
7530000.00000000
PA
USD
15097.65000000
0.004829364756
Long
ABS-MBS
CORP
US
N
2
2027-11-15
Floating
9.50800000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-1001.00000000
NC
USD
-688187.50000000
-0.22013415718
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
0.00000000
USD
2500.00000000
97.50000000
USD
2024-06-14
XXXX
210610.40000000
N
N
N
AMERICAN TRANSMISSION SY
N/A
American Transmission Systems Inc
030288AC8
130000.00000000
PA
USD
107987.88000000
0.034542651458
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST
46652DAN5
2079000.00000000
PA
USD
375855.97000000
0.120227027053
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
9.60700000
N
N
N
N
N
N
Golub Capital Partners CLO Ltd
254900SGGS5FSVUNJG17
Golub Capital Partners Clo 45M Ltd
38172HAE4
950000.00000000
PA
USD
927018.75000000
0.296530365967
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Floating
9.05043000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
-533.00000000
NC
USD
-6662.50000000
-0.00213116893
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
0.00000000
USD
2500.00000000
97.50000000
USD
2023-06-16
XXXX
72168.20000000
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
984245AU4
822842.28000000
PA
USD
821772.59000000
0.262864722913
Long
DBT
CORP
AR
N
2
2026-02-12
Variable
9.00000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBE2
300000.00000000
PA
USD
234353.46000000
0.074963874527
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14100000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
840000.00000000
PA
USD
827210.03000000
0.264604025460
Long
DBT
CORP
US
N
2
2024-03-12
Fixed
4.12500000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2022-ONL
95003WAN6
1190000.00000000
PA
USD
891969.02000000
0.285318824384
Long
ABS-MBS
CORP
US
N
2
2039-12-15
Variable
4.92766000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
435.00000000
NC
USD
87000.00000000
0.027829147834
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
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
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-09-19
0.00000000
USD
2500.00000000
94.75000000
USD
2023-06-16
XXXX
58899.00000000
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2H3
360000.00000000
PA
USD
342282.60000000
0.109487736512
Long
DBT
CORP
CH
N
2
2025-02-21
Fixed
3.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ACER7
198897.26000000
PA
USD
197919.93000000
0.063309689556
Long
ABS-MBS
USGA
US
N
2
2053-02-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140N6NC2
98048.73000000
PA
USD
95074.88000000
0.030412102193
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HX1
143434.80159600
PA
USD
36918.78000000
0.011809404442
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
WILLIS-KNIGHTON MED CTR
N/A
Willis-Knighton Medical Center
97068LAA6
580000.00000000
PA
USD
511130.31000000
0.163497942065
Long
DBT
CORP
US
N
2
2048-09-01
Fixed
4.81300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DN6L2
193534.95000000
PA
USD
188790.16000000
0.060389301981
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-454.00000000
NC
USD
-715050.00000000
-0.22872680642
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
0.00000000
USD
2500.00000000
96.25000000
USD
2024-06-14
XXXX
-386853.40000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPWC8
98974.43000000
PA
USD
96158.41000000
0.030758696637
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.50000000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
48667QAS4
530000.00000000
PA
USD
434446.30000000
0.138968624239
Long
DBT
CORP
KZ
N
2
2048-10-24
Fixed
6.37500000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YAU0
1522692.24000000
PA
USD
1432376.19000000
0.458181709726
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
8.25800000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCW4
790000.00000000
PA
USD
731680.16000000
0.234046383221
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
2.94700000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-77.00000000
NC
USD
-52937.50000000
-0.01693339670
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
0.00000000
USD
2500.00000000
97.50000000
USD
2024-06-14
XXXX
18125.80000000
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS Pass-Through Trust
126650BP4
35607.80000000
PA
USD
35941.95000000
0.011496940689
Long
DBT
CORP
US
N
2
2028-12-10
Fixed
6.03600000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWDT7
377272.90000000
PA
USD
346885.17000000
0.110959984799
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2005-9
17307GK31
89399.36000000
PA
USD
73674.93000000
0.023566787570
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
5.39800000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
455.00000000
NC
USD
2843.75000000
0.000909645277
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
0.00000000
USD
2500.00000000
95.00000000
USD
2023-06-16
XXXX
-191486.75000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179W5F1
286898.21000000
PA
USD
279074.92000000
0.089269163282
Long
ABS-MBS
USGA
US
N
2
2052-05-20
Fixed
4.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10YR ULTRA
000000000
-268.00000000
NC
USD
-110680.50000000
-0.03540395398
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
-32170758.34000000
USD
-110680.50000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYWE5
182803.96000000
PA
USD
156377.87000000
0.050021412210
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
-255.00000000
NC
USD
360177.00000000
0.115211712409
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
-61021489.50000000
USD
360177.00000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H020667
400000.00000000
PA
USD
339187.50000000
0.108497690587
Long
ABS-MBS
USGA
US
N
2
2052-06-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPQC5
99218.26000000
PA
USD
96238.00000000
0.030784155509
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
AUD/USD FORWARD
000000000
1.00000000
NC
USD
-106084.95000000
-0.03393395122
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-3438245.33000000
USD
5113659.00000000
AUD
2023-07-18
-106084.95000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPB2
240145.06000000
PA
USD
236146.68000000
0.075537481245
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.50000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
26142000.00000000
PA
5014946.32000000
1.604157270364
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2023-VLT2
123918AA2
160000.00000000
PA
USD
159730.54000000
0.051093848406
Long
ABS-MBS
CORP
US
N
2
2040-06-15
Floating
7.34000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F022667
700000.00000000
PA
USD
598568.36000000
0.191467211258
Long
ABS-MBS
USGSE
US
N
2
2053-06-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QM6A7
274806.38000000
PA
USD
244609.49000000
0.078244524815
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNPZ0
1623283.59000000
PA
USD
1462452.04000000
0.467802230139
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
MASTR Specialized Loan Trust
N/A
Mastr Specialized Loan Trust
57643BAA6
71786.99000000
PA
USD
68203.07000000
0.021816474917
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Floating
5.65800000
N
N
N
N
N
N
FORD MOTOR CREDI
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B69
340000.00000000
PA
USD
275357.47000000
0.088080042988
Long
DBT
CORP
US
N
2
2031-06-17
Fixed
3.62500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
231.00000000
NC
USD
14437.50000000
0.004618199101
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
0.00000000
USD
2500.00000000
95.50000000
USD
2023-06-16
XXXX
-66897.60000000
N
N
N
Palmer Square Loan Funding Ltd
N/A
Palmer Square Loan Funding 2022-3 Ltd
69690CAJ2
580000.00000000
PA
USD
579744.86000000
0.185446039255
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
10.38632000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPTL2
196633.57000000
PA
USD
190689.27000000
0.060996780290
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
4.50000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687DX1
350000.00000000
PA
USD
441448.48000000
0.141208448405
Long
DBT
CORP
US
N
2
2034-08-01
Fixed
8.45000000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AT6
320000.00000000
PA
USD
277197.41000000
0.088668594278
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WJQ2
167320.92000000
PA
USD
142473.44000000
0.045573729014
Long
ABS-MBS
USGA
US
N
2
2051-07-20
Fixed
2.00000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
EUR CALL VERSUS USD PUT
000000000
2380000.00000000
NC
USD
0.00000000
0.000000
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
Put
Purchased
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
EUR CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
EUR
N/A
USD
2023-05-31
2380000.00000000
USD
1.09620000
USD
2023-05-31
XXXX
-32124.65000000
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEG3
400000.00000000
PA
USD
390933.05000000
0.125049811975
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TUB9
281979.45000000
PA
USD
271948.38000000
0.086989559429
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
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
255.00000000
NC
USD
67734.38000000
0.021666552580
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
114.75000000
USD
2023-06-02
XXXX
18121.35000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DQC53
98588.69000000
PA
USD
97866.27000000
0.031304998802
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
4.50000000
N
N
N
N
N
N
BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The
06417XAH4
935000.00000000
PA
USD
902830.00000000
0.288792983212
Long
DBT
CORP
CA
N
2
2025-04-11
Fixed
3.45000000
N
N
N
N
N
N
MSWF Commercial Mortgage Trust 2023-1
N/A
MSWF COMMERCIAL MORTGAGE TRUST 2023-1
55376CAD5
160000.00000000
PA
USD
163025.15000000
0.052147712644
Long
ABS-MBS
CORP
US
N
2
2033-02-15
Fixed
5.47200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVMH5
394560.97000000
PA
USD
376983.22000000
0.120587606442
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133D4QF3
180133.06000000
PA
USD
154016.26000000
0.049265991591
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2021-GS2
52476DAB3
1200000.00000000
PA
USD
1073197.56000000
0.343289351183
Long
ABS-MBS
CORP
US
N
2
2061-04-25
Variable
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABKA9
90116.28000000
PA
USD
78063.25000000
0.024970502582
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
COTERRA ENERGY INC
FCNMH6O7VWU7LHXMK351
Coterra Energy Inc
127097AG8
385000.00000000
PA
USD
365675.78000000
0.116970636105
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.90000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MQCZ7
245011.95000000
PA
USD
214507.66000000
0.068615694043
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.50000000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
Vale Overseas Ltd
91911TAH6
910000.00000000
PA
USD
946620.22000000
0.302800391328
Long
DBT
CORP
KY
N
2
2036-11-21
Fixed
6.87500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
83616.90000000
0.026746977834
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2048-02-15
62885.86000000
USD
0.00000000
USD
-2040000.00000000
USD
20731.04000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKH4
660000.00000000
PA
USD
528728.27000000
0.169127094139
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WP93
88413.67000000
PA
USD
75129.81000000
0.024032167692
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022663
-900000.00000000
PA
USD
-787587.89000000
-0.25192988302
Short
ABS-MBS
USGA
US
N
2
2053-06-15
Fixed
2.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST
46652DAQ8
2173000.00000000
PA
USD
233134.43000000
0.074573936986
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
12.10700000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDS7
190000.00000000
PA
USD
125226.17000000
0.040056753996
Long
DBT
CORP
US
N
2
2051-11-01
Fixed
2.88700000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AG2
760000.00000000
PA
USD
733445.14000000
0.234610956662
Long
DBT
CORP
US
N
2
2024-08-08
Fixed
3.20000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDL2
90000.00000000
PA
USD
58926.06000000
0.018848988908
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
2.80000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2022-6
92539AAC8
1406223.55000000
PA
USD
1345440.52000000
0.430373139467
Long
ABS-MBS
CORP
US
N
2
2067-06-25
Variable
4.91000000
N
N
N
N
N
N
Z Capital Credit Partners CLO
N/A
Z Capital Credit Partners CLO 2021-1 Ltd
98878FAS8
1450000.00000000
PA
USD
1346577.63000000
0.430736872827
Long
ABS-CBDO
CORP
KY
N
2
2033-07-15
Floating
9.46029000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RC4
570000.00000000
PA
USD
539718.75000000
0.172642676814
Long
DBT
UST
US
N
2
2043-08-15
Fixed
3.62500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
-118.00000000
NC
USD
-25075.00000000
-0.00802087220
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
21877.20000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABJF0
90414.11000000
PA
USD
78327.12000000
0.025054908068
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XJV91
193023.34000000
PA
USD
177575.63000000
0.056802051253
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.50000000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AH0
110000.00000000
PA
USD
102909.75000000
0.032918283291
Long
DBT
CORP
US
N
2
2025-06-25
Fixed
2.90000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDU7
120000.00000000
PA
USD
116013.10000000
0.037109720812
Long
DBT
CORP
US
N
2
2025-04-07
Fixed
3.80000000
N
N
N
N
N
N
ELEVANCE HEALTH INC
8MYN82XMYQH89CTMTH67
Elevance Health Inc
036752AT0
350000.00000000
PA
USD
329387.90000000
0.105363040965
Long
DBT
CORP
US
N
2
2032-05-15
Fixed
4.10000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JU6
98000.00000000
PA
USD
86956.83000000
0.027815338819
Long
DBT
CORP
US
N
2
2045-07-30
Fixed
4.65000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859AZ5
480000.00000000
PA
USD
579106.97000000
0.185241994024
Long
DBT
CORP
US
N
2
2038-06-15
Fixed
8.15000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F032666
600000.00000000
PA
USD
551320.31000000
0.176353728864
Long
ABS-MBS
USGSE
US
N
2
2053-06-15
Fixed
3.50000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.40.V1
000000000
1.00000000
NC
USD
228060.39000000
0.072950877109
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.40.V1
Y
Default Event
2033-06-20
468756.14000000
USD
0.00000000
USD
-29228000.00000000
USD
-240695.75000000
N
N
N
Bristol Park CLO, Ltd.
549300XRS6MFERKEPO61
Bristol Park CLO LTD
11014PAQ8
1420000.00000000
PA
USD
1267817.18000000
0.405543353211
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
8.21029000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BR2
110000.00000000
PA
USD
87555.32000000
0.028006780965
Long
DBT
CORP
US
N
2
2032-02-03
Fixed
2.15000000
N
N
N
N
N
N
HPS Loan Management Ltd
2549009NI8GVCM3ROT27
HPS Loan Management 10-2016 Ltd
40436TBA3
1520000.00000000
PA
USD
1378084.38000000
0.440815102753
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
8.40043000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAN0
80000.00000000
PA
USD
70200.02000000
0.022455249822
Long
DBT
CORP
US
N
2
N/A
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPNF1
98332.13000000
PA
USD
95378.47000000
0.030509213124
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDX4
520000.00000000
PA
USD
512155.96000000
0.163826022128
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
8.37299000
N
N
N
N
N
N
INDIA GOVERNMENT BOND
335800IV7VCDQGIOI391
India Government Bond
000000000
200000000.00000000
PA
2261763.60000000
0.723482225186
Long
DBT
NUSS
IN
N
2
2030-05-11
Fixed
5.79000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAR4
230000.00000000
PA
USD
188406.17000000
0.060266473079
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
5.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
549300L45M7638EL0H21
GS Mortgage Securities Trust 2015-GC30
36250GAX3
1000000.00000000
PA
USD
788006.20000000
0.252063690050
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Fixed
3.38400000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT
000000000
171.00000000
NC
USD
362374.86000000
0.115914753453
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
23043250.14000000
USD
362374.86000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
-276.00000000
NC
USD
-69000.00000000
-0.02207139311
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
46295.40000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DN5L3
285360.83000000
PA
USD
247194.85000000
0.079071517524
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KQPL9
151132.78000000
PA
USD
125082.70000000
0.040010861492
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
60000.00000000
PA
USD
54244.93000000
0.017351611221
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-211.00000000
NC
USD
-75168.75000000
-0.02404462363
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
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
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
0.00000000
USD
2500.00000000
94.50000000
USD
2024-06-14
XXXX
-1761.85000000
N
N
N
HalseyPoint CLO I, Ltd.
549300POBLM5RW6LD816
Halsey Point CLO I Ltd
40638CAC3
860000.00000000
PA
USD
726627.21000000
0.232430069513
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
13.45043000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DQFF8
99381.89000000
PA
USD
95539.12000000
0.030560601085
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TZ65
85740.10000000
PA
USD
84469.78000000
0.027019793047
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KNVZ8
155903.21000000
PA
USD
129057.30000000
0.041282237710
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
451.00000000
NC
USD
152212.50000000
0.048689013388
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
95.50000000
USD
2023-09-15
XXXX
-141884.60000000
N
N
N
Whitehorse Ltd
N/A
Whitehorse XII Ltd
96525YAJ8
2260000.00000000
PA
USD
2041745.57000000
0.653103900093
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
8.91029000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AJ4
20000.00000000
PA
USD
20157.62000000
0.006447923988
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
5.62500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-836.00000000
NC
USD
-26125.00000000
-0.00835674123
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-12-19
0.00000000
USD
2500.00000000
98.25000000
USD
2023-09-15
XXXX
243819.40000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CP8
130000.00000000
PA
USD
104757.50000000
0.033509332807
Long
DBT
CORP
US
N
2
2035-02-01
Fixed
3.25000000
N
N
N
N
N
N
BRASKEM AMERICA FINANCE
254900QMQAJ26H49CL75
Braskem America Finance Co
000000000
1010000.00000000
PA
USD
948308.29000000
0.303340363162
Long
DBT
CORP
US
N
2
2041-07-22
Fixed
7.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179W2W7
948427.85000000
PA
USD
880155.84000000
0.281540080331
Long
ABS-MBS
USGA
US
N
2
2052-04-20
Fixed
3.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SQ2
3380000.00000000
PA
USD
2180166.01000000
0.697381174668
Long
DBT
UST
US
N
2
2040-08-15
Fixed
1.12500000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBF1
180000.00000000
PA
USD
129152.65000000
0.041312737816
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
435.00000000
NC
USD
5437.50000000
0.001739321739
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-09-19
0.00000000
USD
2500.00000000
95.12500000
USD
2023-06-16
XXXX
-71601.00000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XK5Q9
98797.18000000
PA
USD
100294.49000000
0.032081726312
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
6.00000000
N
N
N
N
N
N
Access Group Inc
635400C9RW3TYNTIJP57
AccessLex Institute
00432CBK6
300000.00000000
PA
USD
278045.64000000
0.088939922072
Long
ABS-O
CORP
US
N
2
2039-07-01
Variable
6.65400000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAH2
710000.00000000
PA
USD
682916.39000000
0.218448059493
Long
DBT
CORP
N/A
N
2
2027-01-15
Fixed
3.87500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAG8
130000.00000000
PA
USD
128427.02000000
0.041080626730
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-21CB
02147GAF1
1499390.81000000
PA
USD
159789.03000000
0.051112557910
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.46200000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2017-CD5 Mortgage Trust
12515HAZ8
340000.00000000
PA
USD
314971.68000000
0.100751648809
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Fixed
3.43100000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RD2
5600000.00000000
PA
USD
5397328.10000000
1.726471742603
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/JPY FORWARD
000000000
1.00000000
NC
USD
20719.81000000
0.006627754662
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-74499000.00000000
JPY
559451.16000000
USD
2023-07-18
20719.81000000
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAF2
1650000.00000000
PA
USD
1606846.48000000
0.513990439532
Long
DBT
CORP
KY
N
2
2025-08-08
Variable
5.62500000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
74977RDN1
450000.00000000
PA
USD
420203.26000000
0.134412628081
Long
DBT
CORP
NL
N
2
2028-04-06
Fixed
3.64900000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2023-SMRT
17291NAA9
330000.00000000
PA
USD
335762.26000000
0.107402041043
Long
ABS-MBS
CORP
US
N
2
2028-06-10
Variable
6.01468500
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-20.00000000
NC
USD
-2187.50000000
-0.00069972713
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
118.50000000
USD
2023-06-23
XXXX
8090.40000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/JPY FORWARD
000000000
1.00000000
NC
USD
-196233.59000000
-0.06277027110
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-4337990.29000000
USD
572746940.00000000
JPY
2023-07-18
-196233.59000000
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBG9
260000.00000000
PA
USD
250607.05000000
0.080162995894
Long
DBT
CORP
US
N
2
2024-09-06
Fixed
2.78900000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/NZD FORWARD
000000000
1.00000000
NC
USD
-59995.26000000
-0.01919099953
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-1432074.01000000
USD
2278631.00000000
NZD
2023-07-18
-59995.26000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR CALL VERSUS USD PUT
000000000
7870000.00000000
NC
USD
2477.18000000
0.000792388602
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
EUR
N/A
USD
2023-09-01
7870000.00000000
USD
1.16000000
USD
2023-09-01
XXXX
-26964.49000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAH3
1930000.00000000
PA
USD
1724937.50000000
0.551764835550
Long
DBT
CORP
US
N
2
N/A
Floating
9.34871000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XK6S4
98423.79000000
PA
USD
97337.47000000
0.031135848764
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.50000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAH2
260000.00000000
PA
USD
260431.60000000
0.083305626404
Long
DBT
CORP
US
N
2
2025-02-01
Variable
6.12500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS JPY
000000000
1.00000000
NC
1268604.33000000
0.405795143024
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-04-19
2140.43000000
USD
0.00000000
USD
-2608760000.00000000
JPY
1266463.90000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-178.00000000
NC
USD
-84550.00000000
-0.02704545344
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
0.00000000
USD
2500.00000000
98.00000000
USD
2024-06-14
XXXX
35226.20000000
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AC1
1950000.00000000
PA
USD
1736095.53000000
0.555334013325
Long
DBT
CORP
US
N
2
2030-02-01
Variable
4.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NF99
927992.44000000
PA
USD
23208.35000000
0.007423777047
Long
ABS-MBS
USGA
US
N
2
2055-09-16
Variable
0.62868000
N
N
N
N
N
N
BUILDERS FIRSTSOURCE INC
549300W0SKP6L3H7DP63
Builders FirstSource Inc
12008RAP2
30000.00000000
PA
USD
25802.40000000
0.008253549472
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.25000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
506371000.00000000
PA
310466.58000000
0.099310578764
Long
DBT
NUSS
RU
N
3
2028-01-19
Fixed
7.05000000
N
Y
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UQ70
49699.30000000
PA
USD
49692.47000000
0.015895391883
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
5.00000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2017-C7
90276WAR8
501417.70000000
PA
USD
466784.18000000
0.149312712092
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Fixed
3.41800000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-1967384.27000000
-0.62931755973
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-07-11
0.00000000
USD
0.00000000
USD
20401000.00000000
USD
-1967384.27000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.HY.40.V1
000000000
1.00000000
NC
USD
-229269.85000000
-0.07333775344
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.40.V1
Y
Default Event
2028-06-20
21296.39000000
USD
0.00000000
USD
-11019600.00000000
USD
-250566.24000000
N
N
N
BX Trust
N/A
BX Trust 2021-SDMF
12434CAQ7
860000.00000000
PA
USD
791311.11000000
0.253120849003
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
7.04400000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2017-CHOP
12651QAU3
1229000.00000000
PA
USD
1128969.11000000
0.361129290377
Long
ABS-MBS
CORP
US
N
2
2032-07-15
Floating
12.45700000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
EUR/NOK FORWARD
000000000
1.00000000
NC
USD
70851.83000000
0.022663747717
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-19556768.00000000
NOK
1713596.96000000
EUR
2023-07-18
70851.83000000
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AJ4
1020000.00000000
PA
USD
1026375.00000000
0.328311972513
Long
DBT
CORP
FR
N
2
N/A
Fixed
8.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WQB7
168090.53000000
PA
USD
151900.00000000
0.048589052368
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QRRN5
98030.58000000
PA
USD
95028.30000000
0.030397202404
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WDN6
88637.80000000
PA
USD
80853.27000000
0.025862960962
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
3.00000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636ABC4
720000.00000000
PA
USD
676717.52000000
0.216465194325
Long
DBT
CORP
DK
N
2
2028-04-01
Fixed
4.29800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGQ44
275578.34000000
PA
USD
245032.02000000
0.078379681710
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
3140XDRK4
363225.81000000
PA
USD
300140.12000000
0.096007399661
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XLET1
100000.00000000
PA
USD
94700.57000000
0.030292369684
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
4.00000000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAN1
460000.00000000
PA
USD
376877.40000000
0.120553757242
Long
DBT
CORP
US
N
2
2032-01-31
Fixed
3.25000000
N
N
N
N
N
N
Deutsche Mortgage Securities,
N/A
Deutsche Mortgage Securities Inc Mortgage Loan Trust 2004-4
251563FE7
2821.63000000
PA
USD
2571.45000000
0.000822543243
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
5.58800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XH5K9
671551.13000000
PA
USD
666152.09000000
0.213085574631
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
5.00000000
N
N
N
N
N
N
National Collegiate Student Lo
635400VQIBXGEB9ZUC59
National Collegiate Student Loan Trust 2007-2
63543LAD7
702126.24000000
PA
USD
647612.74000000
0.207155295183
Long
ABS-O
CORP
US
N
2
2033-01-25
Floating
5.42800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGXH5
247654.26000000
PA
USD
204772.98000000
0.065501810723
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GLA5
240000.00000000
PA
USD
237511.63000000
0.075974094985
Long
DBT
CORP
US
N
2
2026-07-22
Fixed
4.82700000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAP4
60000.00000000
PA
USD
50858.14000000
0.016268260881
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.30000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89115A2E1
945000.00000000
PA
USD
894225.53000000
0.286040626112
Long
DBT
CORP
CA
N
2
2032-06-08
Fixed
4.45600000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AL3
220000.00000000
PA
USD
209852.61000000
0.067126658702
Long
DBT
CORP
CO
N
2
2026-06-26
Fixed
5.37500000
N
N
N
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AB3
290000.00000000
PA
USD
280301.32000000
0.089661458304
Long
DBT
CORP
N/A
N
2
2028-10-20
Fixed
4.75000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
88000000000.00000000
PA
6091314.21000000
1.948460731688
Long
DBT
NUSS
ID
N
2
2042-06-15
Fixed
7.12500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAM2
310000.00000000
PA
USD
261340.82000000
0.083596463390
Long
DBT
CORP
US
N
2
N/A
Fixed
7.12500000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2004-AR13 Trust
92922FB49
1464835.40000000
PA
USD
1361101.91000000
0.435382830704
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Floating
5.85800000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050664
300000.00000000
PA
USD
296291.01000000
0.094776164590
Long
ABS-MBS
USGA
US
N
2
2052-06-15
Fixed
5.00000000
N
N
N
N
N
N
NTT FINANCE CORP
3538007PR116187GD960
NTT Finance Corp
62954WAK1
270000.00000000
PA
USD
267398.95000000
0.085534309314
Long
DBT
CORP
JP
N
2
2027-07-27
Fixed
4.37200000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPEH7
391407.55000000
PA
USD
360030.63000000
0.115164892267
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XSQ5
31247818.25000000
PA
USD
144549.28000000
0.046237738879
Long
ABS-MBS
USGA
US
N
2
2055-01-16
Variable
0.14783000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2018-GW MZ
12433RAA0
1170000.00000000
PA
USD
1144803.00000000
0.366194160097
Long
ABS-MBS
CORP
US
N
2
2037-05-15
Floating
10.84529700
N
N
N
N
N
N
Amortizing Residential Collate
N/A
Amortizing Residential Collateral Trust 2002-BC5
86358RZ67
16563.66000000
PA
USD
16483.19000000
0.005272564727
Long
ABS-MBS
CORP
US
N
2
2032-07-25
Floating
6.17300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVL94
4736700.70000000
PA
USD
4098772.93000000
1.311096066773
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAJ7
10000.00000000
PA
USD
9535.29000000
0.003050103391
Long
DBT
CORP
US
N
2
2037-05-01
Fixed
6.55000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-231.00000000
NC
USD
-82293.75000000
-0.02632373488
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
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
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
0.00000000
USD
2500.00000000
94.50000000
USD
2024-06-14
XXXX
-1778.85000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2M4
820000.00000000
PA
USD
751035.17000000
0.240237572125
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLA1
137291.21000000
PA
USD
119058.88000000
0.038083990488
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABCA8
86203.85000000
PA
USD
74674.77000000
0.023886611653
Long
ABS-MBS
USGA
US
N
2
2051-06-20
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-1904.00000000
NC
USD
-507826.63000000
-0.16244117655
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
-217440673.37000000
USD
-507826.63000000
N
N
N
CIGNA GROUP/THE
549300VIWYMSIGT1U456
Cigna Group/The
125523CB4
665000.00000000
PA
USD
632760.72000000
0.202404501388
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R01
20754CAF6
1790000.00000000
PA
USD
1753480.96000000
0.560895182309
Long
ABS-MBS
CORP
US
N
2
2040-01-25
Floating
8.38800000
N
N
N
N
N
N
2023-07-24
Western Asset Funds Inc
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer