0001752724-23-181453.txt : 20230818 0001752724-23-181453.hdr.sgml : 20230818 20230818121736 ACCESSION NUMBER: 0001752724-23-181453 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20230630 FILED AS OF DATE: 20230818 DATE AS OF CHANGE: 20230818 PERIOD START: 20231231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: 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: 231184693 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 S000000713 Western Asset Core Bond Fund C000002079 Class I WATFX C000002080 Class FI WAPIX C000066988 Class IS WACSX C000113701 CLASS A WABAX C000113702 CLASS C WABCX C000113703 CLASS R WABRX C000117034 Class C1 LWACX NPORT-P 1 primary_doc.xml NPORT-P false 0000863520 XXXXXXXX S000000713 C000002080 C000113702 C000066988 C000117034 C000002079 C000113701 C000113703 Western Asset Funds Inc 811-06110 0000863520 5493004NC00X8WKL1P34 620 Eighth Avenue 47th Floor New York 10018 1-877-721-1926 Western Asset Core Bond Fund S000000713 549300Q2LEO7M5HGWP70 2023-12-31 2023-06-30 N 16563592027.88 1425797585.20 15137794442.68 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 217482298.18000000 840665227.94000000 0.00000000 160000.00000000 USD N Bloomberg US Aggregate N/A Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABFC1 7828176.50000000 PA USD 6713746.73000000 0.044350891111 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 2.50000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BQ8 8220000.00000000 PA USD 7595650.06000000 0.050176728774 Long DBT CORP US N 2 2025-06-03 Fixed 0.80000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBC6 5000000.00000000 PA USD 4778975.60000000 0.031569827547 Long DBT CORP US N 2 2045-02-15 Fixed 5.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411YGF4 2864.24000000 PA USD 2935.00000000 0.000019388557 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WLWX0 888929.65000000 PA USD 873892.61000000 0.005772918989 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4.50000000 N N N N N N Credit Suisse Mortgage Trust N/A 126395AA0 12350000.00000000 PA USD 11894336.87000000 0.078573777144 Long ABS-MBS CORP US N 2 2037-10-15 Floating 6.54300000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36207KNX4 20158.15000000 PA USD 20411.49000000 0.000134837938 Long ABS-MBS USGA US N 2 2029-04-15 Fixed 6.00000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QBE1 5746000.00000000 PA USD 3315123.10000000 0.021899644050 Long DBT CORP MX N 2 2044-06-27 Fixed 5.50000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAS9 55900000.00000000 PA USD 44212723.15000000 0.292068460286 Long DBT NUSS MX N 2 2052-02-12 Fixed 4.40000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBP5 28260000.00000000 PA USD 21687214.59000000 0.143265352638 Long DBT CORP US N 2 2035-11-15 Fixed 3.13700000 N N N N N N Bluemountain CLO Ltd 5493001GLQHON6UV2U40 09630PAA1 11330000.00000000 PA USD 11150962.67000000 0.073663060442 Long ABS-CBDO CORP KY N 2 2034-04-15 Floating 6.52029000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617XSQ60 6968026.55000000 PA USD 6243394.22000000 0.041243750822 Long ABS-MBS USGA US N 2 2052-01-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380LEB5 2347924.46000000 PA USD 2323843.68000000 0.015351269888 Long ABS-MBS USGA US N 2 2068-05-20 Floating 5.39386000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31329QBK6 564249.36000000 PA USD 552670.02000000 0.003650928291 Long ABS-MBS USGSE US N 2 2049-03-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412YCG5 437.73000000 PA USD 448.54000000 0.000002963047 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.50000000 N N N N N N Credit Suisse Mortgage Trust N/A 12653VAA4 24271615.23000000 PA USD 24158337.17000000 0.159589544312 Long ABS-MBS CORP US N 2 2036-05-15 Floating 6.17300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KKK24 25157940.32000000 PA USD 21664504.45000000 0.143115329858 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N FED REPUBLIC OF BRAZIL 254900ZFY40OYEADAP90 105756BW9 6170000.00000000 PA USD 4824513.22000000 0.031870648252 Long DBT NUSS BR N 2 2045-01-27 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132H7BP8 2302173.24000000 PA USD 2145626.61000000 0.014173971103 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KA8 25282000.00000000 PA USD 24152645.48000000 0.159551945109 Long DBT CORP US N 2 2027-09-29 Fixed 4.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXCA8 148981.55000000 PA USD 140743.23000000 0.000929747266 Long ABS-MBS USGSE US N 2 2055-09-01 Fixed 4.00000000 N N N N N N PERUSAHAAN LISTRIK NEGAR 254900OYVDRYS9J51J61 71568PAC3 4743000.00000000 PA USD 4522103.17000000 0.029872932857 Long DBT CORP ID N 2 2027-05-15 Fixed 4.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KLVW9 1719502.85000000 PA USD 1423588.15000000 0.009404197919 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406YYV6 155.77000000 PA USD 157.39000000 0.000001039715 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BLC4 947718.56000000 PA USD 942716.03000000 0.006227565274 Long ABS-MBS USGA US N 2 2061-03-20 Floating 5.57386000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGGW3 26366457.83000000 PA USD 21768434.72000000 0.143801891368 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36241LNK8 774477.74000000 PA USD 804353.37000000 0.005313544010 Long ABS-MBS USGA US N 2 2034-08-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GUX2 73701.25000000 PA USD 70892.30000000 0.000468313268 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MGNF4 4800411.81000000 PA USD 4119853.73000000 0.027215680233 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N COMISION FEDERAL DE ELEC 4469000001BFPONMPF32 200447AK6 20305000.00000000 PA USD 15728742.55000000 0.103903792653 Long DBT CORP MX N 2 2033-07-26 Fixed 3.87500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SY5 58290000.00000000 PA USD 44939085.28000000 0.296866795557 Long DBT UST US N 2 2041-05-15 Fixed 2.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397EWH4 585882.60000000 PA USD 50370.55000000 0.000332746954 Long ABS-MBS USGSE US N 2 2037-02-15 Floating 1.23671000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 5748.00000000 NC USD 15878850.00000000 0.104895399789 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Purchased CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-03-18 0.00000000 USD 2500.00000000 97.00000000 USD 2023-10-13 XXXX 9686416.70000000 N N N Credit Suisse Mortgage Trust N/A 12655VAA2 3378664.60000000 PA USD 3229321.21000000 0.021332838295 Long ABS-MBS CORP US N 2 2059-10-25 Variable 2.65600000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967EW7 6491000.00000000 PA USD 8311226.73000000 0.054903815489 Long DBT CORP US N 2 2039-07-15 Fixed 8.12500000 N N N N N N ABBOTT LABORATORIES HQD377W2YR662HK5JX27 002824BG4 1836000.00000000 PA USD 1844745.46000000 0.012186355594 Long DBT CORP US N 2 2036-11-30 Fixed 4.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AEPA6 513601.60000000 PA USD 441157.94000000 0.002914281480 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXDJ8 3800750.39000000 PA USD 3677719.07000000 0.024294946558 Long ABS-MBS USGSE US N 2 2056-02-01 Fixed 4.00000000 N N N N N N DUKE ENERGY CORP I1BZKREC126H0VB1BL91 26441CAX3 3979000.00000000 PA USD 3676720.58000000 0.024288350551 Long DBT CORP US N 2 2027-08-15 Fixed 3.15000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613BB3 457000.00000000 PA USD 439546.00000000 0.002903633033 Long DBT CORP CH N 2 2026-04-17 Fixed 4.55000000 N N N N N N Credit Suisse Mortgage Trust N/A 126417AA2 54350000.00000000 PA USD 37247131.13000000 0.246053883681 Long ABS-MBS CORP US N 2 2025-09-16 Floating 9.00018000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SX7 26160000.00000000 PA USD 19462631.38000000 0.128569795644 Long DBT UST US N 2 2051-05-15 Fixed 2.37500000 N N N N N N PETROLEOS DEL PERU SA 549300ZMGDLC9JT2OR80 716564AA7 30909000.00000000 PA USD 23663673.86000000 0.156321807312 Long DBT CORP PE N 2 2032-06-19 Fixed 4.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128K7MU9 2740.73000000 PA USD 2757.75000000 0.000018217647 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AM96 453738.10000000 PA USD 422249.76000000 0.002789374380 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.50000000 N N N N N N EMERSON ELECTRIC CO FGLT0EWZSUIRRITFOA30 291011BS2 23020000.00000000 PA USD 15712217.67000000 0.103794629590 Long DBT CORP US N 2 2051-12-21 Fixed 2.80000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FG4E4 30402.16000000 PA USD 5972.95000000 0.000039457201 Long ABS-MBS USGSE US N 2 2039-01-25 Variable 5.00000000 N N N N N N JP Morgan Mortgage Trust N/A 46649KAA3 4434345.43000000 PA USD 3909383.23000000 0.025825315866 Long ABS-MBS CORP US N 2 2048-10-25 Variable 3.50000000 N N N N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411AR6 89000.00000000 PA USD 80232.17000000 0.000530012283 Long DBT CORP US N 2 2037-01-15 Fixed 6.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FPJQ9 7562000.78000000 PA USD 204785.03000000 0.001352806254 Long ABS-MBS USGSE US N 2 2027-06-25 Variable 1.34912100 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QSAY7 7937455.44000000 PA USD 7928298.79000000 0.052374200350 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201Q4Y6 14174.00000000 PA USD 14345.25000000 0.000094764465 Long ABS-MBS USGA US N 2 2032-09-15 Fixed 6.00000000 N N N N N N Onslow Bay Financial LLC N/A 67114VAA1 16816135.15000000 PA USD 14150394.32000000 0.093477252406 Long ABS-MBS CORP US N 2 2061-11-25 Variable 2.30500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36290YHG6 47478.04000000 PA USD 48517.06000000 0.000320502832 Long ABS-MBS USGA US N 2 2034-09-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPNF1 5650806.02000000 PA USD 5436873.34000000 0.035915888279 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XA5B4 1147243.94000000 PA USD 1096607.98000000 0.007244172750 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAV8 6157000.00000000 PA USD 5856916.93000000 0.038690688740 Long DBT CORP US N 2 2029-07-23 Fixed 4.20300000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFX2 4567000.00000000 PA USD 4383450.81000000 0.028956997841 Long DBT CORP US N 2 2026-04-19 Fixed 3.50000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBV2 2725000.00000000 PA USD 2467668.19000000 0.016301372035 Long DBT CORP US N 2 2037-05-15 Fixed 4.92600000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAV5 2774000.00000000 PA USD 2797072.69000000 0.018477412284 Long DBT CORP US N 2 2025-12-15 Fixed 5.85000000 N N N N N N Merrill Lynch Mortgage Investo N/A 59020UW27 12240.03000000 PA USD 7890.85000000 0.000052126814 Long ABS-MBS CORP US N 2 2035-12-25 Variable 4.58268500 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GAT9 2946000.00000000 PA USD 2817035.58000000 0.018609286779 Long DBT CORP US N 2 2026-03-01 Fixed 3.04300000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200AGR4 2177.76000000 PA USD 2221.75000000 0.000014676840 Long ABS-MBS USGA US N 2 2032-12-15 Fixed 6.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 246.00000000 NC USD 149906.26000000 0.000990278078 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 128.50000000 USD 2023-07-21 XXXX -152253.72000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X7FP9 12988646.83000000 PA USD 12088151.61000000 0.079854113859 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JU6 7037000.00000000 PA USD 6248087.49000000 0.041274754480 Long DBT CORP US N 2 2045-07-30 Fixed 4.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31398PFE4 265685.22000000 PA USD 27377.43000000 0.000180854814 Long ABS-MBS USGSE US N 2 2040-04-25 Floating 1.32957000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFR0 9400000.00000000 PA USD 8143675.24000000 0.053796973336 Long DBT CORP US N 2 2050-04-01 Fixed 4.20000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175AY0 27894000.00000000 PA USD 27362533.67000000 0.180756409222 Long DBT CORP US N 2 2025-07-23 Fixed 4.90800000 N N N N N N IBM CORP VGRQXHF3J8VDLUA7XE92 459200JY8 16559000.00000000 PA USD 16188328.61000000 0.106939809965 Long DBT CORP US N 2 2024-05-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AFV31 11137.32000000 PA USD 11224.06000000 0.000074145940 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 5.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H7Z22 22471708.28000000 PA USD 552770.32000000 0.003651590871 Long ABS-MBS USGSE US N 2 2055-06-25 Variable 0.43000900 N N N N N N BENCHMARK Mortgage Trust N/A 08162LAF7 13280000.00000000 PA USD 10504518.51000000 0.069392661855 Long ABS-MBS CORP US N 2 2043-09-15 Variable 2.90860000 N N N N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 45866FAX2 1030000.00000000 PA USD 977752.12000000 0.006459013059 Long DBT CORP US N 2 2052-06-15 Fixed 4.95000000 N N N N N N New Residential Mortgage Loan N/A 64830EAC5 9036180.96000000 PA USD 8316845.83000000 0.054940935163 Long ABS-MBS CORP US N 2 2058-11-25 Variable 3.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375GB83 425290.95000000 PA USD 39277.96000000 0.000259469502 Long ABS-MBS USGA US N 2 2042-08-16 Floating 0.94186000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCN9 1150000.00000000 PA USD 1105562.64000000 0.007303327074 Long DBT CORP US N 2 2058-10-15 Fixed 4.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EHEZ1 77311.75000000 PA USD 76395.41000000 0.000504666715 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 4.50000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136AW7J0 1579250.85000000 PA USD 1484549.81000000 0.009806909557 Long ABS-MBS USGSE US N 2 2027-05-25 Variable 3.06100000 N N N N N N Ford Credit Floorplan Master O 5493001DTG5N7T8BG747 34528QHV9 12320000.00000000 PA USD 12200162.13000000 0.080594053355 Long ABS-O CORP US N 2 2028-05-15 Fixed 4.92000000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172AP4 1406000.00000000 PA USD 1212955.40000000 0.008012761730 Long DBT CORP US N 2 2042-03-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YYC5 74690.97000000 PA USD 73351.11000000 0.000484556123 Long ABS-MBS USGSE US N 2 2031-04-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B1TB7 1718262.96000000 PA USD 1475581.67000000 0.009747666184 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31416BMV7 147264.49000000 PA USD 151072.88000000 0.000997984749 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFL74 14439393.93000000 PA USD 11854190.40000000 0.078308570280 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AGRD3 1519537.98000000 PA USD 1258785.55000000 0.008315514884 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BB7 779000.00000000 PA USD 690113.47000000 0.004558877269 Long DBT CORP US N 2 2042-12-01 Fixed 4.62500000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJF7 3000000.00000000 PA USD 2390351.52000000 0.015790619492 Long DBT CORP US N 2 2031-07-23 Fixed 1.89800000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AK4 4200000.00000000 PA USD 3273821.04000000 0.021626803378 Long DBT CORP CH N 2 2033-02-11 Fixed 2.74600000 N N N N N N Credit Suisse Mortgage Trust N/A 12657LAC8 2353139.75000000 PA USD 1664838.61000000 0.010997894153 Long ABS-MBS CORP US N 2 2056-03-25 Variable 1.16900000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200ACF4 9766.46000000 PA USD 10160.78000000 0.000067121931 Long ABS-MBS USGA US N 2 2032-10-15 Fixed 6.00000000 N N N N N N SBALR Commercial Mortgage 2020 N/A 78397EAE6 21915011.65000000 PA USD 17638910.75000000 0.116522329701 Long ABS-MBS CORP US N 2 2053-02-13 Fixed 2.82500000 N N N N N N Whitebox CLO I Ltd 549300C89ZJ5IWOT1F21 96466CAL2 14240000.00000000 PA USD 14039458.89000000 0.092744414935 Long ABS-CBDO CORP KY N 2 2034-10-24 Floating 6.49271000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132HCMV2 301752.81000000 PA USD 296787.48000000 0.001960572797 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WFH6 3398077.45000000 PA USD 3054576.33000000 0.020178476736 Long ABS-MBS USGA US N 2 2051-05-20 Fixed 3.00000000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAQ4 790000.00000000 PA USD 693740.89000000 0.004582839941 Long DBT CORP US N 2 2048-03-01 Fixed 5.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X83T2 3704631.44000000 PA USD 3163918.33000000 0.020900788037 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140CF5 5220000.00000000 PA USD 5255098.18000000 0.034715084815 Long DBT CORP US N 2 2030-02-10 Fixed 5.12500000 N N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAH6 6708000.00000000 PA USD 7020646.46000000 0.046378265252 Long DBT CORP KY N 2 2036-11-21 Fixed 6.87500000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H4BR0 68766519.18000000 PA USD 1621830.85000000 0.010713785658 Long ABS-MBS USGSE US N 2 2031-09-25 Variable 0.44402400 N N N N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411AY1 6878000.00000000 PA USD 5426776.39000000 0.035849188007 Long DBT CORP US N 2 2042-02-01 Fixed 5.25000000 N N N N N N New York Mortgage Trust N/A 62955DAA4 21897416.25000000 PA USD 21606714.91000000 0.142733573188 Long ABS-MBS CORP US N 2 2060-10-25 Variable 2.94390000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AMB1 1369634.68000000 PA USD 1315583.49000000 0.008690721062 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200MC43 6541.12000000 PA USD 6673.83000000 0.000044087201 Long ABS-MBS USGA US N 2 2033-03-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36291H3W2 6029.36000000 PA USD 6143.27000000 0.000040582332 Long ABS-MBS USGA US N 2 2034-09-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P7CD3 29568.68000000 PA USD 29044.27000000 0.000191865929 Long ABS-MBS USGSE US N 2 2026-05-01 Fixed 5.00000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468G7 4534000.00000000 PA USD 4317447.91000000 0.028520983861 Long DBT CORP US N 2 2030-01-23 Fixed 4.43100000 N N N N N N Countrywide Home Loans N/A 12669GUP4 17381.68000000 PA USD 13369.12000000 0.000088316168 Long ABS-MBS CORP US N 2 2035-04-25 Variable 3.51411700 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDP34 5889185.63000000 PA USD 4847550.29000000 0.032022830725 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 92922FBW7 4970.36000000 PA USD 4625.90000000 0.000030558612 Long ABS-MBS CORP US N 2 2033-09-25 Variable 4.15427100 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201YCJ3 11960.22000000 PA USD 12111.93000000 0.000080011193 Long ABS-MBS USGA US N 2 2033-04-15 Fixed 6.00000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBG7 710000.00000000 PA USD 686227.89000000 0.004533209197 Long DBT CORP US N 2 2059-02-14 Fixed 6.20000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B7GA3 2417136.11000000 PA USD 2246220.90000000 0.014838495188 Long ABS-MBS USGSE US N 2 2027-02-25 Fixed 2.23200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJXC9 3618.90000000 PA USD 3557.70000000 0.000023502102 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TSF3 202286.29000000 PA USD 182792.79000000 0.001207525909 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VX47 5396107.17000000 PA USD 5212134.07000000 0.034431264671 Long ABS-MBS USGA US N 2 2050-11-20 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132ACYK0 685533.02000000 PA USD 683034.78000000 0.004512115569 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200KHZ3 1073.51000000 PA USD 1086.60000000 0.000007178060 Long ABS-MBS USGA US N 2 2033-01-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AC3A7 481636.48000000 PA USD 78183.13000000 0.000516476361 Long ABS-MBS USGSE US N 2 2043-03-25 Fixed 4.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -617.00000000 NC USD -106046.88000000 -0.00070054379 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 114.00000000 USD 2023-07-21 XXXX 143526.35000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378NDN0 0.06000000 PA USD 0.00000000 0.000000 Long ABS-MBS USGA US N 2 2044-09-16 Fixed 0.00100000 N N N N N N BARRICK NA FINANCE LLC N/A 06849RAG7 752000.00000000 PA USD 762972.66000000 0.005040183779 Long DBT CORP US N 2 2041-05-30 Fixed 5.70000000 N N N N N N Wells Fargo Commercial Mortgag 5493007CD1Q2V06I4172 94989AAZ8 2066000.00000000 PA USD 1929977.04000000 0.012749393891 Long ABS-MBS CORP US N 2 2047-12-15 Fixed 3.95900000 N N N N N N Ellington Financial Mortgage T N/A 31573CAA3 23228181.86000000 PA USD 19414372.23000000 0.128250996560 Long ABS-MBS CORP US N 2 2067-01-25 Variable 2.20600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B5EE8 3432130.69000000 PA USD 3031570.60000000 0.020026501294 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.00000000 N N N N N N Navient Student Loan Trust N/A 63940JAC3 9295893.55000000 PA USD 9149685.88000000 0.060442661674 Long ABS-O CORP US N 2 2066-07-26 Floating 6.20043000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LJ2H8 1380000.00000000 PA USD 1418929.57000000 0.009373423422 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 4.87000000 N N N N N N NVIDIA CORP 549300S4KLFTLO7GSQ80 67066GAF1 760000.00000000 PA USD 689730.08000000 0.004556344602 Long DBT CORP US N 2 2030-04-01 Fixed 2.85000000 N N N N N N Merrill Lynch Mortgage Investo N/A 59020UQ57 318136.51000000 PA USD 317772.56000000 0.002099199861 Long ABS-MBS CORP US N 2 2036-08-25 Floating 5.89043000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DJ1 2346000.00000000 PA USD 2315208.75000000 0.015294227694 Long DBT CORP US N 2 2040-03-15 Fixed 6.20000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06053FAA7 4988000.00000000 PA USD 4984425.85000000 0.032927028233 Long DBT CORP US N 2 2023-07-24 Fixed 4.10000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F042673 -5600000.00000000 PA USD -5384312.53000000 -0.03556867250 Short ABS-MBS USGSE US N 2 2053-07-15 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B3G50 641635.69000000 PA USD 526395.89000000 0.003477361857 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AK31 1438184.14000000 PA USD 1338505.75000000 0.008842145102 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FF3K5 405952.73000000 PA USD 363491.14000000 0.002401215985 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FLFG6 582370.00000000 PA USD 88825.83000000 0.000586781848 Long ABS-MBS USGSE US N 2 2041-11-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31387EKT3 1689.72000000 PA USD 1697.91000000 0.000011216363 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 7.00000000 N N N N N N Amortizing Residential Collate N/A 86358RZ67 52974.24000000 PA USD 52823.12000000 0.000348948588 Long ABS-O CORP US N 2 2032-07-25 Floating 6.18543000 N N N N N N Hildene Community Funding CLO 549300845E8YWIPN4S43 43133KAC9 22733390.09000000 PA USD 18509817.55000000 0.122275524483 Long ABS-CBDO CORP KY N 2 2035-11-01 Fixed 2.60000000 N N N N N N WAMU Mortgage Pass-Through Cer N/A 933636AJ1 58002.35000000 PA USD 51450.36000000 0.000339880160 Long ABS-MBS CORP US N 2 2036-09-25 Variable 3.71516600 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RLV2 2080000.00000000 PA USD 1449615.38000000 0.009576133336 Long DBT CORP US N 2 2059-09-15 Fixed 3.65000000 N N N N N N WILLIAMS COS INC D71FAKCBLFS2O0RBPG08 969457BD1 23000.00000000 PA USD 25514.71000000 0.000168549719 Long DBT CORP US N 2 2031-06-15 Fixed 7.75000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746SH5 7684000.00000000 PA USD 7138017.76000000 0.047153617966 Long DBT CORP US N 2 2026-10-23 Fixed 3.00000000 N N N N N N SANTANDER UK GROUP HLDGS 549300F5XIFGNNW4CF72 80281LAB1 484000.00000000 PA USD 397970.82000000 0.002628988136 Long DBT CORP GB N 2 2045-09-15 Fixed 5.62500000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2F0 7899000.00000000 PA USD 7464228.93000000 0.049308563134 Long DBT CORP FR N 2 2028-08-14 Fixed 4.40000000 N N N N N N CONOCO FUNDING CO XX71EBFZWSRCIL200314 20825UAC8 313000.00000000 PA USD 358430.08000000 0.002367782713 Long DBT CORP CA N 2 2031-10-15 Fixed 7.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFF97 3654793.46000000 PA USD 3137699.69000000 0.020727588169 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B2MQ9 2719158.57000000 PA USD 2416697.97000000 0.015964663671 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKM31 4391688.83000000 PA USD 4228154.77000000 0.027931114971 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201EFJ4 1187.67000000 PA USD 1220.89000000 0.000008065177 Long ABS-MBS USGA US N 2 2034-09-15 Fixed 6.00000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CM8 10189000.00000000 PA USD 9925701.16000000 0.065569004768 Long DBT CORP US N 2 2024-07-26 Fixed 2.90000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB5P0 288620.80000000 PA USD 276833.97000000 0.001828760266 Long ABS-MBS USGA US N 2 2050-03-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411WCS4 206.58000000 PA USD 205.77000000 0.000001359312 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 5.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VDC5 3739000.00000000 PA USD 3077277.50000000 0.020328440260 Long DBT CORP US N 2 2046-08-15 Fixed 4.12500000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFF1 3134000.00000000 PA USD 3098073.89000000 0.020465820841 Long DBT CORP US N 2 2024-04-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXKP6 1023881.12000000 PA USD 990822.44000000 0.006545355360 Long ABS-MBS USGSE US N 2 2058-08-01 Fixed 4.50000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YED3 11500000.00000000 PA USD 9144759.41000000 0.060410117501 Long DBT CORP US N 2 2032-07-21 Fixed 2.23900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6L74 12468292.21000000 PA USD 11967096.79000000 0.079054427877 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 4.00000000 N N N N N N DBCG Mortgage Trust N/A 233062AA6 7610000.00000000 PA USD 7515215.17000000 0.049645377326 Long ABS-MBS CORP US N 2 2034-06-15 Floating 5.89400000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379RPH0 2752825.29000000 PA USD 74859.51000000 0.000494520587 Long ABS-MBS USGA US N 2 2058-07-16 Variable 0.59329000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31329QM57 7250402.91000000 PA USD 6923403.00000000 0.045735876690 Long ABS-MBS USGSE US N 2 2049-04-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGDV8 16672101.63000000 PA USD 13703874.68000000 0.090527551631 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVL52 79188134.14000000 PA USD 67953681.87000000 0.448900810004 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38383REY9 13286616.00000000 PA USD 11222564.12000000 0.074136058343 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296LZH7 32942.17000000 PA USD 33235.76000000 0.000219554837 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KRQ69 2655498.81000000 PA USD 2284003.53000000 0.015088086568 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TUB9 17730156.01000000 PA USD 17031385.38000000 0.112509027946 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 4.00000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2D5 5533000.00000000 PA USD 5316920.58000000 0.035123482487 Long DBT CORP FR N 2 2025-01-09 Fixed 3.37500000 N N N N N N RELIANCE INDUSTRIES LTD 5493003UOETFYRONLG31 759470BB2 12900000.00000000 PA USD 10766071.04000000 0.071120473202 Long DBT CORP IN N 2 2032-01-12 Fixed 2.87500000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAT7 2554000.00000000 PA USD 2317232.02000000 0.015307593380 Long DBT CORP US N 2 2049-02-15 Fixed 5.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -681.00000000 NC USD -191531.25000000 -0.00126525202 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 130.00000000 USD 2023-07-21 XXXX 430384.37000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNL26 10992468.94000000 PA USD 9425469.52000000 0.062264483480 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QPJ24 1087353.41000000 PA USD 1072971.70000000 0.007088031906 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L3H79 2523762.20000000 PA USD 2090680.54000000 0.013810998345 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 715638DW9 11580000.00000000 PA USD 7923730.80000000 0.052344024289 Long DBT NUSS PE N 2 2072-01-15 Fixed 3.60000000 N N N N N N Bank N/A 06541WAW2 7310000.00000000 PA USD 6689604.69000000 0.044191409226 Long ABS-MBS CORP US N 2 2060-06-15 Fixed 3.13100000 N N N N N N Small Business Administration N/A 83162CB51 1352060.57000000 PA USD 1232133.61000000 0.008139452643 Long ABS-MBS USGA US N 2 2039-04-01 Fixed 2.98000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9S63 16601798.73000000 PA USD 13658033.36000000 0.090224724689 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FWHV5 13425975.59000000 PA USD 1022719.66000000 0.006756067826 Long ABS-MBS USGSE US N 2 2030-07-25 Variable 1.52838500 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABJF0 4481988.85000000 PA USD 3843251.83000000 0.025388453017 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 2.50000000 N N N N N N CHEVRON USA INC VA8TZDWPEZYU430RZ444 166756AR7 8880000.00000000 PA USD 8667948.53000000 0.057260313335 Long DBT CORP US N 2 2028-01-15 Fixed 3.85000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAV7 19250000.00000000 PA USD 17207998.69000000 0.113675732321 Long DBT CORP IE N 2 2026-10-29 Fixed 2.45000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36213DCY2 9036.23000000 PA USD 9241.57000000 0.000061049646 Long ABS-MBS USGA US N 2 2031-10-15 Fixed 6.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H8BN0 19978232.40000000 PA USD 569601.38000000 0.003762776553 Long ABS-MBS USGSE US N 2 2032-06-25 Variable 0.48744600 N N N N N N BARRICK PD AU FIN PTY LT 5493008DX0TK7OFLV260 06849UAD7 8508000.00000000 PA USD 8895134.33000000 0.058761098677 Long DBT CORP AU N 2 2039-10-15 Fixed 5.95000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCN3 7230000.00000000 PA USD 6990086.77000000 0.046176388485 Long DBT CORP US N 2 2030-05-06 Fixed 4.65000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FUZK3 7427888.85000000 PA USD 875169.46000000 0.005781353837 Long ABS-MBS USGSE US N 2 2035-05-25 Variable 1.62888900 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AYE30 1500386.34000000 PA USD 1327592.25000000 0.008770050716 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.00000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F030678 146100000.00000000 PA USD 128607948.12000000 0.849581810659 Long ABS-MBS USGSE US N 2 2053-07-15 Fixed 3.00000000 N N N N N N COMM Mortgage Trust 549300MGZ5FI5VFL1177 12591KAH8 394000.00000000 PA USD 298454.09000000 0.001971582393 Long ABS-MBS CORP US N 2 2046-10-10 Variable 4.76200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QADC1 13912676.89000000 PA USD 13631501.97000000 0.090049458800 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128E5BJ7 47541.61000000 PA USD 47146.83000000 0.000311451117 Long ABS-MBS USGSE US N 2 2029-04-01 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SQV2 1184845.12000000 PA USD 1076121.66000000 0.007108840485 Long ABS-MBS USGA US N 2 2046-11-20 Fixed 3.00000000 N N N N N N PIONEER NATURAL RESOURCE FY8JBF7CCL2VE4F1B628 723787AQ0 7290000.00000000 PA USD 5912478.83000000 0.039057729660 Long DBT CORP US N 2 2030-08-15 Fixed 1.90000000 N N N N N N COSTCO WHOLESALE CORP 29DX7H14B9S6O3FD6V18 22160KAN5 11490000.00000000 PA USD 10150917.25000000 0.067056778240 Long DBT CORP US N 2 2027-06-20 Fixed 1.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140F5CP6 3494459.05000000 PA USD 3239618.95000000 0.021400864982 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TV77 4236619.20000000 PA USD 4150969.29000000 0.027421229068 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 4.50000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JG3 4100000.00000000 PA USD 3213053.97000000 0.021225377198 Long DBT CORP US N 2 2031-02-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FLNF1 1013655.29000000 PA USD 907579.38000000 0.005995453191 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N STATE STREET CORP 549300ZFEEJ2IP5VME73 857477AN3 1048000.00000000 PA USD 1011838.27000000 0.006684185558 Long DBT CORP US N 2 2024-12-16 Fixed 3.30000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128CUTA4 122194.76000000 PA USD 121185.40000000 0.000800548590 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 5.00000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FQ6 170000.00000000 PA USD 135749.61000000 0.000896759501 Long DBT CORP US N 2 2036-04-06 Fixed 2.89100000 N N N N N N WALMART INC Y87794H0US1R65VBXU25 931142EQ2 1060000.00000000 PA USD 937702.86000000 0.006194448362 Long DBT CORP US N 2 2029-09-24 Fixed 2.37500000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAQ6 21808000.00000000 PA USD 19693170.73000000 0.130092734477 Long DBT CORP US N 2 2030-05-15 Fixed 3.75000000 N N N N N N Loanpal Solar Loan Ltd. N/A 53948PAA6 6604068.10000000 PA USD 4940819.02000000 0.032638962292 Long ABS-O CORP US N 2 2048-01-20 Fixed 2.29000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BA1 2474000.00000000 PA USD 2327506.02000000 0.015375463240 Long DBT CORP US N 2 2045-10-23 Fixed 6.48400000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TE35 2801796.34000000 PA USD 2750402.15000000 0.018169107530 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382T4P6 8917151.99000000 PA USD 934228.61000000 0.006171497529 Long ABS-MBS USGA US N 2 2051-05-20 Fixed 2.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967KR1 716000.00000000 PA USD 613541.11000000 0.004053041625 Long DBT CORP US N 2 2046-05-18 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NBEP2 1079004.16000000 PA USD 1104605.90000000 0.007297006867 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 6.50000000 N N N N N N American Money Management Corp 5493004OOK6VXHQ8DQ60 00176AAX3 1543000.00000000 PA USD 1521521.85000000 0.010051146194 Long ABS-CBDO CORP KY N 2 2031-04-30 Floating 6.30914000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AUUN7 385880.84000000 PA USD 35170.65000000 0.000232336686 Long ABS-MBS USGSE US N 2 2032-10-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9TS9 296968.05000000 PA USD 292524.97000000 0.001932414732 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QFLM9 5730641.76000000 PA USD 5122353.91000000 0.033838178536 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 3.00000000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU N/A 92939KAG3 2611000.00000000 PA USD 2476463.00000000 0.016359470392 Long ABS-MBS CORP US N 2 2047-11-15 Fixed 3.93100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHWC7 11369101.34000000 PA USD 10721668.76000000 0.070827152532 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.00000000 N N N N N N Legacy Mortgage Asset Trust N/A 52475JAA3 6857673.36000000 PA USD 6738596.72000000 0.044515049702 Long ABS-MBS CORP US N 2 2060-06-25 Variable 3.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132JASY2 71391.04000000 PA USD 68809.98000000 0.000454557500 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N AMERICAN TRANSMISSION SY N/A 030288AC8 7500000.00000000 PA USD 6213759.15000000 0.041047982079 Long DBT CORP US N 2 2032-01-15 Fixed 2.65000000 N N N N N N ANHEUSER-BUSCH CO/INBEV N/A 03522AAJ9 15181000.00000000 PA USD 14522641.02000000 0.095936307465 Long DBT CORP US N 2 2046-02-01 Fixed 4.90000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AU2 14200000.00000000 PA USD 11492688.07000000 0.075920492338 Long DBT CORP CH N 2 2032-05-14 Fixed 3.09100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPUU0 5925167.52000000 PA USD 5815609.45000000 0.038417812264 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FQ4B6 14765524.67000000 PA USD 625401.18000000 0.004131389036 Long ABS-MBS USGSE US N 2 2029-10-25 Variable 0.94701400 N N N N N N CIFC Funding Ltd 549300X1SKS4LNS5LQ62 12551AAL9 1279519.15000000 PA USD 1271491.33000000 0.008399449040 Long ABS-CBDO CORP KY N 2 2029-04-23 Floating 6.27143000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KGVF7 725935.01000000 PA USD 641786.58000000 0.004239630696 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VHU7 596360.22000000 PA USD 571470.34000000 0.003775122869 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWBP7 35237938.56000000 PA USD 28927038.01000000 0.191091496978 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TG58 5386961.30000000 PA USD 5187202.76000000 0.034266568882 Long ABS-MBS USGA US N 2 2047-09-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BTCA6 4123022.02000000 PA USD 4049244.54000000 0.026749237184 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406MJA5 937.87000000 PA USD 946.79000000 0.000006254477 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MNP83 6815004.68000000 PA USD 6274500.66000000 0.041449239410 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36210JM54 282.84000000 PA USD 286.14000000 0.000001890235 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 6.00000000 N N N N N N 522 Funding CLO Ltd N/A 33835AAJ8 21870000.00000000 PA USD 21382980.36000000 0.141255586743 Long ABS-CBDO CORP KY N 2 2034-10-23 Floating 6.42271000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDP4 830000.00000000 PA USD 795658.99000000 0.005256109091 Long DBT CORP US N 2 2028-12-15 Fixed 3.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132VMUJ2 32559.97000000 PA USD 30072.95000000 0.000198661371 Long ABS-MBS USGSE US N 2 2049-02-01 Fixed 3.50000000 N N N N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 375558AW3 1460000.00000000 PA USD 1439300.06000000 0.009507990516 Long DBT CORP US N 2 2024-04-01 Fixed 3.70000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFQ2 4130000.00000000 PA USD 3846009.84000000 0.025406672382 Long DBT CORP US N 2 2030-07-01 Fixed 3.60000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CF0 5060000.00000000 PA USD 3922537.30000000 0.025912211417 Long DBT CORP US N 2 2045-06-15 Fixed 4.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXEF5 18110291.37000000 PA USD 17052875.65000000 0.112650992286 Long ABS-MBS USGSE US N 2 2056-08-01 Fixed 4.00000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAS9 1684000.00000000 PA USD 1625073.84000000 0.010735208792 Long DBT CORP US N 2 2029-02-15 Fixed 4.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A74R6 3077.70000000 PA USD 3025.23000000 0.000019984615 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200VCZ4 15035.50000000 PA USD 15210.67000000 0.000100481414 Long ABS-MBS USGA US N 2 2032-01-15 Fixed 6.00000000 N N N N N N INTOWN 2022-STAY N/A 46117NAA0 6000000.00000000 PA USD 6013011.00000000 0.039721843381 Long ABS-MBS CORP US N 2 2039-08-15 Floating 7.63560000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AK72 90885.44000000 PA USD 87303.16000000 0.000576723117 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQBZ8 6768727.36000000 PA USD 6767622.16000000 0.044706791241 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYC2 1120000.00000000 PA USD 828817.35000000 0.005475152626 Long DBT CORP US N 2 2042-04-22 Fixed 3.21000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LHUW8 3600000.00000000 PA USD 3570391.87000000 0.023585944990 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 4.37000000 N N N N N N TEXAS INSTRUMENTS INC WDJNR2L6D8RWOEB8T652 882508BF0 5340000.00000000 PA USD 4788797.08000000 0.031634708068 Long DBT CORP US N 2 2039-03-15 Fixed 3.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201PJL0 93.17000000 PA USD 94.26000000 0.000000622679 Long ABS-MBS USGA US N 2 2032-11-15 Fixed 6.00000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 539439AR0 6970000.00000000 PA USD 6615917.52000000 0.043704633096 Long DBT CORP GB N 2 2028-03-22 Fixed 4.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYWJ4 5003901.87000000 PA USD 4354895.00000000 0.028768358670 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGY52 2532029.58000000 PA USD 2162697.11000000 0.014286738521 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132A36E5 72515.28000000 PA USD 75009.07000000 0.000495508578 Long ABS-MBS USGSE US N 2 2036-10-01 Fixed 6.00000000 N N N N N N AETNA INC 549300QKBENKLBXQ8968 00817YAZ1 2006000.00000000 PA USD 1565255.28000000 0.010340048452 Long DBT CORP US N 2 2047-08-15 Fixed 3.87500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MD0 1675000.00000000 PA USD 1518729.38000000 0.010032699187 Long DBT CORP US N 2 2048-07-23 Fixed 4.65000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -123.00000000 NC USD -49968.75000000 -0.00033009267 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 113.00000000 USD 2023-07-21 XXXX 5552.84000000 N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 917288BK7 7446073.00000000 PA USD 7353787.56000000 0.048578989415 Long DBT NUSS UY N 2 2031-01-23 Fixed 4.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ANC36 3018562.87000000 PA USD 2595593.78000000 0.017146446200 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 247.00000000 NC USD 65609.38000000 0.000433414393 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 113.50000000 USD 2023-07-21 XXXX -79552.32000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36213UJB7 14960.72000000 PA USD 15272.07000000 0.000100887021 Long ABS-MBS USGA US N 2 2031-06-15 Fixed 6.50000000 N N N N N N CREDIT SUISSE NEW YORK 549300D0YARF5HYP1809 22546QAP2 2660000.00000000 PA USD 2562745.93000000 0.016929453889 Long DBT CORP CH N 2 2024-09-09 Fixed 3.62500000 N N N N N N GOLDMAN SACHS CAPITAL II N/A 381427AA1 22000.00000000 PA USD 17215.00000000 0.000113721982 Long DBT CORP US N 2 N/A Floating 6.26350000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GSLR8 484047.00000000 PA USD 466228.98000000 0.003079900323 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 4.00000000 N N N N N N Ocean Trails CLO 635400RMMLHBGDGXBC03 67516CAN9 12495000.00000000 PA USD 12243194.31000000 0.080878323168 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 6.48029000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136ANLJ4 86948255.02000000 PA USD 371477.72000000 0.002453975190 Long ABS-MBS USGSE US N 2 2024-12-25 Variable 0.57503500 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CBT0 3221736.58000000 PA USD 2912181.37000000 0.019237818171 Long ABS-MBS USGSE US N 2 2036-09-01 Fixed 2.50000000 N N N N N N APPLIED MATERIALS INC 41BNNE1AFPNAZELZ6K07 038222AN5 8600000.00000000 PA USD 7165259.42000000 0.047333575886 Long DBT CORP US N 2 2030-06-01 Fixed 1.75000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFL3 7940000.00000000 PA USD 7335082.37000000 0.048455423263 Long DBT CORP US N 2 2025-09-01 Fixed 1.45000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FGD2 118345.76000000 PA USD 117593.42000000 0.000776820034 Long ABS-MBS USGA US N 2 2040-05-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36241KBZ0 17964.08000000 PA USD 18782.99000000 0.000124080096 Long ABS-MBS USGA US N 2 2034-08-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WDZM6 496493.68000000 PA USD 475311.26000000 0.003139897703 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 4.00000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91086QBB3 48464000.00000000 PA USD 41599085.06000000 0.274802813695 Long DBT NUSS MX N 2 2044-03-08 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9R23 2729200.61000000 PA USD 2346780.03000000 0.015502787006 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N EL PASO NATURAL GAS N/A 283695BK9 2696000.00000000 PA USD 3094777.63000000 0.020444045806 Long DBT CORP US N 2 2032-06-15 Fixed 8.37500000 N N N N N N Citigroup Commercial Mortgage N/A 17322YAF7 1773000.00000000 PA USD 1681565.15000000 0.011108389378 Long ABS-MBS CORP US N 2 2047-10-10 Fixed 4.01700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BDEF1 29759276.55000000 PA USD 3921620.92000000 0.025906157828 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2.00000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDY5 5230000.00000000 PA USD 3889278.20000000 0.025692502396 Long DBT CORP US N 2 2040-05-15 Fixed 2.75000000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU 549300FCX3YXSYSLU895 92938VAT2 224000.00000000 PA USD 215394.41000000 0.001422891629 Long ABS-MBS CORP US N 2 2047-03-15 Variable 4.72300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BQRW8 2548527.62000000 PA USD 2451685.66000000 0.016195791727 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.50000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 949746RF0 1522000.00000000 PA USD 1463325.09000000 0.009666699435 Long DBT CORP US N 2 2044-01-15 Fixed 5.60600000 N N N N N N HALEON US CAPITAL LLC 549300N8C3A3L0UVQB07 36264FAM3 7020000.00000000 PA USD 6296221.08000000 0.041592724117 Long DBT CORP US N 2 2032-03-24 Fixed 3.62500000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XBT2 949000.00000000 PA USD 910254.94000000 0.006013127892 Long DBT CORP US N 2 2027-01-17 Fixed 4.35000000 N N N N N N Credit-Based Asset Servicing a N/A 124860CB1 617.38000000 PA USD 496.18000000 0.000003277756 Long ABS-O CORP US N 2 2029-02-03 Variable 0.01000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36291QZB3 4597.20000000 PA USD 4650.96000000 0.000030724158 Long ABS-MBS USGA US N 2 2035-02-15 Fixed 6.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VDV3 564000.00000000 PA USD 567443.81000000 0.003748523684 Long DBT CORP US N 2 2047-03-16 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F9CW9 5272332.09000000 PA USD 769202.67000000 0.005081339113 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ADXW4 48153.02000000 PA USD 1951.47000000 0.000012891376 Long ABS-MBS USGSE US N 2 2032-04-25 Fixed 3.00000000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 413875AT2 271000.00000000 PA USD 249332.14000000 0.001647083668 Long DBT CORP US N 2 2045-04-27 Fixed 5.05400000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFB5 2484000.00000000 PA USD 2370972.26000000 0.015662600446 Long DBT CORP US N 2 2027-03-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9XA6 5722718.00000000 PA USD 5445524.02000000 0.035973034517 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLA1 13210687.83000000 PA USD 11378134.37000000 0.075163752639 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 2.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GVS0 3616000.00000000 PA USD 3291519.47000000 0.021743718891 Long DBT CORP US N 2 2045-10-21 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WXWP8 715107.06000000 PA USD 687702.06000000 0.004542947538 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.00000000 N N N N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299BM5 3900000.00000000 PA USD 2938546.69000000 0.019411987004 Long DBT NUSS PA N 2 2056-04-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABKA9 4899785.83000000 PA USD 4201660.92000000 0.027756097071 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225BDE5 6962.34000000 PA USD 6965.17000000 0.000046011788 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 7.50000000 N N N N N N INTERCONTINENTAL EXCHANGE, INC. 5493000F4ZO33MV32P92 000000000 1.00000000 NC USD 36706428.17000000 0.242482009575 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 15587037.48000000 USD 0.00000000 USD 2395694000.00000000 USD 21119390.69000000 N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FLFL5 683199.85000000 PA USD 123164.90000000 0.000813625131 Long ABS-MBS USGSE US N 2 2041-11-25 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407NZP1 339613.98000000 PA USD 341020.84000000 0.002252777584 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DXJ6 23244092.31000000 PA USD 18001730.60000000 0.118919111156 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGYY9 4408368.85000000 PA USD 3766254.88000000 0.024879812539 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAZY3 8291431.76000000 PA USD 6934393.60000000 0.045808480398 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 2.00000000 N N N N N N Credit Suisse Mortgage Trust N/A 12662TAA8 21087251.32000000 PA USD 20933092.97000000 0.138283638671 Long ABS-MBS CORP US N 2 2066-10-25 Floating 7.31734000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGN8 22409000.00000000 PA USD 18030884.20000000 0.119111699318 Long DBT CORP US N 2 2032-03-15 Fixed 2.35500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AHY7 57966.02000000 PA USD 55679.99000000 0.000367821020 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 4.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MP3 8960000.00000000 PA USD 8429173.67000000 0.055682970870 Long DBT CORP US N 2 2031-03-31 Fixed 4.41200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31379WSC2 94.36000000 PA USD 94.08000000 0.000000621490 Long ABS-MBS USGSE US N 2 2028-05-01 Fixed 7.00000000 N N N N N N CREDIT AGRICOLE SA 969500TJ5KRTCJQWXH05 225313AK1 3743000.00000000 PA USD 3335771.37000000 0.022036046153 Long DBT CORP FR N 2 2033-01-10 Fixed 4.00000000 N N N N N N Ford Credit Floorplan Master O 5493001DTG5N7T8BG747 34528PAK2 21335000.00000000 PA USD 20217156.94000000 0.133554178031 Long ABS-O CORP US N 2 2030-11-15 Fixed 4.06000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380LBS1 2633687.20000000 PA USD 2605525.18000000 0.017212052851 Long ABS-MBS USGA US N 2 2068-02-20 Floating 5.39386000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382NT31 24638269.13000000 PA USD 4234682.80000000 0.027974239021 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 2.50000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAM2 4308000.00000000 PA USD 3712664.04000000 0.024525792406 Long DBT CORP US N 2 2038-04-15 Fixed 4.50000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PEA6 770000.00000000 PA USD 538101.67000000 0.003554690031 Long DBT CORP US N 2 2060-05-15 Fixed 3.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9JN5 813470.64000000 PA USD 695470.49000000 0.004594265648 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178NF95 2613420.75000000 PA USD 2381679.22000000 0.015733330433 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WR26 962427.73000000 PA USD 834030.18000000 0.005509588488 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AAXW0 430664.32000000 PA USD 42700.15000000 0.000282076429 Long ABS-MBS USGSE US N 2 2042-12-25 Floating 0.99957000 N N N N N N PERTAMINA PERSERO PT 254900NDAKGNZ2IBBL45 69369EAD1 6914000.00000000 PA USD 6959560.56000000 0.045974732886 Long DBT CORP ID N 2 2042-05-03 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FHWR4 738418.06000000 PA USD 661353.92000000 0.004368892195 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AN1 2897000.00000000 PA USD 2840505.26000000 0.018764327067 Long DBT CORP US N 2 2024-06-01 Fixed 3.80000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379EHN5 3753801.38000000 PA USD 403935.68000000 0.002668391895 Long ABS-MBS USGA US N 2 2044-08-20 Floating 1.05371000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXTC6 26121545.84000000 PA USD 21463353.78000000 0.141786532121 Long ABS-MBS USGSE US N 2 2061-07-01 Fixed 2.50000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBC2 1490000.00000000 PA USD 1479689.81000000 0.009774804484 Long DBT CORP US N 2 2023-11-14 Fixed 3.75000000 N N N N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299BB9 19500000.00000000 PA USD 14558975.34000000 0.096176331334 Long DBT NUSS PA N 2 2053-04-29 Fixed 4.30000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PCP5 4001000.00000000 PA USD 3895857.60000000 0.025735965795 Long DBT CORP US N 2 2025-07-15 Fixed 3.75000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NU1 10860000.00000000 PA USD 10514135.93000000 0.069456194360 Long DBT CORP US N 2 2033-05-24 Fixed 4.91000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582AY8 1451000.00000000 PA USD 1343047.86000000 0.008872150200 Long DBT CORP NL N 2 2043-08-12 Fixed 4.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XADY5 1396854.66000000 PA USD 1158247.19000000 0.007651360271 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N SOHO Trust 2021-SOHO N/A 83410JAA6 34000000.00000000 PA USD 23866745.40000000 0.157663294282 Long ABS-MBS CORP US N 2 2038-08-10 Variable 2.78647500 N N N N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NAM1 2087000.00000000 PA USD 2091695.75000000 0.013817704804 Long DBT CORP NL N 2 2024-03-17 Fixed 6.25000000 N N N N N N Wells Fargo Commercial Mortgag 5493002S7XBI8CVRR075 94989HAZ3 29357227.88000000 PA USD 375989.76000000 0.002483781646 Long ABS-MBS CORP US N 2 2048-05-15 Variable 1.20867100 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F062671 6300000.00000000 PA USD 6432890.69000000 0.042495561122 Long ABS-MBS USGSE US N 2 2053-07-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38383FHR7 22463199.07000000 PA USD 19202872.39000000 0.126853832390 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 2.00000000 N N N N N N ADOBE INC FU4LY2G4933NH2E1CP29 00724PAD1 8650000.00000000 PA USD 7593822.89000000 0.050164658522 Long DBT CORP US N 2 2030-02-01 Fixed 2.30000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200RLX8 52767.59000000 PA USD 54892.72000000 0.000362620328 Long ABS-MBS USGA US N 2 2031-12-15 Fixed 6.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MS7 57290000.00000000 PA USD 47823398.11000000 0.315920514650 Long DBT CORP US N 2 2031-06-03 Fixed 2.57200000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AP4 206000.00000000 PA USD 203422.35000000 0.001343804414 Long DBT CORP GB N 2 2024-03-14 Fixed 4.25000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AP3 18006000.00000000 PA USD 16035784.92000000 0.105932109071 Long DBT CORP CH N 2 2031-04-01 Fixed 4.19400000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFP4 3620000.00000000 PA USD 3448576.09000000 0.022781232121 Long DBT CORP US N 2 2027-07-01 Fixed 3.50000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAN0 8277000.00000000 PA USD 6804989.93000000 0.044953642063 Long DBT CORP US N 2 2048-04-15 Fixed 4.70000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36209E6A5 761.87000000 PA USD 770.75000000 0.000005091560 Long ABS-MBS USGA US N 2 2029-01-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFLM1 9839177.34000000 PA USD 8695885.99000000 0.057444867698 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BM3 1180000.00000000 PA USD 1158773.62000000 0.007654837858 Long DBT CORP US N 2 2025-04-01 Fixed 4.50000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RHW5 5087000.00000000 PA USD 4861403.30000000 0.032114343462 Long DBT CORP US N 2 2027-02-15 Fixed 3.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413K6Y2 683.42000000 PA USD 681.45000000 0.000004501646 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.50000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QCC4 8367000.00000000 PA USD 5261782.06000000 0.034759238407 Long DBT CORP MX N 2 2047-09-21 Fixed 6.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36212NAM9 8814.85000000 PA USD 8969.29000000 0.000059250969 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WVT2 9640690.35000000 PA USD 8111933.01000000 0.053587284731 Long ABS-MBS USGA US N 2 2052-01-20 Fixed 2.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -5748.00000000 NC USD -10202700.00000000 -0.06739885416 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-03-18 0.00000000 USD 2500.00000000 96.50000000 USD 2023-10-13 XXXX -7088158.30000000 N N N CREDIT SUISSE NEW YORK 549300D0YARF5HYP1809 22550L2C4 6410000.00000000 PA USD 6027347.74000000 0.039816551630 Long DBT CORP CH N 2 2025-04-09 Fixed 2.95000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAKL7 4372742.51000000 PA USD 4184713.45000000 0.027644142387 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381BDT8 580732.95000000 PA USD 553572.36000000 0.003656889133 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 4.00000000 N N N N N N SCHLUMBERGER HLDGS CORP 529900IKZG65COT1D505 806851AK7 142000.00000000 PA USD 133891.01000000 0.000884481623 Long DBT CORP US N 2 2028-05-17 Fixed 3.90000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137BUX86 254520487.53000000 PA USD 2328760.65000000 0.015383751304 Long ABS-MBS USGSE US N 2 2026-12-25 Variable 0.41803100 N N N N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAL7 3210000.00000000 PA USD 3094199.31000000 0.020440225435 Long DBT CORP US N 2 2032-06-01 Fixed 4.40000000 N N N N N N Owl Rock CLO Ltd N/A 69122DAA7 3100000.00000000 PA USD 3083594.29000000 0.020370168862 Long ABS-CBDO CORP KY N 2 2031-05-20 Floating 7.17914000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225BY85 12491.89000000 PA USD 13061.08000000 0.000086281261 Long ABS-MBS USGA US N 2 2033-03-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPTL2 4902267.16000000 PA USD 4718943.84000000 0.031173258811 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 4.50000000 N N N N N N Freddie Mac Multiclass Certifi S6XOOCT0IEG5ABCC6L87 3137FQXW8 10000000.00000000 PA USD 695217.00000000 0.004592591097 Long ABS-MBS USGSE US N 2 2028-08-27 Variable 1.66580000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABCD2 10323923.65000000 PA USD 8853127.62000000 0.058483603100 Long ABS-MBS USGA US N 2 2051-08-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABV33 11698338.25000000 PA USD 10275717.72000000 0.067881207919 Long ABS-MBS USGA US N 2 2052-04-20 Fixed 3.00000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CP1 5309000.00000000 PA USD 4934322.32000000 0.032596045207 Long DBT CORP US N 2 2029-07-26 Fixed 3.40000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36291RNU2 2068.28000000 PA USD 2107.48000000 0.000013921975 Long ABS-MBS USGA US N 2 2034-11-15 Fixed 6.00000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46639YAU1 897458.30000000 PA USD 849388.19000000 0.005611043228 Long ABS-MBS CORP US N 2 2046-04-15 Fixed 3.21600000 N N N N N N KLA CORP 549300H0BF5JCG96TJ81 482480AL4 5520000.00000000 PA USD 5503026.17000000 0.036352892694 Long DBT CORP US N 2 2032-07-15 Fixed 4.65000000 N N N N N N Citigroup Commercial Mortgage N/A 17291CBU8 6920000.00000000 PA USD 5998345.96000000 0.039624966389 Long ABS-MBS CORP US N 2 2049-08-10 Fixed 3.17600000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TXW0 302511.80000000 PA USD 296306.88000000 0.001957397962 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 4.50000000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325DZ5 28210000.00000000 PA USD 20940557.77000000 0.138332951007 Long DBT NUSS CO N 2 2032-04-22 Fixed 3.25000000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918BB9 1943000.00000000 PA USD 1874735.24000000 0.012384467546 Long DBT CORP US N 2 2025-02-12 Fixed 2.70000000 N N N N N N REPUBLIC SERVICES INC NKNQHM6BLECKVOQP7O46 760759AU4 3645000.00000000 PA USD 3517475.59000000 0.023236380988 Long DBT CORP US N 2 2024-08-15 Fixed 2.50000000 N N N N N N Pear LLC N/A 70472TAA6 787309.61000000 PA USD 740874.25000000 0.004894202076 Long ABS-O CORP US N 2 2034-01-15 Fixed 2.60000000 N N N N N N KREF 2022-Fl3 Ltd 549300DG0FGL1EU1CT79 48275EAA4 13010000.00000000 PA USD 12734575.70000000 0.084124379864 Long ABS-CBDO CORP KY N 2 2039-02-17 Floating 6.52629000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381B4T8 380382.62000000 PA USD 349503.16000000 0.002308811639 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 3.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -557.00000000 NC USD -39164.35000000 -0.00025871899 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 108.50000000 USD 2023-07-14 XXXX 94762.77000000 N N N CREDIT SUISSE NEW YORK 549300D0YARF5HYP1809 22550L2J9 2000000.00000000 PA USD 1955383.18000000 0.012917226399 Long DBT CORP CH N 2 2024-08-09 Fixed 4.75000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FWG95 5980346.22000000 PA USD 431761.86000000 0.002852211143 Long ABS-MBS USGSE US N 2 2030-06-25 Variable 1.42768900 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36205F5P4 13108.78000000 PA USD 13302.24000000 0.000087874360 Long ABS-MBS USGA US N 2 2032-10-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KQ3M6 7103508.91000000 PA USD 7276378.62000000 0.048067627338 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179R4E6 6695638.73000000 PA USD 6275044.35000000 0.041452831016 Long ABS-MBS USGA US N 2 2046-03-20 Fixed 3.50000000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBD4 1650000.00000000 PA USD 1391644.30000000 0.009193177416 Long DBT CORP US N 2 2042-03-15 Fixed 5.05000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CX6 9572000.00000000 PA USD 9238031.01000000 0.061026268027 Long DBT CORP US N 2 2028-03-25 Fixed 4.30000000 N N N N N N COTERRA ENERGY INC FCNMH6O7VWU7LHXMK351 127097AG8 11379000.00000000 PA USD 10732921.54000000 0.070901488196 Long DBT CORP US N 2 2027-05-15 Fixed 3.90000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H8UB5 53499290.68000000 PA USD 1146281.15000000 0.007572312824 Long ABS-MBS USGSE US N 2 2032-07-25 Variable 0.39107700 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBM3 4000000.00000000 PA USD 3110774.44000000 0.020549720448 Long DBT CORP US N 2 2051-04-15 Fixed 3.45200000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36291QYK4 11331.22000000 PA USD 11463.23000000 0.000075725892 Long ABS-MBS USGA US N 2 2034-11-15 Fixed 6.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VER1 9637000.00000000 PA USD 9295015.25000000 0.061402704899 Long DBT CORP US N 2 2028-09-21 Fixed 4.32900000 N N N N N N SG Capital Partners N/A 78433QAA3 8949607.74000000 PA USD 7900774.57000000 0.052192375843 Long ABS-MBS CORP US N 2 2062-03-27 Variable 3.16600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31287T3E3 574.33000000 PA USD 587.91000000 0.000003883722 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M6AX6 9676.79000000 PA USD 9956.19000000 0.000065770413 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPWC8 5127114.60000000 PA USD 4942527.30000000 0.032650247159 Long ABS-MBS USGSE US N 2 2052-10-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36291LFS9 9063.55000000 PA USD 9169.14000000 0.000060571175 Long ABS-MBS USGA US N 2 2035-02-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JBLD6 2581176.56000000 PA USD 2141735.82000000 0.014148268614 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFMF5 837015.98000000 PA USD 747611.15000000 0.004938705918 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133D4QF3 6516215.96000000 PA USD 5536821.14000000 0.036576141662 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 2.00000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABF1 23820000.00000000 PA USD 21958835.73000000 0.145059677043 Long DBT CORP US N 2 2030-04-15 Fixed 3.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AQR2 58098.10000000 PA USD 52681.66000000 0.000348014106 Long ABS-MBS USGSE US N 2 2043-02-01 Fixed 3.00000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78015K7H1 6800000.00000000 PA USD 6279518.55000000 0.041482387502 Long DBT CORP CA N 2 2025-06-10 Fixed 1.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LHCW8 1600000.00000000 PA USD 1498171.38000000 0.009896893405 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 3.90000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 5111020.50000000 0.033763310232 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2052-04-21 34967.54000000 USD 0.00000000 USD -37524000.00000000 USD 5076052.96000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KLVJ3 36148992.59000000 PA USD 29753791.53000000 0.196553015980 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B2HC9 907396.44000000 PA USD 849820.32000000 0.005613897871 Long ABS-MBS USGSE US N 2 2028-04-25 Variable 3.20897400 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 31325WSM5 3195806.12000000 PA USD 298759.36000000 0.001973599001 Long ABS-MBS USGSE US N 2 2046-12-15 Floating 0.80671000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201MZ21 7093.41000000 PA USD 7238.81000000 0.000047819449 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225B3V8 2136.80000000 PA USD 2234.12000000 0.000014758556 Long ABS-MBS USGA US N 2 2034-01-15 Fixed 6.00000000 N N N N N N Ballyrock Ltd N/A 05875MAN2 930000.00000000 PA USD 912560.58000000 0.006028358909 Long ABS-CBDO CORP KY N 2 2030-11-20 Floating 6.57914000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WBY3 61188820.96000000 PA USD 53241063.13000000 0.351709513110 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L6TA2 1223252.69000000 PA USD 1014284.35000000 0.006700344319 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Onslow Bay Financial LLC N/A 67114JAC4 7423907.12000000 PA USD 5557685.35000000 0.036713970261 Long ABS-MBS CORP US N 2 2061-07-25 Variable 1.36200000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H030674 -26800000.00000000 PA USD -23951452.92000000 -0.15822287064 Short ABS-MBS USGA US N 2 2053-07-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDRK4 3171087.40000000 PA USD 2596641.08000000 0.017153364645 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202EWE5 836657.49000000 PA USD 875805.05000000 0.005785552534 Long ABS-MBS USGA US N 2 2038-09-20 Fixed 6.00000000 N N N N N N Canyon Capital CLO Ltd 549300IVUME0ILZ1W208 13876LAJ6 5980000.00000000 PA USD 5879835.00000000 0.038842085102 Long ABS-CBDO CORP KY N 2 2034-07-15 Floating 6.44029000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9K29 24928171.58000000 PA USD 21198327.81000000 0.140035775292 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BBME9 4400000.00000000 PA USD 3403088.92000000 0.022480744687 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UEB4 2307627.06000000 PA USD 2301769.93000000 0.015205451089 Long ABS-MBS USGA US N 2 2048-10-20 Fixed 5.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 5768.00000000 NC USD 6921600.00000000 0.045723966104 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Purchased CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-03-18 0.00000000 USD 2500.00000000 96.00000000 USD 2023-12-15 XXXX 1613337.20000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SF6 38220000.00000000 PA USD 32347407.57000000 0.213686397265 Long DBT UST US N 2 2049-02-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132KSTZ7 111943.91000000 PA USD 112107.80000000 0.000740582126 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412XXC3 734.82000000 PA USD 755.17000000 0.000004988639 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202EKL2 4064.52000000 PA USD 4255.42000000 0.000028111228 Long ABS-MBS USGA US N 2 2036-09-20 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412X2W3 468.57000000 PA USD 478.19000000 0.000003158914 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GKZQ2 745380.26000000 PA USD 717948.77000000 0.004742756764 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 4.00000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFF6 1513000.00000000 PA USD 1451059.55000000 0.009585673497 Long DBT CORP US N 2 2028-04-01 Fixed 3.80000000 N N N N N N FREEPORT-MCMORAN INC 549300IRDTHJQ1PVET45 35671DBJ3 2894000.00000000 PA USD 2798743.12000000 0.018488447115 Long DBT CORP US N 2 2034-11-14 Fixed 5.40000000 N N N N N N COOPERATIEVE RABOBANK UA DG3RU1DBUFHT4ZF9WN62 74977RDH4 3500000.00000000 PA USD 3202325.39000000 0.021154504390 Long DBT CORP NL N 2 2026-06-24 Fixed 1.33900000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBK0 7848000.00000000 PA USD 7143612.26000000 0.047190575133 Long DBT CORP GB N 2 2030-06-20 Fixed 5.08800000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BGS5 239595.21000000 PA USD 238039.35000000 0.001572483699 Long ABS-MBS USGA US N 2 2058-08-20 Floating 5.44386000 N N N N N N Fannie Mae - CAS N/A 20753YCK6 11510000.00000000 PA USD 11636900.05000000 0.076873154104 Long ABS-MBS CORP US N 2 2042-03-25 Floating 8.16655000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AC1 10140000.00000000 PA USD 9113306.75000000 0.060202341790 Long DBT CORP US N 2 2030-02-01 Variable 4.30000000 N N N N N N L3HARRIS TECH INC 549300UTE50ZMDBG8A20 413875AS4 1730000.00000000 PA USD 1663680.55000000 0.010990244029 Long DBT CORP US N 2 2035-04-27 Fixed 4.85400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335NCD0 14799.42000000 PA USD 14543.13000000 0.000096071657 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A54N3 154583.11000000 PA USD 164290.11000000 0.001085297535 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FQJU2 284119.07000000 PA USD 255285.73000000 0.001686412977 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023DE2 9470000.00000000 PA USD 9220157.44000000 0.060908195542 Long DBT CORP US N 2 2024-02-04 Fixed 1.43300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EMKV2 496064.75000000 PA USD 499921.00000000 0.003302469206 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.00000000 N N N N N N Towd Point Mortgage Trust N/A 89175JAC4 18080000.00000000 PA USD 15942808.40000000 0.105317907839 Long ABS-MBS CORP US N 2 2057-10-25 Variable 3.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFN23 2995681.42000000 PA USD 2668299.51000000 0.017626738955 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325CU7 10959000.00000000 PA USD 7656715.54000000 0.050580126246 Long DBT NUSS CO N 2 2045-06-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDGD2 13518621.36000000 PA USD 11498695.45000000 0.075960176983 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SE9 4280000.00000000 PA USD 3869889.07000000 0.025564418149 Long DBT UST US N 2 2048-11-15 Fixed 3.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBQ52 6017083.53000000 PA USD 5172955.25000000 0.034172450085 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DTQ5 15277789.07000000 PA USD 12592386.88000000 0.083185083056 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36210AXU6 49.95000000 PA USD 50.53000000 0.000000333800 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LGLQ3 100000.00000000 PA USD 91526.64000000 0.000604623350 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 3.34500000 N N N N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 494550BH8 730000.00000000 PA USD 733962.15000000 0.004848540867 Long DBT CORP US N 2 2041-03-01 Fixed 6.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225B2X5 9783.27000000 PA USD 10229.29000000 0.000067574507 Long ABS-MBS USGA US N 2 2033-12-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371JWB6 4510.70000000 PA USD 4638.49000000 0.000030641782 Long ABS-MBS USGSE US N 2 2031-02-01 Fixed 7.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XCSA4 8269143.23000000 PA USD 7917628.73000000 0.052303714124 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132QNDN6 52002.75000000 PA USD 52211.79000000 0.000344910153 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FLS3 31349.01000000 PA USD 32819.78000000 0.000216806881 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 6.00000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CS2 12009000.00000000 PA USD 10326419.01000000 0.068216139736 Long DBT CORP US N 2 2029-08-15 Fixed 3.50000000 N N N N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106AK9 5960000.00000000 PA USD 5386830.61000000 0.035585306897 Long DBT CORP US N 2 2030-03-27 Fixed 2.85000000 N N N N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661DU8 2800000.00000000 PA USD 2723947.97000000 0.017994351689 Long DBT CORP US N 2 2030-04-15 Fixed 4.50000000 N N N N N N PERUSAHAAN LISTRIK NEGAR 254900OYVDRYS9J51J61 71568QAB3 18734000.00000000 PA USD 16736774.25000000 0.110562832078 Long DBT CORP ID N 2 2042-10-24 Fixed 5.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201FV38 1135.88000000 PA USD 1127.03000000 0.000007445140 Long ABS-MBS USGA US N 2 2032-05-15 Fixed 7.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132HPBV5 15264.38000000 PA USD 14337.01000000 0.000094710032 Long ABS-MBS USGSE US N 2 2042-11-01 Fixed 3.50000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B5PC3 3884761.71000000 PA USD 163057.43000000 0.001077154473 Long ABS-MBS USGSE US N 2 2034-06-25 Variable 0.93953100 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36195JJM0 64140.56000000 PA USD 59234.52000000 0.000391302182 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L6TB0 2437041.29000000 PA USD 2018815.69000000 0.013336260428 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAP8 36297000.00000000 PA USD 37446869.36000000 0.247373350865 Long DBT CORP KY N 2 2026-08-10 Fixed 6.25000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2C6 11690000.00000000 PA USD 11557293.37000000 0.076347273797 Long DBT CORP US N 2 2024-01-24 Fixed 3.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201UZN7 22060.89000000 PA USD 22317.91000000 0.000147431715 Long ABS-MBS USGA US N 2 2033-03-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SJS7 4174654.93000000 PA USD 3795397.47000000 0.025072327969 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MAWL4 3999248.34000000 PA USD 3946354.56000000 0.026069547812 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AJX7 29199.39000000 PA USD 27182.37000000 0.000179566251 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJGY3 7157503.69000000 PA USD 6926487.31000000 0.045756251587 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4.50000000 N N N N N N PNC BANK NA AD6GFRVSDT01YPT1CS68 20453KAA3 1567000.00000000 PA USD 1496843.33000000 0.009888120331 Long DBT CORP US N 2 2025-04-10 Fixed 3.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380RLG3 77783228.56000000 PA USD 5125844.76000000 0.033861239029 Long ABS-MBS USGA US N 2 2062-12-16 Variable 0.92584000 N N N N N N Voya CLO Ltd 549300001G5S0D8B8343 92915HAL7 6000000.00000000 PA USD 5955518.52000000 0.039342049084 Long ABS-CBDO CORP KY N 2 2031-10-18 Floating 6.45171000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78016FZQ0 19350000.00000000 PA USD 17738503.75000000 0.117180239282 Long DBT CORP CA N 2 2032-05-04 Fixed 3.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DM2N4 3207383.08000000 PA USD 2834206.30000000 0.018722716249 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.00000000 N N N N N N ORBIA ADVANCE CORP SAB 549300MVHZ20SBIOEQ79 68560EAB4 13500000.00000000 PA USD 10728655.20000000 0.070873304830 Long DBT CORP MX N 2 2031-05-11 Fixed 2.87500000 N N N N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299AW4 10747000.00000000 PA USD 11534276.11000000 0.076195222188 Long DBT NUSS PA N 2 2036-01-26 Fixed 6.70000000 N N N N N N NORTHROP GRUMMAN CORP RIMU48P07456QXSO0R61 666807BU5 37500000.00000000 PA USD 38158452.38000000 0.252074055599 Long DBT CORP US N 2 2050-05-01 Fixed 5.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJZZ6 10425.87000000 PA USD 10249.52000000 0.000067708146 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200FSR0 8279.84000000 PA USD 8376.30000000 0.000055333688 Long ABS-MBS USGA US N 2 2033-04-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDGP5 1968128.70000000 PA USD 1692368.81000000 0.011179758163 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9VH5 1535559.75000000 PA USD 1454084.90000000 0.009605658905 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H93E7 32959565.10000000 PA USD 747058.21000000 0.004935053206 Long ABS-MBS USGSE US N 2 2032-08-25 Variable 0.40300500 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYUH0 24903091.74000000 PA USD 20309768.77000000 0.134165970127 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 1.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179T7L3 1522107.92000000 PA USD 1488728.61000000 0.009834514635 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XS72 6416827.23000000 PA USD 5571011.12000000 0.036802000060 Long ABS-MBS USGA US N 2 2053-02-20 Fixed 2.50000000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBE2 20140000.00000000 PA USD 16412302.51000000 0.108419377552 Long DBT CORP US N 2 2052-03-15 Fixed 5.14100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCCC0 2748810.56000000 PA USD 2456812.19000000 0.016229657492 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 3.00000000 N N N N N N BCRED MML CLO 2021-1 LLC N/A 05554LAG7 14260000.00000000 PA USD 13892491.99000000 0.091773554216 Long ABS-CBDO CORP US N 2 2035-01-15 Floating 6.74029000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407N6K4 288634.32000000 PA USD 293217.15000000 0.001936987261 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LJP34 1275000.00000000 PA USD 1285099.15000000 0.008489342056 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 4.58000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371FAX0 36.08000000 PA USD 36.07000000 0.000000238277 Long ABS-MBS USGSE US N 2 2025-08-01 Fixed 7.50000000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 14916RAD6 358000.00000000 PA USD 307704.28000000 0.002032688983 Long DBT CORP US N 2 2042-11-01 Fixed 4.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412XMX9 2834.35000000 PA USD 2913.42000000 0.000019246000 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.50000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBV6 1370000.00000000 PA USD 1196584.74000000 0.007904617442 Long DBT CORP US N 2 2030-04-01 Fixed 2.95000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJB6 15760000.00000000 PA USD 13238967.99000000 0.087456386332 Long DBT CORP US N 2 2031-04-29 Fixed 2.59200000 N N N N N N Morgan Stanley Capital I Trust N/A 61769GAA5 15222187.94000000 PA USD 14780983.48000000 0.097642913146 Long ABS-MBS CORP US N 2 2036-05-15 Floating 7.09300000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU 549300FCX3YXSYSLU895 92938VAW5 4947346.98000000 PA USD 17319.18000000 0.000114410194 Long ABS-MBS CORP US N 2 2047-03-15 Variable 1.11476400 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AT7 2212000.00000000 PA USD 2081675.71000000 0.013751512599 Long DBT CORP GB N 2 2027-09-11 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335B4Y9 5835126.70000000 PA USD 5225717.15000000 0.034520994255 Long ABS-MBS USGSE US N 2 2048-09-01 Fixed 3.00000000 N N N N N N REPUBLIC OF CHILE 549300FLZTJM5YJF8D34 168863DQ8 9270000.00000000 PA USD 6078112.35000000 0.040151901738 Long DBT NUSS CL N 2 2061-01-22 Fixed 3.10000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BQSA5 3637221.30000000 PA USD 3499583.54000000 0.023118186425 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417YY84 249908.31000000 PA USD 245424.22000000 0.001621268018 Long ABS-MBS USGSE US N 2 2031-05-01 Fixed 4.50000000 N N N N N N BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 06417XAH4 19420000.00000000 PA USD 18704992.30000000 0.123564845399 Long DBT CORP CA N 2 2025-04-11 Fixed 3.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGWS4 24453299.00000000 PA USD 22509962.32000000 0.148700409463 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N WALT DISNEY COMPANY/THE 549300GZKULIZ0WOW665 254687EH5 1970000.00000000 PA USD 2279370.30000000 0.015057479533 Long DBT CORP US N 2 2037-11-15 Fixed 6.65000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38377EEZ3 55369.28000000 PA USD 5538.79000000 0.000036589147 Long ABS-MBS USGA US N 2 2040-04-20 Floating 1.33371000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -12578018.89000000 -0.08309016837 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2024-09-30 164008.18000000 USD 0.00000000 USD 461342000.00000000 USD -12742027.07000000 N N N CHARTER COMM OPT LLC/CAP N/A 161175CJ1 11290000.00000000 PA USD 9913729.36000000 0.065489919271 Long DBT CORP US N 2 2033-04-01 Fixed 4.40000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36204VCB3 274.05000000 PA USD 273.79000000 0.000001808651 Long ABS-MBS USGA US N 2 2024-03-15 Fixed 7.00000000 N N N N N N Credit Suisse Mortgage Trust N/A 12665CAA2 17000000.00000000 PA USD 14226376.90000000 0.093979191974 Long ABS-MBS CORP US N 2 2024-01-15 Floating 9.09110000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DB8 286000.00000000 PA USD 288719.86000000 0.001907278243 Long DBT CORP US N 2 2024-07-01 Fixed 6.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WXWT0 508689.22000000 PA USD 489221.55000000 0.003231788830 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.00000000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448EQ7 760000.00000000 PA USD 725437.32000000 0.004792225992 Long DBT CORP US N 2 2025-03-19 Fixed 2.25000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAQ2 5090000.00000000 PA USD 4031930.25000000 0.026634859293 Long DBT CORP US N 2 2051-03-24 Fixed 4.40000000 N N N N N N Countrywide Alternative Loan T 549300EBNJLBIQBKE071 02147CAA1 403812.46000000 PA USD 349525.69000000 0.002308960471 Long ABS-MBS CORP US N 2 2046-07-25 Floating 5.53043000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A65Y6 500832.60000000 PA USD 28145.94000000 0.000185931577 Long ABS-MBS USGSE US N 2 2042-03-25 Floating 1.49957000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVMH5 17437552.66000000 PA USD 16563131.59000000 0.109415751764 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LGY55 12600000.00000000 PA USD 11791859.18000000 0.077896811352 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 3.89000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NCRY7 3428332.16000000 PA USD 3513184.20000000 0.023208032143 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 6.50000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCY5 1490000.00000000 PA USD 1183213.02000000 0.007816284099 Long DBT CORP US N 2 2039-11-01 Fixed 3.25000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CM5 2588000.00000000 PA USD 2366833.79000000 0.015635261787 Long DBT CORP US N 2 2027-02-01 Fixed 2.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGJR1 25454030.57000000 PA USD 22443510.59000000 0.148261430520 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023BU8 1791000.00000000 PA USD 1634225.21000000 0.010795662579 Long DBT CORP US N 2 2027-03-01 Fixed 2.80000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BF2 6705000.00000000 PA USD 6128062.24000000 0.040481869820 Long DBT CORP US N 2 2037-08-22 Fixed 3.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DN5L3 662065.80000000 PA USD 568657.47000000 0.003756541100 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -5748.00000000 NC USD -7759800.00000000 -0.05126110034 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-03-18 0.00000000 USD 2500.00000000 96.25000000 USD 2023-10-13 XXXX -5652045.80000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418APM4 18292.80000000 PA USD 16587.49000000 0.000109576662 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ACEG1 7221979.34000000 PA USD 7244593.24000000 0.047857653685 Long ABS-MBS USGA US N 2 2053-02-20 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DN6L2 10435971.64000000 PA USD 10098942.04000000 0.066713430931 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.50000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RJX1 12330000.00000000 PA USD 11095066.90000000 0.073293813983 Long DBT CORP US N 2 2027-06-01 Fixed 2.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XK5J5 3681908.78000000 PA USD 3535854.71000000 0.023357793127 Long ABS-MBS USGSE US N 2 2044-12-01 Fixed 4.00000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCE3 25910000.00000000 PA USD 22127128.86000000 0.146171418457 Long DBT CORP US N 2 2031-03-25 Fixed 2.87500000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWL4 8956000.00000000 PA USD 8420389.82000000 0.055624944914 Long DBT CORP US N 2 2028-06-05 Fixed 3.69100000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFR0 7020000.00000000 PA USD 5541068.66000000 0.036604200704 Long DBT CORP US N 2 2031-01-20 Fixed 1.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WWKG3 538946.07000000 PA USD 518292.13000000 0.003423828563 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132H3HW6 81941.10000000 PA USD 76369.31000000 0.000504494299 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 3.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD -133039.86000000 -0.00087885894 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2029-06-30 0.00000000 USD -21194.79000000 USD -45885000.00000000 USD -111845.07000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TV44 767666.44000000 PA USD 694926.05000000 0.004590669087 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225B7K8 41053.48000000 PA USD 42925.26000000 0.000283563501 Long ABS-MBS USGA US N 2 2034-07-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FKP0 118358.20000000 PA USD 120339.15000000 0.000794958277 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WDZ53 684632.72000000 PA USD 677145.71000000 0.004473212478 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 4.50000000 N N N N N N COSTCO WHOLESALE CORP 29DX7H14B9S6O3FD6V18 22160KAP0 10000.00000000 PA USD 8332.06000000 0.000055041439 Long DBT CORP US N 2 2030-04-20 Fixed 1.60000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264AAX3 4020000.00000000 PA USD 3552908.52000000 0.023470450292 Long DBT CORP US N 2 2040-04-15 Fixed 4.37500000 N N N N N N Sound Point CLO LTD 549300RTEBF0FW35D815 83611JAA3 649000.00000000 PA USD 637713.68000000 0.004212725192 Long ABS-CBDO CORP KY N 2 2031-07-26 Floating 6.36814000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NS6 5380000.00000000 PA USD 5250053.90000000 0.034681762392 Long DBT CORP US N 2 2028-05-24 Fixed 4.65800000 N N N N N N NATIONAL SECS CLEARING 549300RYC9NELN2ICA34 637639AB1 3810000.00000000 PA USD 3544381.13000000 0.023414118505 Long DBT CORP US N 2 2025-04-23 Fixed 1.50000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKH4 10810000.00000000 PA USD 8589612.06000000 0.056742824012 Long DBT CORP US N 2 2032-02-01 Fixed 2.25000000 N N N N N N Octagon Investment Partners XX 549300XIS9D4AHDX5A35 67590QBK2 13480000.00000000 PA USD 13325630.15000000 0.088028875015 Long ABS-CBDO CORP KY N 2 2031-02-14 Floating 6.32071000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381HK26 7472939.67000000 PA USD 459800.26000000 0.003037432313 Long ABS-MBS USGA US N 2 2065-07-16 Variable 0.75054000 N N N N N N Ford Credit Auto Owner Trust/F N/A 34535QAA3 9680000.00000000 PA USD 9486047.65000000 0.062664661525 Long ABS-O CORP US N 2 2035-08-15 Fixed 4.85000000 N N N N N N MASTR Reperforming Loan Trust N/A 57643QAE5 327362.68000000 PA USD 174858.29000000 0.001155110743 Long ABS-MBS CORP US N 2 2035-05-25 Floating 5.50043000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38145GAH3 10965000.00000000 PA USD 10286841.39000000 0.067954690684 Long DBT CORP US N 2 2026-11-16 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132JAWQ4 61588.32000000 PA USD 59304.86000000 0.000391766847 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TZ65 9205002.78000000 PA USD 9010286.87000000 0.059521794301 Long ABS-MBS USGA US N 2 2048-06-20 Fixed 4.50000000 N N N N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BS7 18680000.00000000 PA USD 16468939.93000000 0.108793523338 Long DBT CORP US N 2 2053-06-15 Fixed 4.15000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201TLE5 15534.42000000 PA USD 15864.19000000 0.000104798556 Long ABS-MBS USGA US N 2 2033-04-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380R4W7 13616566.29000000 PA USD 844224.39000000 0.005576931257 Long ABS-MBS USGA US N 2 2062-10-16 Variable 0.87031000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388HA82 3159.77000000 PA USD 3124.80000000 0.000020642373 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 7.00000000 N N N N N N MONDELEZ INTERNATIONAL 549300DV9GIB88LZ5P30 609207AU9 10020000.00000000 PA USD 9343035.57000000 0.061719926277 Long DBT CORP US N 2 2025-05-04 Fixed 1.50000000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 760942BA9 18884000.00000000 PA USD 18864117.04000000 0.124616020592 Long DBT NUSS UY N 2 2050-06-18 Fixed 5.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GXM3 519910.97000000 PA USD 499986.73000000 0.003302903417 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDX7 5320000.00000000 PA USD 4480825.97000000 0.029600256410 Long DBT CORP US N 2 2030-05-15 Fixed 2.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RG5 4670000.00000000 PA USD 4212850.80000000 0.027830017219 Long DBT UST US N 2 2044-05-15 Fixed 3.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LKB85 1000000.00000000 PA USD 1002317.03000000 0.006621288416 Long ABS-MBS USGSE US N 2 2033-05-01 Fixed 4.48000000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325DS1 14920000.00000000 PA USD 11286980.00000000 0.074561588497 Long DBT NUSS CO N 2 2031-04-15 Fixed 3.12500000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GGR4 7711000.00000000 PA USD 7174083.15000000 0.047391865288 Long DBT CORP US N 2 2028-07-21 Fixed 3.59300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNBV4 3537874.99000000 PA USD 3148180.85000000 0.020796826525 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.00000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DC6 627000.00000000 PA USD 619570.05000000 0.004092868695 Long DBT CORP US N 2 2026-03-15 Fixed 5.55000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 913017BT5 833000.00000000 PA USD 767306.02000000 0.005068809877 Long DBT CORP US N 2 2042-06-01 Fixed 4.50000000 N N N N N N WEA FINANCE LLC/WESTFIEL N/A 92890HAD4 1433000.00000000 PA USD 1009181.98000000 0.006666638154 Long DBT CORP US N 2 2044-09-17 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412TZM8 15046.35000000 PA USD 16073.18000000 0.000106179140 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 7.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHD4 17046000.00000000 PA USD 15646642.38000000 0.103361440395 Long DBT CORP US N 2 2028-12-20 Fixed 3.41900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371FUH3 698.27000000 PA USD 696.15000000 0.000004598754 Long ABS-MBS USGSE US N 2 2027-04-01 Fixed 7.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -493.00000000 NC USD -200281.25000000 -0.00132305436 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 113.00000000 USD 2023-07-21 XXXX 118537.74000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -1054.00000000 NC USD -642281.25000000 -0.00424289847 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 107.25000000 USD 2023-07-21 XXXX -260197.98000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138A5YC0 958367.69000000 PA USD 947002.53000000 0.006255881816 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31288QFR6 28920074.99000000 PA USD 27105268.56000000 0.179056920495 Long ABS-MBS USGSE US N 2 2048-11-01 Floating 3.00500000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BS4 4990000.00000000 PA USD 4105293.61000000 0.027119496341 Long DBT CORP US N 2 2030-06-03 Fixed 1.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FLNB6 33275975.14000000 PA USD 918263.84000000 0.006066034543 Long ABS-MBS USGSE US N 2 2029-03-25 Variable 0.70615400 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297UZY9 1810.44000000 PA USD 1805.89000000 0.000011929677 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379RV34 4173673.08000000 PA USD 130000.32000000 0.000858779794 Long ABS-MBS USGA US N 2 2059-02-16 Variable 0.52636000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VV49 273956.41000000 PA USD 268101.84000000 0.001771075971 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 4.50000000 N N N N N N STANDARD CHARTERED PLC U4LOSYZ7YG4W3S5F2G91 853254AN0 432000.00000000 PA USD 397685.55000000 0.002627103647 Long DBT CORP GB N 2 2044-03-26 Fixed 5.70000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36297F6D9 6282.90000000 PA USD 6307.39000000 0.000041666505 Long ABS-MBS USGA US N 2 2040-01-15 Fixed 5.00000000 N N N N N N Credit Suisse Mortgage Trust N/A 12651YAA0 6117324.01000000 PA USD 5672528.49000000 0.037472621995 Long ABS-MBS CORP US N 2 2057-08-01 Variable 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKNS5 3516119.69000000 PA USD 3653229.51000000 0.024133168962 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UPB2 15818144.53000000 PA USD 15454446.79000000 0.102091799756 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 4.50000000 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YAY1 8200000.00000000 PA USD 7412212.14000000 0.048964941148 Long DBT CORP US N 2 2026-02-24 Fixed 0.75000000 N N N N N N BHMS Mortgage Trust N/A 05549GAA9 21879000.00000000 PA USD 21357669.38000000 0.141088382861 Long ABS-MBS CORP US N 2 2035-07-15 Floating 6.44329000 N N N N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106AM5 1170000.00000000 PA USD 949274.00000000 0.006270887107 Long DBT CORP US N 2 2050-03-27 Fixed 3.37500000 N N N N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081EW9 6980000.00000000 PA USD 6209243.69000000 0.041018153030 Long DBT CORP US N 2 2030-04-01 Fixed 2.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L7FS6 203999.83000000 PA USD 175226.12000000 0.001157540622 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38383CRU6 5560818.68000000 PA USD 4654833.97000000 0.030749750154 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 2.00000000 N N N N N N COMM Mortgage Trust 549300MGZ5FI5VFL1177 12591KAG0 448000.00000000 PA USD 395034.17000000 0.002609588678 Long ABS-MBS CORP US N 2 2046-10-10 Fixed 4.30000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617YDD41 1926086.36000000 PA USD 1697854.18000000 0.011215994419 Long ABS-MBS USGA US N 2 2052-04-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379FFB0 1257380.92000000 PA USD 220091.96000000 0.001453923560 Long ABS-MBS USGA US N 2 2045-04-16 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ECG3 4825347.85000000 PA USD 4087948.86000000 0.027004917232 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 2.00000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKJ0 12461000.00000000 PA USD 8830168.03000000 0.058331932458 Long DBT CORP US N 2 2053-09-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L13J2 1045281.38000000 PA USD 858079.32000000 0.005668456678 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Argent Securities Inc. N/A 040104TF8 94310.01000000 PA USD 23392.67000000 0.000154531560 Long ABS-O CORP US N 2 2036-05-25 Floating 5.37043000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418A3V8 455060.27000000 PA USD 447013.08000000 0.002952960430 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KLJH6 4022020.00000000 PA USD 3311457.65000000 0.021875430152 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCUK2 3357980.85000000 PA USD 2975435.78000000 0.019655675674 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AANA8 839783.82000000 PA USD 782362.15000000 0.005168270404 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 3.50000000 N N N N N N Cerberus N/A 15673EAA1 5403387.14000000 PA USD 5390651.14000000 0.035610545250 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 7.11029000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHG7 5000000.00000000 PA USD 4685469.75000000 0.030952129570 Long DBT CORP US N 2 2029-03-05 Fixed 3.97000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WN2B7 11021.32000000 PA USD 10834.89000000 0.000071575090 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398W2M5 128935.15000000 PA USD 11016.89000000 0.000072777378 Long ABS-MBS USGSE US N 2 2040-01-15 Floating 1.03671000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31389VUG0 14125.43000000 PA USD 14365.60000000 0.000094898897 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378BSB6 1440931.32000000 PA USD 165.85000000 0.000001095602 Long ABS-MBS USGA US N 2 2049-03-16 Variable 0.02937000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F6P92 2729047.94000000 PA USD 423657.13000000 0.002798671441 Long ABS-MBS USGSE US N 2 2050-11-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNT69 16998624.44000000 PA USD 16069614.09000000 0.106155583964 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403CUZ2 84488.90000000 PA USD 87778.61000000 0.000579863931 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 6.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGE4 1513000.00000000 PA USD 1285276.98000000 0.008490516797 Long DBT CORP US N 2 2044-11-04 Fixed 4.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L1TN5 2787656.53000000 PA USD 2333044.69000000 0.015412051595 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N DEERE & COMPANY PWFTNG3EI0Y73OXWDH08 244199BK0 12660000.00000000 PA USD 11222934.66000000 0.074138506124 Long DBT CORP US N 2 2050-04-15 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418B6J0 10730314.13000000 PA USD 9941922.33000000 0.065676161528 Long ABS-MBS USGSE US N 2 2036-07-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UH54 2055190.10000000 PA USD 2008822.40000000 0.013270244933 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388YWY4 596.24000000 PA USD 606.09000000 0.000004003819 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 6.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 527.00000000 NC USD 687570.58000000 0.004542078983 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 108.25000000 USD 2023-07-21 XXXX 303041.48000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417Y2J5 87807.38000000 PA USD 86232.01000000 0.000569647119 Long ABS-MBS USGSE US N 2 2031-06-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AKJH4 2079192.86000000 PA USD 1722388.19000000 0.011378065652 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FXC89 9283859.09000000 PA USD 1231049.93000000 0.008132293873 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36291XNT2 2320.03000000 PA USD 2347.06000000 0.000015504636 Long ABS-MBS USGA US N 2 2035-04-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132M8R40 103958.88000000 PA USD 102043.51000000 0.000674097606 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKW71 19993918.82000000 PA USD 16488985.45000000 0.108925943686 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XNB8 769706.00000000 PA USD 688849.76000000 0.004550529224 Long ABS-MBS USGA US N 2 2052-12-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8VU4 22996545.58000000 PA USD 20619246.64000000 0.136210375415 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.00000000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918CC6 5016000.00000000 PA USD 3472996.49000000 0.022942552847 Long DBT CORP US N 2 2050-06-01 Fixed 2.52500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ACER7 7044542.47000000 PA USD 6976647.17000000 0.046087606727 Long ABS-MBS USGA US N 2 2053-02-20 Fixed 5.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAY2 19448000.00000000 PA USD 19282980.41000000 0.127383024541 Long DBT CORP US N 2 2024-12-05 Fixed 4.02300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LJW85 3000000.00000000 PA USD 3047590.98000000 0.020132331638 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 4.70000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CA8 4170000.00000000 PA USD 3870286.96000000 0.025567046604 Long DBT CORP US N 2 2027-04-15 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31389F4Y5 2242.11000000 PA USD 2215.01000000 0.000014632316 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 7.00000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RBA9 2560000.00000000 PA USD 2528829.47000000 0.016705402359 Long DBT CORP US N 2 2041-08-15 Fixed 5.55000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297SQ40 2808.63000000 PA USD 2833.70000000 0.000018719371 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.00000000 N N N N N N Morgan Stanley BAML Trust N/A 61767EAJ3 1260000.00000000 PA USD 1099215.56000000 0.007261398377 Long ABS-MBS CORP US N 2 2052-11-15 Variable 4.11100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYUU1 74327.45000000 PA USD 63403.43000000 0.000418841927 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622A3CG3 1398150.49000000 PA USD 1321238.80000000 0.008728079939 Long ABS-MBS USGA US N 2 2048-06-15 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FNWZ9 8036353.26000000 PA USD 250035.86000000 0.001651732430 Long ABS-MBS USGSE US N 2 2026-07-25 Variable 1.41121200 N N N N N N SOUTHERN COPPER CORP 2549007U6NAP46Q9TU15 84265VAJ4 5846000.00000000 PA USD 5981919.50000000 0.039516453487 Long DBT CORP US N 2 2045-04-23 Fixed 5.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXG89 6196733.09000000 PA USD 5996641.01000000 0.039613703520 Long ABS-MBS USGSE US N 2 2057-09-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AFRZ6 3040540.05000000 PA USD 2521137.85000000 0.016654591654 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122DL9 2329000.00000000 PA USD 2174219.88000000 0.014362857734 Long DBT CORP US N 2 2048-02-20 Fixed 4.55000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FTZS9 16412462.04000000 PA USD 1431301.27000000 0.009455150652 Long ABS-MBS USGSE US N 2 2030-04-25 Variable 1.81326700 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90351DAB3 2731000.00000000 PA USD 2610874.73000000 0.017247391883 Long DBT CORP CH N 2 2025-09-24 Fixed 4.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYVB2 27860320.97000000 PA USD 22668004.37000000 0.149744432425 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 1.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378BQJ1 4879120.06000000 PA USD 11637.19000000 0.000076875069 Long ABS-MBS USGA US N 2 2053-04-16 Variable 0.26688000 N N N N N N CONOCOPHILLIPS COMPANY 6VJJ5GQWIRDQ06DUXG89 208251AE8 573000.00000000 PA USD 630903.79000000 0.004167739180 Long DBT CORP US N 2 2029-04-15 Fixed 6.95000000 N N N N N N Freddie Mac - STACR S6XOOCT0IEG5ABCC6L87 35564KDB2 19708593.08000000 PA USD 19732769.61000000 0.130354323971 Long ABS-MBS USGSE US N 2 2033-08-25 Floating 7.36655000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380QGQ9 2981798.28000000 PA USD 2877708.17000000 0.019010088826 Long ABS-MBS USGA US N 2 2070-07-20 Floating 4.42272000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AV2 2710000.00000000 PA USD 2522397.46000000 0.016662912616 Long DBT CORP US N 2 2030-06-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31288QFW5 13490539.33000000 PA USD 12789339.00000000 0.084486145246 Long ABS-MBS USGSE US N 2 2050-02-01 Floating 3.09800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKTY6 7557421.46000000 PA USD 7539374.79000000 0.049804975345 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H24R2 16800267.27000000 PA USD 2334565.14000000 0.015422095661 Long ABS-MBS USGSE US N 2 2049-05-25 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225BEA2 32059.18000000 PA USD 32709.62000000 0.000216079166 Long ABS-MBS USGA US N 2 2029-05-15 Fixed 6.50000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PAR3 582000.00000000 PA USD 622696.73000000 0.004113523488 Long DBT CORP US N 2 2036-03-15 Fixed 5.80000000 N N N N N N BX Trust N/A 05609KAA7 28070199.17000000 PA USD 27276382.36000000 0.180187295205 Long ABS-MBS CORP US N 2 2038-10-15 Floating 5.88150000 N N N N N N Freddie Mac Multiclass Certifi N/A 3137FQ3M3 15000000.00000000 PA USD 923088.00000000 0.006097902858 Long ABS-MBS USGSE US N 2 2028-06-25 Variable 1.53400000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2U6 8970000.00000000 PA USD 7680501.95000000 0.050737258846 Long DBT CORP US N 2 2033-03-02 Fixed 3.35000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272AT5 12140000.00000000 PA USD 11996465.50000000 0.079248437052 Long DBT CORP US N 2 2024-03-12 Fixed 4.12500000 N N N N N N BERKSHIRE HATHAWAY ENERG 549300JD0S5IZJE9LY15 59562VAP2 269000.00000000 PA USD 277554.76000000 0.001833521792 Long DBT CORP US N 2 2037-05-15 Fixed 5.95000000 N N N N N N GUARDIAN LIFE GLOB FUND 635400NHILJ5JEKILC36 40139LAG8 2750000.00000000 PA USD 2503229.33000000 0.016536288291 Long DBT CORP US N 2 2025-06-23 Fixed 1.10000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAP3 7449000.00000000 PA USD 6959966.82000000 0.045977416633 Long DBT CORP US N 2 2029-01-24 Fixed 3.77200000 N N N N N N Hertz Vehicle Financing LLC 5493004IHDYOZ9K9WF47 42806MAQ2 5200000.00000000 PA USD 4468224.28000000 0.029517009871 Long ABS-O CORP US N 2 2028-06-26 Fixed 2.95000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAHA5 681665.12000000 PA USD 628516.17000000 0.004151966605 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 3.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFH7 5409000.00000000 PA USD 5309638.83000000 0.035075379376 Long DBT CORP US N 2 2024-08-26 Fixed 4.20000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKLX6 4777381.01000000 PA USD 4694208.72000000 0.031009859050 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WRJQ4 94631.80000000 PA USD 91000.24000000 0.000601145961 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RN0 108520000.00000000 PA USD 89618020.04000000 0.592015041420 Long DBT UST US N 2 2045-08-15 Fixed 2.87500000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 11920027.18000000 0.078743486874 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2048-02-15 9896880.25000000 USD 0.00000000 USD -93963000.00000000 USD 2023146.93000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415WQA4 4017.77000000 PA USD 4044.08000000 0.000026715120 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 7.00000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BR2 2330000.00000000 PA USD 1837196.82000000 0.012136489413 Long DBT CORP US N 2 2032-02-03 Fixed 2.15000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128E24P8 379.93000000 PA USD 376.19000000 0.000002485104 Long ABS-MBS USGSE US N 2 2023-09-01 Fixed 5.00000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822CE2 6690000.00000000 PA USD 6352313.95000000 0.041963272615 Long DBT CORP JP N 2 2028-04-19 Fixed 4.08000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WNBT8 262719.91000000 PA USD 258276.93000000 0.001706172791 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.50000000 N N N N N N CIGNA GROUP/THE 549300VIWYMSIGT1U456 125523AF7 4734000.00000000 PA USD 4729795.97000000 0.031244947788 Long DBT CORP US N 2 2023-07-15 Fixed 3.75000000 N N N N N N Wells Fargo Commercial Mortgag N/A 95001WBF4 7160000.00000000 PA USD 6133601.11000000 0.040518459497 Long ABS-MBS CORP US N 2 2052-03-15 Fixed 4.54600000 N N N N N N SMB Private Education Loan Tru N/A 78448YAD3 15500000.00000000 PA USD 13944229.35000000 0.092115330293 Long ABS-O CORP US N 2 2053-01-15 Fixed 2.31000000 N N N N N N NORTHROP GRUMMAN CORP RIMU48P07456QXSO0R61 666807BN1 2964000.00000000 PA USD 2766210.71000000 0.018273538595 Long DBT CORP US N 2 2028-01-15 Fixed 3.25000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDH1 4130000.00000000 PA USD 3482315.76000000 0.023004115779 Long DBT CORP US N 2 2040-04-01 Fixed 3.75000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023BA2 448000.00000000 PA USD 451353.55000000 0.002981633498 Long DBT CORP US N 2 2040-02-15 Fixed 5.87500000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCU3 17737000.00000000 PA USD 17091312.72000000 0.112904906885 Long DBT CORP US N 2 2030-10-15 Fixed 4.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BUNF0 2166141.79000000 PA USD 2214296.27000000 0.014627601652 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6.50000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCE9 3070000.00000000 PA USD 2537281.17000000 0.016761234138 Long DBT CORP US N 2 2049-11-01 Fixed 3.99900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AYQM5 678172.98000000 PA USD 600075.52000000 0.003964088178 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296K5K5 32767.16000000 PA USD 33050.87000000 0.000218333457 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.00000000 N N N N N N REPUBLIC OF KAZAKHSTAN 5493007OEK8EF02UO833 486661AF8 24162000.00000000 PA USD 21830801.92000000 0.144213887978 Long DBT NUSS KZ N 2 2044-10-14 Fixed 4.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H042679 32600000.00000000 PA USD 31466640.79000000 0.207868067631 Long ABS-MBS USGA US N 2 2053-07-15 Fixed 4.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TQ1 22360000.00000000 PA USD 21807987.50000000 0.144063176327 Long DBT UST US N 2 2043-02-15 Fixed 3.87500000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135CG9 5130000.00000000 PA USD 4833782.21000000 0.031931879034 Long DBT CORP US N 2 2029-04-13 Fixed 3.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AKTB9 1149637.66000000 PA USD 50590.38000000 0.000334199147 Long ABS-MBS USGSE US N 2 2044-08-25 Variable 0.01000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ACNQ7 850239.24000000 PA USD 725864.19000000 0.004795045888 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131WLCE6 136739.19000000 PA USD 137800.77000000 0.000910309427 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LN5G8 3385070.37000000 PA USD 2905897.85000000 0.019196309350 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N Goodgreen Trust N/A 38218QAA8 690570.00000000 PA USD 607817.41000000 0.004015230965 Long ABS-O CORP KY N 2 2053-10-15 Fixed 3.26000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297UZZ6 158107.87000000 PA USD 157716.40000000 0.001041871724 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TJ7 10980000.00000000 PA USD 9339862.50000000 0.061698965033 Long DBT UST US N 2 2052-08-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNUG5 12177518.30000000 PA USD 11116291.05000000 0.073434020339 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.50000000 N N N N N N STATE OF ISRAEL 213800T8ZHTFZIBYPE21 46513JB34 26680000.00000000 PA USD 23601128.00000000 0.155908630476 Long DBT NUSS IL N 2 2030-07-03 Fixed 2.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYWA3 2068949.82000000 PA USD 1759538.71000000 0.011623481324 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCYK8 6038489.41000000 PA USD 5528865.66000000 0.036523587904 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EBJ8 9029742.00000000 PA USD 7678721.93000000 0.050725500065 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBNZ9 3814793.75000000 PA USD 3570584.39000000 0.023587216774 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 3.00000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBX0 21270000.00000000 PA USD 18639095.62000000 0.123129533107 Long DBT CORP US N 2 2030-01-31 Fixed 2.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31379YBJ1 589.94000000 PA USD 586.30000000 0.000003873087 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36210AN94 2418.10000000 PA USD 2467.16000000 0.000016298014 Long ABS-MBS USGA US N 2 2028-09-15 Fixed 6.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -988.00000000 NC USD -7719.24000000 -0.00005099316 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 108.00000000 USD 2023-06-30 XXXX 156524.89000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BKL5 766061.41000000 PA USD 761274.06000000 0.005028962857 Long ABS-MBS USGA US N 2 2061-02-20 Floating 5.54386000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CJ2 1657000.00000000 PA USD 1281990.78000000 0.008468808219 Long DBT CORP US N 2 2046-04-15 Fixed 4.40000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JT9 4549000.00000000 PA USD 4420871.77000000 0.029204200035 Long DBT CORP US N 2 2025-06-10 Fixed 4.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XWZN1 26176.62000000 PA USD 25380.88000000 0.000167665640 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDF35 25579148.97000000 PA USD 21769766.28000000 0.143810687629 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 2.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJD2 49280000.00000000 PA USD 45162464.79000000 0.298342436614 Long DBT CORP US N 2 2026-06-19 Fixed 1.31900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LJP91 1197000.00000000 PA USD 1212965.13000000 0.008012826007 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 4.69000000 N N N N N N KAZMUNAYGAS NATIONAL CO 2138001H1M69RFJCSH88 48667QAS4 2803000.00000000 PA USD 2402697.96000000 0.015872179854 Long DBT CORP KZ N 2 2048-10-24 Fixed 6.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ECZ1 11030929.08000000 PA USD 9587638.46000000 0.063335768604 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 2.50000000 N N N N N N HALEON US CAPITAL LLC 549300N8C3A3L0UVQB07 36264FAL5 4930000.00000000 PA USD 4482959.53000000 0.029614350670 Long DBT CORP US N 2 2029-03-24 Fixed 3.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5NM8 7065.50000000 PA USD 7269.51000000 0.000048022253 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 5.50000000 N N N N N N 321 Henderson Receivables LLC N/A 46618LAB6 1056782.14000000 PA USD 883421.47000000 0.005835866468 Long ABS-O CORP US N 2 2074-09-17 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419KHY4 339176.40000000 PA USD 335154.39000000 0.002214023920 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140K8Z46 506202.19000000 PA USD 466699.18000000 0.003083006456 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225A2H2 31926.39000000 PA USD 32574.14000000 0.000215184187 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 6.50000000 N N N N N N BHP BILLITON FIN USA LTD 5493003NUVITP3TMY274 055451AV0 7863000.00000000 PA USD 7872391.80000000 0.052004879771 Long DBT CORP AU N 2 2043-09-30 Fixed 5.00000000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAL7 16630000.00000000 PA USD 15672351.97000000 0.103531277487 Long DBT CORP US N 2 2041-07-15 Fixed 5.60000000 N N N N N N BANK OF MONTREAL NQQ6HPCNCCU6TUTQYE16 06367WB85 12810000.00000000 PA USD 11970363.04000000 0.079076004667 Long DBT CORP CA N 2 2025-05-01 Fixed 1.85000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAL0 293000.00000000 PA USD 288874.67000000 0.001908300915 Long DBT CORP US N 2 2035-07-15 Fixed 5.00000000 N N N N N N ORBIA ADVANCE CORP SAB 549300MVHZ20SBIOEQ79 68560EAA6 14240000.00000000 PA USD 12773280.00000000 0.084380059779 Long DBT CORP MX N 2 2026-05-11 Fixed 1.87500000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TS7 52290000.00000000 PA USD 51031771.88000000 0.337114974531 Long DBT UST US N 2 2043-05-15 Fixed 3.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BYCW7 9261987.88000000 PA USD 9239489.68000000 0.061035903975 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKK4 13820000.00000000 PA USD 11525610.37000000 0.076137976464 Long DBT CORP US N 2 2033-02-04 Fixed 2.97200000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAN9 13852000.00000000 PA USD 12481206.22000000 0.082450625599 Long DBT CORP US N 2 2029-12-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FJT4 5239.24000000 PA USD 5485.81000000 0.000036239162 Long ABS-MBS USGA US N 2 2040-08-20 Fixed 6.00000000 N N N N N N Catskill Park CLO, LTD. 549300QY7L9WFVGWC115 149420AE1 6105000.00000000 PA USD 6046638.93000000 0.039943988887 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 6.95043000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CD2 9410000.00000000 PA USD 7189112.21000000 0.047491146991 Long DBT CORP US N 2 2050-04-15 Fixed 3.35000000 N N N N N N Arbys Funding LLC N/A 038779AB0 875250.00000000 PA USD 774597.83000000 0.005116979444 Long ABS-O CORP US N 2 2050-07-30 Fixed 3.23700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGLT4 952372.10000000 PA USD 878235.56000000 0.005801608439 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L0RZ2 831225.08000000 PA USD 739568.92000000 0.004885579090 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128KJEJ7 2866.38000000 PA USD 2884.21000000 0.000019053039 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWA60 2380671.14000000 PA USD 2033098.61000000 0.013430613143 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N THE VANGUARD GROUP INC N/A 000000000 10240000.00000000 PA USD 6324045.82000000 0.041776533853 Long DBT CORP US N 2 2050-08-22 Fixed 3.05000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKHM5 4934218.64000000 PA USD 4761414.70000000 0.031453820555 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.50000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BFP0 430000.00000000 PA USD 405421.04000000 0.002678204156 Long DBT CORP US N 2 2043-11-02 Fixed 5.37500000 N N N N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612GAB7 2600000.00000000 PA USD 2151446.15000000 0.014212414880 Long DBT CORP US N 2 2052-04-15 Fixed 4.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XLKT4 4793413.54000000 PA USD 4772760.59000000 0.031528771302 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 4029869.55000000 0.026621246346 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2029-09-30 66762.66000000 USD 0.00000000 USD -122577000.00000000 USD 3963106.89000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBQ60 1967296.10000000 PA USD 1689846.54000000 0.011163096093 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.50000000 N N N N N N Apidos CLO Ltd 549300KJKTO0Q1OATW69 03768UAA7 4300000.00000000 PA USD 4217225.00000000 0.027858913106 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 6.30043000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B5QY4 9361397.75000000 PA USD 236994.55000000 0.001565581768 Long ABS-MBS USGSE US N 2 2029-06-25 Variable 0.67184400 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ACA67 4148778.55000000 PA USD 3948554.39000000 0.026084079850 Long ABS-MBS USGA US N 2 2052-06-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XADE9 10004354.12000000 PA USD 8230431.57000000 0.054370084104 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413DZM2 901.92000000 PA USD 917.92000000 0.000006063763 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TR9 129010000.00000000 PA USD 124010862.50000000 0.819213545074 Long DBT UST US N 2 2053-05-15 Fixed 3.62500000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CD5 5382000.00000000 PA USD 4815629.59000000 0.031811963151 Long DBT CORP US N 2 2029-03-01 Fixed 3.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B7QQ5 103111.80000000 PA USD 3858.07000000 0.000025486341 Long ABS-MBS USGSE US N 2 2043-04-15 Fixed 4.00000000 N N N N N N PNC FINANCIAL SERVICES CFGNEKW0P8842LEUIA51 693475BQ7 4280000.00000000 PA USD 4256519.41000000 0.028118491277 Long DBT CORP US N 2 2026-06-12 Fixed 5.81200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AQPP6 19131123.22000000 PA USD 16443510.91000000 0.108625539686 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPEH7 18160841.41000000 PA USD 16571007.94000000 0.109467782791 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.50000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CZ1 17778000.00000000 PA USD 16399415.30000000 0.108334244873 Long DBT CORP US N 2 2048-03-25 Fixed 5.05000000 N N N N N N AMERICAN MUNI PWR-OHIO INC OH EARKGGZJJEMVD66XQ486 02765UEJ9 134000.00000000 PA USD 169216.21000000 0.001117839264 Long DBT MUN US N 2 2041-02-15 Fixed 7.83400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BUGZ4 2249145.36000000 PA USD 2299982.55000000 0.015193643689 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H7G72 21428000.00000000 PA USD 19688607.81000000 0.130062591908 Long ABS-MBS USGSE US N 2 2052-04-25 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAKS2 4748626.94000000 PA USD 4273039.70000000 0.028227624018 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380RWG1 16478140.97000000 PA USD 979922.09000000 0.006473347842 Long ABS-MBS USGA US N 2 2061-01-16 Variable 0.80478000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50076QAE6 36000.00000000 PA USD 33709.69000000 0.000222685610 Long DBT CORP US N 2 2042-06-04 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KRCQ5 2597271.14000000 PA USD 2687854.87000000 0.017755921314 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TSH9 1692351.35000000 PA USD 1625372.55000000 0.010737182065 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 4.00000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NAC5 3475000.00000000 PA USD 4009208.21000000 0.026484757903 Long DBT CORP US N 2 2033-03-15 Fixed 7.05000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201E4T4 907.92000000 PA USD 926.34000000 0.000006119385 Long ABS-MBS USGA US N 2 2032-09-15 Fixed 6.50000000 N N N N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 494550BU9 540000.00000000 PA USD 492896.89000000 0.003256068061 Long DBT CORP US N 2 2044-03-01 Fixed 5.50000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BU7 2440000.00000000 PA USD 1964279.86000000 0.012975997708 Long DBT CORP US N 2 2031-04-01 Fixed 2.80000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202E3H0 2604.97000000 PA USD 2727.52000000 0.000018017948 Long ABS-MBS USGA US N 2 2039-03-20 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ELYW7 409775.71000000 PA USD 429400.77000000 0.002836613825 Long ABS-MBS USGSE US N 2 2040-05-01 Fixed 6.50000000 N N N N N N EXELON CORP 3SOUA6IRML7435B56G12 30161NAC5 1984000.00000000 PA USD 2008585.75000000 0.013268681627 Long DBT CORP US N 2 2035-06-15 Fixed 5.62500000 N N N N N N ALPHABET INC 5493006MHB84DD0ZWV18 02079KAF4 2360000.00000000 PA USD 1478419.57000000 0.009766413301 Long DBT CORP US N 2 2050-08-15 Fixed 2.05000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FQ74 927698.07000000 PA USD 921802.45000000 0.006089410537 Long ABS-MBS USGA US N 2 2041-03-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q8VU6 84805.30000000 PA USD 78321.00000000 0.000517387128 Long ABS-MBS USGSE US N 2 2048-04-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M33H1 5421716.72000000 PA USD 4654596.77000000 0.030748183215 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381ETV0 65062561.73000000 PA USD 3222015.17000000 0.021284574725 Long ABS-MBS USGA US N 2 2061-02-16 Variable 0.64029000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCZ68 9783826.63000000 PA USD 8407554.82000000 0.055540157133 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXLU4 11439374.85000000 PA USD 11070016.31000000 0.073128330232 Long ABS-MBS USGSE US N 2 2059-01-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407XUW9 96046.80000000 PA USD 93567.14000000 0.000618102857 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 5.56400000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MKK99 3424174.53000000 PA USD 3268765.12000000 0.021593404061 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WBP66 89821.15000000 PA USD 88200.52000000 0.000582651061 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A6Q56 56871.88000000 PA USD 50267.84000000 0.000332068454 Long ABS-MBS USGSE US N 2 2042-03-25 None 0.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 29250606.71000000 0.193228986037 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2047-02-15 0.00000000 USD -618884.50000000 USD -95889000.00000000 USD 29869491.21000000 N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CX1 7490000.00000000 PA USD 7423994.45000000 0.049042774877 Long DBT CORP US N 2 2060-05-01 Fixed 5.93000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96949LAD7 7760000.00000000 PA USD 7327755.43000000 0.048407021628 Long DBT CORP US N 2 2027-06-15 Fixed 3.75000000 N N N N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 494550BQ8 349000.00000000 PA USD 347703.08000000 0.002296920342 Long DBT CORP US N 2 2023-09-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133JLYK9 1634511.43000000 PA USD 1339644.31000000 0.008849666409 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N New Residential Mortgage Loan N/A 64830NAA9 23862028.67000000 PA USD 22040263.00000000 0.145597584135 Long ABS-MBS CORP US N 2 2059-07-25 Variable 2.75000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAU6 7240000.00000000 PA USD 7110657.47000000 0.046972876378 Long DBT CORP US N 2 2028-02-01 Fixed 5.30000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CL2 4600000.00000000 PA USD 4472007.30000000 0.029542000434 Long DBT CORP US N 2 2025-07-20 Fixed 3.87500000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AS9 9018000.00000000 PA USD 8768239.01000000 0.057922830457 Long DBT CORP GB N 2 2024-09-11 Fixed 3.62500000 N N N N N N STATE OF ISRAEL 213800T8ZHTFZIBYPE21 46513JB59 11700000.00000000 PA USD 9484312.50000000 0.062653199156 Long DBT NUSS IL N 2 2120-04-03 Fixed 4.50000000 N N N N N N Small Business Administration N/A 83162CC68 2914308.15000000 PA USD 2544824.00000000 0.016811061939 Long ABS-MBS USGA US N 2 2044-07-01 Fixed 2.69000000 N N N N N N COOPERATIEVE RABOBANK UA DG3RU1DBUFHT4ZF9WN62 21684AAC0 9027000.00000000 PA USD 8717211.59000000 0.057585744231 Long DBT CORP NL N 2 2025-08-04 Fixed 4.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31329KXS8 4111852.31000000 PA USD 3893261.80000000 0.025718817987 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179V7D6 77753004.51000000 PA USD 65610566.61000000 0.433422232402 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B3HD2 750237.19000000 PA USD 614516.81000000 0.004059487082 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFE9 5090000.00000000 PA USD 4526002.96000000 0.029898694800 Long DBT CORP US N 2 2030-03-22 Fixed 3.15000000 N N N N N N RAAC Series N/A 74977YAA7 512197.40000000 PA USD 511190.62000000 0.003376916115 Long ABS-O CORP US N 2 2046-05-25 Floating 5.73043000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FNAJ9 10114000.00000000 PA USD 634367.27000000 0.004190618867 Long ABS-MBS USGSE US N 2 2029-06-25 Variable 1.37401000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9M93 5481391.28000000 PA USD 5078914.42000000 0.033551218040 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382EDP9 7773406.72000000 PA USD 1294149.40000000 0.008549127846 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379R5W9 5755881.17000000 PA USD 165812.55000000 0.001095354746 Long ABS-MBS USGA US N 2 2057-04-16 Variable 0.50615000 N N N N N N BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 064159VL7 7120000.00000000 PA USD 6547416.29000000 0.043252115192 Long DBT CORP CA N 2 2025-06-11 Fixed 1.30000000 N N N N N N THL Credit Lake Shore MM CLO I N/A 510800AC9 6500000.00000000 PA USD 6386429.28000000 0.042188637877 Long ABS-CBDO CORP KY N 2 2033-04-15 Floating 6.96029000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAK6 400000.00000000 PA USD 411068.01000000 0.002715507939 Long DBT CORP US N 2 2036-04-01 Fixed 6.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138NXKL0 133484.35000000 PA USD 121041.67000000 0.000799599112 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 3.00000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDU2 5924000.00000000 PA USD 3862026.92000000 0.025512480927 Long DBT CORP US N 2 2056-11-01 Fixed 2.93700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XZHR5 179337.33000000 PA USD 175035.47000000 0.001156281191 Long ABS-MBS USGSE US N 2 2044-08-01 Fixed 4.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F022675 -74800000.00000000 PA USD -63439750.75000000 -0.41908186156 Short ABS-MBS USGSE US N 2 2053-07-15 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388WAJ5 3978.49000000 PA USD 3932.34000000 0.000025976967 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 7.00000000 N N N N N N HALLIBURTON CO ENYF8GB5SMQZ25S06U51 406216BG5 78000.00000000 PA USD 75384.31000000 0.000497987406 Long DBT CORP US N 2 2025-11-15 Fixed 3.80000000 N N N N N N Freddie Mac - STACR 5493000ISONLNOUKGB71 35564KKY4 38510000.00000000 PA USD 37576082.44000000 0.248226930166 Long ABS-MBS CORP US N 2 2041-10-25 Floating 6.56655000 N N N N N N Deutsche Mortgage Securities, N/A 25157GAP7 1964295.75000000 PA USD 1688482.11000000 0.011154082692 Long ABS-MBS CORP US N 2 2036-04-15 Floating 5.48329000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB5B1 660468.12000000 PA USD 640667.28000000 0.004232236620 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 4.00000000 N N N N N N ANHEUSER-BUSCH CO/INBEV N/A 03522AAG5 13236000.00000000 PA USD 12824646.96000000 0.084719389000 Long DBT CORP US N 2 2026-02-01 Fixed 3.65000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AJBJ1 2973682.45000000 PA USD 2451870.82000000 0.016197014890 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XC6P8 1573926.29000000 PA USD 1365080.99000000 0.009017700664 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LKVH3 800000.00000000 PA USD 791710.10000000 0.005230022794 Long ABS-MBS USGSE US N 2 2033-06-01 Fixed 4.32000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582BF8 4084000.00000000 PA USD 3686555.53000000 0.024353320055 Long DBT CORP NL N 2 2045-05-11 Fixed 4.37500000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HAW8 4090000.00000000 PA USD 3878162.87000000 0.025619074725 Long DBT CORP N/A N 2 2025-05-01 Fixed 2.70000000 N N N N N N TENNESSEE GAS PIPELINE N/A 880451AZ2 6590000.00000000 PA USD 5632435.50000000 0.037207768419 Long DBT CORP US N 2 2030-03-01 Fixed 2.90000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36241KBB3 17908.48000000 PA USD 18721.89000000 0.000123676471 Long ABS-MBS USGA US N 2 2034-09-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617B8HH4 1509962.72000000 PA USD 1413555.54000000 0.009337922676 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LHUU2 3600000.00000000 PA USD 3582491.44000000 0.023665874533 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 4.41000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AB4Z2 5236305.05000000 PA USD 5222395.22000000 0.034499049645 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413AH71 2764.20000000 PA USD 2785.00000000 0.000018397660 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.50000000 N N N N N N TARGET CORP 8WDDFXB5T1Z6J0XC1L66 87612EBL9 6720000.00000000 PA USD 6402990.79000000 0.042298042916 Long DBT CORP US N 2 2025-04-15 Fixed 2.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J9H53 5253567.70000000 PA USD 4936826.01000000 0.032612584539 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWV2 23236000.00000000 PA USD 21588973.07000000 0.142616370910 Long DBT CORP US N 2 2029-04-23 Fixed 3.81400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132JASZ9 62188.94000000 PA USD 59889.79000000 0.000395630884 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36292CQQ0 12487.52000000 PA USD 12642.10000000 0.000083513487 Long ABS-MBS USGA US N 2 2035-06-15 Fixed 6.00000000 N N N N N N BPCE SA 9695005MSX1OYEMGDF46 05578QAB9 4541000.00000000 PA USD 4460239.72000000 0.029464264010 Long DBT CORP FR N 2 2024-07-21 Fixed 5.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X44M5 11937519.26000000 PA USD 11892174.23000000 0.078559490783 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H050672 47600000.00000000 PA USD 46778156.49000000 0.309015667157 Long ABS-MBS USGA US N 2 2053-07-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FKN5 4751.27000000 PA USD 4697.91000000 0.000031034309 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 4.50000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBH5 1770000.00000000 PA USD 1666496.65000000 0.011008847136 Long DBT CORP US N 2 2025-05-06 Fixed 2.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WKZ24 1606835.71000000 PA USD 1577835.51000000 0.010423153227 Long ABS-MBS USGSE US N 2 2047-06-01 Fixed 4.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FG4J3 28443.34000000 PA USD 6081.17000000 0.000040172100 Long ABS-MBS USGSE US N 2 2039-01-25 Variable 5.50000000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAH4 14600000.00000000 PA USD 13467918.34000000 0.088968828259 Long DBT CORP US N 2 2045-06-01 Fixed 5.55000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200DS79 10277.63000000 PA USD 10397.37000000 0.000068684840 Long ABS-MBS USGA US N 2 2033-05-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DY71 81989.93000000 PA USD 69863.95000000 0.000461520007 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABCA8 6406492.65000000 PA USD 5493210.99000000 0.036288053790 Long ABS-MBS USGA US N 2 2051-06-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36291PV78 7052.33000000 PA USD 7139.56000000 0.000047163805 Long ABS-MBS USGA US N 2 2034-08-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36209HLU7 904.65000000 PA USD 897.35000000 0.000005927878 Long ABS-MBS USGA US N 2 2028-06-15 Fixed 7.00000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582CH3 17290000.00000000 PA USD 12883530.94000000 0.085108375521 Long DBT CORP NL N 2 2050-04-06 Fixed 3.25000000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 760942BE1 33080000.00000000 PA USD 35797281.84000000 0.236476205140 Long DBT NUSS UY N 2 2034-10-28 Fixed 5.75000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AM0 1997000.00000000 PA USD 1904309.11000000 0.012579832004 Long DBT CORP CH N 2 2025-09-11 Fixed 2.59300000 N N N N N N PHILIP MORRIS INTL INC HL3H1H2BGXWVG3BSWR90 718172CP2 4340000.00000000 PA USD 3594268.30000000 0.023743672260 Long DBT CORP US N 2 2030-05-01 Fixed 2.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140N6NC2 4405332.47000000 PA USD 4238998.53000000 0.028002748657 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9LZ6 2142194.92000000 PA USD 1842909.85000000 0.012174229587 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200FLW6 5772.69000000 PA USD 5873.92000000 0.000038803010 Long ABS-MBS USGA US N 2 2033-02-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WBS30 48514.55000000 PA USD 47639.60000000 0.000314706347 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 4.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F040677 47300000.00000000 PA USD 44393636.84000000 0.293263572894 Long ABS-MBS USGSE US N 2 2053-07-15 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382HS35 3107153.89000000 PA USD 426861.42000000 0.002819838924 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X6U37 3287.40000000 PA USD 3206.31000000 0.000021180826 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FQXL2 41549844.04000000 PA USD 684047.55000000 0.004518805910 Long ABS-MBS USGSE US N 2 2026-10-25 Variable 0.74801200 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622A2DH2 32826.49000000 PA USD 33605.69000000 0.000221998588 Long ABS-MBS USGA US N 2 2036-06-15 Fixed 5.50000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136AJLF1 7206947.17000000 PA USD 18.02000000 0.000000119039 Long ABS-MBS USGSE US N 2 2024-01-25 Variable 0.14444000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CH0 19350000.00000000 PA USD 16066853.38000000 0.106137346763 Long DBT CORP GB N 2 2031-06-04 Fixed 2.84800000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAP6 3529000.00000000 PA USD 3515731.95000000 0.023224862534 Long DBT CORP DK N 2 2023-09-12 Fixed 3.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FKPT1 235553.55000000 PA USD 210995.84000000 0.001393834754 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H060671 4000000.00000000 PA USD 4026875.04000000 0.026601464666 Long ABS-MBS USGA US N 2 2053-07-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417EQW4 27464.14000000 PA USD 24942.35000000 0.000164768719 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 3.00000000 N N N N N N CREDIT AGRICOLE LONDON 969500TJ5KRTCJQWXH05 22535WAG2 5920000.00000000 PA USD 5452916.20000000 0.036021867126 Long DBT CORP FR N 2 2026-06-16 Fixed 1.90700000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAK6 2687000.00000000 PA USD 2572642.17000000 0.016994828273 Long DBT CORP US N 2 2027-03-01 Fixed 4.12500000 N N N N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411BA2 18342000.00000000 PA USD 13509066.42000000 0.089240651741 Long DBT CORP US N 2 2043-04-15 Fixed 4.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36290V5L4 967.56000000 PA USD 978.83000000 0.000006466133 Long ABS-MBS USGA US N 2 2034-11-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EN2H1 1757576.69000000 PA USD 1653141.52000000 0.010920623385 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 3.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VBG8 11066000.00000000 PA USD 8961507.40000000 0.059199557993 Long DBT CORP US N 2 2042-11-01 Fixed 3.85000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132JBDR1 606322.20000000 PA USD 587973.15000000 0.003884140138 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410LWC2 10715770.48000000 PA USD 9601729.51000000 0.063428853829 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.00000000 N N N N N N CHICAGO IL T5UYO5SYLC8K73MJQX30 167486SD2 3000.00000000 PA USD 2977.09000000 0.000019666603 Long DBT MUN US N 2 2044-01-01 Fixed 6.31400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X7YH6 2626507.90000000 PA USD 2338568.80000000 0.015448543768 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 3.00000000 N N N N N N Waterfall Commercial Mortgage N/A 94132LAA5 472384.24000000 PA USD 447692.62000000 0.002957449459 Long ABS-MBS CORP US N 2 2022-09-14 Variable 4.10370000 N N N N N N CARGILL INC QXZYQNMR4JZ5RIRN4T31 141781BL7 6530000.00000000 PA USD 6517132.64000000 0.043052061941 Long DBT CORP US N 2 2023-07-23 Fixed 1.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H052678 8800000.00000000 PA USD 8759437.54000000 0.057864688103 Long ABS-MBS USGA US N 2 2053-07-15 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297VKT4 5202.53000000 PA USD 5227.40000000 0.000034532111 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 54265.00000000 NC USD -94116426.42000000 -0.62173143370 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 5905558770.17000000 USD -94116426.42000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31384VQF2 1335.39000000 PA USD 1341.25000000 0.000008860273 Long ABS-MBS USGSE US N 2 2030-01-01 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38376XNT6 636406.31000000 PA USD 633736.33000000 0.004186450888 Long ABS-MBS USGA US N 2 2060-03-20 Floating 5.71000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LJGZ3 400000.00000000 PA USD 404329.79000000 0.002670995378 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 4.84000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDQS8 9909383.70000000 PA USD 8821793.96000000 0.058276613501 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.00000000 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAF2 7559000.00000000 PA USD 7379416.30000000 0.048748292414 Long DBT CORP KY N 2 2025-08-08 Variable 5.62500000 N N N N N N DANONE SA 969500KMUQ2B6CBAF162 23636TAE0 4317000.00000000 PA USD 4040003.93000000 0.026688193879 Long DBT CORP FR N 2 2026-11-02 Fixed 2.94700000 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 74365PAA6 11350000.00000000 PA USD 9641717.06000000 0.063693010870 Long DBT CORP NL N 2 2030-01-21 Fixed 3.68000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GAW2 3663000.00000000 PA USD 3226566.44000000 0.021314640334 Long DBT CORP US N 2 2046-03-01 Fixed 4.11400000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBA0 3410000.00000000 PA USD 3182098.07000000 0.021020883075 Long DBT CORP US N 2 2027-03-15 Fixed 3.75500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABFG2 8609004.04000000 PA USD 7383034.77000000 0.048772195962 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AR4L6 2207365.10000000 PA USD 1814879.63000000 0.011989062454 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P7D91 35229.14000000 PA USD 34938.98000000 0.000230806278 Long ABS-MBS USGSE US N 2 2027-02-01 Fixed 5.00000000 N N N N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377RGC2 11401000.00000000 PA USD 11138551.26000000 0.073581070889 Long ABS-O CORP US N 2 2029-04-20 Fixed 5.25000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F060675 29000000.00000000 PA USD 29258281.54000000 0.193279685827 Long ABS-MBS USGSE US N 2 2053-07-15 Fixed 6.00000000 N N N N N N Structured Asset Investment Lo N/A 86358EFY7 2173515.32000000 PA USD 2113861.89000000 0.013964133929 Long ABS-O CORP US N 2 2034-02-25 Floating 5.95043000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CEE0 14757255.64000000 PA USD 13645328.45000000 0.090140796280 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 3.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HLL2 8546000.00000000 PA USD 7987963.98000000 0.052768347530 Long DBT CORP US N 2 2045-06-01 Fixed 4.95000000 N N N N N N Springcastle SPV N/A 85022WAP9 1026274.41000000 PA USD 918448.68000000 0.006067255593 Long ABS-O CORP US N 2 2037-09-25 Fixed 1.97000000 N N N N N N BX Trust N/A 05608BAA8 8956000.00000000 PA USD 8863176.43000000 0.058549985359 Long ABS-MBS CORP US N 2 2034-04-15 Floating 6.19300000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCJ8 3430000.00000000 PA USD 2983354.90000000 0.019707989240 Long DBT CORP US N 2 2038-03-01 Fixed 3.90000000 N N N N N N Credit Suisse Mortgage Trust N/A 12657GAA3 14984290.59000000 PA USD 13018921.07000000 0.086002760304 Long ABS-MBS CORP US N 2 2060-10-25 Variable 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KPYZ5 5828128.96000000 PA USD 5608022.73000000 0.037046498096 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 4.50000000 N N N N N N New Residential Mortgage Loan N/A 64831TAA5 10434535.60000000 PA USD 8474373.65000000 0.055981561132 Long ABS-MBS CORP US N 2 2056-11-27 Variable 1.15612000 N N N N N N US BANCORP N1GZ7BBF3NP8GI976H15 91159HJN1 3450000.00000000 PA USD 3476546.58000000 0.022966004678 Long DBT CORP US N 2 2034-06-12 Fixed 5.83600000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 9967504.07000000 0.065845154046 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2029-02-15 0.00000000 USD -300324.40000000 USD -175011000.00000000 USD 10267828.47000000 N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CY9 16070000.00000000 PA USD 15925377.71000000 0.105202761011 Long DBT CORP US N 2 2030-05-01 Fixed 5.15000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BT8 15270000.00000000 PA USD 13994616.01000000 0.092448183670 Long DBT CORP US N 2 2029-03-23 Fixed 3.70000000 N N N N N N MASTR Reperforming Loan Trust N/A 576436AT6 38573.80000000 PA USD 29666.25000000 0.000195974718 Long ABS-MBS CORP US N 2 2034-08-25 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QRVY6 5673464.73000000 PA USD 5457795.46000000 0.036054099430 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H2UN2 11306738.65000000 PA USD 1280335.51000000 0.008457873535 Long ABS-MBS USGSE US N 2 2049-06-25 Fixed 2.00000000 N N N N N N JPMBB Commercial Mortgage Secu N/A 46640UAJ1 439000.00000000 PA USD 396612.57000000 0.002620015561 Long ABS-MBS CORP US N 2 2047-01-15 Variable 5.04798600 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFN9 4390000.00000000 PA USD 4233842.26000000 0.027968686429 Long DBT CORP US N 2 2025-07-01 Fixed 3.30000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397CTW9 228550.83000000 PA USD 18898.09000000 0.000124840445 Long ABS-MBS USGSE US N 2 2036-11-15 Floating 1.09671000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XNC6 14528208.95000000 PA USD 13416269.52000000 0.088627637076 Long ABS-MBS USGA US N 2 2052-12-20 Fixed 3.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKP3 5370000.00000000 PA USD 5159378.93000000 0.034082765158 Long DBT CORP US N 2 2028-04-27 Fixed 4.37600000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TXX8 1274288.21000000 PA USD 1272035.08000000 0.008403041042 Long ABS-MBS USGA US N 2 2048-05-20 Fixed 5.00000000 N N N N N N GNMA 5026 AK N/A 000000000 44260578.00000000 PA USD 34998246.51000000 0.231197792006 Long ABS-MBS USGA US N 2 2064-06-30 Fixed 0.00000100 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140AS9 851000.00000000 PA USD 827881.19000000 0.005468968370 Long DBT CORP US N 2 2025-07-29 Fixed 3.70000000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAZ3 2580000.00000000 PA USD 2497299.78000000 0.016497117789 Long DBT CORP US N 2 2032-10-15 Fixed 5.60000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -496.00000000 NC USD -38750.00000000 -0.00025598180 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 115.00000000 USD 2023-07-21 XXXX 134766.92000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KKS75 3559970.78000000 PA USD 3061961.98000000 0.020227266208 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.50000000 N N N N N N Credit Suisse Mortgage Trust N/A 12662GAC2 14124837.81000000 PA USD 13088792.26000000 0.086464328139 Long ABS-MBS CORP US N 2 2060-12-27 Variable 1.79561000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MN3V3 6542143.16000000 PA USD 5721001.68000000 0.037792835024 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 3.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SU3 280310000.00000000 PA USD 185749173.44000000 1.227055725610 Long DBT UST US N 2 2051-02-15 Fixed 1.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L7PC0 2063966.91000000 PA USD 1709762.32000000 0.011294659380 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJYH0 3349269.36000000 PA USD 3398315.19000000 0.022449209512 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6.00000000 N N N N N N PROCTER & GAMBLE CO/THE 2572IBTT8CCZW6AU4141 742718FG9 1200000.00000000 PA USD 1130466.92000000 0.007467844303 Long DBT CORP US N 2 2027-03-25 Fixed 2.80000000 N N N N N N BURLINGTN NORTH SANTA FE N/A 12189LBH3 1160000.00000000 PA USD 794582.98000000 0.005249000988 Long DBT CORP US N 2 2052-06-15 Fixed 2.87500000 N N N N N N Voya CLO Ltd N/A 92915QAU7 5000000.00000000 PA USD 4908750.00000000 0.032427114918 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 6.29043000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201AY77 4095.86000000 PA USD 4143.58000000 0.000027372415 Long ABS-MBS USGA US N 2 2032-10-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KKH80 2181852.35000000 PA USD 1807000.36000000 0.011937012137 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.00000000 N N N N N N CBAM CLO Management LLC 254900JWJFDB3KD6V066 12480VAC9 932086.26000000 PA USD 928606.42000000 0.006134357442 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 6.50043000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WKUN3 5815752.66000000 PA USD 5540174.03000000 0.036598290794 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H022671 22500000.00000000 PA USD 19487109.60000000 0.128731498328 Long ABS-MBS USGA US N 2 2053-07-15 Fixed 2.50000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B8UA5 1456337.72000000 PA USD 1261646.48000000 0.008334414136 Long ABS-MBS USGSE US N 2 2037-10-25 Fixed 2.50000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AN0 966000.00000000 PA USD 897593.34000000 0.005929485589 Long DBT CORP US N 2 2048-04-15 Fixed 4.60000000 N N N N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081EX7 9780000.00000000 PA USD 9034318.52000000 0.059680546952 Long DBT CORP US N 2 2025-05-28 Fixed 0.80000000 N N N N N N Carlyle Global Market Strategi N/A 14315LAA2 8445455.46000000 PA USD 8368759.72000000 0.055283877395 Long ABS-CBDO CORP KY N 2 2031-07-27 Floating 6.34157000 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713AZ9 1110000.00000000 PA USD 1070562.48000000 0.007072116641 Long DBT CORP US N 2 2043-09-15 Fixed 6.15000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468L6 19360000.00000000 PA USD 16473624.38000000 0.108824468732 Long DBT CORP US N 2 2031-01-22 Fixed 2.69900000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -371.00000000 NC USD -173906.25000000 -0.00114882158 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 129.00000000 USD 2023-07-21 XXXX 192592.55000000 N N N GoldenTree Loan Management US 549300H67V5FL4RU1Z53 38137YAN1 4350000.00000000 PA USD 4295457.54000000 0.028375715869 Long ABS-CBDO CORP KY N 2 2031-04-24 Floating 6.38271000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380QBN1 6906909.08000000 PA USD 6963310.21000000 0.045999503007 Long ABS-MBS USGA US N 2 2070-04-20 Floating 6.34386000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X66J5 2508012.15000000 PA USD 2460428.54000000 0.016253547036 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 4.50000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 969457BM1 8825000.00000000 PA USD 10482414.69000000 0.069246644415 Long DBT CORP US N 2 2032-03-15 Variable 8.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179V7E4 127744207.69000000 PA USD 111228892.33000000 0.734776078187 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 2.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCC8 7000000.00000000 PA USD 5816811.70000000 0.038425754306 Long DBT CORP US N 2 2032-04-22 Fixed 2.58000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128E4SJ2 78462.32000000 PA USD 77493.23000000 0.000511918894 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FD5K8 680397.73000000 PA USD 612901.42000000 0.004048815845 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128CULN4 264.67000000 PA USD 259.93000000 0.000001717092 Long ABS-MBS USGSE US N 2 2027-03-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D2V3 166152.07000000 PA USD 141823.66000000 0.000936884567 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TAL9 16219169.97000000 PA USD 15578043.05000000 0.102908274445 Long ABS-MBS USGA US N 2 2047-06-20 Fixed 4.00000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2V5 27240000.00000000 PA USD 26676228.70000000 0.176222690835 Long DBT CORP FR N 2 2029-01-13 Fixed 5.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XLET1 3023553.10000000 PA USD 2844706.85000000 0.018792082695 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 4.00000000 N N N N N N Credit Suisse Mortgage Trust N/A 12660KAC5 10033933.92000000 PA USD 9264724.52000000 0.061202604878 Long ABS-MBS CORP US N 2 2060-09-27 Variable 1.66773000 N N N N N N Benefit Street Partners CLO Lt 5493002BNZCV0YE1MG83 08180FBG5 6000000.00000000 PA USD 5927463.64000000 0.039156719048 Long ABS-CBDO CORP KY N 2 2032-01-20 Floating 6.43043000 N N N N N N MLCC Mortgage Investors Inc N/A 59020U4R3 9978.56000000 PA USD 9306.09000000 0.000061475864 Long ABS-MBS CORP US N 2 2036-02-25 Variable 3.61229300 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAW5 17540000.00000000 PA USD 15179745.86000000 0.100277130314 Long DBT CORP IE N 2 2028-10-29 Fixed 3.00000000 N N N N N N Oak Hill Credit Partners N/A 67098WAN1 14730000.00000000 PA USD 14490779.20000000 0.095725828850 Long ABS-CBDO CORP KY N 2 2037-02-24 Floating 6.32785000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGQ44 12653295.90000000 PA USD 11156905.11000000 0.073702316095 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N Navient Student Loan Trust N/A 63941FAC0 401821.29000000 PA USD 395399.54000000 0.002612002306 Long ABS-O CORP US N 2 2068-11-15 Floating 6.09329000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDL3 1640000.00000000 PA USD 1447358.63000000 0.009561225286 Long DBT CORP US N 2 2048-06-15 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EVVB0 1904537.44000000 PA USD 1706476.92000000 0.011272956086 Long ABS-MBS USGSE US N 2 2046-08-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411WWE3 168.37000000 PA USD 167.74000000 0.000001108087 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LKEZ2 1497733.83000000 PA USD 1483599.81000000 0.009800633874 Long ABS-MBS USGSE US N 2 2033-04-01 Fixed 4.42000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201Q3C5 31756.59000000 PA USD 32400.89000000 0.000214039701 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 6.50000000 N N N N N N TRANSCONT GAS PIPE LINE N/A 893574AP8 5340000.00000000 PA USD 4751613.81000000 0.031389076050 Long DBT CORP US N 2 2030-05-15 Fixed 3.25000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F020679 -44900000.00000000 PA USD -36626824.33000000 -0.24195614802 Short ABS-MBS USGSE US N 2 2053-07-15 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XAFA5 3992685.37000000 PA USD 3433282.72000000 0.022680204391 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.50000000 N N N N N N ABBOTT LABORATORIES HQD377W2YR662HK5JX27 002824BH2 3681000.00000000 PA USD 3718995.83000000 0.024567620098 Long DBT CORP US N 2 2046-11-30 Fixed 4.90000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200ACN7 6434.71000000 PA USD 6695.59000000 0.000044230948 Long ABS-MBS USGA US N 2 2032-10-15 Fixed 6.00000000 N N N N N N KCAP Senior Funding I LLC 5493006EPGSPYDWRRN21 48669RAA9 9311343.92000000 PA USD 9283409.89000000 0.061326040098 Long ABS-CBDO CORP US N 2 2029-12-20 Floating 7.41000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFCD1 2049656.87000000 PA USD 1987444.97000000 0.013129026011 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 4.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 3086.00000000 NC USD -650510.78000000 -0.00429726260 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 392283198.28000000 USD -650510.78000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYVX4 19797544.51000000 PA USD 16062543.52000000 0.106108875905 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L3G88 3172134.77000000 PA USD 2615508.26000000 0.017278000899 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Fannie Mae - CAS B1V7KEBTPIMZEU4LTD58 30711XAD6 5269340.19000000 PA USD 5362707.63000000 0.035425950922 Long ABS-MBS CORP US N 2 2024-01-25 Floating 9.55043000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36210E3B3 3975.34000000 PA USD 4021.65000000 0.000026566948 Long ABS-MBS USGA US N 2 2028-12-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDN77 2961757.07000000 PA USD 2790352.01000000 0.018433015592 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 4.00000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCT6 29841000.00000000 PA USD 28927550.88000000 0.191094884988 Long DBT CORP US N 2 2028-10-15 Fixed 4.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKGX2 3435076.76000000 PA USD 3305210.18000000 0.021834159477 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBJ4 6000000.00000000 PA USD 5770574.82000000 0.038120314302 Long DBT CORP US N 2 2031-03-24 Fixed 4.49300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31356EKN3 1650.55000000 PA USD 1646.87000000 0.000010879193 Long ABS-MBS USGSE US N 2 2024-04-01 Fixed 7.00000000 N N N N N N COOPERAT RABOBANK UA/NY DG3RU1DBUFHT4ZF9WN62 21688AAE2 13201000.00000000 PA USD 12725992.51000000 0.084067679464 Long DBT CORP NL N 2 2025-05-21 Fixed 3.37500000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CW3 22830000.00000000 PA USD 22766039.70000000 0.150392052066 Long DBT CORP US N 2 2050-05-01 Fixed 5.80500000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CM5 2257000.00000000 PA USD 2032231.98000000 0.013424888200 Long DBT CORP US N 2 2027-02-15 Fixed 3.00000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BM5 8337000.00000000 PA USD 7108355.80000000 0.046957671587 Long DBT CORP US N 2 2038-04-01 Fixed 5.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200NVH1 16545.19000000 PA USD 16737.95000000 0.000110570599 Long ABS-MBS USGA US N 2 2034-10-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200FJF6 13514.66000000 PA USD 13674.62000000 0.000090334295 Long ABS-MBS USGA US N 2 2032-11-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AJE90 2156433.09000000 PA USD 1783874.02000000 0.011784239948 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFMQ1 4112450.83000000 PA USD 3568592.90000000 0.023574061026 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UPA4 2794666.08000000 PA USD 2673906.52000000 0.017663778763 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYV71 6660606.00000000 PA USD 5664542.88000000 0.037419869198 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 2.00000000 N N N N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 494550BW5 140000.00000000 PA USD 124407.36000000 0.000821832800 Long DBT CORP US N 2 2044-09-01 Fixed 5.40000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132H7D68 1384492.61000000 PA USD 1288930.29000000 0.008514650498 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 3.50000000 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 74365PAE8 14500000.00000000 PA USD 8917238.71000000 0.058907119816 Long DBT CORP NL N 2 2051-02-08 Fixed 3.83200000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBK7 6450000.00000000 PA USD 6057100.44000000 0.040013097435 Long DBT CORP US N 2 2030-03-19 Fixed 3.48200000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ACKW9 5093300.03000000 PA USD 5048810.56000000 0.033352352478 Long ABS-MBS USGA US N 2 2053-05-20 Fixed 5.00000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDQ2 2460000.00000000 PA USD 2243874.83000000 0.014822997091 Long DBT CORP US N 2 2048-12-15 Fixed 4.45000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VFR6 4802875.02000000 PA USD 4605493.43000000 0.030423807427 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200DRB1 11149.31000000 PA USD 11279.20000000 0.000074510193 Long ABS-MBS USGA US N 2 2033-04-15 Fixed 6.00000000 N N N N N N MASTERCARD INC AR5L2ODV9HN37376R084 57636QAP9 5000000.00000000 PA USD 4666073.55000000 0.030823998619 Long DBT CORP US N 2 2030-03-26 Fixed 3.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MPDL6 392898.48000000 PA USD 356270.46000000 0.002353516302 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LRUQ9 3060003.15000000 PA USD 2627362.77000000 0.017356311581 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFF6 1960000.00000000 PA USD 1829752.34000000 0.012087311311 Long DBT CORP US N 2 2027-03-22 Fixed 3.00000000 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAE5 31015000.00000000 PA USD 29592974.66000000 0.195490662606 Long DBT CORP KY N 2 2028-08-08 Variable 5.90000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382HY87 4698259.87000000 PA USD 638882.53000000 0.004220446594 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 2.50000000 N N N N N N WEA FINANCE LLC/WESTFIEL N/A 92890HAC6 3923000.00000000 PA USD 3706280.97000000 0.024483625960 Long DBT CORP US N 2 2024-09-17 Fixed 3.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36213RXN2 122.41000000 PA USD 126.31000000 0.000000834401 Long ABS-MBS USGA US N 2 2034-08-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPT73 4634081.98000000 PA USD 4554129.56000000 0.030084498618 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QG5Y9 1285841.50000000 PA USD 1098118.03000000 0.007254148113 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N AB BSL CLO 4 Ltd N/A 00037VAA6 3540000.00000000 PA USD 3542065.62000000 0.023398822288 Long ABS-CBDO CORP JE N 2 2036-04-20 Floating 6.95662000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XFD3 2592880.85000000 PA USD 2248058.76000000 0.014850636058 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388EF84 3338.20000000 PA USD 3362.81000000 0.000022214662 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136APTN2 584117.27000000 PA USD 61571.45000000 0.000406739900 Long ABS-MBS USGSE US N 2 2045-08-25 Floating 0.99957000 N N N N N N SG Capital Partners N/A 78434KAA5 22437783.82000000 PA USD 21859633.93000000 0.144404351722 Long ABS-MBS CORP US N 2 2062-08-25 Variable 5.35300000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UGE6 4530066.43000000 PA USD 4522987.25000000 0.029878773074 Long ABS-MBS USGA US N 2 2048-11-20 Fixed 5.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RH3 6050000.00000000 PA USD 5238449.25000000 0.034605102281 Long DBT UST US N 2 2044-08-15 Fixed 3.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132JAV69 40628.65000000 PA USD 38742.88000000 0.000255934774 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9JE6 4790568.72000000 PA USD 4704152.80000000 0.031075549465 Long ABS-MBS USGSE US N 2 2049-08-01 Fixed 4.50000000 N N N N N N SILVER ROCK CLO LTD N/A 82811RAA5 22240000.00000000 PA USD 22165118.74000000 0.146422378926 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 6.90043000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9HZ9 3680143.90000000 PA USD 3619997.76000000 0.023913640614 Long ABS-MBS USGSE US N 2 2048-07-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AB6B3 9676840.70000000 PA USD 9352040.15000000 0.061779410371 Long ABS-MBS USGA US N 2 2052-08-20 Fixed 4.50000000 N N N N N N EverBank Mortgage Loan Trust N/A 29978CAX8 3464762.80000000 PA USD 3059039.77000000 0.020207962141 Long ABS-MBS CORP US N 2 2048-02-25 Variable 3.50000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAP8 7020000.00000000 PA USD 6654350.73000000 0.043958522195 Long DBT CORP US N 2 2025-05-15 Fixed 2.90000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKD0 14650000.00000000 PA USD 11938076.82000000 0.078862722473 Long DBT CORP US N 2 2032-10-20 Fixed 2.57200000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F032674 -3800000.00000000 PA USD -3463195.32000000 -0.02287780649 Short ABS-MBS USGSE US N 2 2053-07-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M7SP7 668902.67000000 PA USD 594990.44000000 0.003930496230 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AGE55 300565.71000000 PA USD 24491.99000000 0.000161793648 Long ABS-MBS USGSE US N 2 2041-10-15 Floating 0.75671000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MNZN3 68889.14000000 PA USD 66193.68000000 0.000437274269 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FKR6 32935.64000000 PA USD 34486.45000000 0.000227816873 Long ABS-MBS USGA US N 2 2040-09-20 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L6G99 2199944.18000000 PA USD 1800402.22000000 0.011893424942 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCM62 13098475.56000000 PA USD 11618622.89000000 0.076752415512 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 3.00000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CN6 4790000.00000000 PA USD 4586098.42000000 0.030295684337 Long DBT CORP US N 2 2026-06-15 Fixed 3.20000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VAV5 510000.00000000 PA USD 518942.28000000 0.003428123442 Long DBT CORP US N 2 2042-02-15 Fixed 5.70000000 N N N N N N TEXAS INSTRUMENTS INC WDJNR2L6D8RWOEB8T652 882508BJ2 4150000.00000000 PA USD 3491152.93000000 0.023062493966 Long DBT CORP US N 2 2030-05-04 Fixed 1.75000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAB9 2843000.00000000 PA USD 2717066.53000000 0.017948893019 Long DBT CORP GB N 2 2026-03-24 Fixed 4.65000000 N N N N N N GNMA 5026 IO N/A 000000000 67460578.00000000 PA USD 3994394.79000000 0.026386900714 Long ABS-MBS USGA US N 2 2064-06-30 Fixed 0.61000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M2SK9 9376880.24000000 PA USD 8322441.15000000 0.054977897748 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137APW48 461060.96000000 PA USD 34015.92000000 0.000224708560 Long ABS-MBS USGSE US N 2 2039-08-15 Floating 0.85671000 N N N N N N Whitebox CLO III Ltd 549300JXCQSPB1A61C68 96467HAA4 15950000.00000000 PA USD 15689851.03000000 0.103646875966 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 6.48029000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MKAF9 4654704.80000000 PA USD 4408261.22000000 0.029120894967 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 4.00000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CB6 4380000.00000000 PA USD 3894534.73000000 0.025727226940 Long DBT CORP US N 2 2030-04-15 Fixed 2.70000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382JZK5 4450449.88000000 PA USD 604042.65000000 0.003990294968 Long ABS-MBS USGA US N 2 2050-09-20 Fixed 2.50000000 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YBF1 10630000.00000000 PA USD 7343487.71000000 0.048510948789 Long DBT CORP US N 2 2051-12-10 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LGYW6 3400000.00000000 PA USD 3224140.78000000 0.021298616467 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 4.06000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBR3 2590000.00000000 PA USD 2149103.78000000 0.014196941226 Long DBT CORP US N 2 2078-02-15 Fixed 5.37500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 620.00000000 NC USD 164687.51000000 0.001087922752 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 113.50000000 USD 2023-07-21 XXXX -295744.49000000 N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -185.00000000 NC USD -52031.25000000 -0.00034371750 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 130.00000000 USD 2023-07-21 XXXX 86398.70000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XK6H8 2962686.48000000 PA USD 2591884.22000000 0.017121940912 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200JAM2 19384.34000000 PA USD 20270.77000000 0.000133908344 Long ABS-MBS USGA US N 2 2033-03-15 Fixed 6.00000000 N N N N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 878091BD8 3500000.00000000 PA USD 3173500.54000000 0.020964087945 Long DBT CORP US N 2 2044-09-15 Fixed 4.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HF4E6 1325959.15000000 PA USD 1135802.06000000 0.007503088143 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EEE6 7964363.32000000 PA USD 7156669.44000000 0.047276830631 Long ABS-MBS USGSE US N 2 2042-06-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297SEF8 235526.85000000 PA USD 235580.94000000 0.001556243486 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.50000000 N N N N N N Credit Suisse Mortgage Trust N/A 22945AAA7 15069551.57000000 PA USD 14383410.78000000 0.095016554984 Long ABS-MBS CORP US N 2 2057-07-25 Variable 2.75000000 N N N N N N Freddie Mac Reference Remic S6XOOCT0IEG5ABCC6L87 31396NRF5 885391.56000000 PA USD 911127.50000000 0.006018892008 Long ABS-MBS USGSE US N 2 2036-05-15 Fixed 6.00000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136BBBW1 19485158.86000000 PA USD 1142442.14000000 0.007546952393 Long ABS-MBS USGSE US N 2 2034-09-25 Variable 1.54116000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132JBDV2 488503.45000000 PA USD 470289.60000000 0.003106724706 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179V4V9 2976249.24000000 PA USD 2591399.35000000 0.017118737870 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 2.50000000 N N N N N N TEXAS INSTRUMENTS INC WDJNR2L6D8RWOEB8T652 882508BG8 9000.00000000 PA USD 7856.54000000 0.000051900163 Long DBT CORP US N 2 2029-09-04 Fixed 2.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UML3 4262433.11000000 PA USD 4079840.71000000 0.026951354937 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 4.00000000 N N N N N N JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 000000000 1.00000000 NC USD -9758292.14000000 -0.06446310376 N/A DCR CORP US N 2 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION 7H6GLXDRUGQFU57RNE97 US TREASURY N/B United States Treasury Note/Bond Y 2023-08-21 0.00000000 USD 0.00000000 USD 59851539.66000000 USD -9758292.14000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VCK8 5144000.00000000 PA USD 4719460.59000000 0.031176672452 Long DBT CORP US N 2 2046-08-21 Fixed 4.86200000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36209AUG3 243.48000000 PA USD 248.42000000 0.000001641058 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 6.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -186.00000000 NC USD -104625.00000000 -0.00069115088 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 128.00000000 USD 2023-07-14 XXXX 74271.97000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H030674 26800000.00000000 PA USD 23951452.92000000 0.158222870647 Long ABS-MBS USGA US N 2 2053-07-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBYG9 5747263.80000000 PA USD 4961513.24000000 0.032775667940 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A6X74 121215.33000000 PA USD 12808.35000000 0.000084611731 Long ABS-MBS USGSE US N 2 2042-07-25 Floating 1.44957000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137F9YZ8 4982848.50000000 PA USD 211335.06000000 0.001396075635 Long ABS-MBS USGSE US N 2 2030-12-25 Variable 0.81025700 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200NWX5 4808.66000000 PA USD 4868.83000000 0.000032163404 Long ABS-MBS USGA US N 2 2034-11-15 Fixed 6.00000000 N N N N N N Magnetite CLO Ltd 5493003SVWF9GG13MZ22 55954EAQ2 4478000.00000000 PA USD 4445012.89000000 0.029363675843 Long ABS-CBDO CORP KY N 2 2031-07-20 Floating 6.35043000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AWH72 4213686.47000000 PA USD 3458562.50000000 0.022847202167 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FHWQ6 392439.41000000 PA USD 351544.01000000 0.002322293457 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N Morgan Stanley Mortgage Loan T N/A 61745M4P5 235110.56000000 PA USD 205101.64000000 0.001354897774 Long ABS-MBS CORP US N 2 2035-07-25 Variable 3.16221700 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X5UC5 2638255.20000000 PA USD 2582483.96000000 0.017059842963 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 4.50000000 N N N N N N CIGNA GROUP/THE 549300VIWYMSIGT1U456 125523AG5 2499000.00000000 PA USD 2433668.62000000 0.016076771482 Long DBT CORP US N 2 2025-11-15 Fixed 4.12500000 N N N N N N SOUTHERN CAL EDISON 9R1Z5I36FERIBVKW4P77 842400GK3 2000000.00000000 PA USD 1625378.62000000 0.010737222163 Long DBT CORP US N 2 2048-03-01 Fixed 4.12500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M9UJ9 52985.38000000 PA USD 53037.65000000 0.000350365769 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.00000000 N N N N N N SOUTHERN COPPER CORP 2549007U6NAP46Q9TU15 84265VAG0 37038000.00000000 PA USD 35461673.83000000 0.234259184614 Long DBT CORP US N 2 2042-11-08 Fixed 5.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJZT0 21183.54000000 PA USD 20825.22000000 0.000137571031 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4.50000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272AN8 6017000.00000000 PA USD 5740527.21000000 0.037921820326 Long DBT CORP US N 2 2027-03-27 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DV66 5551345.21000000 PA USD 4293768.23000000 0.028364556318 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 1.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNNW9 23820872.10000000 PA USD 23410095.21000000 0.154646671274 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XCRW7 7240810.26000000 PA USD 6528726.24000000 0.043128649055 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31329PBA0 10309408.86000000 PA USD 9520663.31000000 0.062893331958 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 3.50000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMN9 790000.00000000 PA USD 572613.87000000 0.003782677008 Long DBT CORP US N 2 2057-12-01 Fixed 3.80000000 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 036752AU7 2270000.00000000 PA USD 2030451.60000000 0.013413127042 Long DBT CORP US N 2 2052-05-15 Fixed 4.55000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FLEV4 507490.06000000 PA USD 19198.20000000 0.000126822966 Long ABS-MBS USGSE US N 2 2027-04-25 Fixed 3.00000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RKG6 15520000.00000000 PA USD 13346380.08000000 0.088165948682 Long DBT CORP US N 2 2028-02-01 Fixed 1.65000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132H7BY9 596202.51000000 PA USD 574886.21000000 0.003797688046 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405SEU4 82896.87000000 PA USD 83686.13000000 0.000552829081 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 6.00000000 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAQ8 4690000.00000000 PA USD 3912825.26000000 0.025848053854 Long DBT CORP KY N 2 2029-03-08 Variable 3.35000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201RR60 10139.68000000 PA USD 10345.40000000 0.000068341527 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KYDF8 1145615.79000000 PA USD 989004.03000000 0.006533342976 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N College Ave Student Loans N/A 19421UAA2 6742772.14000000 PA USD 6691198.70000000 0.044201939227 Long ABS-O CORP US N 2 2048-12-28 Floating 6.55043000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179S2N6 314360.81000000 PA USD 285317.85000000 0.001884804626 Long ABS-MBS USGA US N 2 2047-04-20 Fixed 3.00000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QAT7 8803000.00000000 PA USD 8383113.10000000 0.055378695567 Long DBT CORP US N 2 2026-05-04 Fixed 3.11900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFA68 1940316.49000000 PA USD 1665659.08000000 0.011003314163 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106AJ2 6050000.00000000 PA USD 5686015.85000000 0.037561719255 Long DBT CORP US N 2 2027-03-27 Fixed 2.75000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FYUL8 48631068.20000000 PA USD 1515752.59000000 0.010013034565 Long ABS-MBS USGSE US N 2 2031-03-25 Variable 0.61186500 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 2352.00000000 NC USD -5519343.80000000 -0.03646068666 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 483783843.80000000 USD -5519343.80000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGG45 5102088.70000000 PA USD 4658094.94000000 0.030771292063 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.50000000 N N N N N N 3M COMPANY LUZQVYP4VS22CLWDAR65 88579YBN0 771000.00000000 PA USD 695349.53000000 0.004593466588 Long DBT CORP US N 2 2030-04-15 Fixed 3.05000000 N N N N N N Credit Suisse Mortgage Trust N/A 22945AAC3 22223700.00000000 PA USD 18341146.27000000 0.121161285017 Long ABS-MBS CORP US N 2 2057-07-25 Variable 2.96045000 N N N N N N COSTCO WHOLESALE CORP 29DX7H14B9S6O3FD6V18 22160KAQ8 5190000.00000000 PA USD 4192134.22000000 0.027693163861 Long DBT CORP US N 2 2032-04-20 Fixed 1.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KLBE6 10687837.50000000 PA USD 8293899.13000000 0.054789349673 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WKQF5 587782.59000000 PA USD 560891.84000000 0.003705241487 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ACE6 43939.21000000 PA USD 43150.39000000 0.000285050706 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405JVG6 3980.42000000 PA USD 4024.97000000 0.000026588880 Long ABS-MBS USGSE US N 2 2034-09-01 Fixed 6.00000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHS1 11720000.00000000 PA USD 10093540.47000000 0.066677748255 Long DBT CORP US N 2 2050-03-15 Fixed 4.33000000 N N N N N N Cold Storage Trust N/A 193051AA7 57485285.77000000 PA USD 56561388.01000000 0.373643520026 Long ABS-MBS CORP US N 2 2037-11-15 Floating 6.09329000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225BXD5 23286.29000000 PA USD 24002.16000000 0.000158557840 Long ABS-MBS USGA US N 2 2033-03-15 Fixed 6.50000000 N N N N N N KIMBERLY-CLARK CORP MP3J6QPYPGN75NVW2S34 494368CB7 1810000.00000000 PA USD 1653223.54000000 0.010921165208 Long DBT CORP US N 2 2030-03-26 Fixed 3.10000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FLYL2 3555151.02000000 PA USD 195470.74000000 0.001291276220 Long ABS-MBS USGSE US N 2 2034-03-25 Variable 0.92865300 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H020675 -3600000.00000000 PA USD -3026671.88000000 -0.01999414043 Short ABS-MBS USGA US N 2 2053-07-15 Fixed 2.00000000 N N N N N N MARS INC 54930073HKEO6GZBSS03 571676AA3 3269000.00000000 PA USD 3124250.22000000 0.020638741210 Long DBT CORP US N 2 2025-04-01 Fixed 2.70000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XX35 2582652.77000000 PA USD 2445191.13000000 0.016152888977 Long ABS-MBS USGA US N 2 2053-04-20 Fixed 4.00000000 N N N N N N DELTA AIR LINES/SKYMILES N/A 830867AA5 9816000.00000000 PA USD 9606140.50000000 0.063457992750 Long DBT CORP N/A N 2 2025-10-20 Fixed 4.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -989.00000000 NC USD -84992.68000000 -0.00056146012 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 108.75000000 USD 2023-07-21 XXXX 244562.31000000 N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAS3 650000.00000000 PA USD 481106.94000000 0.003178183861 Long DBT CORP US N 2 2050-04-05 Fixed 3.57700000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 298.00000000 NC USD 97781.26000000 0.000645941258 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 113.25000000 USD 2023-07-21 XXXX -108124.93000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36212TCM4 1620.70000000 PA USD 1639.58000000 0.000010831036 Long ABS-MBS USGA US N 2 2031-05-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QPKM8 3385669.00000000 PA USD 3089294.44000000 0.020407823951 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.50000000 N N N N N N MASTERCARD INC AR5L2ODV9HN37376R084 57636QAB0 832000.00000000 PA USD 818719.37000000 0.005408445550 Long DBT CORP US N 2 2024-04-01 Fixed 3.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379U6W1 8091595.74000000 PA USD 283227.70000000 0.001870997132 Long ABS-MBS USGA US N 2 2057-02-16 Variable 0.68058000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBE2 4635000.00000000 PA USD 4542271.12000000 0.030006161975 Long DBT CORP US N 2 2039-02-14 Fixed 5.80000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412XG65 524.15000000 PA USD 538.67000000 0.000003558444 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -247.00000000 NC USD -281734.38000000 -0.00186113228 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 113.00000000 USD 2023-07-21 XXXX -103677.31000000 N N N COTERRA ENERGY INC FCNMH6O7VWU7LHXMK351 127097AK9 25310000.00000000 PA USD 23656572.11000000 0.156274893278 Long DBT CORP US N 2 2029-03-15 Fixed 4.37500000 N N N N N N CHUBB INA HOLDINGS INC CZCBJZWDMLTHWJDXU843 00440EAV9 1164000.00000000 PA USD 1119256.88000000 0.007393790979 Long DBT CORP US N 2 2026-05-03 Fixed 3.35000000 N N N N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081FA6 13495000.00000000 PA USD 9541117.49000000 0.063028451906 Long DBT CORP US N 2 2050-05-28 Fixed 2.70000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BF8 3726000.00000000 PA USD 3563069.55000000 0.023537573875 Long DBT CORP US N 2 2027-03-15 Fixed 3.95000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BS2 8887000.00000000 PA USD 6998875.53000000 0.046234446877 Long DBT CORP US N 2 2049-07-01 Fixed 5.12500000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VAM5 430000.00000000 PA USD 494459.68000000 0.003266391823 Long DBT CORP US N 2 2038-04-15 Fixed 7.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AVC9 34680.55000000 PA USD 33311.47000000 0.000220054976 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMVG7 5925777.23000000 PA USD 5796872.73000000 0.038294037826 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGB32 7573508.19000000 PA USD 6673052.75000000 0.044082067405 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9GU2 3340415.20000000 PA USD 2841549.48000000 0.018771225165 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36291E6R7 2733.16000000 PA USD 2767.87000000 0.000018284499 Long ABS-MBS USGA US N 2 2034-02-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202F3S3 37197.69000000 PA USD 38949.01000000 0.000257296465 Long ABS-MBS USGA US N 2 2042-02-20 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCGZ5 3672401.33000000 PA USD 3128233.60000000 0.020665055347 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418BSJ6 6698484.60000000 PA USD 6248551.54000000 0.041277819986 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 3.00000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CR4 2550000.00000000 PA USD 2316879.00000000 0.015305261336 Long DBT CORP US N 2 2026-08-15 Fixed 3.20000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCB3 14509000.00000000 PA USD 12532467.37000000 0.082789255842 Long DBT CORP US N 2 2049-11-21 Fixed 4.25000000 N N N N N N VALE OVERSEAS LIMITED 254900BA3U6G5DNV5V04 91911TAK9 5508000.00000000 PA USD 5770340.53000000 0.038118766586 Long DBT CORP KY N 2 2039-11-10 Fixed 6.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XK5Q9 4829104.85000000 PA USD 4886445.79000000 0.032279773704 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGFQ7 41962626.16000000 PA USD 37421993.06000000 0.247209018471 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X65C1 679562.35000000 PA USD 648544.31000000 0.004284272140 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 4.00000000 N N N N N N GS Mortgage Securities Trust N/A 36254KAL6 10290000.00000000 PA USD 9359280.82000000 0.061827242108 Long ABS-MBS CORP US N 2 2050-11-10 Fixed 3.46900000 N N N N N N GENERAL DYNAMICS CORP 9C1X8XOOTYY2FNYTVH06 369550BH0 680000.00000000 PA USD 626318.03000000 0.004137445731 Long DBT CORP US N 2 2040-04-01 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XABM3 1492507.87000000 PA USD 1230618.19000000 0.008129441806 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VV23 6429219.09000000 PA USD 5995870.18000000 0.039608611430 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 3.50000000 N N N N N N SCE RECOVERY FUNDING LLC N/A 78433LAE6 6330000.00000000 PA USD 5148232.42000000 0.034009131511 Long DBT CORP US N 2 2042-11-15 Fixed 2.94300000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F060675 -8600000.00000000 PA USD -8676593.84000000 -0.05731742409 Short ABS-MBS USGSE US N 2 2053-07-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EAB6 2045287.77000000 PA USD 1731834.88000000 0.011440470317 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 2.00000000 N N N N N N TRANSCONT GAS PIPE LINE N/A 893574AH6 17006000.00000000 PA USD 17812825.69000000 0.117671208691 Long DBT CORP US N 2 2026-02-01 Fixed 7.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L05B9 2971150.36000000 PA USD 2461305.09000000 0.016259337509 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407FEL0 2378.43000000 PA USD 2401.57000000 0.000015864728 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 6.00000000 N N N N N N US BANCORP N1GZ7BBF3NP8GI976H15 91159HJM3 8530000.00000000 PA USD 8533150.30000000 0.056369838633 Long DBT CORP US N 2 2029-06-12 Fixed 5.77500000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBW2 2620000.00000000 PA USD 2193624.32000000 0.014491043119 Long DBT CORP US N 2 2050-01-31 Fixed 4.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133A94U6 33682351.01000000 PA USD 27731306.42000000 0.183192515428 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.00000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F050676 39800000.00000000 PA USD 39000890.82000000 0.257639188903 Long ABS-MBS USGSE US N 2 2053-07-15 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200B2Y2 17123.34000000 PA USD 17529.45000000 0.000115799233 Long ABS-MBS USGA US N 2 2032-11-15 Fixed 6.00000000 N N N N N N PRINCIPAL LFE GLB FND II 635400WSLKBQWSOIIT41 74256LEE5 2530000.00000000 PA USD 2309553.69000000 0.015256870469 Long DBT CORP US N 2 2025-06-23 Fixed 1.25000000 N N N N N N Birch Grove CLO Ltd. 254900HENKWLW4T9SW86 09077FAA3 15040000.00000000 PA USD 15051280.00000000 0.099428487135 Long ABS-CBDO CORP JE N 2 2035-07-20 Floating 0.01000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGTU3 6324047.39000000 PA USD 5831745.53000000 0.038524406921 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31386FVV4 2516.09000000 PA USD 2487.01000000 0.000016429143 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 7.00000000 N N N N N N Freddie Mac Multifamily Struct N/A 3137FCJG0 316213.80000000 PA USD 293730.65000000 0.001940379433 Long ABS-MBS USGSE US N 2 2027-11-25 Fixed 3.08900000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFD1 16750000.00000000 PA USD 13609605.15000000 0.089904808798 Long DBT CORP US N 2 2050-03-22 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLP8 8348996.04000000 PA USD 7222570.12000000 0.047712169347 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.50000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VAY9 1800000.00000000 PA USD 1584235.06000000 0.010465428540 Long DBT CORP US N 2 2043-02-15 Fixed 4.45000000 N N N N N N VLS Commercial Mortgage Trust N/A 92858TAC0 2250000.00000000 PA USD 1743303.15000000 0.011516229504 Long ABS-MBS CORP US N 2 2042-10-10 Fixed 2.45300000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382HM98 9813358.84000000 PA USD 1357228.74000000 0.008965828840 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYV30 4271611.80000000 PA USD 3463961.41000000 0.022882867270 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WRJU5 100321.60000000 PA USD 97435.58000000 0.000643657703 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QP2U0 4563275.76000000 PA USD 4391055.86000000 0.029007236665 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4.50000000 N N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DQ7 2554000.00000000 PA USD 2406755.46000000 0.015898983627 Long DBT CORP US N 2 2025-06-30 Fixed 2.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SH2 12950000.00000000 PA USD 10713089.78000000 0.070770479943 Long DBT UST US N 2 2049-05-15 Fixed 2.87500000 N N N N N N Credit Suisse Mortgage Trust N/A 12653TAB7 16312047.36000000 PA USD 14475408.70000000 0.095624291602 Long ABS-MBS CORP US N 2 2048-02-25 Variable 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XA3J9 477416.35000000 PA USD 440942.29000000 0.002912856900 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HTWQ8 2230848.54000000 PA USD 2067704.44000000 0.013659218638 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.16000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L3JA0 3954054.17000000 PA USD 3260216.00000000 0.021536928727 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QMCQ5 10631710.86000000 PA USD 9394301.87000000 0.062058590540 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LHQV5 396177.28000000 PA USD 389063.10000000 0.002570143896 Long ABS-MBS USGSE US N 2 2032-10-01 Fixed 4.27000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582CG5 11040000.00000000 PA USD 9868559.84000000 0.065191530228 Long DBT CORP NL N 2 2030-04-06 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKCJ7 4522855.24000000 PA USD 4529640.29000000 0.029922722937 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5.50000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PEF5 1437000.00000000 PA USD 1073440.58000000 0.007091129319 Long DBT CORP US N 2 2051-05-15 Fixed 3.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38377GQ51 971431.79000000 PA USD 97583.82000000 0.000644636973 Long ABS-MBS USGA US N 2 2040-06-20 Floating 1.40371000 N N N N N N TEACHERS INSUR & ANNUITY O06XD7BJ4EPXNABVFN69 878091BC0 93000.00000000 PA USD 102925.06000000 0.000679921109 Long DBT CORP US N 2 2039-12-16 Fixed 6.85000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SA7 63390000.00000000 PA USD 53485312.50000000 0.353323020090 Long DBT UST US N 2 2048-02-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WM2E3 118089.54000000 PA USD 114983.56000000 0.000759579345 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.50000000 N N N N N N KKR GROUP FIN CO II N/A 48249DAA9 331000.00000000 PA USD 302430.25000000 0.001997848835 Long DBT CORP US N 2 2043-02-01 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200DM75 5720.69000000 PA USD 5787.34000000 0.000038231064 Long ABS-MBS USGA US N 2 2033-02-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202E2C2 2691.77000000 PA USD 2818.37000000 0.000018618101 Long ABS-MBS USGA US N 2 2039-02-20 Fixed 6.00000000 N N N N N N JPMBB Commercial Mortgage Secu N/A 46640LAJ1 2260000.00000000 PA USD 2177510.00000000 0.014384592208 Long ABS-MBS CORP US N 2 2046-08-15 Variable 4.43015500 N N N N N N VLS Commercial Mortgage Trust N/A 92858TAA4 36680000.00000000 PA USD 28711200.31000000 0.189665676982 Long ABS-MBS CORP US N 2 2042-10-10 Fixed 2.13000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412ACJ1 91373.93000000 PA USD 93580.69000000 0.000618192368 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617BFM90 1292737.73000000 PA USD 1210161.44000000 0.007994304880 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LHFT6 2067201.82000000 PA USD 1935007.05000000 0.012782622047 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 3.20000000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918BS2 111000.00000000 PA USD 101304.52000000 0.000669215851 Long DBT CORP US N 2 2036-08-08 Fixed 3.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X83X3 2545475.26000000 PA USD 2185538.24000000 0.014437626619 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AQ4 7230000.00000000 PA USD 5624824.25000000 0.037157488637 Long DBT CORP US N 2 2044-06-01 Fixed 4.90000000 N N N N N N CSAIL Commercial Mortgage Trus N/A 22945DAG8 13433000.00000000 PA USD 12326153.04000000 0.081426347059 Long ABS-MBS CORP US N 2 2052-03-15 Fixed 4.05290000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XTA68 99224.41000000 PA USD 85018.04000000 0.000561627655 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379XGR5 6793873.87000000 PA USD 1325198.09000000 0.008754234938 Long ABS-MBS USGA US N 2 2045-11-16 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCDZ8 1348336.99000000 PA USD 1168935.87000000 0.007721969501 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABE65 22901393.58000000 PA USD 19640471.93000000 0.129744607144 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 2.50000000 N N N N N N Prime Mortgage Trust N/A 74159UAA5 70322.48000000 PA USD 69972.96000000 0.000462240125 Long ABS-MBS CORP US N 2 2035-05-25 Fixed 5.50000000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076CC4 5250000.00000000 PA USD 4267386.95000000 0.028190282053 Long DBT CORP US N 2 2040-04-15 Fixed 3.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBQ37 25032129.23000000 PA USD 21409783.88000000 0.141432650318 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138NXKR7 71109.42000000 PA USD 63776.13000000 0.000421303976 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.00000000 N N N N N N FannieMae Grantor Trust N/A 3136AV6R5 1319692.20000000 PA USD 1222019.54000000 0.008072639277 Long ABS-MBS USGSE US N 2 2027-06-25 Fixed 2.89800000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 3644.00000000 NC USD 4753317.56000000 0.031400330992 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 491627807.44000000 USD 4753317.56000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36213FAB9 9988.14000000 PA USD 10190.79000000 0.000067320176 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 6.50000000 N N N N N N Wells Fargo Commercial Mortgag N/A 95003DBP2 97864473.89000000 PA USD 7835421.24000000 0.051760652911 Long ABS-MBS CORP US N 2 2054-08-15 Variable 1.65608300 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFA7 5870000.00000000 PA USD 5621849.74000000 0.037137839077 Long DBT CORP US N 2 2045-12-09 Fixed 4.87500000 N N N N N N GENERAL DYNAMICS CORP 9C1X8XOOTYY2FNYTVH06 369550BJ6 2670000.00000000 PA USD 2452271.75000000 0.016199663427 Long DBT CORP US N 2 2050-04-01 Fixed 4.25000000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816CG2 20670000.00000000 PA USD 19988555.78000000 0.132044042847 Long DBT CORP US N 2 2024-07-30 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MAFB0 2737.74000000 PA USD 2762.23000000 0.000018247242 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 5.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CGM7 18100000.00000000 PA USD 17633359.38000000 0.116485657450 Long DBT UST US N 2 2033-02-15 Fixed 3.50000000 N N N N N N EQT CORP 4NT01YGM4X7ZX86ISY52 26884LAG4 5000000.00000000 PA USD 5239650.00000000 0.034613034414 Long DBT CORP US N 2 2030-02-01 Variable 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BKE1 827735.06000000 PA USD 823117.79000000 0.005437501434 Long ABS-MBS USGA US N 2 2060-12-20 Floating 5.59386000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGU8 13120000.00000000 PA USD 11184199.10000000 0.073882619706 Long DBT CORP US N 2 2046-12-07 Fixed 4.75000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -22961939.03000000 -0.15168615954 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-11-30 0.00000000 USD -166791.99000000 USD 1214974000.00000000 USD -22795147.04000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138L9U26 6717543.11000000 PA USD 6192039.32000000 0.040904501269 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 2.93000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371KDM0 4259.65000000 PA USD 4390.96000000 0.000029006603 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BCN0 310414.33000000 PA USD 310821.00000000 0.002053277980 Long ABS-MBS USGA US N 2 2060-05-20 Floating 6.16000000 N N N N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AS0 14875000.00000000 PA USD 13978742.72000000 0.092343324999 Long DBT CORP US N 2 2028-01-15 Fixed 4.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201KLN4 17058.85000000 PA USD 17257.59000000 0.000114003331 Long ABS-MBS USGA US N 2 2032-06-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFVE8 931170.39000000 PA USD 767729.90000000 0.005071610021 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Navient Student Loan Trust 54930094LU45XF2CP718 63939CAD9 1533226.19000000 PA USD 1531593.46000000 0.010117679070 Long ABS-O CORP US N 2 2031-10-15 Floating 6.79329000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BN3 1857000.00000000 PA USD 1591174.68000000 0.010511271546 Long DBT CORP US N 2 2048-04-01 Fixed 5.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKYL8 2730964.62000000 PA USD 2242858.82000000 0.014816285347 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -283.00000000 NC USD 0.00000000 0.000000 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B UNITED STATES TREASURY NOTE/BOND 2023-09-20 0.00000000 USD 100000.00000000 113.50000000 USD 2023-06-30 XXXX 57557.29000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9AZ8 4279090.63000000 PA USD 3667563.99000000 0.024227862281 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N Golub Capital Partners CLO Ltd N/A 38179AAA0 11580000.00000000 PA USD 11320671.88000000 0.074784156455 Long ABS-CBDO CORP US N 2 2034-10-25 Floating 6.74514000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132H5EK0 265714.69000000 PA USD 257506.61000000 0.001701084071 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 4.00000000 N N N N N N Western Asset Premier Institutional Government Reserves 549300WB3XRN9YTWFB76 52470G494 575947899.52000000 NS USD 575947899.52000000 3.804701548173 Long STIV RF US N 1 N N N HUMANA INC 529900YLDW34GJAO4J06 444859BG6 242000.00000000 PA USD 219529.48000000 0.001450207828 Long DBT CORP US N 2 2047-03-15 Fixed 4.80000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132J4M30 70296.44000000 PA USD 69730.80000000 0.000460640420 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 5.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -928.00000000 NC USD -43500.00000000 -0.00028736022 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 109.25000000 USD 2023-07-21 XXXX 215895.02000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWAW3 75356638.84000000 PA USD 62038663.38000000 0.409826303395 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SLS4 581144.86000000 PA USD 545001.25000000 0.003600268533 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L06A0 7062834.68000000 PA USD 5850876.26000000 0.038650784182 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N FNMA 10YR POOL N/A 000000000 100000.00000000 PA USD 101671.88000000 0.000671642625 Long DBT CORP US N 2 2033-07-01 Fixed 4.72000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPYG7 8954863.20000000 PA USD 8916899.42000000 0.058904878473 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H9UF4 25998432.98000000 PA USD 792921.01000000 0.005238022044 Long ABS-MBS USGSE US N 2 2033-01-25 Variable 0.52674600 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2H6 8704000.00000000 PA USD 8421072.13000000 0.055629452242 Long DBT CORP FR N 2 2030-01-10 Fixed 5.19800000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F022675 202900000.00000000 PA USD 172084564.53000000 1.136787562954 Long ABS-MBS USGSE US N 2 2053-07-15 Fixed 2.50000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 969457BX7 1650000.00000000 PA USD 1476198.24000000 0.009751739235 Long DBT CORP US N 2 2030-11-15 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H7ZD8 36489881.84000000 PA USD 705338.47000000 0.004659453348 Long ABS-MBS USGSE US N 2 2054-06-25 Variable 0.35183300 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -1118.00000000 NC USD -87343.76000000 -0.00057699132 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 115.00000000 USD 2023-07-21 XXXX 591987.75000000 N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAP5 797000.00000000 PA USD 710021.09000000 0.004690386652 Long DBT CORP US N 2 2038-04-01 Fixed 5.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FQGW1 97386.90000000 PA USD 87185.52000000 0.000575945989 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2G8 16281000.00000000 PA USD 16139012.10000000 0.106614025980 Long DBT CORP FR N 2 2025-01-10 Fixed 4.70500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617JYLP6 1028950.36000000 PA USD 950204.66000000 0.006277035030 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJV91 16735708.72000000 PA USD 15272885.94000000 0.100892412020 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 3.50000000 N N N N N N Maps LTD N/A 55292RAA9 8533218.09000000 PA USD 7421937.10000000 0.049029184060 Long ABS-O CORP US N 2 2046-06-15 Fixed 2.52100000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CN8 5194000.00000000 PA USD 4808192.33000000 0.031762832744 Long DBT CORP US N 2 2045-07-20 Fixed 5.12500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36213EUP9 2834.04000000 PA USD 2891.54000000 0.000019101461 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 6.50000000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAF7 4266000.00000000 PA USD 4176606.70000000 0.027590589341 Long DBT CORP US N 2 2043-10-02 Fixed 6.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYWN5 4173526.62000000 PA USD 3534459.78000000 0.023348578244 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 2.00000000 N N N N N N FOX CORP 549300DDU6FDRBIELS05 35137LAJ4 18060000.00000000 PA USD 16886252.43000000 0.111550282268 Long DBT CORP US N 2 2039-01-25 Fixed 5.47600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBW71 872171.28000000 PA USD 750024.50000000 0.004954648465 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFUJ8 1326889.85000000 PA USD 1092016.59000000 0.007213842109 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N COMM Mortgage Trust 549300NMFC2YLCA2NF13 12625XAG2 4057000.00000000 PA USD 3613772.75000000 0.023872518309 Long ABS-MBS CORP US N 2 2030-08-10 Variable 4.53995000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -371.00000000 NC USD -28984.38000000 -0.00019147029 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 115.00000000 USD 2023-07-21 XXXX 170373.80000000 N N N Wingstop Funding LLC N/A 974153AB4 10342500.00000000 PA USD 8967991.06000000 0.059242388935 Long ABS-O CORP US N 2 2050-12-05 Fixed 2.84100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WM5H3 249769.78000000 PA USD 245050.17000000 0.001618797050 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -987.00000000 NC USD -169640.64000000 -0.00112064304 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 114.00000000 USD 2023-07-21 XXXX 351620.63000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38376MAW7 199317.94000000 PA USD 6390.23000000 0.000042213745 Long ABS-MBS USGA US N 2 2043-06-16 Floating 0.99186000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AGRB7 2373042.41000000 PA USD 1956628.19000000 0.012925450913 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Atrium CDO Corp 549300UTF8S11AHH4P70 55821CAA2 1071108.51000000 PA USD 1063727.11000000 0.007026962309 Long ABS-CBDO CORP KY N 2 2030-05-28 Floating 6.45314000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TK4 125000000.00000000 PA USD 113520507.50000000 0.749914447113 Long DBT UST US N 2 2042-08-15 Fixed 3.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X0C55 119990.64000000 PA USD 118567.06000000 0.000783251882 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201L7L2 49580.57000000 PA USD 50586.50000000 0.000334173516 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 6.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PAX4 17991000.00000000 PA USD 17255356.29000000 0.113988575781 Long DBT CORP US N 2 2029-12-05 Fixed 4.45200000 N N N N N N NVIDIA CORP 549300S4KLFTLO7GSQ80 67066GAH7 13177000.00000000 PA USD 10723655.01000000 0.070840273664 Long DBT CORP US N 2 2050-04-01 Fixed 3.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 1363.00000000 NC USD -1646209.33000000 -0.01087482946 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 163076521.83000000 USD -1646209.33000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WUH30 95310.45000000 PA USD 91667.95000000 0.000605556842 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137AJYN8 224733.32000000 PA USD 23720.22000000 0.000156695350 Long ABS-MBS USGSE US N 2 2041-12-15 Floating 1.29671000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M7CE4 3627.17000000 PA USD 3659.60000000 0.000024175252 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M9VA7 67951.52000000 PA USD 70499.62000000 0.000465719231 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 6.50000000 N N N N N N UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 000000000 1.00000000 NC USD -29601846.71000000 -0.19554927121 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2027-11-30 150840.07000000 USD 0.00000000 USD 802368000.00000000 USD -29752686.78000000 N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DL1 4150000.00000000 PA USD 3441094.68000000 0.022731810060 Long DBT CORP US N 2 2050-04-01 Fixed 4.25000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYN8 4920000.00000000 PA USD 4012052.28000000 0.026503545778 Long DBT CORP US N 2 2032-10-21 Fixed 2.65000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TT96 6353943.39000000 PA USD 5750014.80000000 0.037984495177 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 3.00000000 N N N N N N Octagon Investment Partners 35 549300EBYXJ9QVMC7X31 67591TAA8 17252358.53000000 PA USD 17128283.60000000 0.113149135858 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 6.31043000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38383LDU1 13728356.04000000 PA USD 11475307.67000000 0.075805677725 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FPG5 11586.12000000 PA USD 11512.52000000 0.000076051501 Long ABS-MBS USGA US N 2 2041-01-20 Fixed 4.50000000 N N N N N N Woodmont Trust N/A 979926AA0 16540000.00000000 PA USD 16540000.00000000 0.109262944893 Long ABS-CBDO CORP KY N 2 2031-07-25 Floating 0.01000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AXV5 652323.16000000 PA USD 640714.48000000 0.004232548423 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.50000000 N N N N N N Towd Point Mortgage Trust N/A 89180YAA8 15412290.68000000 PA USD 14185219.58000000 0.093707307452 Long ABS-MBS CORP US N 2 2062-09-25 Fixed 3.75000000 N N N N N N MID-ATLANTIC INTERSTATE N/A 59524QAA3 1594000.00000000 PA USD 1508492.12000000 0.009965072030 Long DBT CORP US N 2 2028-05-15 Fixed 4.10000000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833CD0 4111000.00000000 PA USD 3621828.66000000 0.023925735507 Long DBT CORP US N 2 2046-08-04 Fixed 3.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QHG66 18764039.67000000 PA USD 15403543.90000000 0.101755536173 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFQS3 85928.41000000 PA USD 70391.20000000 0.000465003011 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DZ62 2996462.45000000 PA USD 2555319.17000000 0.016880392845 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 2.00000000 N N N N N N Owl Rock CLO Ltd N/A 691204AA9 14280000.00000000 PA USD 14126571.07000000 0.093319876442 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 7.05043000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPQC5 3566803.50000000 PA USD 3431212.18000000 0.022666526441 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.50000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659T2A8 3019000.00000000 PA USD 2733942.61000000 0.018060376102 Long DBT CORP FR N 2 2033-03-01 Fixed 4.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FKL99 221480.34000000 PA USD 198564.09000000 0.001311710835 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9M92 20269895.33000000 PA USD 17325441.69000000 0.114451558683 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 2.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -618.00000000 NC USD -67593.76000000 -0.00044652317 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 114.50000000 USD 2023-07-21 XXXX 172743.37000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390BL63 6719.68000000 PA USD 6664.09000000 0.000044022859 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390FC49 1234.97000000 PA USD 1223.36000000 0.000008081494 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378NWU3 70261.08000000 PA USD 66150.69000000 0.000436990277 Long ABS-MBS USGA US N 2 2048-06-16 Variable 3.53689000 N N N N N N WALMART INC Y87794H0US1R65VBXU25 931142ET6 2020000.00000000 PA USD 1678538.55000000 0.011088395712 Long DBT CORP US N 2 2031-09-22 Fixed 1.80000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPWM6 5986289.91000000 PA USD 6140170.55000000 0.040561857100 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407XNP2 159802.53000000 PA USD 164060.69000000 0.001083781990 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -140.00000000 NC USD 36456.00000000 0.000240827685 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2023-09-19 -33209456.00000000 USD 36456.00000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B3PL5 92613.69000000 PA USD 76125.07000000 0.000502880854 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LJPM2 648498.01000000 PA USD 655178.56000000 0.004328097877 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 4.69000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371KQ87 21465.26000000 PA USD 21989.19000000 0.000145260196 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 7.00000000 N N N N N N KRAFT HEINZ FOODS CO 5493003STKEZ2S0RNU91 50077LAD8 2588000.00000000 PA USD 2442997.36000000 0.016138396972 Long DBT CORP US N 2 2026-06-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31384KME3 2035.19000000 PA USD 2013.17000000 0.000013298965 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 7.00000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B57A7 208850.51000000 PA USD 187832.07000000 0.001240815303 Long ABS-MBS USGSE US N 2 2029-09-25 Fixed 2.56000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AU3 3347000.00000000 PA USD 3216096.25000000 0.021245474445 Long DBT CORP GB N 2 2025-08-18 Fixed 4.25000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBH4 17500000.00000000 PA USD 16867606.35000000 0.111427106596 Long DBT CORP US N 2 2025-03-19 Fixed 2.99200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QHMG7 6342374.63000000 PA USD 5581744.93000000 0.036872907418 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 2.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXJ8 8120000.00000000 PA USD 7805418.21000000 0.051562453431 Long DBT CORP US N 2 2025-04-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKHN3 6824603.50000000 PA USD 6570457.79000000 0.043404326930 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 4.50000000 N N N N N N MidOcean Credit CLO 5493004MLF21SFT7F415 59801WAR7 4000000.00000000 PA USD 3930282.94000000 0.025963378977 Long ABS-CBDO CORP KY N 2 2029-07-15 Floating 6.86029000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ARH40 516001.51000000 PA USD 443606.91000000 0.002930459332 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KQPL9 6890897.64000000 PA USD 5674992.27000000 0.037488897682 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05971KAE9 33000000.00000000 PA USD 30999166.44000000 0.204779940415 Long DBT CORP ES N 2 2025-05-28 Fixed 2.74600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133C1NL0 4191718.94000000 PA USD 4179768.98000000 0.027611479306 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QRDB6 17663427.13000000 PA USD 18225306.40000000 0.120396048902 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36291SZF0 11757.29000000 PA USD 11894.27000000 0.000078573335 Long ABS-MBS USGA US N 2 2035-04-15 Fixed 6.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 2005.00000000 NC USD 407265.64000000 0.002690389551 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 108.00000000 USD 2023-07-21 XXXX -690180.16000000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MY4 5000000.00000000 PA USD 4084776.00000000 0.026983957375 Long DBT CORP US N 2 2032-05-01 Fixed 2.56100000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VEA8 45288000.00000000 PA USD 42753167.24000000 0.282426659985 Long DBT CORP US N 2 2033-08-10 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381XEZ5 2309900.33000000 PA USD 2054899.81000000 0.013574631481 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMZJ7 5620142.08000000 PA USD 4636229.82000000 0.030626851471 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.00000000 N N N N N N COMM Mortgage Trust N/A 12593JBH8 7541000.00000000 PA USD 7081480.87000000 0.046780136279 Long ABS-MBS CORP US N 2 2048-08-10 Variable 4.02800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCQ76 13138598.55000000 PA USD 11732009.23000000 0.077501443651 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LHVG2 1300000.00000000 PA USD 1295392.89000000 0.008557342318 Long ABS-MBS USGSE US N 2 2032-11-01 Fixed 4.44000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225B2S6 3769.72000000 PA USD 3941.53000000 0.000026037676 Long ABS-MBS USGA US N 2 2033-11-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XLH7 26362579.15000000 PA USD 25941030.17000000 0.171365982463 Long ABS-MBS USGA US N 2 2052-11-20 Fixed 5.00000000 N N N N N N ECMC Group Student Loan Trust N/A 26829HAA4 3776891.27000000 PA USD 3727402.66000000 0.024623155467 Long ABS-O CORP US N 2 2069-11-25 Floating 6.30043000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X6PV1 2748355.81000000 PA USD 2486079.06000000 0.016422993913 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 3.00000000 N N N N N N GLENCORE FUNDING LLC 213800STG1QDNBY87K49 378272AQ1 2155000.00000000 PA USD 2015959.40000000 0.013317391827 Long DBT CORP US N 2 2027-10-27 Fixed 3.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TNS0 2338027.01000000 PA USD 2245550.02000000 0.014834063367 Long ABS-MBS USGA US N 2 2047-12-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132H7CW2 1938628.33000000 PA USD 1921122.21000000 0.012690899042 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 4.50000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 913017CA5 5000000.00000000 PA USD 4266799.70000000 0.028186402690 Long DBT CORP US N 2 2045-05-15 Fixed 4.15000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBN9 1240000.00000000 PA USD 821497.78000000 0.005426799677 Long DBT CORP US N 2 2050-11-10 Fixed 2.77200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXDP4 10131040.09000000 PA USD 9571796.14000000 0.063231114520 Long ABS-MBS USGSE US N 2 2056-02-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132J3C58 1396965.12000000 PA USD 1324501.48000000 0.008749633145 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 3.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFU3 14970000.00000000 PA USD 9765916.48000000 0.064513470023 Long DBT CORP US N 2 2050-11-20 Fixed 2.87500000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DK8 18287000.00000000 PA USD 14046153.27000000 0.092788637890 Long DBT CORP US N 2 2044-07-15 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B1TH4 2331083.10000000 PA USD 1912012.96000000 0.012630723499 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388KB92 4477.74000000 PA USD 4428.31000000 0.000029253336 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 7.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BAUR0 1608451.16000000 PA USD 1478537.17000000 0.009767190164 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325BR5 13174000.00000000 PA USD 9842729.75000000 0.065020897114 Long DBT NUSS CO N 2 2044-02-26 Fixed 5.62500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AB4U3 12981870.96000000 PA USD 12602307.54000000 0.083250618759 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 4.50000000 N N N N N N CVS PASS-THROUGH TRUST N/A 126650BQ2 293298.94000000 PA USD 298990.74000000 0.001975127493 Long DBT CORP US N 2 2030-01-10 Fixed 6.94300000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 185.00000000 NC USD 144531.25000000 0.000954770858 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B UNITED STATES TREASURY NOTE/BOND 2023-09-20 0.00000000 USD 100000.00000000 113.00000000 USD 2023-07-05 XXXX 71945.57000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141EC23 1352000.00000000 PA USD 1326306.52000000 0.008761557207 Long DBT CORP US N 2 2024-07-08 Fixed 3.85000000 N N N N N N OHA Loan Funding Ltd N/A 67104LAE7 5330000.00000000 PA USD 5282545.44000000 0.034896400925 Long ABS-CBDO CORP KY N 2 2031-05-23 Floating 6.43271000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31283H4W2 2554.41000000 PA USD 2577.18000000 0.000017024805 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.00000000 N N N N N N CODELCO INC 549300UVMBCBCIPSUI70 21987BBA5 34500000.00000000 PA USD 26175374.94000000 0.172914059832 Long DBT CORP CL N 2 2050-01-30 Fixed 3.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KSBK2 53943.66000000 PA USD 48080.80000000 0.000317620906 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBUW8 1324528.84000000 PA USD 1265109.30000000 0.008357289463 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617B83A4 4918240.15000000 PA USD 4604242.48000000 0.030415543674 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622A2CE0 654957.81000000 PA USD 596888.86000000 0.003943037159 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36206VRL3 471.82000000 PA USD 469.36000000 0.000003100583 Long ABS-MBS USGA US N 2 2026-05-15 Fixed 7.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3131XUM38 2124214.81000000 PA USD 1976865.85000000 0.013059140533 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QKDE5 6719741.49000000 PA USD 5907584.13000000 0.039025395359 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BHGV5 6218422.66000000 PA USD 5130791.93000000 0.033893919946 Long ABS-MBS USGSE US N 2 2051-04-25 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371FGR7 1019.20000000 PA USD 1028.76000000 0.000006795970 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 6.00000000 N N N N N N Magnetite CLO Ltd 549300XD71H6EU9N2I97 55954LAL7 7100000.00000000 PA USD 6996489.86000000 0.046218687183 Long ABS-CBDO CORP KY N 2 2031-10-18 Floating 6.38171000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6KQ3 11100442.77000000 PA USD 10900183.46000000 0.072006417455 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 4.50000000 N N N N N N Cedar Funding Ltd 635400NWFWJ92O7QGD64 15032AAY3 6920000.00000000 PA USD 6428036.87000000 0.042463496874 Long ABS-CBDO CORP KY N 2 2031-07-17 Fixed 1.93700000 N N N N N N DANONE SA 969500KMUQ2B6CBAF162 23636TAD2 6493000.00000000 PA USD 6425920.49000000 0.042449516105 Long DBT CORP FR N 2 2023-11-02 Fixed 2.58900000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UCA8 1787144.04000000 PA USD 1671648.07000000 0.011042877324 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36291T7G7 43828.68000000 PA USD 44339.30000000 0.000292904624 Long ABS-MBS USGA US N 2 2034-12-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JLKL7 50449.78000000 PA USD 49341.26000000 0.000325947483 Long ABS-MBS USGSE US N 2 2048-12-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L0AZ0 2669883.65000000 PA USD 2201865.06000000 0.014545481300 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AFB90 7134.60000000 PA USD 7170.82000000 0.000047370308 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 5.00000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAH5 4630000.00000000 PA USD 4390895.23000000 0.029006175547 Long DBT CORP US N 2 2025-07-01 Fixed 3.37500000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967HB0 2722000.00000000 PA USD 2707387.68000000 0.017884954708 Long DBT CORP US N 2 2025-09-13 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407PH92 3340.20000000 PA USD 3374.96000000 0.000022294925 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGNF2 9231571.22000000 PA USD 8271226.56000000 0.054639575080 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N Freddie Mac Multiclass Certifi N/A 3137FRVC2 9000000.00000000 PA USD 934985.25000000 0.006176495879 Long ABS-MBS USGSE US N 2 2028-09-27 Variable 2.46823000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LGWS7 2500000.00000000 PA USD 2331587.58000000 0.015402425953 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 3.85000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DJ6 11300000.00000000 PA USD 10371878.46000000 0.068516444051 Long DBT CORP US N 2 2030-04-01 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AFWD8 6039.65000000 PA USD 6086.68000000 0.000040208499 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378XW72 4641847.86000000 PA USD 45384.27000000 0.000299807677 Long ABS-MBS USGA US N 2 2054-08-16 Variable 0.37310000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDU3 4227000.00000000 PA USD 3399880.00000000 0.022459546619 Long DBT CORP US N 2 2049-08-15 Fixed 3.70000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -618.00000000 NC USD -28968.76000000 -0.00019136711 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 108.75000000 USD 2023-07-14 XXXX 83423.21000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DP6Z6 4944148.40000000 PA USD 4937102.15000000 0.032614408715 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5.50000000 N N N N N N REYNOLDS AMERICAN INC 02S2RPPVO9RP4NEU2740 761713BB1 1610000.00000000 PA USD 1433733.55000000 0.009471218250 Long DBT CORP US N 2 2045-08-15 Fixed 5.85000000 N N N N N N FREMF Mortgage Trust N/A 30315DAN8 348675158.74000000 PA USD 1701726.55000000 0.011241575227 Long ABS-MBS CORP US N 2 2051-12-25 Fixed 0.10000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DR8 6670000.00000000 PA USD 5360128.12000000 0.035408910725 Long DBT CORP US N 2 2031-09-15 Fixed 2.12500000 N N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 715638BM3 5998000.00000000 PA USD 6207390.18000000 0.041005908776 Long DBT NUSS PE N 2 2050-11-18 Fixed 5.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335HXS7 303.57000000 PA USD 301.37000000 0.000001990844 Long ABS-MBS USGSE US N 2 2023-07-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ANV6 17665.79000000 PA USD 16019.05000000 0.000105821558 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.00000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBZ5 905000.00000000 PA USD 698984.68000000 0.004617480324 Long DBT CORP US N 2 2060-01-31 Fixed 3.95000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VDU5 2097000.00000000 PA USD 2078268.72000000 0.013729006083 Long DBT CORP US N 2 2037-03-16 Fixed 5.25000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBG6 3110000.00000000 PA USD 2822149.56000000 0.018643069640 Long DBT CORP US N 2 2050-03-19 Fixed 4.32700000 N N N N N N New Residential Mortgage Loan N/A 64830GAB2 6600521.83000000 PA USD 6220899.42000000 0.041095150575 Long ABS-MBS CORP US N 2 2057-12-25 Variable 4.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 9177.00000000 NC USD -4856282.55000000 -0.03208051587 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 2206762720.05000000 USD -4856282.55000000 N N N CHEVRON CORP N/A 166764BW9 7640000.00000000 PA USD 7161842.88000000 0.047311006283 Long DBT CORP US N 2 2025-05-11 Fixed 1.55400000 N N N N N N NEWELL BRANDS INC 549300LWGYFM1TVO1Z12 651229AW6 179000.00000000 PA USD 168310.16000000 0.001111853913 Long DBT CORP US N 2 2026-04-01 Variable 4.70000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BK4 11121000.00000000 PA USD 10423712.19000000 0.068858856747 Long DBT CORP GB N 2 2028-03-13 Fixed 4.04100000 N N N N N N Golub Capital Partners CLO Ltd 254900SGGS5FSVUNJG17 38172HAA2 10568000.00000000 PA USD 10502005.12000000 0.069376058446 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 6.97043000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31288QFS4 10103270.89000000 PA USD 9562827.63000000 0.063171868703 Long ABS-MBS USGSE US N 2 2047-11-01 Floating 2.87200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFBC4 5369104.77000000 PA USD 4790733.05000000 0.031647497052 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201CMP6 4042.16000000 PA USD 4194.17000000 0.000027706612 Long ABS-MBS USGA US N 2 2034-06-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFHS3 8538753.33000000 PA USD 7621988.29000000 0.050350718652 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 31325VKQ6 202534.34000000 PA USD 19750.69000000 0.000130472705 Long ABS-MBS USGSE US N 2 2044-08-15 Floating 0.90671000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91086QBF4 17344000.00000000 PA USD 14465050.19000000 0.095555863469 Long DBT NUSS MX N 2 2046-01-23 Fixed 4.60000000 N N N N N N CHEVRON CORP N/A 166764BX7 2750000.00000000 PA USD 2498708.11000000 0.016506421192 Long DBT CORP US N 2 2027-05-11 Fixed 1.99500000 N N N N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 494550BV7 1792000.00000000 PA USD 1756398.71000000 0.011602738540 Long DBT CORP US N 2 2024-09-01 Fixed 4.25000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F040677 -3300000.00000000 PA USD -3097230.48000000 -0.02046024929 Short ABS-MBS USGSE US N 2 2053-07-15 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WP93 5442972.50000000 PA USD 4586618.21000000 0.030299118060 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LJCK0 417000.00000000 PA USD 438893.05000000 0.002899319657 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 5.29000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WDW98 59809.26000000 PA USD 59087.83000000 0.000390333150 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36210AMT1 1382.33000000 PA USD 1410.38000000 0.000009316945 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378NF99 3063604.78000000 PA USD 77123.19000000 0.000509474417 Long ABS-MBS USGA US N 2 2055-09-16 Variable 0.62856000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833DT4 16150000.00000000 PA USD 15053337.96000000 0.099442081982 Long DBT CORP US N 2 2025-05-11 Fixed 1.12500000 N N N N N N WYETH LLC 549300Q9GR3WRH4N4836 983024AN0 1245000.00000000 PA USD 1361879.62000000 0.008996552471 Long DBT CORP US N 2 2037-04-01 Fixed 5.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XLBB3 10579379.25000000 PA USD 9003280.36000000 0.059475509421 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411AW5 11863000.00000000 PA USD 9655236.39000000 0.063782319323 Long DBT CORP US N 2 2040-09-01 Fixed 5.10000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132AAK52 6261345.87000000 PA USD 5921242.52000000 0.039115622440 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380QDH2 1876841.64000000 PA USD 1824393.49000000 0.012051910844 Long ABS-MBS USGA US N 2 2070-07-20 Floating 4.54748000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36290V2E3 1224.55000000 PA USD 1239.70000000 0.000008189436 Long ABS-MBS USGA US N 2 2034-12-15 Fixed 6.00000000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAP6 14400000.00000000 PA USD 13773367.87000000 0.090986622404 Long DBT CORP US N 2 2028-03-01 Fixed 4.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LH6Y5 5005408.39000000 PA USD 4685796.75000000 0.030954289726 Long ABS-MBS USGSE US N 2 2029-05-01 Fixed 3.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36290YFE3 1128.98000000 PA USD 1142.13000000 0.000007544890 Long ABS-MBS USGA US N 2 2033-09-15 Fixed 6.00000000 N N N N N N SMB Private Education Loan Tru N/A 83208AAD5 3240560.47000000 PA USD 3153149.27000000 0.020829647819 Long ABS-O CORP US N 2 2053-01-15 Floating 5.99329000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179QGC9 461224.63000000 PA USD 434804.04000000 0.002872307730 Long ABS-MBS USGA US N 2 2044-06-20 Fixed 3.50000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NBU4 690000.00000000 PA USD 524308.54000000 0.003463572860 Long DBT CORP US N 2 2046-07-15 Fixed 3.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LRT40 4674270.71000000 PA USD 4016732.03000000 0.026534460123 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201F5L7 3410.75000000 PA USD 3479.95000000 0.000022988487 Long ABS-MBS USGA US N 2 2032-10-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225B2Y3 2228.56000000 PA USD 2330.19000000 0.000015393193 Long ABS-MBS USGA US N 2 2033-11-15 Fixed 6.00000000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAF8 1800000.00000000 PA USD 1756395.49000000 0.011602717269 Long DBT CORP US N 2 2025-06-01 Fixed 4.30000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9KX1 1044693.87000000 PA USD 890561.33000000 0.005883032256 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 2.00000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FH6 6530000.00000000 PA USD 5681338.74000000 0.037530822350 Long DBT CORP US N 2 2030-02-05 Fixed 2.40000000 N N N N N N COMM Mortgage Trust 549300MGZ5FI5VFL1177 12591KAK1 188000.00000000 PA USD 93747.03000000 0.000619291207 Long ABS-MBS CORP US N 2 2046-10-10 Variable 5.20080000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36241LL79 45731.87000000 PA USD 45989.19000000 0.000303803768 Long ABS-MBS USGA US N 2 2040-07-20 Fixed 5.00000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636ABC4 1500000.00000000 PA USD 1401519.56000000 0.009258413207 Long DBT CORP DK N 2 2028-04-01 Fixed 4.29800000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AN7 2770000.00000000 PA USD 2514310.22000000 0.016609488453 Long DBT CORP US N 2 2026-01-15 Fixed 1.60000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381EX45 30819305.39000000 PA USD 1569023.17000000 0.010364939066 Long ABS-MBS USGA US N 2 2062-02-16 Variable 0.57117000 N N N N N N TELEFONICA EMISIONES SAU 549300Y5MFC4SW5Z3K71 87938WAU7 2821000.00000000 PA USD 2455689.92000000 0.016222243797 Long DBT CORP ES N 2 2047-03-08 Fixed 5.21300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B6T83 3183721.98000000 PA USD 2732813.06000000 0.018052914315 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MRBS5 3488110.78000000 PA USD 3426233.75000000 0.022633639021 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 5.00000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAR1 4267000.00000000 PA USD 4024232.62000000 0.026584008887 Long DBT CORP US N 2 2028-03-15 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201SYE3 9712.51000000 PA USD 9709.08000000 0.000064138009 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 7.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 2451.00000000 NC USD 2558231.25000000 0.016899629993 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Purchased CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-03-18 0.00000000 USD 2500.00000000 95.87500000 USD 2023-12-15 XXXX 352359.15000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380VXF3 1155759.09000000 PA USD 1018258.20000000 0.006726595501 Long ABS-MBS USGA US N 2 2048-03-20 Fixed 2.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KN6U2 3298048.06000000 PA USD 3099573.54000000 0.020475727502 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179V4U1 1903518.24000000 PA USD 1606099.32000000 0.010609863451 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XFH4 12822778.58000000 PA USD 12388601.09000000 0.081838877763 Long ABS-MBS USGA US N 2 2052-09-20 Fixed 4.50000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAK5 2185000.00000000 PA USD 2069597.04000000 0.013671721120 Long DBT CORP US N 2 2042-02-15 Fixed 6.10000000 N N N N N N JPMBB Commercial Mortgage Secu N/A 46642NBK1 1379000.00000000 PA USD 1131766.81000000 0.007476431353 Long ABS-MBS CORP US N 2 2047-09-15 Variable 4.69829700 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91086QAV0 100000.00000000 PA USD 101528.87000000 0.000670697903 Long DBT NUSS MX N 2 2040-01-11 Fixed 6.05000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36291ETX9 3054.46000000 PA USD 3095.37000000 0.000020447958 Long ABS-MBS USGA US N 2 2034-08-15 Fixed 6.00000000 N N N N N N EATON CORP 0NZWDMRCE180888QQE14 278062AE4 2524000.00000000 PA USD 2249045.18000000 0.014857152331 Long DBT CORP US N 2 2042-11-02 Fixed 4.15000000 N N N N N N MERCK & CO INC 4YV9Y5M8S0BRK1RP0397 58933YAZ8 4380000.00000000 PA USD 3573794.47000000 0.023608422505 Long DBT CORP US N 2 2030-06-24 Fixed 1.45000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BSPH9 2125022.93000000 PA USD 2162316.10000000 0.014284221576 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 6.00000000 N N N N N N Long Beach Mortgage Loan Trust N/A 542514AH7 14530.54000000 PA USD 14343.37000000 0.000094752046 Long ABS-O CORP US N 2 2031-01-21 Floating 5.68271000 N N N N N N OTIS WORLDWIDE CORP 549300ZLBKR8VSU25153 68902VAH0 2960000.00000000 PA USD 2791110.90000000 0.018438028806 Long DBT CORP US N 2 2025-04-05 Fixed 2.05600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QRRN5 6333184.33000000 PA USD 6092436.50000000 0.040246526817 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 4.50000000 N N N N N N COMISION FEDERAL DE ELEC 4469000001BFPONMPF32 200447AF7 4648000.00000000 PA USD 4446671.88000000 0.029374635101 Long DBT CORP MX N 2 2027-02-23 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A65W0 28435.94000000 PA USD 25223.43000000 0.000166625528 Long ABS-MBS USGSE US N 2 2042-03-25 None 0.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36291MJX2 177.38000000 PA USD 179.45000000 0.000001185443 Long ABS-MBS USGA US N 2 2034-09-15 Fixed 6.00000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCC3 5770000.00000000 PA USD 4785235.89000000 0.031611182911 Long DBT CORP US N 2 2047-11-01 Fixed 3.96900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L2PV9 1864141.54000000 PA USD 1535181.44000000 0.010141381201 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDW9 2390000.00000000 PA USD 2184462.44000000 0.014430519903 Long DBT CORP US N 2 2026-01-15 Fixed 1.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AWH7 206068.05000000 PA USD 197418.31000000 0.001304141833 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 4.00000000 N N N N N N Carlyle Global Market Strategi N/A 14317PAC7 4050000.00000000 PA USD 3959094.74000000 0.026153709214 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 6.86029000 N N N N N N TARGA RESOURCES CORP 5493003QENHHS261UR94 87612KAA0 10940000.00000000 PA USD 10747272.86000000 0.070996292760 Long DBT CORP US N 2 2027-07-01 Fixed 5.20000000 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JAJ7 3441000.00000000 PA USD 3301480.42000000 0.021809520749 Long DBT CORP US N 2 2037-05-01 Fixed 6.55000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36211C2U5 405.99000000 PA USD 401.65000000 0.000002653292 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 7.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38148LAF3 18411000.00000000 PA USD 17201764.42000000 0.113634548844 Long DBT CORP US N 2 2045-05-22 Fixed 5.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WVRU7 169844.54000000 PA USD 163326.89000000 0.001078934521 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XDA1 465022.85000000 PA USD 403219.77000000 0.002663662606 Long ABS-MBS USGA US N 2 2052-08-20 Fixed 2.50000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135CF1 2400000.00000000 PA USD 2287277.28000000 0.015109712902 Long DBT CORP US N 2 2027-04-13 Fixed 3.30000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AGNG0 1030829.45000000 PA USD 853942.13000000 0.005641126474 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CH6 1379000.00000000 PA USD 1296149.83000000 0.008562342651 Long DBT CORP US N 2 2026-05-01 Fixed 3.10000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200NUX7 301.44000000 PA USD 311.88000000 0.000002060273 Long ABS-MBS USGA US N 2 2034-09-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KKJ34 9301014.10000000 PA USD 7694914.06000000 0.050832464987 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J5W39 6142106.35000000 PA USD 5507364.93000000 0.036381554465 Long ABS-MBS USGSE US N 2 2047-04-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335ANN4 45153.91000000 PA USD 43201.76000000 0.000285390055 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQC53 338637.64000000 PA USD 333788.11000000 0.002204998299 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WDR6 31732522.85000000 PA USD 27604878.77000000 0.182357336628 Long ABS-MBS USGA US N 2 2051-04-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8GH0 325416.79000000 PA USD 291585.99000000 0.001926211847 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407NQM8 84993.11000000 PA USD 83595.10000000 0.000552227739 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 4.50000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BT6 5520000.00000000 PA USD 4754303.69000000 0.031406845349 Long DBT CORP US N 2 2028-08-12 Fixed 1.60000000 N N N N N N ABN AMRO BANK NV BFXS5XCH7N0Y05NIXW11 00080QAF2 1352000.00000000 PA USD 1305195.10000000 0.008622095543 Long DBT CORP NL N 2 2025-07-28 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WBYL3 46141.28000000 PA USD 45307.97000000 0.000299303641 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 4.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F020679 64300000.00000000 PA USD 52452222.82000000 0.346498448096 Long ABS-MBS USGSE US N 2 2053-07-15 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYWE5 11826231.61000000 PA USD 10056823.00000000 0.066435193304 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X5WM5 1024384.94000000 PA USD 990992.19000000 0.006546476725 Long ABS-MBS USGSE US N 2 2043-09-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EKLG8 732135.79000000 PA USD 685715.32000000 0.004529823169 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179R7J2 3696474.62000000 PA USD 3464335.61000000 0.022885339229 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DM5S0 24457414.85000000 PA USD 20906534.01000000 0.138108190655 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -2410.00000000 NC USD -1826329.32000000 -0.01206469890 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 107.50000000 USD 2023-07-21 XXXX -835576.10000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36290VVJ0 334.65000000 PA USD 342.60000000 0.000002263209 Long ABS-MBS USGA US N 2 2034-07-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140EXDX8 3771623.17000000 PA USD 3381614.82000000 0.022338887166 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N Angel Oak Mortgage Trust N/A 03464TAA7 30725721.17000000 PA USD 28564381.77000000 0.188695796327 Long ABS-MBS CORP US N 2 2067-01-25 Fixed 4.00000000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 191216CU2 4130000.00000000 PA USD 3693443.22000000 0.024398820012 Long DBT CORP US N 2 2027-06-01 Fixed 1.45000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ARQL2 3217163.55000000 PA USD 2632982.85000000 0.017393437729 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.00000000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAT7 716000.00000000 PA USD 669521.35000000 0.004422846092 Long DBT CORP US N 2 2049-04-01 Fixed 5.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BJPW9 44254206.63000000 PA USD 6244812.88000000 0.041253122465 Long ABS-MBS USGSE US N 2 2049-01-25 Fixed 2.50000000 N N N N N N UBS Commercial Mortgage Trust N/A 90276XAZ8 1430000.00000000 PA USD 1210555.63000000 0.007996908893 Long ABS-MBS CORP US N 2 2051-06-15 Variable 4.71290000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202SA81 5825.71000000 PA USD 5896.34000000 0.000038951116 Long ABS-MBS USGA US N 2 2033-01-15 Fixed 6.00000000 N N N N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 494550AQ9 110000.00000000 PA USD 119906.42000000 0.000792099671 Long DBT CORP US N 2 2033-08-15 Fixed 7.30000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36291S7A2 2170.29000000 PA USD 2197.12000000 0.000014514135 Long ABS-MBS USGA US N 2 2034-11-15 Fixed 6.00000000 N N N N N N EOG RESOURCES INC XWTZDRYZPBUHIQBKDB46 26875PAN1 6890000.00000000 PA USD 6190854.48000000 0.040896674237 Long DBT CORP US N 2 2035-04-01 Fixed 3.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133APK73 2821427.44000000 PA USD 2422062.40000000 0.016000100999 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -62.00000000 NC USD -73625.00000000 -0.00048636543 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 127.00000000 USD 2023-07-21 XXXX -11732.26000000 N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDV1 6499000.00000000 PA USD 5290415.02000000 0.034948387230 Long DBT CORP US N 2 2059-08-15 Fixed 3.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QM6A7 33964056.99000000 PA USD 29984372.28000000 0.198076228300 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFUH2 4015980.10000000 PA USD 3443507.44000000 0.022747748709 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VFS4 3398599.19000000 PA USD 3322160.28000000 0.021946131535 Long ABS-MBS USGA US N 2 2050-02-20 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UKY7 13028740.58000000 PA USD 12733065.17000000 0.084114401329 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136B3HQ6 826715.64000000 PA USD 765762.64000000 0.005058614337 Long ABS-MBS USGSE US N 2 2048-10-25 Fixed 3.50000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XCC7 16160000.00000000 PA USD 14671219.28000000 0.096917812799 Long DBT CORP US N 2 2026-03-25 Fixed 1.65000000 N N N N N N KAZMUNAYGAS NATIONAL CO 2138001H1M69RFJCSH88 48667QAQ8 12603000.00000000 PA USD 11725950.42000000 0.077461419260 Long DBT CORP KZ N 2 2030-04-24 Fixed 5.37500000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABX2 19220000.00000000 PA USD 15387860.85000000 0.101651934225 Long DBT CORP US N 2 2031-11-15 Fixed 2.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36209KSL3 153.69000000 PA USD 152.53000000 0.000001007610 Long ABS-MBS USGA US N 2 2028-04-15 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ABQF3 792965.21000000 PA USD 830476.19000000 0.005486110893 Long ABS-MBS USGSE US N 2 2042-07-25 Fixed 6.50000000 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BK6 5803000.00000000 PA USD 5701584.28000000 0.037664564026 Long DBT CORP GB N 2 2025-03-22 Fixed 4.26900000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UH62 3817119.71000000 PA USD 3803308.23000000 0.025124586308 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225BVX3 5449.89000000 PA USD 5570.04000000 0.000036795584 Long ABS-MBS USGA US N 2 2032-12-15 Fixed 6.50000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B35Z9 1969856.08000000 PA USD 1861621.55000000 0.012297838744 Long ABS-MBS USGSE US N 2 2031-02-25 Fixed 3.61000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKW89 15425001.78000000 PA USD 12683544.90000000 0.083787271309 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.00000000 N N N N N N SINOPEC GRP OVERSEA 2014 549300ZIMV82UUECOQ45 82937WAE5 19252000.00000000 PA USD 19053222.52000000 0.125865248019 Long DBT CORP VG N 2 2024-04-10 Fixed 4.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201S5L9 10668.11000000 PA USD 11042.10000000 0.000072943915 Long ABS-MBS USGA US N 2 2033-01-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132H7CN2 2484688.16000000 PA USD 2462432.01000000 0.016266781923 Long ABS-MBS USGSE US N 2 2043-12-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UEA6 3105943.25000000 PA USD 3037012.43000000 0.020062449926 Long ABS-MBS USGA US N 2 2048-10-20 Fixed 4.50000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBY8 13300000.00000000 PA USD 10191174.08000000 0.067322714141 Long DBT CORP US N 2 2051-01-31 Fixed 3.70000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P7CY7 10528.50000000 PA USD 10340.81000000 0.000068311206 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UQ54 2369862.68000000 PA USD 2266249.84000000 0.014970806008 Long ABS-MBS USGA US N 2 2049-04-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36203MA83 687.54000000 PA USD 684.18000000 0.000004519680 Long ABS-MBS USGA US N 2 2024-04-15 Fixed 6.50000000 N N N N N N TSMC ARIZONA CORP 2549005GOBWLCSY63Q97 872898AC5 41490000.00000000 PA USD 34809495.12000000 0.229950903692 Long DBT CORP US N 2 2031-10-25 Fixed 2.50000000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFK5 800000.00000000 PA USD 631673.04000000 0.004172820831 Long DBT CORP US N 2 2049-09-01 Fixed 3.62500000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90352JAF0 27971000.00000000 PA USD 27080083.37000000 0.178890547579 Long DBT CORP CH N 2 N/A Fixed 7.00000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PER9 3000000.00000000 PA USD 3119195.46000000 0.020605349556 Long DBT CORP US N 2 2033-02-15 Fixed 5.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XH3D7 13744160.06000000 PA USD 11751922.21000000 0.077632988441 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAF0 1907000.00000000 PA USD 1851159.89000000 0.012228729204 Long DBT CORP US N 2 2028-06-15 Fixed 4.95000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36213QXN4 23766.73000000 PA USD 24248.93000000 0.000160187998 Long ABS-MBS USGA US N 2 2031-06-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABP55 20982335.91000000 PA USD 18829173.50000000 0.124385184191 Long ABS-MBS USGA US N 2 2052-02-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132J92F4 40211.66000000 PA USD 39069.50000000 0.000258092419 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPRD2 9450577.42000000 PA USD 9580700.91000000 0.063289939272 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WE3Y3 3081766.19000000 PA USD 2954132.69000000 0.019514947842 Long ABS-MBS USGSE US N 2 2045-07-01 Fixed 4.00000000 N N N N N N TEXAS INSTRUMENTS INC WDJNR2L6D8RWOEB8T652 882508BD5 6484000.00000000 PA USD 5896243.23000000 0.038950477576 Long DBT CORP US N 2 2048-05-15 Fixed 4.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388UFT2 8631.79000000 PA USD 8740.45000000 0.000057739256 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379GYA9 318098.56000000 PA USD 6903.31000000 0.000045603142 Long ABS-MBS USGA US N 2 2026-07-16 Fixed 4.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -93.00000000 NC USD -43593.75000000 -0.00028797953 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 129.00000000 USD 2023-07-21 XXXX -160.89000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382LXR7 33992614.17000000 PA USD 3616515.01000000 0.023890633630 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DP2V9 3852554.10000000 PA USD 3678812.69000000 0.024302170992 Long ABS-MBS USGSE US N 2 2050-07-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FGSM8 1683291.93000000 PA USD 1461051.95000000 0.009651683113 Long ABS-MBS USGSE US N 2 2048-08-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BAS21 6476879.41000000 PA USD 3902769.99000000 0.025781628920 Long ABS-MBS USGSE US N 2 2050-07-25 Fixed 2.00000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBD0 1160000.00000000 PA USD 1097506.21000000 0.007250106441 Long DBT CORP US N 2 2048-11-14 Fixed 4.87500000 N N N N N N PIONEER NATURAL RESOURCE FY8JBF7CCL2VE4F1B628 723787AT4 1890000.00000000 PA USD 1702825.49000000 0.011248834805 Long DBT CORP US N 2 2026-01-15 Fixed 1.12500000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 11683832.58000000 0.077183189560 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2048-02-15 8761573.48000000 USD 0.00000000 USD -229780000.00000000 USD 2922259.10000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31395TLN2 1364474.89000000 PA USD 1358407.48000000 0.008973615576 Long ABS-MBS USGSE US N 2 2035-03-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNVN9 19856517.99000000 PA USD 18740459.76000000 0.123799142807 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 4.00000000 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 036752AT0 5510000.00000000 PA USD 5138581.04000000 0.033945374667 Long DBT CORP US N 2 2032-05-15 Fixed 4.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140K44S6 540945.47000000 PA USD 483432.70000000 0.003193547790 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VKQ2 2097016.08000000 PA USD 2094713.10000000 0.013837637364 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AJFA6 2870018.68000000 PA USD 2366393.23000000 0.015632351456 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380AK63 1903236.74000000 PA USD 248692.71000000 0.001642859605 Long ABS-MBS USGA US N 2 2046-10-16 Floating 0.94186000 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112CB7 2270000.00000000 PA USD 2250619.49000000 0.014867552195 Long DBT CORP US N 2 2033-09-15 Fixed 5.87500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9BC8 2599249.74000000 PA USD 2552386.36000000 0.016861018754 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137F86B4 13918228.03000000 PA USD 2068174.92000000 0.013662326621 Long ABS-MBS USGSE US N 2 2051-01-25 Fixed 2.50000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBL3 9410000.00000000 PA USD 8755366.34000000 0.057837793828 Long DBT CORP US N 2 2030-04-06 Fixed 3.63300000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2K9 11830000.00000000 PA USD 10110284.73000000 0.066788360538 Long DBT CORP FR N 2 2031-01-13 Fixed 3.05200000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU 5493000F7E2NMQ4HIO61 92939FBA6 20776738.64000000 PA USD 190445.82000000 0.001258081688 Long ABS-MBS CORP US N 2 2047-08-15 Variable 1.14849300 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LS8 18054000.00000000 PA USD 16782307.29000000 0.110863622528 Long DBT CORP US N 2 2028-10-27 Fixed 3.52000000 N N N N N N MEGLOBAL BV 549300WBVLU2FILR7W19 29441WAD7 28240000.00000000 PA USD 24678681.84000000 0.163026931918 Long DBT CORP NL N 2 2028-04-28 Fixed 2.62500000 N N N N N N Aimco 549300MMTPNJGGRMPB33 00900CAL8 400000.00000000 PA USD 392313.54000000 0.002591616245 Long ABS-CBDO CORP KY N 2 2034-04-20 Floating 6.30043000 N N N N N N EOG RESOURCES INC XWTZDRYZPBUHIQBKDB46 26875PAU5 13282000.00000000 PA USD 13002042.80000000 0.085891262754 Long DBT CORP US N 2 2030-04-15 Fixed 4.37500000 N N N N N N Starwood Commercial Mortgage T N/A 78485KAA3 3850000.00000000 PA USD 3771017.25000000 0.024911272671 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 6.41662000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FLFR2 319111.34000000 PA USD 58418.74000000 0.000385913154 Long ABS-MBS USGSE US N 2 2039-11-25 Fixed 4.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H0GP7 18467525.29000000 PA USD 459135.92000000 0.003033043695 Long ABS-MBS USGSE US N 2 2028-03-25 Variable 0.86803800 N N N N N N Freddie Mac - STACR 5493000IS4M3TZMRB410 35564KUX5 33130000.00000000 PA USD 33116721.50000000 0.218768471360 Long ABS-MBS CORP US N 2 2042-04-25 Floating 7.96655000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200N4P3 41124.26000000 PA USD 42794.94000000 0.000282702610 Long ABS-MBS USGA US N 2 2034-10-15 Fixed 6.00000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AQ3 21378000.00000000 PA USD 21296906.62000000 0.140686985152 Long DBT CORP US N 2 2029-01-23 Fixed 4.75000000 N N N N N N Navient Student Loan Trust N/A 63941GAB0 6574857.23000000 PA USD 5964172.00000000 0.039399213819 Long ABS-O CORP US N 2 2069-01-15 Fixed 2.12000000 N N N N N N HUMANA INC 529900YLDW34GJAO4J06 444859BK7 12000000.00000000 PA USD 10600929.72000000 0.070029552588 Long DBT CORP US N 2 2029-08-15 Fixed 3.12500000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BL7 2242000.00000000 PA USD 1855318.25000000 0.012256199256 Long DBT CORP US N 2 2047-05-01 Fixed 5.37500000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AG2 11044000.00000000 PA USD 10703764.18000000 0.070708875196 Long DBT CORP US N 2 2024-08-08 Fixed 3.20000000 N N N N N N CON EDISON CO OF NY INC VZFZPMWDHTQCFKYOBP05 209111FY4 1880000.00000000 PA USD 1539903.17000000 0.010172572866 Long DBT CORP US N 2 2050-04-01 Fixed 3.95000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967ME8 19648000.00000000 PA USD 18183738.50000000 0.120121452096 Long DBT CORP US N 2 2030-03-20 Fixed 3.98000000 N N N N N N Freddiemac Strip S6XOOCT0IEG5ABCC6L87 31283BCC0 103911.13000000 PA USD 4278.26000000 0.000028262109 Long ABS-MBS USGSE US N 2 2027-10-15 Fixed 3.50000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDZ2 6550000.00000000 PA USD 4571473.53000000 0.030199072575 Long DBT CORP US N 2 2050-05-15 Fixed 2.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133D3X67 1286712.17000000 PA USD 1132379.97000000 0.007480481877 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 2.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBK1 11840000.00000000 PA USD 11092775.47000000 0.073278676837 Long DBT CORP US N 2 2026-04-22 Fixed 2.08300000 N N N N N N OPG Trust N/A 67118AAA3 18104261.85000000 PA USD 17523089.70000000 0.115757217911 Long ABS-MBS CORP US N 2 2036-10-15 Floating 5.67700000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBN5 6850000.00000000 PA USD 4793922.84000000 0.031668568747 Long DBT CORP US N 2 2051-04-22 Fixed 3.10900000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAU7 21328000.00000000 PA USD 18517067.92000000 0.122323420298 Long DBT CORP US N 2 2045-06-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFN49 333583.76000000 PA USD 301401.20000000 0.001991050949 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 3.00000000 N N N N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106AL7 2820000.00000000 PA USD 2320204.21000000 0.015327227614 Long DBT CORP US N 2 2040-03-27 Fixed 3.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KJDA7 11413015.41000000 PA USD 10096404.47000000 0.066696667788 Long ABS-MBS USGSE US N 2 2050-06-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WGJG0 788818.33000000 PA USD 734101.74000000 0.004849462996 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 3.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MQ1 5210000.00000000 PA USD 4977000.20000000 0.032877974521 Long DBT CORP US N 2 2026-04-08 Fixed 3.10600000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAV3 4872000.00000000 PA USD 4627761.82000000 0.030570912014 Long DBT CORP DK N 2 2025-12-20 Fixed 3.24400000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 5556386.47000000 0.036705389883 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2048-05-15 0.00000000 USD -33823131.95000000 USD -190799000.00000000 USD 39379518.42000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPAG3 7852152.39000000 PA USD 7589012.32000000 0.050132879982 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.50000000 N N N N N N KAZMUNAYGAS NATIONAL CO 2138001H1M69RFJCSH88 48667QAP0 13553000.00000000 PA USD 11058773.65000000 0.073054061421 Long DBT CORP KZ N 2 2047-04-19 Fixed 5.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WXV79 707074.22000000 PA USD 679866.56000000 0.004491186365 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQFF8 2985888.08000000 PA USD 2852076.07000000 0.018840763631 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 4.00000000 N N N N N N ANGLO AMERICAN CAPITAL TINT358G1SSHR3L3PW36 034863AR1 5355000.00000000 PA USD 5179452.34000000 0.034215369746 Long DBT CORP GB N 2 2027-04-10 Fixed 4.75000000 N N N N N N SOUTHERN NATURAL GAS N/A 843452AZ6 3985000.00000000 PA USD 4586537.62000000 0.030298585684 Long DBT CORP US N 2 2032-03-01 Fixed 8.00000000 N N N N N N HERSHEY COMPANY 21X2CX66SU2BR6QTAD08 427866BF4 1930000.00000000 PA USD 1778051.43000000 0.011745776022 Long DBT CORP US N 2 2025-06-01 Fixed 0.90000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFL8 17320000.00000000 PA USD 16729376.22000000 0.110513960823 Long DBT CORP US N 2 2026-10-22 Fixed 4.25000000 N N N N N N COOPERATIEVE RABOBANK UA DG3RU1DBUFHT4ZF9WN62 21684AAF3 833000.00000000 PA USD 778328.43000000 0.005141623721 Long DBT CORP NL N 2 2026-07-21 Fixed 3.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378KQR3 7937435.54000000 PA USD 116161.19000000 0.000767358748 Long ABS-MBS USGA US N 2 2047-11-16 Variable 0.56966000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371KBT7 3292.11000000 PA USD 3390.37000000 0.000022396723 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 7.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KLGL5 15347893.82000000 PA USD 12671461.79000000 0.083707450500 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N HONEYWELL INTERNATIONAL ISRPG12PN4EIEOEMW547 438516CB0 4670000.00000000 PA USD 4359055.52000000 0.028795842990 Long DBT CORP US N 2 2025-06-01 Fixed 1.35000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JP7 12054000.00000000 PA USD 11602799.49000000 0.076647886413 Long DBT CORP US N 2 2025-04-27 Fixed 3.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6PH8 10008048.23000000 PA USD 9046338.05000000 0.059759947753 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 2.50000000 N N N N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 375558BD4 3967000.00000000 PA USD 3737753.46000000 0.024691532667 Long DBT CORP US N 2 2046-03-01 Fixed 4.75000000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918BY9 37020000.00000000 PA USD 35618106.65000000 0.235292577032 Long DBT CORP US N 2 2027-02-06 Fixed 3.30000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378NK51 657449.78000000 PA USD 2926.83000000 0.000019334586 Long ABS-MBS USGA US N 2 2048-02-16 Variable 0.14714000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MGLD1 41291658.93000000 PA USD 33767494.49000000 0.223067466121 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 370.00000000 NC USD 167656.25000000 0.001107534196 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 107.25000000 USD 2023-07-21 XXXX -3530.91000000 N N N BX Trust N/A 05610HAA1 18567799.64000000 PA USD 18027454.39000000 0.119089042054 Long ABS-MBS CORP US N 2 2039-02-15 Floating 6.15989000 N N N N N N Loanpal Solar Loan 2020-3 Ltd N/A 53948NAA1 8019027.16000000 PA USD 6288910.02000000 0.041544427385 Long ABS-O CORP US N 2 2047-12-20 Fixed 2.47000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A5J49 414801.72000000 PA USD 430935.27000000 0.002846750704 Long ABS-MBS USGSE US N 2 2042-05-25 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B3XG7 9684714.59000000 PA USD 8323671.29000000 0.054986024030 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132H5BC1 3160057.82000000 PA USD 3038865.72000000 0.020074692726 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BGM47 1334152.87000000 PA USD 1290220.12000000 0.008523171092 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QKQY7 6826993.15000000 PA USD 5995487.98000000 0.039606086624 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WNCZ3 258625.93000000 PA USD 254252.57000000 0.001679587941 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132ADME5 3642129.50000000 PA USD 3264763.80000000 0.021566971412 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38383M3M8 10400000.00000000 PA USD 9645523.68000000 0.063718157334 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB5S4 417443.24000000 PA USD 405746.72000000 0.002680355592 Long ABS-MBS USGA US N 2 2050-03-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FFZS9 24179730.95000000 PA USD 2748316.58000000 0.018155330292 Long ABS-MBS USGSE US N 2 2051-03-25 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QQWS0 1427344.14000000 PA USD 1472573.12000000 0.009727791757 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGRZ4 2732531.17000000 PA USD 2468943.56000000 0.016309797106 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200AE54 18972.27000000 PA USD 19398.64000000 0.000128147069 Long ABS-MBS USGA US N 2 2032-11-15 Fixed 6.50000000 N N N N N N GS Mortgage Securities Trust N/A 36255TAA0 23694651.78000000 PA USD 19545251.47000000 0.129115582484 Long ABS-MBS CORP US N 2 2031-09-15 Floating 6.99300000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2D4 8588000.00000000 PA USD 8146323.88000000 0.053814470204 Long DBT CORP US N 2 2029-01-24 Fixed 4.15000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FB62 19800.57000000 PA USD 20732.85000000 0.000136960837 Long ABS-MBS USGA US N 2 2039-10-20 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388FSE4 1097.52000000 PA USD 1084.37000000 0.000007163328 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 7.00000000 N N N N N N MIDAMERICAN ENERGY CO NINLOILYRTLIMK26MZ18 595620AT2 7557000.00000000 PA USD 7025556.09000000 0.046410698180 Long DBT CORP US N 2 2029-04-15 Fixed 3.65000000 N N N N N N Credit Suisse Mortgage Trust N/A 12663TAA7 9500999.97000000 PA USD 8732661.70000000 0.057687807382 Long ABS-MBS CORP US N 2 2062-04-25 Variable 3.90435000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EDL1 2672638.49000000 PA USD 2271650.54000000 0.015006482936 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 2.00000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RBK7 5210000.00000000 PA USD 4370536.93000000 0.028871688980 Long DBT CORP US N 2 2045-06-15 Fixed 4.35000000 N N N N N N Zais CLO 13, Limited 549300GODB02F7ODZK39 98876NAA2 8934400.00000000 PA USD 8768177.26000000 0.057922422537 Long ABS-CBDO CORP KY N 2 2032-07-15 Floating 6.75029000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TLT0 5622365.22000000 PA USD 5399964.52000000 0.035672069273 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 4.00000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBR5 3530000.00000000 PA USD 3027892.52000000 0.020002203963 Long DBT CORP US N 2 2028-03-25 Fixed 2.25900000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36211DUK4 13216.12000000 PA USD 13484.26000000 0.000089076780 Long ABS-MBS USGA US N 2 2029-07-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M4A45 69447.07000000 PA USD 71465.43000000 0.000472099355 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.50000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967DR9 605000.00000000 PA USD 616739.74000000 0.004074171718 Long DBT CORP US N 2 2036-08-25 Fixed 6.12500000 N N N N N N RELIANCE INDUSTRIES LTD 5493003UOETFYRONLG31 759470BD8 22500000.00000000 PA USD 16080444.90000000 0.106227132102 Long DBT CORP IN N 2 2052-01-12 Fixed 3.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31406NTR5 446870.68000000 PA USD 461251.34000000 0.003047018122 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138NXKQ9 368869.25000000 PA USD 334472.92000000 0.002209522141 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 3.00000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAT8 10046000.00000000 PA USD 9988896.63000000 0.065986472916 Long DBT CORP DK N 2 2024-01-12 Fixed 5.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M9YL0 675895.69000000 PA USD 681940.58000000 0.004504887304 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QGXH5 16711693.03000000 PA USD 13732582.40000000 0.090717194317 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LJQK5 400000.00000000 PA USD 415400.36000000 0.002744127366 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 5.08000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FTZM2 25550718.33000000 PA USD 2949531.49000000 0.019484552397 Long ABS-MBS USGSE US N 2 2035-02-25 Variable 1.63641700 N N N N N N Credit Suisse Mortgage Trust N/A 12656TAA6 26433221.93000000 PA USD 22329260.69000000 0.147506697719 Long ABS-MBS CORP US N 2 2060-01-25 None 0.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQB70 8525671.04000000 PA USD 8512678.77000000 0.056234604071 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BJ2 940000.00000000 PA USD 862181.76000000 0.005695557323 Long DBT CORP US N 2 2028-02-15 Fixed 3.75000000 N N N N N N SLM Student Loan Trust 549300JEA36NHBYED811 78445QAE1 7339926.82000000 PA USD 7666468.42000000 0.050644553597 Long ABS-O CORP US N 2 2041-10-15 Floating 9.94329000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FGAE9 2687336.96000000 PA USD 2403840.54000000 0.015879727717 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N PROSUS NV 635400Z5LQ5F9OLVT688 74365PAD0 15440000.00000000 PA USD 9712783.36000000 0.064162473580 Long DBT CORP NL N 2 2050-08-03 Fixed 4.02700000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BJE3 800436.86000000 PA USD 795354.01000000 0.005254094399 Long ABS-MBS USGA US N 2 2060-12-20 Floating 5.49386000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L1TP0 4878307.43000000 PA USD 4060081.12000000 0.026820823438 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B24E6 189222.97000000 PA USD 155021.72000000 0.001024070716 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200NTU5 2027.15000000 PA USD 2109.47000000 0.000013935121 Long ABS-MBS USGA US N 2 2034-06-15 Fixed 6.00000000 N N N N N N SPRINT SPECTRUM / SPEC I N/A 85208NAD2 615125.00000000 PA USD 607299.34000000 0.004011808604 Long DBT CORP US N 2 2025-03-20 Fixed 4.73800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AATF2 285756.91000000 PA USD 29339.26000000 0.000193814628 Long ABS-MBS USGSE US N 2 2042-12-25 Floating 0.99957000 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 036752AC7 1791000.00000000 PA USD 1732601.74000000 0.011445536181 Long DBT CORP US N 2 2024-12-01 Fixed 3.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXF98 3818426.24000000 PA USD 3635715.73000000 0.024017473243 Long ABS-MBS USGSE US N 2 2057-06-01 Fixed 4.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TA6 109200000.00000000 PA USD 76798312.50000000 0.507328282140 Long DBT UST US N 2 2041-08-15 Fixed 1.75000000 N N N N N N SMB Private Education Loan Tru N/A 78448YAC5 9928168.06000000 PA USD 8620596.56000000 0.056947507066 Long ABS-O CORP US N 2 2053-01-15 Fixed 1.59000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKQ1 33190000.00000000 PA USD 31222323.88000000 0.206254114482 Long DBT CORP US N 2 2033-04-27 Fixed 4.57100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411UGM7 349.39000000 PA USD 359.14000000 0.000002372472 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.50000000 N N N N N N JOHNSON & JOHNSON 549300G0CFPGEF6X2043 478160CR3 11300000.00000000 PA USD 7968175.90000000 0.052637627827 Long DBT CORP US N 2 2040-09-01 Fixed 2.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XJPY7 41997.94000000 PA USD 40710.75000000 0.000268934488 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P7AA1 2781.59000000 PA USD 2759.07000000 0.000018226367 Long ABS-MBS USGSE US N 2 2025-06-01 Fixed 5.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137F83S0 1481916.35000000 PA USD 84007.17000000 0.000554949866 Long ABS-MBS USGSE US N 2 2030-10-25 Variable 1.11885400 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ACCK4 8331659.37000000 PA USD 8307915.64000000 0.054881942488 Long ABS-MBS USGA US N 2 2053-01-20 Fixed 5.00000000 N N N N N N BECTON DICKINSON & CO ICE2EP6D98PQUILVRZ91 075887BG3 1234000.00000000 PA USD 1120410.95000000 0.007401414745 Long DBT CORP US N 2 2044-12-15 Fixed 4.68500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AX4N2 6372747.34000000 PA USD 674419.57000000 0.004455203646 Long ABS-MBS USGSE US N 2 2057-10-25 Floating 0.94957000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415XH20 2301.82000000 PA USD 2289.14000000 0.000015122017 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 7.00000000 N N N N N N Goodgreen Trust N/A 38218EAA5 3990132.84000000 PA USD 3310310.77000000 0.021867853884 Long ABS-O CORP KY N 2 2055-04-15 Fixed 2.76000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNY31 494034.89000000 PA USD 487641.57000000 0.003221351510 Long ABS-MBS USGSE US N 2 2052-09-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BWGF4 996742.78000000 PA USD 1020366.48000000 0.006740522761 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31386PZA4 1761.20000000 PA USD 1749.20000000 0.000011555183 Long ABS-MBS USGSE US N 2 2031-01-01 Fixed 7.00000000 N N N N N N WACHOVIA STUDENT LOAN TRUST N/A 92978JAF0 919072.42000000 PA USD 881101.86000000 0.005820543166 Long ABS-O CORP US N 2 2040-04-25 Floating 5.42514000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AETS6 956932.48000000 PA USD 104396.36000000 0.000689640491 Long ABS-MBS USGSE US N 2 2043-06-25 Floating 0.99957000 N N N N N N CINTAS CORPORATION NO. 2 549300QVUQTTKMTE0G41 17252MAN0 3188000.00000000 PA USD 3074783.85000000 0.020311967252 Long DBT CORP US N 2 2027-04-01 Fixed 3.70000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B4KB3 3571600.64000000 PA USD 3345725.12000000 0.022101800448 Long ABS-MBS USGSE US N 2 2029-02-25 Fixed 3.27300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BCAY6 3902570.03000000 PA USD 622537.58000000 0.004112472146 Long ABS-MBS USGSE US N 2 2050-10-25 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380RTP5 1051927.18000000 PA USD 811471.88000000 0.005360568761 Long ABS-MBS USGA US N 2 2063-06-16 Fixed 1.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M2PG1 3308559.44000000 PA USD 2812208.89000000 0.018577401751 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TL2 78910000.00000000 PA USD 81080025.00000000 0.535613198521 Long DBT UST US N 2 2052-11-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31379W5W3 43183.83000000 PA USD 42999.63000000 0.000284054788 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LJW93 2100000.00000000 PA USD 2133313.69000000 0.014092632173 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 4.70000000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MBF9 2428000.00000000 PA USD 2288220.53000000 0.015115943994 Long DBT CORP US N 2 2030-01-15 Fixed 4.50000000 N N N N N N Freddie Mac - STACR 5493000IS4M3TZMRB410 35564KUW7 12377681.91000000 PA USD 12417694.00000000 0.082031065007 Long ABS-MBS CORP US N 2 2042-04-25 Floating 7.06655000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MKLU1 2302034.39000000 PA USD 2155556.61000000 0.014239568506 Long ABS-MBS USGA US N 2 2050-05-15 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36213UPC8 10554.99000000 PA USD 10769.96000000 0.000071146163 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36211US29 12031.06000000 PA USD 12275.16000000 0.000081089487 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201P3Q6 16658.83000000 PA USD 16996.82000000 0.000112280689 Long ABS-MBS USGA US N 2 2032-10-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KRCR3 2896015.26000000 PA USD 2994689.13000000 0.019782862961 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FNUJ1 221103.61000000 PA USD 198372.39000000 0.001310444468 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 03523TBV9 4520000.00000000 PA USD 4768412.87000000 0.031500050341 Long DBT CORP US N 2 2049-01-23 Fixed 5.55000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382KG64 3258513.60000000 PA USD 442654.08000000 0.002924164954 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381HL25 8452827.24000000 PA USD 549141.30000000 0.003627617630 Long ABS-MBS USGA US N 2 2064-07-16 Variable 0.69472000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135CH7 21400000.00000000 PA USD 19964529.09000000 0.131885322961 Long DBT CORP US N 2 2032-04-13 Fixed 3.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W1VK0 6614.01000000 PA USD 5932.02000000 0.000039186818 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 3.00000000 N N N N N N CVS PASS-THROUGH TRUST N/A 126650BP4 3192005.45000000 PA USD 3166668.40000000 0.020918954950 Long DBT CORP US N 2 2028-12-10 Fixed 6.03600000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHQ5 22684000.00000000 PA USD 21020701.37000000 0.138862378199 Long DBT CORP US N 2 2030-02-07 Fixed 3.97400000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JJ7 4180000.00000000 PA USD 2664604.91000000 0.017602332493 Long DBT CORP US N 2 2050-08-01 Fixed 3.50000000 N N N N N N Deutsche Mortgage Securities, N/A 251563FE7 16813.41000000 PA USD 15327.68000000 0.000101254380 Long ABS-MBS CORP US N 2 2034-06-25 Floating 5.60043000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VDY7 6114000.00000000 PA USD 5939082.86000000 0.039233475408 Long DBT CORP US N 2 2027-03-16 Fixed 4.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EK3S2 194298.18000000 PA USD 186872.44000000 0.001234476004 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 4.00000000 N N N N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 375558BF9 1711000.00000000 PA USD 1646599.21000000 0.010877405002 Long DBT CORP US N 2 2026-03-01 Fixed 3.65000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -11536.00000000 NC USD -6272700.00000000 -0.04143734428 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-03-18 0.00000000 USD 2500.00000000 95.37500000 USD 2023-12-15 XXXX -1457225.60000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378D2U8 1106321.51000000 PA USD 111675.19000000 0.000737724312 Long ABS-MBS USGA US N 2 2042-03-20 Floating 0.90371000 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JBB3 18000.00000000 PA USD 14989.12000000 0.000099017859 Long DBT CORP US N 2 2041-09-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJCE1 94932.31000000 PA USD 77985.68000000 0.000515172010 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBF9 21954000.00000000 PA USD 20864996.64000000 0.137833795530 Long DBT CORP US N 2 2049-02-14 Fixed 5.95000000 N N N N N N Credit Suisse Mortgage Trust N/A 12662QAA4 29117898.15000000 PA USD 24120535.97000000 0.159339830259 Long ABS-MBS CORP US N 2 2066-10-25 Variable 1.75600000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201TKU0 7769.98000000 PA USD 7863.98000000 0.000051949311 Long ABS-MBS USGA US N 2 2033-03-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FHEM5 467362.92000000 PA USD 420474.84000000 0.002777649290 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N Credit Suisse Mortgage Trust N/A 12663FAA7 17000000.00000000 PA USD 16431665.35000000 0.108547288128 Long ABS-MBS CORP US N 2 2023-11-15 Floating 9.11350000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XLDT2 595902.41000000 PA USD 507629.26000000 0.003353389834 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SWW3 820711.94000000 PA USD 745134.71000000 0.004922346599 Long ABS-MBS USGA US N 2 2047-02-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9TA3 6243570.64000000 PA USD 5331992.28000000 0.035223045868 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERRD4 1196806.09000000 PA USD 1073768.42000000 0.007093295024 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.00000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140CG3 5350000.00000000 PA USD 5403464.26000000 0.035695188493 Long DBT CORP US N 2 2033-02-10 Fixed 5.20000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382MTZ2 455452.50000000 PA USD 465071.02000000 0.003072250860 Long ABS-MBS USGA US N 2 2051-01-20 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200Q3M4 4744.67000000 PA USD 4936.91000000 0.000032613139 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38374YVW0 17734.98000000 PA USD 115.88000000 0.000000765501 Long ABS-MBS USGA US N 2 2040-01-20 Floating 1.50371000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201KAW6 10858.82000000 PA USD 11079.13000000 0.000073188535 Long ABS-MBS USGA US N 2 2033-02-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FLZK7 160730.08000000 PA USD 143873.55000000 0.000950426104 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417GUU8 36958.20000000 PA USD 35557.50000000 0.000234892210 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WNJD5 8841.09000000 PA USD 8652.02000000 0.000057155089 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38376RSG2 170035.72000000 PA USD 169447.92000000 0.001119369936 Long ABS-MBS USGA US N 2 2065-07-20 Floating 5.12020000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MB4M8 837023.19000000 PA USD 813788.74000000 0.005375873896 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 4.00000000 N N N N N N Bear Stearns Asset Backed Secu N/A 073879MR6 2722860.20000000 PA USD 2692528.08000000 0.017786792456 Long ABS-MBS CORP US N 2 2034-12-25 Floating 5.31678300 N N N N N N EOG RESOURCES INC XWTZDRYZPBUHIQBKDB46 26875PAP6 203000.00000000 PA USD 198775.37000000 0.001313106547 Long DBT CORP US N 2 2026-01-15 Fixed 4.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QKQL5 969359.24000000 PA USD 826630.95000000 0.005460709306 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WX4Z7 78055.04000000 PA USD 74873.57000000 0.000494613467 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36212F2S2 8669.95000000 PA USD 8977.26000000 0.000059303619 Long ABS-MBS USGA US N 2 2034-02-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JHYV9 3091612.51000000 PA USD 3024543.87000000 0.019980082841 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXEP3 1092599.17000000 PA USD 1126360.36000000 0.007440716441 Long ABS-MBS USGSE US N 2 2056-09-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X4MM5 1355400.37000000 PA USD 1324650.56000000 0.008750617964 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BDY93 16937105.60000000 PA USD 2788928.17000000 0.018423609730 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKS7 7260000.00000000 PA USD 7118236.16000000 0.047022941069 Long DBT CORP US N 2 2025-04-25 Fixed 3.84100000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179Q6P1 414649.59000000 PA USD 388900.42000000 0.002569069235 Long ABS-MBS USGA US N 2 2045-03-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERNP1 2741117.40000000 PA USD 2453618.43000000 0.016208559571 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N Deephaven Residential Mortgage N/A 24382JAA4 23843664.43000000 PA USD 20926642.45000000 0.138241026651 Long ABS-MBS CORP US N 2 2067-01-25 Variable 2.20500000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBD6 4899000.00000000 PA USD 4634136.99000000 0.030613026273 Long DBT CORP GB N 2 2029-05-16 Fixed 4.97200000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BT0 9320000.00000000 PA USD 7039589.58000000 0.046503403165 Long DBT CORP US N 2 2050-03-01 Fixed 4.80000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201KM45 11811.61000000 PA USD 12051.25000000 0.000079610342 Long ABS-MBS USGA US N 2 2032-08-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XD6Y7 2216760.73000000 PA USD 1878462.40000000 0.012409089098 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MHS83 2330559.32000000 PA USD 2086662.95000000 0.013784458217 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJAH6 11540342.83000000 PA USD 10534587.18000000 0.069591294953 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.50000000 N N N N N N Bank N/A 06540DBN4 43948646.05000000 PA USD 1941167.75000000 0.012823319522 Long ABS-MBS CORP US N 2 2064-09-15 Variable 1.01280600 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382NZ83 532656.75000000 PA USD 532037.54000000 0.003514630496 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 5.00000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCY3 233000.00000000 PA USD 222063.32000000 0.001466946329 Long DBT CORP US N 2 2035-03-15 Fixed 4.55000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133APLD9 2026231.04000000 PA USD 1741944.00000000 0.011507250984 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYVJ5 20780474.27000000 PA USD 16888113.77000000 0.111562578247 Long ABS-MBS USGSE US N 2 2041-07-01 Fixed 1.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31368HM42 58118.94000000 PA USD 59740.24000000 0.000394642959 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9CG3 329673.70000000 PA USD 316607.99000000 0.002091506733 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413TUG5 26784.92000000 PA USD 26492.15000000 0.000175006670 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 7.00000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175AZ7 170000.00000000 PA USD 165794.96000000 0.001095238547 Long DBT CORP US N 2 2035-10-23 Fixed 6.38400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFPU9 3414438.30000000 PA USD 2945377.96000000 0.019457114252 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297QDG1 201359.08000000 PA USD 200944.09000000 0.001327433073 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.50000000 N N N N N N Golub Capital Partners CLO Ltd 254900XWTZJ46JGSP919 38175NAA6 9397344.05000000 PA USD 9316214.47000000 0.061542746569 Long ABS-CBDO CORP KY N 2 2030-05-05 Floating 6.70629000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGJ7 16430000.00000000 PA USD 13722797.68000000 0.090652556632 Long DBT CORP US N 2 2031-03-21 Fixed 2.55000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179W5E4 6087047.68000000 PA USD 5763074.55000000 0.038070767652 Long ABS-MBS USGA US N 2 2052-05-20 Fixed 4.00000000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918CF9 888000.00000000 PA USD 648530.35000000 0.004284179921 Long DBT CORP US N 2 2062-03-17 Fixed 3.04100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6QL8 2056351.98000000 PA USD 1961844.55000000 0.012959910094 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.00000000 N N N N N N Prime Mortgage Trust N/A 74159UAD9 10590039.89000000 PA USD 8160053.57000000 0.053905168291 Long ABS-MBS CORP US N 2 2035-05-25 Fixed 6.00000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822CF9 6500000.00000000 PA USD 6252628.27000000 0.041304750792 Long DBT CORP JP N 2 2026-04-17 Fixed 3.83700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403DWU9 12133.83000000 PA USD 12472.19000000 0.000082391064 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381ETU2 7849057.00000000 PA USD 4110055.88000000 0.027150955811 Long ABS-MBS USGA US N 2 2061-02-16 Fixed 1.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X6BP5 1162712.69000000 PA USD 1131658.74000000 0.007475717445 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 4.50000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958667AB3 2630000.00000000 PA USD 2516331.93000000 0.016622843833 Long DBT CORP US N 2 2025-02-01 Variable 3.35000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SQ2 49340000.00000000 PA USD 31764552.22000000 0.209836065222 Long DBT UST US N 2 2040-08-15 Fixed 1.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MJ6K6 1980624.32000000 PA USD 1696072.90000000 0.011204227316 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.50000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAP4 540000.00000000 PA USD 468853.42000000 0.003097237327 Long DBT CORP US N 2 2044-04-01 Fixed 5.30000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CN3 4594000.00000000 PA USD 3409919.47000000 0.022525867179 Long DBT CORP US N 2 2048-03-15 Fixed 4.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133APF61 2973425.32000000 PA USD 2556251.73000000 0.016886553319 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N Voya CLO Ltd 54930068MLVF3BECCK93 92917KAA2 17830000.00000000 PA USD 17731061.43000000 0.117131075449 Long ABS-CBDO CORP KY N 2 2031-10-15 Floating 6.41029000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XBSR2 1627115.30000000 PA USD 1414002.08000000 0.009340872511 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.50000000 N N N N N N Battery Park CLO Ltd 549300H738INUT5W2X22 07134CAA5 17720000.00000000 PA USD 17743036.00000000 0.117210179244 Long ABS-CBDO CORP KY N 2 2035-10-20 Floating 7.25845000 N N N N N N REPUBLIC OF COLOMBIA 549300MHDRBVRF6B9117 195325DQ5 26102000.00000000 PA USD 17997329.00000000 0.118890034265 Long DBT NUSS CO N 2 2049-05-15 Fixed 5.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ABRE2 3650450.21000000 PA USD 3005299.57000000 0.019852955338 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.00000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AY4 5000000.00000000 PA USD 4333212.80000000 0.028625126443 Long DBT CORP CH N 2 2045-05-15 Fixed 4.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201F6Z5 18221.83000000 PA USD 18596.67000000 0.000122849270 Long ABS-MBS USGA US N 2 2032-10-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B1J94 1279335.85000000 PA USD 203538.62000000 0.001344572492 Long ABS-MBS USGSE US N 2 2043-04-15 Fixed 3.50000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DQ0 1910000.00000000 PA USD 1518084.67000000 0.010028440244 Long DBT CORP US N 2 2031-02-28 Fixed 1.87500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468P7 25630000.00000000 PA USD 23108307.36000000 0.152653066122 Long DBT CORP US N 2 2031-04-01 Fixed 3.62200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M3TF1 200999.31000000 PA USD 193443.26000000 0.001277882724 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418D6L1 5961560.14000000 PA USD 5071271.54000000 0.033500729311 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WVV7 2666176.14000000 PA USD 2388725.77000000 0.015779879817 Long ABS-MBS USGA US N 2 2052-01-20 Fixed 3.00000000 N N N N N N STATE OF ISRAEL 213800T8ZHTFZIBYPE21 46513JXN6 5060000.00000000 PA USD 3812198.94000000 0.025183318180 Long DBT NUSS IL N 2 2050-01-15 Fixed 3.37500000 N N N N N N KINDER MORGAN ENER PART 549300PDHUGWPWGOT525 494550BF2 620000.00000000 PA USD 631905.43000000 0.004174355996 Long DBT CORP US N 2 2040-09-15 Fixed 6.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31387XVK8 2427.71000000 PA USD 2450.16000000 0.000016185713 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 7.00000000 N N N N N N DCP RIGHTS, LLC N/A 82539LAA9 11250000.00000000 PA USD 11123041.50000000 0.073478613691 Long ABS-MBS CORP US N 2 2027-01-15 Floating 8.11620000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBL9 14820000.00000000 PA USD 12543529.74000000 0.082862333660 Long DBT CORP US N 2 2031-04-22 Fixed 2.52200000 N N N N N N Nelnet Student Loan Trust N/A 64035DAC0 12321000.00000000 PA USD 12035712.17000000 0.079507699853 Long ABS-O CORP US N 2 2062-04-20 Floating 6.18657000 N N N N N N DEERE & COMPANY PWFTNG3EI0Y73OXWDH08 244199BJ3 1840000.00000000 PA USD 1683833.29000000 0.011123372670 Long DBT CORP US N 2 2030-04-15 Fixed 3.10000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378KJP5 22730701.23000000 PA USD 30791.01000000 0.000203404862 Long ABS-MBS USGA US N 2 2048-10-16 Variable 0.06170000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VES9 1728000.00000000 PA USD 1621569.73000000 0.010712060704 Long DBT CORP US N 2 2029-02-08 Fixed 3.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200NVR9 267.24000000 PA USD 270.35000000 0.000001785927 Long ABS-MBS USGA US N 2 2034-10-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ABH0 194912.91000000 PA USD 191413.63000000 0.001264475024 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132H3K51 891400.07000000 PA USD 857051.06000000 0.005661664010 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -62.00000000 NC USD -79437.50000000 -0.00052476270 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 127.00000000 USD 2023-07-21 XXXX -14154.13000000 N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBA0 410000.00000000 PA USD 378923.90000000 0.002503164522 Long DBT CORP US N 2 2044-03-15 Fixed 4.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKM49 4583755.93000000 PA USD 4498286.07000000 0.029715597520 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KQXT8 10774919.16000000 PA USD 10573991.48000000 0.069851599055 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GVR2 8454000.00000000 PA USD 8150984.38000000 0.053845257384 Long DBT CORP US N 2 2025-10-21 Fixed 4.25000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GKC2 3000000.00000000 PA USD 2296453.80000000 0.015170332829 Long DBT CORP US N 2 2036-09-21 Fixed 2.48200000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CQ6 4633000.00000000 PA USD 3482299.38000000 0.023004007573 Long DBT CORP US N 2 2050-02-01 Fixed 3.75000000 N N N N N N PFIZER INVESTMENT ENTER 5493000FQO8XF9C0RT95 716973AE2 1980000.00000000 PA USD 1973309.78000000 0.013035649198 Long DBT CORP SG N 2 2033-05-19 Fixed 4.75000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCK5 6080000.00000000 PA USD 5073622.29000000 0.033516258324 Long DBT CORP US N 2 2048-03-01 Fixed 4.00000000 N N N N N N Aqua Finance Trust N/A 03842VAA5 8437592.30000000 PA USD 7458893.19000000 0.049273315331 Long ABS-O CORP US N 2 2046-07-17 Fixed 1.54000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FG4Y0 212092.28000000 PA USD 45521.90000000 0.000300716859 Long ABS-MBS USGSE US N 2 2038-01-25 Fixed 6.00000000 N N N N N N FNMA 10YR POOL N/A 000000000 4200000.00000000 PA USD 4231828.15000000 0.027955381254 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 4.51000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YCX5 4066000.00000000 PA USD 3955290.30000000 0.026128577151 Long DBT CORP US N 2 2025-03-15 Fixed 3.80000000 N N N N N N BX Trust N/A 12433EAA9 20360000.00000000 PA USD 19889759.33000000 0.131391395261 Long ABS-MBS CORP US N 2 2039-01-15 Floating 6.14699000 N N N N N N CODELCO INC 549300UVMBCBCIPSUI70 21987BAW8 14665000.00000000 PA USD 13856241.23000000 0.091534082342 Long DBT CORP CL N 2 2027-08-01 Fixed 3.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31378GPW7 4800.34000000 PA USD 4786.25000000 0.000031617882 Long ABS-MBS USGSE US N 2 2028-04-01 Fixed 7.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F052672 9100000.00000000 PA USD 9056632.86000000 0.059827955084 Long ABS-MBS USGSE US N 2 2053-07-15 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380RKU3 5663577.43000000 PA USD 349522.58000000 0.002308939927 Long ABS-MBS USGA US N 2 2060-11-16 Variable 0.91256000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XB4K3 1098073.13000000 PA USD 947953.18000000 0.006262161793 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BJK9 782950.36000000 PA USD 777424.06000000 0.005135649469 Long ABS-MBS USGA US N 2 2060-12-20 Floating 5.47386000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BC9 6261000.00000000 PA USD 5895575.73000000 0.038946068083 Long DBT CORP US N 2 2027-08-22 Fixed 3.15000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B5NJ7 256513.82000000 PA USD 236738.34000000 0.001563889250 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201TF77 8388.12000000 PA USD 8561.02000000 0.000056553945 Long ABS-MBS USGA US N 2 2033-02-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ALB2 27900.30000000 PA USD 27432.97000000 0.000181221710 Long ABS-MBS USGSE US N 2 2042-09-01 Fixed 4.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SS8 177590000.00000000 PA USD 110386752.71000000 0.729212918883 Long DBT UST US N 2 2050-11-15 Fixed 1.62500000 N N N N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076BS0 820000.00000000 PA USD 697655.89000000 0.004608702361 Long DBT CORP US N 2 2047-06-15 Fixed 3.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EMHT1 273299.07000000 PA USD 268482.54000000 0.001773590868 Long ABS-MBS USGSE US N 2 2044-01-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XLTR9 49000000.00000000 PA USD 45604481.30000000 0.301262389793 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.50000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QBX9 13254000.00000000 PA USD 7622580.84000000 0.050354633027 Long DBT CORP MX N 2 2046-01-23 Fixed 5.62500000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MFM1 8770000.00000000 PA USD 7466250.31000000 0.049321916335 Long DBT CORP US N 2 2030-03-01 Fixed 2.12500000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BR4 23297000.00000000 PA USD 22226009.42000000 0.146824621672 Long DBT CORP US N 2 2029-03-30 Fixed 5.05000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410LBP6 5278.03000000 PA USD 5424.22000000 0.000035832300 Long ABS-MBS USGSE US N 2 2038-11-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AHGQ7 2048972.44000000 PA USD 201029.40000000 0.001327996629 Long ABS-MBS USGSE US N 2 2043-12-25 Floating 0.79957000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGDU0 6136438.59000000 PA USD 5051527.05000000 0.033370297563 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967NN7 15970000.00000000 PA USD 14117842.36000000 0.093262214739 Long DBT CORP US N 2 2033-03-17 Fixed 3.78500000 N N N N N N ALPHABET INC 5493006MHB84DD0ZWV18 02079KAH0 1740000.00000000 PA USD 1593346.83000000 0.010525620730 Long DBT CORP US N 2 2025-08-15 Fixed 0.45000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGK4 2220000.00000000 PA USD 1714761.48000000 0.011327683742 Long DBT CORP US N 2 2041-03-22 Fixed 3.40000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABUA8 5051331.96000000 PA USD 4523279.91000000 0.029880706381 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382KQ97 15158145.19000000 PA USD 2013177.52000000 0.013299014778 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 2.50000000 N N N N N N Myers Park CLO LTD N/A 62848FAE2 6090000.00000000 PA USD 5949751.51000000 0.039303952319 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 6.85043000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CGR6 2610000.00000000 PA USD 2613160.55000000 0.017262491969 Long DBT UST US N 2 2026-03-15 Fixed 4.62500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SGL5 1772222.40000000 PA USD 1660916.50000000 0.010971984764 Long ABS-MBS USGA US N 2 2046-07-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L4FG9 11591491.54000000 PA USD 9526253.34000000 0.062930259596 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FL7 6680000.00000000 PA USD 5063157.50000000 0.033447128108 Long DBT CORP US N 2 2070-02-05 Fixed 3.75000000 N N N N N N MEGLOBAL BV 549300WBVLU2FILR7W19 29441WAC9 17321000.00000000 PA USD 16646728.11000000 0.109967988883 Long DBT CORP NL N 2 2026-11-03 Fixed 4.25000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PED0 1380000.00000000 PA USD 1167478.80000000 0.007712344122 Long DBT CORP US N 2 2031-05-15 Fixed 2.30000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380JBV9 3234124.13000000 PA USD 98929.27000000 0.000653524992 Long ABS-MBS USGA US N 2 2059-12-16 Variable 0.50347000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M8RR7 449088.91000000 PA USD 450009.55000000 0.002972755058 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.00000000 N N N N N N COMISION FEDERAL DE ELEC 4469000001BFPONMPF32 200447AH3 10000000.00000000 PA USD 7912380.70000000 0.052269045731 Long DBT CORP MX N 2 2031-02-09 Fixed 3.34800000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -1022.00000000 NC USD -111781.27000000 -0.00073842507 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 114.50000000 USD 2023-07-21 XXXX 353903.85000000 N N N APACHE CORP 72ZZ1XRHOOU9P9X16K08 037411BC8 18144000.00000000 PA USD 12275504.64000000 0.081091764632 Long DBT CORP US N 2 2044-01-15 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31389FSS2 1624.48000000 PA USD 1660.03000000 0.000010966128 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31409YPS0 713.53000000 PA USD 725.16000000 0.000004790394 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AF6L0 2419833.10000000 PA USD 1995232.87000000 0.013180472740 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BF4Y4 372691.13000000 PA USD 16200.18000000 0.000107018100 Long ABS-MBS USGSE US N 2 2041-04-15 Variable 0.01000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBM7 5000000.00000000 PA USD 3799697.20000000 0.025100731909 Long DBT CORP US N 2 2041-04-22 Fixed 3.10900000 N N N N N N ELEVANCE HEALTH INC 8MYN82XMYQH89CTMTH67 036752AB9 7067000.00000000 PA USD 6676749.38000000 0.044106487277 Long DBT CORP US N 2 2027-12-01 Fixed 3.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QLMX1 17702323.22000000 PA USD 14517579.86000000 0.095902873532 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EGQ64 106948.80000000 PA USD 107782.59000000 0.000712009866 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 5.00000000 N N N N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377RDQ4 9521000.00000000 PA USD 8997040.33000000 0.059434287894 Long ABS-O CORP US N 2 2026-03-20 Fixed 2.36000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGL8 12726000.00000000 PA USD 12217976.81000000 0.080711736813 Long DBT CORP US N 2 2027-07-22 Fixed 4.30000000 N N N N N N Navient Student Loan Trust N/A 63941FAB2 8612369.66000000 PA USD 7911047.17000000 0.052260236456 Long ABS-O CORP US N 2 2068-11-15 Fixed 2.46000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FECE2 7092.50000000 PA USD 6380.93000000 0.000042152309 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JAU2 985000.00000000 PA USD 947275.02000000 0.006257681880 Long DBT CORP US N 2 2039-06-15 Fixed 6.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L4HK8 5302365.70000000 PA USD 4371970.30000000 0.028881157797 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 75513EAC5 12950000.00000000 PA USD 9392422.88000000 0.062046177965 Long DBT CORP US N 2 2050-07-01 Fixed 3.12500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABU83 3535534.84000000 PA USD 3175401.65000000 0.020976646644 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179U4A7 2779453.33000000 PA USD 2426732.67000000 0.016030952720 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 2.50000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VGH1 7170000.00000000 PA USD 6302255.91000000 0.041632590096 Long DBT CORP US N 2 2028-03-22 Fixed 2.10000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFC8 9215000.00000000 PA USD 8839651.39000000 0.058394579365 Long DBT CORP US N 2 2044-01-21 Fixed 5.00000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CP8 19527000.00000000 PA USD 15845771.91000000 0.104676886517 Long DBT CORP US N 2 2035-02-01 Fixed 3.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UQ70 1837890.55000000 PA USD 1828405.12000000 0.012078411600 Long ABS-MBS USGA US N 2 2049-04-20 Fixed 5.00000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDK4 2900000.00000000 PA USD 2744098.38000000 0.018127464938 Long DBT CORP US N 2 2027-04-01 Fixed 3.30000000 N N N N N N MASTERCARD INC AR5L2ODV9HN37376R084 57636QAQ7 15550000.00000000 PA USD 13402702.37000000 0.088538012725 Long DBT CORP US N 2 2050-03-26 Fixed 3.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410LVU3 3210324.70000000 PA USD 3039681.11000000 0.020080079178 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPUT3 5435871.05000000 PA USD 5233446.01000000 0.034572050966 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 4.50000000 N N N N N N DP WORLD PLC 549300M3U2DNF4QVSS04 23330JAB7 41179000.00000000 PA USD 38551985.70000000 0.254673729690 Long DBT CORP AE N 2 2048-09-25 Fixed 5.62500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202ERU5 2745.46000000 PA USD 2874.62000000 0.000018989688 Long ABS-MBS USGA US N 2 2038-03-20 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L2QE6 8360780.61000000 PA USD 6874613.23000000 0.045413572340 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133A0MT8 400491.39000000 PA USD 357113.89000000 0.002359087985 Long ABS-MBS USGSE US N 2 2050-01-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UKZ4 3192775.52000000 PA USD 3177374.24000000 0.020989677538 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31387V3E7 2729.56000000 PA USD 2739.84000000 0.000018099334 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LKKW2 3943000.00000000 PA USD 3908304.16000000 0.025818187549 Long ABS-MBS USGSE US N 2 2028-06-01 Fixed 4.49000000 N N N N N N Morgan Stanley Capital I Trust N/A 61691KAA9 2063536.02000000 PA USD 2027290.63000000 0.013392245730 Long ABS-MBS CORP US N 2 2034-11-15 Floating 6.16800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AAP3 196699.05000000 PA USD 193167.31000000 0.001276059803 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 4.50000000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918BJ2 8660000.00000000 PA USD 8338669.23000000 0.055085100154 Long DBT CORP US N 2 2025-11-03 Fixed 3.12500000 N N N N N N HalseyPoint CLO 3, Ltd. N/A 40638UAA7 4900000.00000000 PA USD 4859085.96000000 0.032099035156 Long ABS-CBDO CORP KY N 2 2032-11-30 Floating 6.74914000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133BWD34 2702899.58000000 PA USD 2763253.03000000 0.018254000214 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 6.50000000 N N N N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAL8 410000.00000000 PA USD 345458.74000000 0.002282094272 Long DBT CORP US N 2 2031-02-15 Fixed 2.70000000 N N N N N N Morgan Stanley Capital I Trust N/A 61768HAX4 41057130.31000000 PA USD 1768088.37000000 0.011679960226 Long ABS-MBS CORP US N 2 2052-03-15 Variable 1.17333900 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FNN83 332763.82000000 PA USD 298349.28000000 0.001970890020 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412W2Z8 62805.01000000 PA USD 64531.77000000 0.000426295721 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DP2K3 4674739.10000000 PA USD 4717877.92000000 0.031166217363 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XG4L0 1080974.53000000 PA USD 925513.79000000 0.006113927583 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 2.00000000 N N N N N N BECTON DICKINSON & CO ICE2EP6D98PQUILVRZ91 075887BF5 336000.00000000 PA USD 326325.74000000 0.002155702016 Long DBT CORP US N 2 2024-12-15 Fixed 3.73400000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H74A8 3200000.00000000 PA USD 2723546.56000000 0.017991699981 Long ABS-MBS USGSE US N 2 2032-03-25 Fixed 2.35000000 N N N N N N HarborView Mortgage Loan Trust N/A 41161PSL8 3155440.25000000 PA USD 2891539.11000000 0.019101455769 Long ABS-MBS CORP US N 2 2035-06-20 Floating 5.89657000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFUG4 4329087.26000000 PA USD 3715346.02000000 0.024543509518 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380JKP2 1287944.42000000 PA USD 45297.52000000 0.000299234608 Long ABS-MBS USGA US N 2 2060-03-16 Variable 0.61786000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AFXA4 2128278.96000000 PA USD 1764721.69000000 0.011657719997 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QMZ56 30723443.51000000 PA USD 26128774.65000000 0.172606219148 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 2.00000000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918CE2 3031000.00000000 PA USD 2256948.49000000 0.014909361456 Long DBT CORP US N 2 2052-03-17 Fixed 2.92100000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179T4Q5 163370.35000000 PA USD 159442.62000000 0.001053275102 Long ABS-MBS USGA US N 2 2048-07-20 Fixed 4.50000000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 191216CX6 3180000.00000000 PA USD 2224377.56000000 0.014694198474 Long DBT CORP US N 2 2050-06-01 Fixed 2.60000000 N N N N N N INTERCONTINENTALEXCHANGE 5493000F4ZO33MV32P92 45866FAW4 4050000.00000000 PA USD 3935704.75000000 0.025999195357 Long DBT CORP US N 2 2033-03-15 Fixed 4.60000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVMB8 67506996.18000000 PA USD 57912013.49000000 0.382565727849 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNPL0 10692270.69000000 PA USD 9831079.39000000 0.064943935044 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382KS87 4605819.32000000 PA USD 655913.35000000 0.004332951887 Long ABS-MBS USGA US N 2 2050-10-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36213R2Y2 2918.05000000 PA USD 2952.05000000 0.000019501189 Long ABS-MBS USGA US N 2 2034-02-15 Fixed 6.00000000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AJ6 1970000.00000000 PA USD 1769710.10000000 0.011690673345 Long DBT CORP US N 2 2047-07-15 Variable 5.10000000 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBE1 13168000.00000000 PA USD 11697444.77000000 0.077273111444 Long DBT CORP US N 2 2029-08-16 Fixed 2.44000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AP3N0 1446400.12000000 PA USD 1232418.96000000 0.008141337660 Long ABS-MBS USGSE US N 2 2045-09-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MLCK8 107455.67000000 PA USD 103356.99000000 0.000682774431 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 4.00000000 N N N N N N 3M COMPANY LUZQVYP4VS22CLWDAR65 88579YBP5 3520000.00000000 PA USD 2790468.81000000 0.018433787171 Long DBT CORP US N 2 2050-04-15 Fixed 3.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X9MC6 920713.02000000 PA USD 871915.98000000 0.005759861407 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ABUR9 3960157.35000000 PA USD 3410236.32000000 0.022527960284 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N Wells Fargo Commercial Mortgag N/A 95003GAA9 7480000.00000000 PA USD 6149043.96000000 0.040620474688 Long ABS-MBS CORP US N 2 2039-12-15 Fixed 3.08400000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225BVH8 15598.64000000 PA USD 16093.62000000 0.000106314166 Long ABS-MBS USGA US N 2 2032-09-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AZ68 312491.61000000 PA USD 306939.81000000 0.002027638908 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4.50000000 N N N N N N CIGNA GROUP/THE 549300VIWYMSIGT1U456 125523AJ9 10930000.00000000 PA USD 10329169.05000000 0.068234306451 Long DBT CORP US N 2 2038-08-15 Fixed 4.80000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36291MJ53 1263.30000000 PA USD 1278.02000000 0.000008442577 Long ABS-MBS USGA US N 2 2034-09-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WHWE8 2140462.40000000 PA USD 1920523.15000000 0.012686941662 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L4F53 3709001.30000000 PA USD 3069480.68000000 0.020276934606 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201MRK0 1466.52000000 PA USD 1513.13000000 0.000009995709 Long ABS-MBS USGA US N 2 2032-11-15 Fixed 6.00000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B6XU2 5134668.95000000 PA USD 4512459.01000000 0.029809223708 Long ABS-MBS USGSE US N 2 2031-10-25 Variable 2.72000000 N N N N N N SUNRUN CALLISTO ISSUER LLC N/A 86772FAA9 3600919.68000000 PA USD 3160435.02000000 0.020877777353 Long ABS-O CORP US N 2 2055-02-01 Fixed 3.61000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371NGG4 1943.49000000 PA USD 1997.71000000 0.000013196836 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.50000000 N N N N N N UBS AG LONDON BFM8T61CT2L1QCEMIK50 902674XN5 3599000.00000000 PA USD 3268623.35000000 0.021592467531 Long DBT CORP CH N 2 2048-06-26 Fixed 4.50000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582BT8 6654000.00000000 PA USD 6340045.78000000 0.041882229303 Long DBT CORP NL N 2 2026-05-10 Fixed 2.87500000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137BXRT1 7057000.00000000 PA USD 6634694.30000000 0.043828672169 Long ABS-MBS USGSE US N 2 2027-03-25 Fixed 3.29100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138L9T85 655847.00000000 PA USD 626507.62000000 0.004138698159 Long ABS-MBS USGSE US N 2 2025-04-01 Fixed 2.81000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200RWY4 5377.43000000 PA USD 5488.07000000 0.000036254092 Long ABS-MBS USGA US N 2 2031-11-15 Fixed 6.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -124.00000000 NC USD -968.81000000 -0.00000639994 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 108.75000000 USD 2023-07-07 XXXX 12379.17000000 N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBD4 2049000.00000000 PA USD 1994172.49000000 0.013173467888 Long DBT CORP US N 2 2029-02-14 Fixed 4.80000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XVU7 8025265.76000000 PA USD 8085064.34000000 0.053409790776 Long ABS-MBS USGA US N 2 2053-03-20 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFA27 4557618.26000000 PA USD 3954271.05000000 0.026121844004 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390FTW9 12751.21000000 PA USD 12655.67000000 0.000083603130 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WUHY2 112001.14000000 PA USD 108420.54000000 0.000716224152 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L1UL7 3125332.17000000 PA USD 2589030.64000000 0.017103090214 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JBVE3 2342125.65000000 PA USD 1920141.78000000 0.012684422339 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BK9 6296000.00000000 PA USD 5905068.64000000 0.039008778077 Long DBT CORP US N 2 2028-03-15 Fixed 4.20000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBX6 36490000.00000000 PA USD 33020330.11000000 0.218131711558 Long DBT CORP US N 2 2029-11-21 Fixed 3.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31398WQK3 392749.69000000 PA USD 389413.40000000 0.002572457972 Long ABS-MBS USGSE US N 2 2030-02-15 Fixed 5.00000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 913017CY3 3300000.00000000 PA USD 3180553.66000000 0.021010680730 Long DBT CORP US N 2 2028-11-16 Fixed 4.12500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABYM8 5553959.75000000 PA USD 5018948.36000000 0.033155083318 Long ABS-MBS USGA US N 2 2052-06-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8CP0 5754556.24000000 PA USD 4934241.49000000 0.032595511246 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H6H81 586815.49000000 PA USD 529640.18000000 0.003498793579 Long ABS-MBS USGSE US N 2 2049-09-25 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AUP44 9884127.88000000 PA USD 8404205.29000000 0.055518030198 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFTF8 15783365.52000000 PA USD 13503754.15000000 0.089205558981 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N 3M COMPANY LUZQVYP4VS22CLWDAR65 88579YBJ9 16538000.00000000 PA USD 14215082.77000000 0.093904583153 Long DBT CORP US N 2 2029-08-26 Fixed 2.37500000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBC6 8997000.00000000 PA USD 8807991.29000000 0.058185433309 Long DBT CORP US N 2 2026-02-14 Fixed 4.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFBF7 3546982.12000000 PA USD 3170118.21000000 0.020941744334 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179V7F1 585904.81000000 PA USD 529084.24000000 0.003495121049 Long ABS-MBS USGA US N 2 2051-02-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WGBJ2 967285.88000000 PA USD 900198.05000000 0.005946692256 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 3.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWZ3 31995000.00000000 PA USD 30239493.86000000 0.199761556906 Long DBT CORP US N 2 2029-05-01 Fixed 4.22300000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810SP4 63855000.00000000 PA USD 37141909.52000000 0.245358791603 Long DBT UST US N 2 2050-08-15 Fixed 1.37500000 N N N N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081EY5 6200000.00000000 PA USD 5147576.66000000 0.034004799572 Long DBT CORP US N 2 2030-05-28 Fixed 1.70000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280AW9 997000.00000000 PA USD 964115.24000000 0.006368928073 Long DBT CORP GB N 2 2026-03-08 Fixed 4.30000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375UY79 426651.27000000 PA USD 13917.79000000 0.000091940672 Long ABS-MBS USGA US N 2 2067-11-20 Variable 0.03510000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EER7 2931508.07000000 PA USD 2634211.73000000 0.017401555688 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 3.00000000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448EZ7 2410000.00000000 PA USD 2004679.40000000 0.013242876348 Long DBT CORP US N 2 2030-05-01 Fixed 1.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31415XJF9 2985.94000000 PA USD 3009.17000000 0.000019878523 Long ABS-MBS USGSE US N 2 2039-01-01 Fixed 5.00000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 913017DD8 5920000.00000000 PA USD 5802691.53000000 0.038332476715 Long DBT CORP US N 2 2025-08-16 Fixed 3.95000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967BL4 412000.00000000 PA USD 436186.59000000 0.002881440831 Long DBT CORP US N 2 2032-06-15 Fixed 6.62500000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HRX0 5143000.00000000 PA USD 4826123.62000000 0.031881286526 Long DBT CORP US N 2 2027-12-01 Fixed 3.62500000 N N N N N N PRKCM Trust N/A 69361JAA4 10666664.40000000 PA USD 8781825.33000000 0.058012581444 Long ABS-MBS CORP US N 2 2056-11-25 Variable 2.07100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 312934M58 3789.33000000 PA USD 3823.28000000 0.000025256519 Long ABS-MBS USGSE US N 2 2039-07-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KMY82 22286782.96000000 PA USD 18949772.03000000 0.125181855928 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138X8RD5 189552.93000000 PA USD 185005.74000000 0.001222144617 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.50000000 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89115A2E1 5100000.00000000 PA USD 4843445.27000000 0.031995713036 Long DBT CORP CA N 2 2032-06-08 Fixed 4.45600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388CJC5 51807.36000000 PA USD 51863.79000000 0.000342611271 Long ABS-MBS USGSE US N 2 2031-08-01 Fixed 7.00000000 N N N N N N SALESFORCE INC RCGZFPDMRW58VJ54VR07 79466LAF1 9212000.00000000 PA USD 8890081.22000000 0.058727717922 Long DBT CORP US N 2 2028-04-11 Fixed 3.70000000 N N N N N N Dividend Solar Loans LLC N/A 255388AA8 6001726.92000000 PA USD 5219203.76000000 0.034477966917 Long ABS-O CORP US N 2 2039-08-22 Fixed 3.67000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BZ8 4510000.00000000 PA USD 3794820.53000000 0.025068516714 Long DBT CORP US N 2 2031-05-12 Fixed 2.10000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYJ7 5000000.00000000 PA USD 4007020.85000000 0.026470308241 Long DBT CORP US N 2 2032-07-21 Fixed 2.38300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AS33 308397.30000000 PA USD 287091.01000000 0.001896518089 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.50000000 N N N N N N COMMONBOND STUDENT LOAN TRUST N/A 20268BAA8 5150780.93000000 PA USD 4552279.76000000 0.030072278872 Long ABS-O CORP US N 2 2051-10-25 Fixed 1.69000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WQB7 24045872.19000000 PA USD 21578048.90000000 0.142544206038 Long ABS-MBS USGA US N 2 2051-10-20 Fixed 3.00000000 N N N N N N BERKSHIRE HATHAWAY FIN 549300RLHFT5RU20WM87 084664CR0 7344000.00000000 PA USD 6699430.41000000 0.044256317757 Long DBT CORP US N 2 2049-01-15 Fixed 4.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413AGT4 5758.72000000 PA USD 5761.60000000 0.000038061026 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31409ERA1 4408.59000000 PA USD 4454.64000000 0.000029427272 Long ABS-MBS USGSE US N 2 2036-05-01 Fixed 6.00000000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAM1 3669000.00000000 PA USD 3449067.30000000 0.022784477045 Long DBT CORP US N 2 2026-12-01 Fixed 3.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225B2V9 26844.07000000 PA USD 28063.21000000 0.000185385064 Long ABS-MBS USGA US N 2 2033-12-15 Fixed 6.00000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDS7 6340000.00000000 PA USD 4254283.98000000 0.028103724066 Long DBT CORP US N 2 2051-11-01 Fixed 2.88700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BBMQ2 7881437.94000000 PA USD 1247526.80000000 0.008241139782 Long ABS-MBS USGSE US N 2 2050-08-25 Fixed 2.50000000 N N N N N N BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 06417XAG6 4470000.00000000 PA USD 3856056.45000000 0.025473040108 Long DBT CORP CA N 2 2037-05-04 Fixed 4.58800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQAQ9 3586119.09000000 PA USD 3492560.40000000 0.023071791688 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 4.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -370.00000000 NC USD -17343.76000000 -0.00011457256 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 115.50000000 USD 2023-07-21 XXXX 141000.54000000 N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBC6 21170000.00000000 PA USD 18784940.17000000 0.124092979602 Long DBT CORP US N 2 2032-03-15 Fixed 4.27900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ARAC9 2192269.65000000 PA USD 1802472.29000000 0.011907099788 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DSU7 865078.18000000 PA USD 790162.44000000 0.005219798980 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 3.00000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAX3 9740000.00000000 PA USD 7972975.04000000 0.052669330860 Long DBT CORP IE N 2 2032-01-30 Fixed 3.30000000 N N N N N N Credit Suisse Mortgage Trust N/A 126416AA4 32928972.74000000 PA USD 28013816.45000000 0.185058771646 Long ABS-MBS CORP US N 2 2066-11-25 Variable 2.26500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -247.00000000 NC USD -204546.88000000 -0.00135123303 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 112.50000000 USD 2023-07-21 XXXX -58317.94000000 N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96949LAE5 2260000.00000000 PA USD 1959580.78000000 0.012944955669 Long DBT CORP US N 2 2048-03-01 Fixed 4.85000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FZD1 35494.21000000 PA USD 37165.64000000 0.000245515554 Long ABS-MBS USGA US N 2 2041-11-20 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X82N6 33713.44000000 PA USD 31135.05000000 0.000205677584 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617MKP78 2617810.24000000 PA USD 2222650.24000000 0.014682787828 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJKX0 1045871.66000000 PA USD 890264.77000000 0.005881073186 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9NR0 6203444.24000000 PA USD 6085548.77000000 0.040201026596 Long ABS-MBS USGSE US N 2 2048-08-01 Fixed 4.50000000 N N N N N N BECTON DICKINSON & CO ICE2EP6D98PQUILVRZ91 075887BV0 2910000.00000000 PA USD 2847518.49000000 0.018810656339 Long DBT CORP US N 2 2024-06-06 Fixed 3.36300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31376Z2J1 818.73000000 PA USD 816.17000000 0.000005391604 Long ABS-MBS USGSE US N 2 2027-06-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418BKY1 2360839.85000000 PA USD 2235516.13000000 0.014767779668 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 3.50000000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAJ0 980000.00000000 PA USD 838616.33000000 0.005539884513 Long DBT CORP US N 2 2046-02-15 Fixed 5.05000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WELC4 6101.45000000 PA USD 5986.17000000 0.000039544532 Long ABS-MBS USGSE US N 2 2046-06-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297QET2 117670.21000000 PA USD 117376.97000000 0.000775390169 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138ERTC4 3499965.05000000 PA USD 3270165.81000000 0.021602656994 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M8W67 87072.40000000 PA USD 91164.87000000 0.000602233504 Long ABS-MBS USGSE US N 2 2039-09-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WXVV6 101359.72000000 PA USD 97085.14000000 0.000641342702 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.00000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96949LAC9 6730000.00000000 PA USD 6059811.32000000 0.040031005460 Long DBT CORP US N 2 2045-09-15 Fixed 5.10000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31414KEZ9 5611.57000000 PA USD 5553.54000000 0.000036686586 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 7.00000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABL8 5020000.00000000 PA USD 3673099.11000000 0.024264427185 Long DBT CORP US N 2 2041-02-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LJFV3 100000.00000000 PA USD 101594.30000000 0.000671130133 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 4.72000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202EPY9 2828.24000000 PA USD 2961.39000000 0.000019562889 Long ABS-MBS USGA US N 2 2037-10-20 Fixed 6.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -1.00000000 NC USD -171.88000000 -0.00000113543 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 114.00000000 USD 2023-07-21 XXXX 13.90000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VSG6 150933.13000000 PA USD 130831.89000000 0.000864273131 Long ABS-MBS USGA US N 2 2050-08-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36213FEA7 11250.09000000 PA USD 11511.89000000 0.000076047339 Long ABS-MBS USGA US N 2 2032-10-15 Fixed 6.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810RE0 56890000.00000000 PA USD 53332152.88000000 0.352311250373 Long DBT UST US N 2 2044-02-15 Fixed 3.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DV74 1176359.79000000 PA USD 968415.59000000 0.006397336109 Long ABS-MBS USGSE US N 2 2051-01-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128CURE8 9186.14000000 PA USD 9110.17000000 0.000060181620 Long ABS-MBS USGSE US N 2 2029-08-01 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378KYP8 3097821.01000000 PA USD 2783680.58000000 0.018388944245 Long ABS-MBS USGA US N 2 2047-11-16 Variable 2.84136000 N N N N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAR0 6100000.00000000 PA USD 5228030.38000000 0.034536275411 Long DBT CORP US N 2 2031-03-24 Fixed 3.12500000 N N N N N N PIONEER NATURAL RESOURCE FY8JBF7CCL2VE4F1B628 723787AR8 16630000.00000000 PA USD 13618050.23000000 0.089960596846 Long DBT CORP US N 2 2031-01-15 Fixed 2.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MST70 181719.16000000 PA USD 174954.69000000 0.001155747560 Long ABS-MBS USGSE US N 2 2052-06-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36213UH29 4179.82000000 PA USD 4265.65000000 0.000028178807 Long ABS-MBS USGA US N 2 2031-06-15 Fixed 6.50000000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 191216CW8 4010000.00000000 PA USD 3023985.99000000 0.019976397496 Long DBT CORP US N 2 2040-06-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -135.00000000 NC USD -37968.75000000 -0.00025082088 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 130.00000000 USD 2023-07-21 XXXX -4264.80000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31405AX57 73016.46000000 PA USD 73710.25000000 0.000486928596 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A5LM6 586421.14000000 PA USD 61608.58000000 0.000406985180 Long ABS-MBS USGSE US N 2 2042-04-25 Floating 1.34957000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31378QZ61 1412.13000000 PA USD 1407.61000000 0.000009298646 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 7.50000000 N N N N N N SMB Private Education Loan Tru N/A 83208AAF0 17189000.00000000 PA USD 14959774.06000000 0.098824000528 Long ABS-O CORP US N 2 2053-01-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132J4H93 1993.74000000 PA USD 1975.61000000 0.000013050844 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 5.00000000 N N N N N N PERUSAHAAN LISTRIK NEGAR 254900OYVDRYS9J51J61 71568PAF6 15426000.00000000 PA USD 14929205.52000000 0.098622065298 Long DBT CORP ID N 2 2048-05-21 Fixed 6.15000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200KM38 28333.90000000 PA USD 28908.76000000 0.000190970752 Long ABS-MBS USGA US N 2 2033-02-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200DKJ1 8791.85000000 PA USD 8894.28000000 0.000058755454 Long ABS-MBS USGA US N 2 2032-12-15 Fixed 6.00000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCS8 6395000.00000000 PA USD 6235468.35000000 0.041191392666 Long DBT CORP US N 2 2025-10-15 Fixed 3.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A35F4 15994.02000000 PA USD 16166.76000000 0.000106797328 Long ABS-MBS USGSE US N 2 2039-06-25 Fixed 6.50000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGQ7 4469000.00000000 PA USD 3938663.64000000 0.026018741732 Long DBT CORP US N 2 2045-11-17 Fixed 4.90000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31387EGZ4 4406.57000000 PA USD 4360.79000000 0.000028807300 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 7.00000000 N N N N N N Ocean Trails CLO 254900TWRKR5CRS1OX19 67515JAA3 6500000.00000000 PA USD 6502260.46000000 0.042953816585 Long ABS-CBDO CORP JE N 2 2035-01-20 Floating 6.77970000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CV5 11790000.00000000 PA USD 11769559.44000000 0.077749499668 Long DBT CORP US N 2 2040-05-01 Fixed 5.70500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380R4L1 16006379.14000000 PA USD 959587.23000000 0.006339016120 Long ABS-MBS USGA US N 2 2063-05-16 Variable 0.82586000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636ABA8 9745000.00000000 PA USD 9096595.77000000 0.060091949355 Long DBT CORP DK N 2 2025-09-10 Fixed 0.97600000 N N N N N N SMB Private Education Loan Tru N/A 78449YAA8 844326.91000000 PA USD 744494.46000000 0.004918117119 Long ABS-O CORP US N 2 2051-07-17 Fixed 1.31000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967HA2 564000.00000000 PA USD 608272.07000000 0.004018234441 Long DBT CORP US N 2 2043-09-13 Fixed 6.67500000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BW9 2710000.00000000 PA USD 1819182.35000000 0.012017486146 Long DBT CORP US N 2 2051-08-12 Fixed 3.05000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31413EXX8 1433.25000000 PA USD 1471.19000000 0.000009718654 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XHD61 3298907.57000000 PA USD 2817686.98000000 0.018613589916 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.50000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AS9 10440000.00000000 PA USD 9611149.40000000 0.063491081454 Long DBT CORP US N 2 2040-06-01 Fixed 4.35000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 31359MGK3 18010000.00000000 PA USD 20908707.88000000 0.138122551202 Long DBT USGSE US N 2 2030-11-15 Fixed 6.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MB7B2 241919.52000000 PA USD 215718.10000000 0.001425029919 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XHZ2 7893430.32000000 PA USD 7771110.72000000 0.051335818764 Long ABS-MBS USGA US N 2 2052-10-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKR69 3312392.67000000 PA USD 3117825.97000000 0.020596302729 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 4.00000000 N N N N N N Grippen Park CLO LTD 549300P7KR0IARP7PG22 39862EAA2 5999383.07000000 PA USD 5972525.91000000 0.039454399599 Long ABS-CBDO CORP KY N 2 2030-01-20 Floating 6.51043000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FRUV1 27054202.83000000 PA USD 1907175.21000000 0.012598765409 Long ABS-MBS USGSE US N 2 2030-01-25 Variable 1.47678000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QFA25 6269719.26000000 PA USD 5169744.48000000 0.034151239796 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31374F2P3 143.44000000 PA USD 143.95000000 0.000000950931 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 7.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXE9 9269000.00000000 PA USD 9134962.29000000 0.060345397901 Long DBT CORP US N 2 2024-02-20 Fixed 3.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KLH47 7477453.16000000 PA USD 6409388.86000000 0.042340308452 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31397KL90 480525.54000000 PA USD 36205.63000000 0.000239173745 Long ABS-MBS USGSE US N 2 2037-09-15 Floating 0.83671000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CAH7 18198327.07000000 PA USD 16855562.05000000 0.111347542165 Long ABS-MBS USGSE US N 2 2036-08-01 Fixed 3.00000000 N N N N N N Golub Capital Partners CLO Ltd N/A 38176VAG4 1250000.00000000 PA USD 1213985.76000000 0.008019568270 Long ABS-CBDO CORP KY N 2 2032-05-05 Floating 8.57629000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31335BCW4 10941657.84000000 PA USD 9862167.12000000 0.065149300034 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.00000000 N N N N N N KKR Financial CLO Ltd 5493004Y6G18HN4CQ515 48254HAA2 3080000.00000000 PA USD 3050774.43000000 0.020153361452 Long ABS-CBDO CORP KY N 2 2032-01-15 Floating 6.58029000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FBQ3 257000.00000000 PA USD 194372.87000000 0.001284023711 Long DBT CORP US N 2 2036-11-15 Fixed 3.18700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AHWX0 9430.59000000 PA USD 9496.39000000 0.000062732982 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XK6S4 2128125.87000000 PA USD 2089743.76000000 0.013804809993 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201FSZ1 606.13000000 PA USD 613.19000000 0.000004050722 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 6.00000000 N N N N N N AREIT CRE Trust N/A 00217VAA8 8625000.00000000 PA USD 8613546.00000000 0.056900931193 Long ABS-CBDO CORP US N 2 2039-06-17 Floating 7.33259000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TJ22 1911040.24000000 PA USD 1916876.02000000 0.012662848787 Long ABS-MBS USGA US N 2 2047-10-20 Fixed 5.00000000 N N N N N N HalseyPoint CLO I, Ltd. 549300POBLM5RW6LD816 406375AA3 1420000.00000000 PA USD 1399087.82000000 0.009242349176 Long ABS-CBDO CORP KY N 2 2033-01-20 Floating 6.60043000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DL6 2570000.00000000 PA USD 2649670.00000000 0.017503672744 Long DBT CORP US N 2 2046-03-15 Fixed 6.60000000 N N N N N N JP Morgan Mortgage Trust N/A 46649TAA4 4803826.30000000 PA USD 4233315.24000000 0.027965204944 Long ABS-MBS CORP US N 2 2048-09-25 Variable 3.50000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFU8 1093000.00000000 PA USD 1062900.97000000 0.007021504843 Long DBT CORP US N 2 2026-03-03 Fixed 4.45000000 N N N N N N JP Morgan Chase Commercial Mor N/A 466317AA2 7465250.96000000 PA USD 7117196.32000000 0.047016071904 Long ABS-MBS CORP US N 2 2037-04-15 Floating 5.74349000 N N N N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAG8 5950000.00000000 PA USD 5570820.42000000 0.036800740300 Long DBT CORP US N 2 2025-06-01 Fixed 1.65000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31283HRA5 71745.40000000 PA USD 74149.23000000 0.000489828490 Long ABS-MBS USGSE US N 2 2032-04-01 Fixed 7.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GGM0 5481000.00000000 PA USD 5896185.53000000 0.038950096411 Long DBT CORP US N 2 2041-02-01 Fixed 6.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VBK5 3718485.33000000 PA USD 3711906.99000000 0.024520791348 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371FLW0 488.83000000 PA USD 490.34000000 0.000003239177 Long ABS-MBS USGSE US N 2 2026-08-01 Fixed 7.50000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F032674 95700000.00000000 PA USD 87217840.08000000 0.576159495428 Long ABS-MBS USGSE US N 2 2053-07-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QMK52 2445953.13000000 PA USD 2143857.98000000 0.014162287565 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179W2W7 43517605.02000000 PA USD 40187614.82000000 0.265478666473 Long ABS-MBS USGA US N 2 2052-04-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36211EPU6 34459.92000000 PA USD 35186.05000000 0.000232438418 Long ABS-MBS USGA US N 2 2035-02-15 Fixed 5.50000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAG8 6358000.00000000 PA USD 6211169.81000000 0.041030876945 Long DBT CORP US N 2 2029-04-15 Fixed 5.25000000 N N N N N N Freddie Mac - STACR 5493000ISBDRXIMCHZ70 35564KPU7 28564091.72000000 PA USD 28080815.85000000 0.185501368487 Long ABS-MBS CORP US N 2 2042-01-25 Floating 6.06655000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J8D67 58853.85000000 PA USD 54593.08000000 0.000360640912 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31378DVC1 111.43000000 PA USD 110.40000000 0.000000729300 Long ABS-MBS USGSE US N 2 2027-11-01 Fixed 7.00000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABN4 2300000.00000000 PA USD 1615480.37000000 0.010671834500 Long DBT CORP US N 2 2051-02-15 Fixed 3.30000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -1862.00000000 NC USD -58187.50000000 -0.00038438558 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 109.50000000 USD 2023-07-21 XXXX 814302.76000000 N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582CD2 8650000.00000000 PA USD 7564110.57000000 0.049968379466 Long DBT CORP NL N 2 2029-11-07 Fixed 2.37500000 N N N N N N Credit Suisse Mortgage Trust N/A 126405AA7 19481409.16000000 PA USD 16833946.05000000 0.111204747255 Long ABS-MBS CORP US N 2 2060-01-25 Variable 2.00000000 N N N N N N Citigroup Commercial Mortgage N/A 17328CAD4 17000000.00000000 PA USD 14787035.20000000 0.097682890701 Long ABS-MBS CORP US N 2 2072-12-15 Fixed 3.10200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LUFQ9 5360049.15000000 PA USD 4562674.84000000 0.030140948585 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 75513EBX8 2960000.00000000 PA USD 2854855.12000000 0.018859121986 Long DBT CORP US N 2 2024-12-15 Fixed 3.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DSJ2 2880416.76000000 PA USD 2467046.19000000 0.016297263114 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.50000000 N N N N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAC1 6797000.00000000 PA USD 6783471.39000000 0.044811490971 Long DBT CORP GB N 2 2024-08-01 Fixed 4.36300000 N N N N N N Natixis Commercial Mortgage Se N/A 63873VAA1 15583000.00000000 PA USD 13774818.80000000 0.090996207222 Long ABS-MBS CORP US N 2 2036-08-15 Fixed 3.04690000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382Q2F6 3646517.14000000 PA USD 2884308.27000000 0.019053688969 Long ABS-MBS USGA US N 2 2050-07-20 Fixed 1.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABUU4 8575199.01000000 PA USD 7497860.57000000 0.049530733148 Long ABS-MBS USGA US N 2 2052-04-20 Fixed 3.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HNJ5 9717000.00000000 PA USD 9423098.65000000 0.062248821555 Long DBT CORP US N 2 2027-10-01 Fixed 4.25000000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HAT4 10460000.00000000 PA USD 10135657.58000000 0.066955973133 Long DBT CORP IT N 2 2024-06-26 Fixed 5.01700000 N N N N N N CME GROUP INC LCZ7XYGSLJUHFXXNXD88 12572QAF2 1070000.00000000 PA USD 1113018.41000000 0.007352579757 Long DBT CORP US N 2 2043-09-15 Fixed 5.30000000 N N N N N N BRAVO Residential Funding Trus N/A 10569JAA8 20740734.34000000 PA USD 20040245.07000000 0.132385501374 Long ABS-MBS CORP US N 2 2062-07-25 Variable 5.10800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297QC49 87088.01000000 PA USD 86835.31000000 0.000573632508 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36290RYB3 477.28000000 PA USD 482.84000000 0.000003189632 Long ABS-MBS USGA US N 2 2034-07-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNW73 5219714.99000000 PA USD 4764819.07000000 0.031476309762 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABLA8 7725767.22000000 PA USD 6624083.63000000 0.043758578272 Long ABS-MBS USGA US N 2 2051-12-20 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SEH6 2977961.48000000 PA USD 2794933.94000000 0.018463283740 Long ABS-MBS USGA US N 2 2046-06-20 Fixed 3.50000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PCR5 19530000.00000000 PA USD 16009496.81000000 0.105758450285 Long DBT CORP US N 2 2032-11-08 Fixed 2.54500000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BR6 8090000.00000000 PA USD 7103465.44000000 0.046925365956 Long DBT CORP US N 2 2027-06-03 Fixed 1.20000000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CL7 3349000.00000000 PA USD 2373754.46000000 0.015680979610 Long DBT CORP US N 2 2047-02-15 Fixed 4.10000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAB6 3860000.00000000 PA USD 3093670.76000000 0.020436733843 Long DBT NUSS MX N 2 2047-01-15 Fixed 4.35000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FEXM7 2103631.49000000 PA USD 1882373.21000000 0.012434923839 Long ABS-MBS USGSE US N 2 2048-06-15 Fixed 3.00000000 N N N N N N Fannie Mae or Freddie Mac B1V7KEBTPIMZEU4LTD58 01F042673 6600000.00000000 PA USD 6345796.91000000 0.041920221165 Long ABS-MBS USGSE US N 2 2053-07-15 Fixed 4.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CHC8 65710000.00000000 PA USD 63379348.44000000 0.418682844981 Long DBT UST US N 2 2033-05-15 Fixed 3.37500000 N N N N N N WALT DISNEY COMPANY/THE 549300GZKULIZ0WOW665 254687DZ6 36000.00000000 PA USD 39604.10000000 0.000261623977 Long DBT CORP US N 2 2034-12-15 Fixed 6.20000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818ES3 2257000.00000000 PA USD 2191988.81000000 0.014480238969 Long DBT CORP US N 2 2025-07-15 Fixed 3.75000000 N N N N N N METLIFE INC C4BXATY60WC6XEOZDX54 59156RAP3 6365000.00000000 PA USD 6360617.57000000 0.042018126181 Long DBT CORP US N 2 2036-12-15 Fixed 6.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WGHT4 996500.29000000 PA USD 927380.43000000 0.006126258574 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BGVA6 31456732.70000000 PA USD 4310044.23000000 0.028472075283 Long ABS-MBS USGSE US N 2 2049-04-25 Fixed 2.50000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GYK4 2570000.00000000 PA USD 1817407.39000000 0.012005760792 Long DBT CORP US N 2 2042-07-21 Fixed 2.90800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140J9NP2 5529246.50000000 PA USD 5180209.00000000 0.034220368228 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L4CZ0 1982387.45000000 PA USD 1634537.37000000 0.010797724702 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Golub Capital Partners CLO, LT 2549005QZPXI5WPU4V74 38178AAA1 6170000.00000000 PA USD 6105441.92000000 0.040332440390 Long ABS-CBDO CORP KY N 2 2034-01-20 Floating 6.57043000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VKP4 9151647.10000000 PA USD 8940397.34000000 0.059060105313 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 4.50000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AL4 1270000.00000000 PA USD 1229243.35000000 0.008120359637 Long DBT CORP US N 2 2028-04-13 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFPJ4 14699677.91000000 PA USD 12621833.46000000 0.083379606638 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200XH69 14662.74000000 PA USD 14960.23000000 0.000098827012 Long ABS-MBS USGA US N 2 2031-12-15 Fixed 6.50000000 N N N N N N Legacy Mortgage Asset Trust N/A 52476DAA5 7407416.79000000 PA USD 6885692.43000000 0.045486761338 Long ABS-MBS CORP US N 2 2061-04-25 Variable 1.75000000 N N N N N N Worldwide Plaza Trust N/A 98162JAA4 5725000.00000000 PA USD 4832287.58000000 0.031922005535 Long ABS-MBS CORP US N 2 2036-11-10 Fixed 3.52630000 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JAY4 5058000.00000000 PA USD 4466033.48000000 0.029502537485 Long DBT CORP US N 2 2040-11-15 Fixed 5.87500000 N N N N N N KENVUE INC 5493008HSF8L4M2LIJ82 49177JAJ1 11140000.00000000 PA USD 11278572.35000000 0.074506047711 Long DBT CORP US N 2 2033-03-22 Fixed 4.90000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202EPZ6 273431.12000000 PA USD 288236.67000000 0.001904086299 Long ABS-MBS USGA US N 2 2037-10-20 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140MQAA7 1006783.79000000 PA USD 951874.53000000 0.006288066161 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 4.00000000 N N N N N N COCA-COLA CO/THE UWJKFUJFZ02DKWI3RY53 191216CR9 3540000.00000000 PA USD 3415039.24000000 0.022559688288 Long DBT CORP US N 2 2027-03-25 Fixed 3.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132JASV8 46520.72000000 PA USD 45127.52000000 0.000298111591 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBV4 4660000.00000000 PA USD 4179843.71000000 0.027611972971 Long DBT CORP US N 2 2029-07-31 Fixed 3.12500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BLE0 587515.68000000 PA USD 584611.59000000 0.003861933732 Long ABS-MBS USGA US N 2 2061-03-20 Floating 5.59386000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411X6E0 1603.14000000 PA USD 1603.37000000 0.000010591833 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 5.50000000 N N N N N N BENCHMARK Mortgage Trust N/A 08163DAG2 21974781.66000000 PA USD 1263596.09000000 0.008347293225 Long ABS-MBS CORP US N 2 2054-04-15 Variable 1.21590100 N N N N N N US BANCORP N1GZ7BBF3NP8GI976H15 91159HHZ6 14850000.00000000 PA USD 13855856.50000000 0.091531540822 Long DBT CORP US N 2 2025-05-12 Fixed 1.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JA4J4 3363018.41000000 PA USD 2877818.22000000 0.019010815815 Long ABS-MBS USGSE US N 2 2035-01-01 Variable 2.78900000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380PWC4 14366193.44000000 PA USD 806327.03000000 0.005326581973 Long ABS-MBS USGA US N 2 2060-05-16 Variable 0.84009000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXDK5 29854187.19000000 PA USD 28111037.32000000 0.185701010979 Long ABS-MBS USGSE US N 2 2056-06-01 Fixed 4.00000000 N N N N N N CAMERON LNG LLC 549300C39FLHGVD73K22 133434AB6 15650000.00000000 PA USD 13062821.35000000 0.086292764771 Long DBT CORP US N 2 2035-01-15 Fixed 3.30200000 N N N N N N MARS INC 54930073HKEO6GZBSS03 571676AN5 3260000.00000000 PA USD 2241889.97000000 0.014809885142 Long DBT CORP US N 2 2040-07-16 Fixed 2.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DWDT7 14723223.40000000 PA USD 13428715.93000000 0.088709857838 Long ABS-MBS USGSE US N 2 2052-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M4UV8 9844845.47000000 PA USD 8383390.27000000 0.055380526547 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TV69 1599216.76000000 PA USD 1533591.60000000 0.010130878747 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 4.00000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBB0 17750000.00000000 PA USD 16332992.47000000 0.107895456843 Long DBT CORP US N 2 2027-08-15 Fixed 3.55700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412XYU2 3811.68000000 PA USD 3918.01000000 0.000025882304 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.50000000 N N N N N N PFIZER INC 765LHXWGK1KXCLTFYQ30 717081EZ2 5380000.00000000 PA USD 3963863.17000000 0.026185209377 Long DBT CORP US N 2 2040-05-28 Fixed 2.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AHQK9 800926.54000000 PA USD 47452.33000000 0.000313469245 Long ABS-MBS USGSE US N 2 2041-09-25 Floating 0.99957000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KNVZ8 5413402.81000000 PA USD 4459123.02000000 0.029456887110 Long ABS-MBS USGSE US N 2 2050-08-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNS46 570959.61000000 PA USD 467987.00000000 0.003091513772 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140NBPD7 2401437.85000000 PA USD 2395036.39000000 0.015821567660 Long ABS-MBS USGSE US N 2 2053-02-01 Fixed 5.50000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2G7 18000000.00000000 PA USD 15561412.20000000 0.102798411346 Long DBT CORP US N 2 2030-10-30 Fixed 2.87900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B7RN1 730033.61000000 PA USD 59457.37000000 0.000392774325 Long ABS-MBS USGSE US N 2 2044-02-15 Floating 0.75671000 N N N N N N JOHNSON & JOHNSON 549300G0CFPGEF6X2043 478160CN2 4760000.00000000 PA USD 4351777.83000000 0.028747766700 Long DBT CORP US N 2 2025-09-01 Fixed 0.55000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 86765BAV1 7451000.00000000 PA USD 6577790.11000000 0.043452764105 Long DBT CORP US N 2 2047-10-01 Fixed 5.40000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H020675 9100000.00000000 PA USD 7650753.93000000 0.050540743956 Long ABS-MBS USGA US N 2 2053-07-15 Fixed 2.00000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90352JAC7 11773000.00000000 PA USD 10936621.12000000 0.072247123987 Long DBT CORP CH N 2 2028-03-23 Fixed 4.25300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XJQQ9 27532111.39000000 PA USD 23495185.55000000 0.155208776542 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQJE7 2390050.78000000 PA USD 2347396.31000000 0.015506858141 Long ABS-MBS USGSE US N 2 2052-11-01 Fixed 5.00000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABD6 1330000.00000000 PA USD 1259628.12000000 0.008321080886 Long DBT CORP US N 2 2027-04-15 Fixed 3.75000000 N N N N N N INTEL CORP KNX4USFCNGPY45LOCE31 458140BM1 6335000.00000000 PA USD 5732264.72000000 0.037867238465 Long DBT CORP US N 2 2050-03-25 Fixed 4.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A76M9 72803.47000000 PA USD 1796.64000000 0.000011868571 Long ABS-MBS USGSE US N 2 2027-09-25 Fixed 4.00000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FLEU6 355483.81000000 PA USD 11111.05000000 0.000073399398 Long ABS-MBS USGSE US N 2 2026-11-25 Fixed 3.00000000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833BZ2 9994000.00000000 PA USD 9360596.77000000 0.061835935250 Long DBT CORP US N 2 2026-08-04 Fixed 2.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FHES2 36475.94000000 PA USD 32619.86000000 0.000215486213 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N Conseco Financial Corp N/A 393505ND0 56225.99000000 PA USD 20808.53000000 0.000137460777 Long ABS-O CORP US N 2 2026-07-15 Variable 8.10000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225BPP7 1827.36000000 PA USD 1849.13000000 0.000012215319 Long ABS-MBS USGA US N 2 2031-09-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31411YTT0 726.51000000 PA USD 746.78000000 0.000004933215 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5.50000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBZ1 26060000.00000000 PA USD 25016376.22000000 0.165257734967 Long DBT CORP US N 2 2024-11-21 Fixed 2.60000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGGV5 3300358.38000000 PA USD 2818913.42000000 0.018621691757 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175CE2 3280000.00000000 PA USD 2196805.94000000 0.014512060844 Long DBT CORP US N 2 2042-03-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178WDM8 1642289.45000000 PA USD 1496809.92000000 0.009887899625 Long ABS-MBS USGA US N 2 2042-10-15 Fixed 3.00000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DBF1 5017000.00000000 PA USD 3697167.27000000 0.024423421020 Long DBT CORP US N 2 2047-08-15 Fixed 4.54000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WJS8 4074294.36000000 PA USD 3659817.70000000 0.024176690427 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 3.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -619.00000000 NC USD -686703.13000000 -0.00453634862 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 108.00000000 USD 2023-07-21 XXXX -291227.12000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418BLU8 1468879.88000000 PA USD 1390907.89000000 0.009188312704 Long ABS-MBS USGSE US N 2 2035-01-01 Fixed 3.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FFWF2 165569.02000000 PA USD 35449.97000000 0.000234181869 Long ABS-MBS USGSE US N 2 2038-07-25 Fixed 6.00000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 04650NAB0 2210000.00000000 PA USD 2144292.77000000 0.014165159780 Long DBT CORP US N 2 2040-09-01 Fixed 5.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L5GZ3 1455647.06000000 PA USD 1211492.86000000 0.008003100217 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -38443.00000000 NC USD 65883659.99000000 0.435226282398 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 -4381711274.08000000 USD 65883659.99000000 N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BH1 2811000.00000000 PA USD 2727537.81000000 0.018018066108 Long DBT CORP US N 2 2026-01-15 Fixed 3.55000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AUE38 4696931.29000000 PA USD 4176811.95000000 0.027591945219 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LPCJ9 2478675.89000000 PA USD 2032146.49000000 0.013424323455 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N GMRF Mortgage Acquisition Co., N/A 36416UAJ4 665569.78000000 PA USD 593217.82000000 0.003918786334 Long ABS-MBS CORP US N 2 2056-07-25 Variable 3.00000000 N N N N N N RAYTHEON TECH CORP I07WOS4YJ0N7YRFE7309 75513EAD3 6940000.00000000 PA USD 5858445.83000000 0.038700788626 Long DBT CORP US N 2 2030-07-01 Fixed 2.25000000 N N N N N N Deutsche Bank Commercial Mortg N/A 23312LAU2 1320000.00000000 PA USD 1144429.84000000 0.007560083104 Long ABS-MBS CORP US N 2 2049-05-10 Variable 4.19500000 N N N N N N CIGNA GROUP/THE 549300VIWYMSIGT1U456 125523AK6 4290000.00000000 PA USD 3995367.22000000 0.026393324570 Long DBT CORP US N 2 2048-12-15 Fixed 4.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B5FE7 273638.21000000 PA USD 225545.93000000 0.001489952389 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAL9 15340000.00000000 PA USD 13670267.08000000 0.090305540425 Long DBT CORP KY N 2 2030-06-18 Variable 4.87500000 N N N N N N VISA INC 549300JZ4OKEHW3DPJ59 92826CAD4 6117000.00000000 PA USD 5865687.15000000 0.038748624657 Long DBT CORP US N 2 2025-12-14 Fixed 3.15000000 N N N N N N COMM Mortgage Trust N/A 12591UAG8 11572972.42000000 PA USD 28672.04000000 0.000189406984 Long ABS-MBS CORP US N 2 2047-03-10 Variable 1.21747400 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M5AJ4 1173763.14000000 PA USD 1038586.81000000 0.006860885936 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31403C5S6 4444.38000000 PA USD 4617.48000000 0.000030502990 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 6.00000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBG4 14510000.00000000 PA USD 10127265.96000000 0.066900538241 Long DBT CORP US N 2 2050-02-24 Fixed 3.00000000 N N N N N N CREDIT SUISSE NEW YORK 549300D0YARF5HYP1809 22550L2L4 18480000.00000000 PA USD 18864271.64000000 0.124617041877 Long DBT CORP CH N 2 2025-01-09 Fixed 7.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGGN3 3836699.94000000 PA USD 3299607.57000000 0.021797148735 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 2.50000000 N N N N N N NORTHROP GRUMMAN CORP RIMU48P07456QXSO0R61 666807BM3 11159000.00000000 PA USD 10729156.21000000 0.070876614493 Long DBT CORP US N 2 2025-01-15 Fixed 2.93000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L05E3 2133921.84000000 PA USD 1759485.88000000 0.011623132330 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36209AUH1 815.06000000 PA USD 831.60000000 0.000005493534 Long ABS-MBS USGA US N 2 2028-03-15 Fixed 6.50000000 N N N N N N TIME WARNER CABLE LLC 549300U5NFR7S6E3GM41 88732JAN8 403000.00000000 PA USD 411036.03000000 0.002715296680 Long DBT CORP US N 2 2038-07-01 Fixed 7.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AFWY2 10583.89000000 PA USD 10666.42000000 0.000070462180 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 5.00000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAQ2 2194000.00000000 PA USD 2121690.89000000 0.014015852164 Long DBT CORP US N 2 2025-05-14 Fixed 3.60000000 N N N N N N ROCHE HOLDINGS INC PVJRP0EQNV6OGDPZGY95 771196BY7 10640000.00000000 PA USD 7219534.83000000 0.047692118276 Long DBT CORP US N 2 2051-12-13 Fixed 2.60700000 N N N N N N JOHNSON & JOHNSON 549300G0CFPGEF6X2043 478160BV5 2946000.00000000 PA USD 2596958.42000000 0.017155460987 Long DBT CORP US N 2 2046-03-01 Fixed 3.70000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -1528.00000000 NC USD -95500.00000000 -0.00063087129 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 200000.00000000 102.50000000 USD 2023-07-21 XXXX 510669.82000000 N N N EXPORT-IMPORT BK INDIA 335800OFZ8YEIVN1QI11 30216JAA3 7299000.00000000 PA USD 6878577.60000000 0.045439760898 Long DBT NUSS IN N 2 2026-08-05 Fixed 3.37500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UPC0 2330664.91000000 PA USD 2319383.30000000 0.015321804697 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 5.00000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HJZ4 5791000.00000000 PA USD 5579009.79000000 0.036854839132 Long DBT CORP US N 2 2026-12-15 Fixed 4.12500000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H73R2 34183226.27000000 PA USD 753148.77000000 0.004975287336 Long ABS-MBS USGSE US N 2 2032-03-25 Variable 0.40304900 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390BKV9 549.95000000 PA USD 547.09000000 0.000003614066 Long ABS-MBS USGSE US N 2 2032-06-01 Fixed 7.00000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967HS3 1423000.00000000 PA USD 1317561.56000000 0.008703788157 Long DBT CORP US N 2 2044-05-06 Fixed 5.30000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNWJ8 14924435.73000000 PA USD 13623789.21000000 0.089998508445 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.50000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BFN5 134000.00000000 PA USD 133702.05000000 0.000883233356 Long DBT CORP US N 2 2023-08-15 Fixed 4.12500000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BJ4 28455000.00000000 PA USD 25563673.79000000 0.168873172949 Long DBT CORP US N 2 2047-08-22 Fixed 4.05000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AFRX1 2897306.07000000 PA USD 2411356.37000000 0.015929377156 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WJQ2 11866629.35000000 PA USD 10017052.47000000 0.066172469892 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H022671 -2800000.00000000 PA USD -2425062.53000000 -0.01601991980 Short ABS-MBS USGA US N 2 2053-07-15 Fixed 2.50000000 N N N N N N PERUSAHAAN LISTRIK NEGAR 254900OYVDRYS9J51J61 71568PAE9 6672000.00000000 PA USD 6696019.20000000 0.044233783364 Long DBT CORP ID N 2 2028-05-21 Fixed 5.45000000 N N N N N N VISA INC 549300JZ4OKEHW3DPJ59 92826CAF9 6643000.00000000 PA USD 6168975.58000000 0.040752142614 Long DBT CORP US N 2 2045-12-14 Fixed 4.30000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPLT3 2058434.53000000 PA USD 2058305.88000000 0.013597131919 Long ABS-MBS USGSE US N 2 2053-01-01 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381HB67 9200000.00000000 PA USD 6846090.76000000 0.045225153412 Long ABS-MBS USGA US N 2 2064-10-16 Variable 3.00000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TM0 164010000.00000000 PA USD 163036190.63000000 1.077014166412 Long DBT UST US N 2 2042-11-15 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179RXC8 627516.84000000 PA USD 572572.29000000 0.003782402331 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9K86 2469412.27000000 PA USD 2103543.14000000 0.013895968451 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 2.00000000 N N N N N N ALPHABET INC 5493006MHB84DD0ZWV18 02079KAE7 3820000.00000000 PA USD 2633203.74000000 0.017394896924 Long DBT CORP US N 2 2040-08-15 Fixed 1.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNK77 70108758.40000000 PA USD 66888840.50000000 0.441866486913 Long ABS-MBS USGSE US N 2 2049-07-01 Fixed 4.00000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FG4D6 61111.14000000 PA USD 11990.80000000 0.000079211010 Long ABS-MBS USGSE US N 2 2039-01-25 Fixed 5.00000000 N N N N N N STATE OF ISRAEL 213800T8ZHTFZIBYPE21 000000000 3000000.00000000 PA USD 2285496.00000000 0.015097945798 Long DBT NUSS IL N 2 2060-05-13 Fixed 3.80000000 N N N N N N Palmer Square CLO Ltd 549300Y43K78UTRMTN21 69700GAJ1 17730000.00000000 PA USD 17466876.33000000 0.115385873392 Long ABS-CBDO CORP KY N 2 2034-11-14 Floating 6.47071000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380RRS1 7571019.16000000 PA USD 5796484.32000000 0.038291471997 Long ABS-MBS USGA US N 2 2063-06-16 Fixed 1.34000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KNJF1 7673323.42000000 PA USD 6616991.62000000 0.043711728581 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36290SNK3 1733.90000000 PA USD 1769.66000000 0.000011690342 Long ABS-MBS USGA US N 2 2033-11-15 Fixed 6.00000000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816CW7 10580000.00000000 PA USD 10083879.04000000 0.066613925021 Long DBT CORP US N 2 2029-05-03 Fixed 4.05000000 N N N N N N ALPHABET INC 5493006MHB84DD0ZWV18 02079KAD9 3810000.00000000 PA USD 3084573.79000000 0.020376639421 Long DBT CORP US N 2 2030-08-15 Fixed 1.10000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36213FEE9 6211.57000000 PA USD 6285.97000000 0.000041525005 Long ABS-MBS USGA US N 2 2032-10-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDMP8 3659129.33000000 PA USD 3266332.30000000 0.021577332895 Long ABS-MBS USGSE US N 2 2051-11-01 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132J4NY1 36971.98000000 PA USD 36618.87000000 0.000241903601 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388UEA4 2276.32000000 PA USD 2274.03000000 0.000015022201 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412XC44 4236.26000000 PA USD 4353.59000000 0.000028759737 Long ABS-MBS USGSE US N 2 2037-06-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132H7C51 540936.88000000 PA USD 531906.21000000 0.003513762932 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407KVD8 2979.21000000 PA USD 2967.45000000 0.000019602921 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H74C4 6993663.46000000 PA USD 179946.26000000 0.001188721782 Long ABS-MBS USGSE US N 2 2055-04-25 Variable 0.44999500 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FEBS8 61072699.16000000 PA USD 874139.65000000 0.005774550931 Long ABS-MBS USGSE US N 2 2027-12-25 Variable 0.49204800 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379RLZ4 4946145.98000000 PA USD 122313.24000000 0.000807999081 Long ABS-MBS USGA US N 2 2058-08-16 Variable 0.44883000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31347AX33 2529966.95000000 PA USD 2378336.34000000 0.015711247427 Long ABS-MBS USGSE US N 2 2047-03-01 Floating 2.10700000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617Y5UR8 3821374.84000000 PA USD 3628225.63000000 0.023967993777 Long ABS-MBS USGA US N 2 2052-06-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXFZ0 2374934.00000000 PA USD 2239214.29000000 0.014792209647 Long ABS-MBS USGSE US N 2 2057-01-01 Fixed 4.00000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABB0 6820000.00000000 PA USD 6560522.46000000 0.043338694317 Long DBT CORP US N 2 2025-04-15 Fixed 3.50000000 N N N N N N CREDIT SUISSE NEW YORK 549300D0YARF5HYP1809 22550L2M2 20890000.00000000 PA USD 22210923.58000000 0.146724964882 Long DBT CORP CH N 2 2028-02-15 Fixed 7.50000000 N N N N N N US BANCORP N1GZ7BBF3NP8GI976H15 91159HJC5 1240000.00000000 PA USD 1099945.91000000 0.007266223056 Long DBT CORP US N 2 2028-01-27 Fixed 2.21500000 N N N N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 06406RAN7 3860000.00000000 PA USD 3618563.83000000 0.023904168098 Long DBT CORP US N 2 2025-04-24 Fixed 1.60000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BM7 4760000.00000000 PA USD 4288627.81000000 0.028330598795 Long DBT CORP US N 2 2057-08-22 Fixed 4.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36216AJQ5 108.69000000 PA USD 108.65000000 0.000000717739 Long ABS-MBS USGA US N 2 2028-08-15 Fixed 7.00000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96950FAP9 6086000.00000000 PA USD 5318725.56000000 0.035135406152 Long DBT CORP US N 2 2045-01-15 Fixed 4.90000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ALHV3 1395048.95000000 PA USD 1210386.92000000 0.007995794397 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WHLP5 4437606.36000000 PA USD 3986893.15000000 0.026337345014 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3.00000000 N N N N N N ARES CLO Ltd N/A 039937AA5 10130000.00000000 PA USD 9964781.67000000 0.065827169920 Long ABS-CBDO CORP KY N 2 2035-04-20 Floating 6.42845000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133APF79 2889530.25000000 PA USD 2480523.60000000 0.016386294644 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DPR7 3969365.53000000 PA USD 3864983.96000000 0.025532015080 Long ABS-MBS USGSE US N 2 2050-05-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DNB36 1459790.62000000 PA USD 1342218.21000000 0.008866669547 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 3.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -7719.00000000 NC USD 22266914.55000000 0.147094840231 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 -1848582314.55000000 USD 22266914.55000000 N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYWY1 528287.71000000 PA USD 474712.77000000 0.003135944088 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 3.00000000 N N N N N N Bank N/A 06540KAJ8 7280000.00000000 PA USD 7560054.32000000 0.049941583951 Long ABS-MBS CORP US N 2 2055-11-15 Variable 5.93725000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -742.00000000 NC USD -46375.00000000 -0.00030635242 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 109.00000000 USD 2023-07-21 XXXX 250880.59000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ANE86 89624.80000000 PA USD 79027.58000000 0.000522054783 Long ABS-MBS USGSE US N 2 2045-06-25 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M8N26 92507.53000000 PA USD 96222.66000000 0.000635645175 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QEYV8 6231209.48000000 PA USD 5131036.73000000 0.033895537090 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.00000000 N N N N N N Nelnet Student Loan Trust N/A 64032EAD9 14305319.98000000 PA USD 13739849.28000000 0.090765199197 Long ABS-O CORP US N 2 2036-08-27 Floating 5.50586000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378BF61 4404103.71000000 PA USD 12997.39000000 0.000085860526 Long ABS-MBS USGA US N 2 2053-02-16 Variable 0.12950000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967JC6 1343000.00000000 PA USD 1286165.41000000 0.008496385750 Long DBT CORP US N 2 2026-11-20 Fixed 4.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138EMVC2 62104.31000000 PA USD 60983.04000000 0.000402852874 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 4.50000000 N N N N N N PETROLEOS DEL PERU SA 549300ZMGDLC9JT2OR80 716564AB5 7630000.00000000 PA USD 4928467.65000000 0.032557369362 Long DBT CORP PE N 2 2047-06-19 Fixed 5.62500000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B3YD6 3735000.00000000 PA USD 3461758.98000000 0.022868318057 Long ABS-MBS USGSE US N 2 2036-01-25 Fixed 3.70000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617K1Y72 769839.48000000 PA USD 740452.10000000 0.004891413361 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 4.00000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PEJ7 4810000.00000000 PA USD 4593894.93000000 0.030347187943 Long DBT CORP US N 2 2032-05-15 Fixed 4.20000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M9PU0 170340.03000000 PA USD 182043.20000000 0.001202574131 Long ABS-MBS USGSE US N 2 2039-03-01 Fixed 7.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178WGN3 5140.07000000 PA USD 4684.36000000 0.000030944798 Long ABS-MBS USGA US N 2 2042-11-15 Fixed 3.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AGRE1 1543228.90000000 PA USD 1284394.72000000 0.008484688604 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Balboa Bay Loan Funding Ltd 549300N3EVICXRV85R74 05766GAA5 10520000.00000000 PA USD 10281693.65000000 0.067920684806 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 6.42043000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WNF1 68355961.70000000 PA USD 61361358.63000000 0.405352040301 Long ABS-MBS USGA US N 2 2051-09-20 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WQMU3 1508082.96000000 PA USD 1413622.99000000 0.009338368250 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.50000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DK3 2200000.00000000 PA USD 1855804.92000000 0.012259414190 Long DBT CORP US N 2 2040-04-01 Fixed 4.12500000 N N N N N N BX Commercial Mortgage Trust 2 N/A 056054AA7 8725497.90000000 PA USD 8675285.28000000 0.057308779775 Long ABS-MBS CORP US N 2 2036-10-15 Floating 6.18147000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XJ4A2 57058.34000000 PA USD 56300.78000000 0.000371921948 Long ABS-MBS USGSE US N 2 2044-03-01 Fixed 4.50000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175CA0 11220000.00000000 PA USD 7352215.79000000 0.048568606330 Long DBT CORP US N 2 2052-06-01 Fixed 3.90000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FHY5 34230.09000000 PA USD 34802.33000000 0.000229903571 Long ABS-MBS USGA US N 2 2040-07-20 Fixed 5.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 370.00000000 NC USD 101172.06000000 0.000668340823 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 107.75000000 USD 2023-07-21 XXXX -91694.70000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381EX94 14685533.22000000 PA USD 715397.97000000 0.004725906225 Long ABS-MBS USGA US N 2 2063-01-16 Variable 0.56661000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X3CE6 4551689.32000000 PA USD 4279779.78000000 0.028272148866 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138LHPM0 4689754.50000000 PA USD 4439723.71000000 0.029328735614 Long ABS-MBS USGSE US N 2 2029-03-01 Fixed 3.45000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TQN8 5297777.01000000 PA USD 4803360.22000000 0.031730911911 Long ABS-MBS USGA US N 2 2048-01-20 Fixed 3.00000000 N N N N N N Citigroup Commercial Mortgage N/A 17326FAD9 8956000.00000000 PA USD 8234000.42000000 0.054393659863 Long ABS-MBS CORP US N 2 2050-10-12 Fixed 3.47100000 N N N N N N Bank N/A 06541TBU2 1930000.00000000 PA USD 1312442.07000000 0.008669968897 Long ABS-MBS CORP US N 2 2053-11-15 Variable 3.13490800 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MAN3 9470000.00000000 PA USD 7995447.51000000 0.052817783596 Long DBT CORP US N 2 2042-05-15 Fixed 4.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36208LYX9 18.62000000 PA USD 19.41000000 0.000000128222 Long ABS-MBS USGA US N 2 2033-12-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38375BJS2 567144.04000000 PA USD 564202.32000000 0.003727110459 Long ABS-MBS USGA US N 2 2061-01-20 Floating 5.59386000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AHB63 3187761.86000000 PA USD 2628400.95000000 0.017363169779 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AP3 6030000.00000000 PA USD 5719352.01000000 0.037781937333 Long DBT CORP CH N 2 2028-05-12 Fixed 4.75100000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAL4 11830000.00000000 PA USD 10391498.03000000 0.068646050581 Long DBT CORP US N 2 2047-03-01 Fixed 5.20000000 N N N N N N Reese Park CLO, Ltd. N/A 758465BA5 26300000.00000000 PA USD 25736810.41000000 0.170016910372 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 6.39029000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380QAW2 8346126.85000000 PA USD 8266640.01000000 0.054609276412 Long ABS-MBS USGA US N 2 2070-05-20 Floating 4.85515000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWB6 6210000.00000000 PA USD 5908194.00000000 0.039029424150 Long DBT CORP US N 2 2027-01-26 Fixed 3.85000000 N N N N N N TORONTO-DOMINION BANK PT3QB789TSUIDF371261 89114QCH9 6770000.00000000 PA USD 6241322.17000000 0.041230062897 Long DBT CORP CA N 2 2025-06-12 Fixed 1.15000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201LHA5 582.94000000 PA USD 607.61000000 0.000004013860 Long ABS-MBS USGA US N 2 2034-08-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B2DY3 372107.86000000 PA USD 27224.86000000 0.000179846939 Long ABS-MBS USGSE US N 2 2042-09-15 Floating 1.05671000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABUF7 7009319.47000000 PA USD 6296032.83000000 0.041591480541 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 3.00000000 N N N N N N Credit Suisse Mortgage Trust N/A 12656PAC0 9799835.98000000 PA USD 9507658.77000000 0.062807424199 Long ABS-MBS CORP US N 2 2060-03-25 Variable 2.69100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140JBUY0 21311576.15000000 PA USD 17775348.88000000 0.117423637553 Long ABS-MBS USGSE US N 2 2032-02-01 Variable 2.14900000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175CL6 5440000.00000000 PA USD 4384917.66000000 0.028966687826 Long DBT CORP US N 2 2063-04-01 Fixed 5.50000000 N N N N N N BRIGHTHOUSE FINANCIAL IN 5493003T8SZSHOGGAW52 10922NAF0 131000.00000000 PA USD 100429.48000000 0.000663435353 Long DBT CORP US N 2 2047-06-22 Fixed 4.70000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132XGQC3 2504000.00000000 PA USD 2391387.93000000 0.015797465998 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 4.00000000 N N N N N N DELTA AIR LINES/SKYMILES N/A 830867AB3 11290000.00000000 PA USD 10968172.68000000 0.072455553030 Long DBT CORP N/A N 2 2028-10-20 Fixed 4.75000000 N N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 455780CN4 7220000.00000000 PA USD 5756977.83000000 0.038030492829 Long DBT NUSS ID N 2 2049-10-30 Fixed 3.70000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UMM1 5842193.87000000 PA USD 5707872.13000000 0.037706101450 Long ABS-MBS USGA US N 2 2049-02-20 Fixed 4.50000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FYTY2 14955544.95000000 PA USD 595175.35000000 0.003931717742 Long ABS-MBS USGSE US N 2 2036-02-25 Variable 0.57786600 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KRCS1 5293692.42000000 PA USD 5462095.20000000 0.036082503436 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 6.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1410.00000000 NC USD 526802.83000000 0.003480050095 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Long THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2026-03-17 339759072.17000000 USD 526802.83000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378H4E3 439566.81000000 PA USD 43083.61000000 0.000284609558 Long ABS-MBS USGA US N 2 2042-10-16 Floating 1.04186000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WJWA2 1604247.68000000 PA USD 1519035.83000000 0.010034723590 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132LMAJ5 151891.80000000 PA USD 144009.34000000 0.000951323130 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36297F6C1 9237.96000000 PA USD 9277.69000000 0.000061288254 Long ABS-MBS USGA US N 2 2040-01-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136A1KZ7 102992.61000000 PA USD 1799.84000000 0.000011889710 Long ABS-MBS USGSE US N 2 2026-10-25 Floating 1.54957000 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBK3 5460000.00000000 PA USD 5327260.19000000 0.035191785766 Long DBT CORP US N 2 2027-05-09 Fixed 4.35000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36200KT72 4890.92000000 PA USD 4983.52000000 0.000032921044 Long ABS-MBS USGA US N 2 2033-05-15 Fixed 6.00000000 N N N N N N MHC Commercial Mortgage Trust N/A 55293AAA5 7500000.00000000 PA USD 7362210.75000000 0.048634632858 Long ABS-MBS CORP US N 2 2038-05-15 Floating 6.11148000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAQ4 2012000.00000000 PA USD 1852097.63000000 0.012234923898 Long DBT CORP US N 2 2030-11-15 Fixed 4.15000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 969457BB5 2125000.00000000 PA USD 2338153.78000000 0.015445802153 Long DBT CORP US N 2 2031-01-15 Fixed 7.50000000 N N N N N N UBS Commercial Mortgage Trust N/A 90278LBD0 2960000.00000000 PA USD 2420159.34000000 0.015987529419 Long ABS-MBS CORP US N 2 2051-12-15 Variable 5.32339300 N N N N N N CONSTELLATION BRANDS INC 5493005GKEG8QCVY7037 21036PBM9 3890000.00000000 PA USD 3816161.34000000 0.025209493724 Long DBT CORP US N 2 2024-05-09 Fixed 3.60000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SJU2 8170459.19000000 PA USD 7837178.40000000 0.051772260679 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XLCG1 1071046.27000000 PA USD 1079350.48000000 0.007130170013 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FVQ54 4002974.70000000 PA USD 585843.35000000 0.003870070717 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P7NU3 93154.88000000 PA USD 93291.76000000 0.000616283702 Long ABS-MBS USGSE US N 2 2030-05-01 Fixed 5.00000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136AC7M7 435973.15000000 PA USD 410055.55000000 0.002708819647 Long ABS-MBS USGSE US N 2 2043-02-25 Variable 3.45367000 N N N N N N Point Au Roche Park CLO, Ltd 5493000RMLD359CPH591 73052VAA3 26070000.00000000 PA USD 25456945.85000000 0.168168130082 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 6.33043000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVKW4 4974910.61000000 PA USD 4441040.12000000 0.029337431795 Long ABS-MBS USGSE US N 2 2049-11-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179W5F1 11760663.56000000 PA USD 11365328.38000000 0.075079156498 Long ABS-MBS USGA US N 2 2052-05-20 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P7NZ2 34533.15000000 PA USD 34583.93000000 0.000228460824 Long ABS-MBS USGSE US N 2 2030-06-01 Fixed 5.00000000 N N N N N N Nomura Asset Acceptance Corpor N/A 62951MAY6 101745.82000000 PA USD 91148.62000000 0.000602126157 Long ABS-MBS CORP US N 2 2035-02-25 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179QRZ6 350198.66000000 PA USD 339704.51000000 0.002244081932 Long ABS-MBS USGA US N 2 2044-10-20 Fixed 4.00000000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448ER5 760000.00000000 PA USD 708791.63000000 0.004682264861 Long DBT CORP US N 2 2027-03-19 Fixed 2.62500000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FF3Z8 17932259.52000000 PA USD 371710.63000000 0.002455513789 Long ABS-MBS USGSE US N 2 2027-12-25 Variable 0.65375000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AYBT6 2007807.14000000 PA USD 1706537.81000000 0.011273358324 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.50000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FG8 2990000.00000000 PA USD 2383609.76000000 0.015746083546 Long DBT CORP US N 2 2060-03-20 Fixed 3.83900000 N N N N N N CD Commercial Mortgage Trust N/A 12515ABE9 4209000.00000000 PA USD 3869217.95000000 0.025559984743 Long ABS-MBS CORP US N 2 2049-11-10 Variable 3.52600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LRTA6 4772403.18000000 PA USD 4098433.90000000 0.027074181219 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137B4A30 362227.24000000 PA USD 13071.95000000 0.000086353068 Long ABS-MBS USGSE US N 2 2027-06-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFTH4 1907272.21000000 PA USD 1637671.56000000 0.010818429106 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JH1 830000.00000000 PA USD 560292.76000000 0.003701283975 Long DBT CORP US N 2 2040-08-01 Fixed 3.30000000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBG7 6220000.00000000 PA USD 6226559.43000000 0.041132540500 Long DBT CORP US N 2 2026-03-15 Fixed 6.41200000 N N N N N N Avis Budget Rental Car Funding IHXLB8SL0QWSSG2VG640 05377RDU5 18883000.00000000 PA USD 17577157.46000000 0.116114388569 Long ABS-O CORP US N 2 2026-08-20 Fixed 2.33000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B1MH1 368821.96000000 PA USD 302167.49000000 0.001996113047 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179SB89 11058562.65000000 PA USD 10375136.40000000 0.068537965945 Long ABS-MBS USGA US N 2 2046-05-20 Fixed 3.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36213FJC8 20094.20000000 PA USD 20543.73000000 0.000135711513 Long ABS-MBS USGA US N 2 2032-12-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132GEV64 4479.00000000 PA USD 4519.13000000 0.000029853292 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.00000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NAF8 2669000.00000000 PA USD 2801420.33000000 0.018506132717 Long DBT CORP US N 2 2035-06-15 Fixed 5.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BN3N4 558110.93000000 PA USD 529945.81000000 0.003500812565 Long ABS-MBS USGSE US N 2 2052-09-25 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QFA33 1976732.06000000 PA USD 1627481.46000000 0.010751113487 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ADKM0 767420.99000000 PA USD 129646.49000000 0.000856442399 Long ABS-MBS USGSE US N 2 2043-04-25 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418ECH1 5238837.47000000 PA USD 4559349.51000000 0.030118981515 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 2.50000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401AT5 15930000.00000000 PA USD 13957356.24000000 0.092202046294 Long DBT CORP CH N 2 2027-02-02 Fixed 1.30500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XDLR5 3464026.22000000 PA USD 2947503.88000000 0.019471158041 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N WARNERMEDIA HOLDINGS INC 549300DXR29GD4N0A520 55903VBB8 4560000.00000000 PA USD 4170448.18000000 0.027549906267 Long DBT CORP US N 2 2029-03-15 Fixed 4.05400000 N N N N N N BENCHMARK Mortgage Trust N/A 08163LAS8 3870000.00000000 PA USD 2839594.31000000 0.018758309347 Long ABS-MBS CORP US N 2 2053-12-17 Fixed 2.45840000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31407PBK3 177736.44000000 PA USD 177056.80000000 0.001169634061 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.50000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBT9 10006000.00000000 PA USD 9572988.05000000 0.063238988257 Long DBT CORP US N 2 2028-10-16 Fixed 4.15000000 N N N N N N OFFICE CHERIFIEN DES PHO 213800D26TAPVTCVWG40 67091TAC9 4836000.00000000 PA USD 4697859.66000000 0.031033977094 Long DBT CORP MA N 2 2025-10-22 Fixed 4.50000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBM1 5000000.00000000 PA USD 4097497.55000000 0.027067995707 Long DBT CORP US N 2 2030-08-10 Fixed 1.74900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XLCK2 8955710.52000000 PA USD 9086569.84000000 0.060025718240 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LJNR3 2521000.00000000 PA USD 2511073.61000000 0.016588107465 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 4.42000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KHK39 1719456.49000000 PA USD 1580586.39000000 0.010441325491 Long ABS-MBS USGSE US N 2 2050-02-01 Fixed 3.50000000 N N N N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BK4 550000.00000000 PA USD 531347.15000000 0.003510069792 Long DBT CORP US N 2 2036-05-15 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FDW3 96562.12000000 PA USD 95948.71000000 0.000633835466 Long ABS-MBS USGA US N 2 2040-01-20 Fixed 4.50000000 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HAW7 11693000.00000000 PA USD 11139388.60000000 0.073586602342 Long DBT CORP IT N 2 2026-01-15 Fixed 5.71000000 N N N N N N COMM Mortgage Trust N/A 12595HAA6 9771000.00000000 PA USD 9157543.40000000 0.060494568311 Long ABS-MBS CORP US N 2 2029-10-10 Fixed 3.24400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140Q9XL2 4351782.20000000 PA USD 4275278.65000000 0.028242414482 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.50000000 N N N N N N ENTERPRISE PRODUCTS OPER 5493004LGN656HWLDA30 29379VBU6 3960000.00000000 PA USD 3628655.36000000 0.023970832565 Long DBT CORP US N 2 2049-02-01 Fixed 4.80000000 N N N N N N MSCG Trust N/A 55352NAC1 6358000.00000000 PA USD 5816257.07000000 0.038422090430 Long ABS-MBS CORP US N 2 2035-06-07 Variable 3.57714200 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36213TFT5 3734.58000000 PA USD 3812.87000000 0.000025187751 Long ABS-MBS USGA US N 2 2032-11-15 Fixed 6.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -2362.00000000 NC USD -461329.33000000 -0.00304753332 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 109.50000000 USD 2023-08-25 XXXX 1645170.59000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38381HN49 7700000.00000000 PA USD 5827109.75000000 0.038493783041 Long ABS-MBS USGA US N 2 2064-10-16 Variable 3.00000000 N N N N N N CIGNA GROUP/THE 549300VIWYMSIGT1U456 125523AH3 25372000.00000000 PA USD 24546432.67000000 0.162153296260 Long DBT CORP US N 2 2028-10-15 Fixed 4.37500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MKQ82 232526.67000000 PA USD 223715.23000000 0.001477858817 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 375558BA0 716000.00000000 PA USD 653840.25000000 0.004319257025 Long DBT CORP US N 2 2045-02-01 Fixed 4.50000000 N N N N N N AREIT CRE Trust N/A 04002VAA9 19325340.53000000 PA USD 18794156.49000000 0.124153862447 Long ABS-CBDO CORP KY N 2 2037-01-20 Floating 6.31662000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P7MV2 54478.83000000 PA USD 54558.72000000 0.000360413930 Long ABS-MBS USGSE US N 2 2029-10-01 Fixed 5.00000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136B4KJ6 2178421.74000000 PA USD 2068126.07000000 0.013662003918 Long ABS-MBS USGSE US N 2 2029-01-01 Fixed 3.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFRD5 1891755.96000000 PA USD 1734511.35000000 0.011458151030 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138AFC65 64355.06000000 PA USD 64681.77000000 0.000427286618 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 5.00000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29273RBG3 2060000.00000000 PA USD 2014672.40000000 0.013308889928 Long DBT CORP US N 2 2026-01-15 Fixed 4.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B3ZF7 2064042.42000000 PA USD 1771724.89000000 0.011703983012 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NBZ3 1510000.00000000 PA USD 1259902.46000000 0.008322893171 Long DBT CORP US N 2 2047-08-15 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36213FVM2 349.05000000 PA USD 359.49000000 0.000002374784 Long ABS-MBS USGA US N 2 2033-06-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGV97 3515874.60000000 PA USD 3176696.84000000 0.020985202646 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 3.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VFT6 16300000.00000000 PA USD 11345574.41000000 0.074948662124 Long DBT CORP US N 2 2040-11-20 Fixed 2.65000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31408JD40 550.99000000 PA USD 564.59000000 0.000003729671 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HMRW6 6968171.47000000 PA USD 6827923.01000000 0.045105137580 Long ABS-MBS USGSE US N 2 2048-10-01 Fixed 4.50000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PBN1 1576000.00000000 PA USD 1663895.99000000 0.010991667222 Long DBT CORP US N 2 2040-10-15 Fixed 5.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MKRA6 198581.98000000 PA USD 191056.06000000 0.001262112923 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N COMM Mortgage Trust N/A 12656KAA5 8430000.00000000 PA USD 6605266.65000000 0.043634273638 Long ABS-MBS CORP US N 2 2046-11-10 Fixed 2.17300000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38379KZT8 11386558.28000000 PA USD 139461.43000000 0.000921279718 Long ABS-MBS USGA US N 2 2055-04-16 Variable 0.34558000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LJLM6 2440000.00000000 PA USD 2420320.25000000 0.015988592388 Long ABS-MBS USGSE US N 2 2033-02-01 Fixed 4.36000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FMCT7 20038793.55000000 PA USD 885079.45000000 0.005846819055 Long ABS-MBS USGSE US N 2 2029-05-25 Variable 1.09253300 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MRW80 144713.30000000 PA USD 131220.42000000 0.000866839753 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 3.00000000 N N N N N N WALMART INC Y87794H0US1R65VBXU25 931142ES8 2940000.00000000 PA USD 2554557.77000000 0.016875363050 Long DBT CORP US N 2 2028-09-22 Fixed 1.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201CX25 10793.25000000 PA USD 10919.00000000 0.000072130719 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622A2R38 1380457.21000000 PA USD 1296840.16000000 0.008566902958 Long ABS-MBS USGA US N 2 2046-01-20 Fixed 3.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H7XD0 14368162.00000000 PA USD 11288363.72000000 0.074570729327 Long ABS-MBS USGSE US N 2 2051-12-25 Fixed 2.00000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDL2 5160000.00000000 PA USD 3420158.42000000 0.022593505500 Long DBT CORP US N 2 2051-01-15 Fixed 2.80000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280BZ1 13793000.00000000 PA USD 13527373.03000000 0.089361584880 Long DBT CORP GB N 2 2025-03-11 Fixed 3.80300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYVY2 6351312.36000000 PA USD 5405437.01000000 0.035708220444 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 2.00000000 N N N N N N GS Mortgage Securities Trust N/A 36248GAJ9 1003000.00000000 PA USD 981456.96000000 0.006483487166 Long ABS-MBS CORP US N 2 2046-11-10 Variable 5.16100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137H2UH5 22651238.00000000 PA USD 3143846.87000000 0.020768196330 Long ABS-MBS USGSE US N 2 2049-01-25 Fixed 2.50000000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FG4R5 41885.94000000 PA USD 6820.48000000 0.000045055969 Long ABS-MBS USGSE US N 2 2038-01-25 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202SDX3 778.16000000 PA USD 787.48000000 0.000005202078 Long ABS-MBS USGA US N 2 2033-03-15 Fixed 6.00000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135AQ9 3036000.00000000 PA USD 3074474.26000000 0.020309922106 Long DBT CORP US N 2 2044-12-05 Fixed 4.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QC6H4 4243602.70000000 PA USD 4035826.79000000 0.026660599767 Long ABS-MBS USGSE US N 2 2050-03-01 Fixed 4.00000000 N N N N N N KKR Financial CLO Ltd 635400KULUKCVCJXZX78 48250WAJ4 600000.00000000 PA USD 590548.74000000 0.003901154439 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 7.06029000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137H9JJ9 75244827.52000000 PA USD 1283082.32000000 0.008476018913 Long ABS-MBS USGSE US N 2 2032-10-25 Variable 0.33033700 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378NEU3 2745157.59000000 PA USD 45315.00000000 0.000299350081 Long ABS-MBS USGA US N 2 2046-02-16 Variable 1.01194000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202WJE0 4779.83000000 PA USD 4835.52000000 0.000031943358 Long ABS-MBS USGA US N 2 2033-04-15 Fixed 6.00000000 N N N N N N Enterprise Fleet Financing LLC N/A 29375CAB5 4310000.00000000 PA USD 4276070.39000000 0.028247644702 Long ABS-O CORP US N 2 2029-01-22 Fixed 5.51000000 N N N N N N Citigroup Commercial Mortgage N/A 17326CAY0 8622270.68000000 PA USD 7839639.24000000 0.051788516944 Long ABS-MBS CORP US N 2 2050-08-15 Fixed 3.19700000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136BDDH8 37247839.27000000 PA USD 2888052.19000000 0.019078421238 Long ABS-MBS USGSE US N 2 2033-12-25 Variable 1.61008800 N N N N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBF8 2000000.00000000 PA USD 1845466.50000000 0.012191118772 Long DBT CORP US N 2 2040-03-19 Fixed 4.22700000 N N N N N N GoldenTree Loan Management US 5493007PBV0WMI12LF68 38138TAC5 6590000.00000000 PA USD 6483547.52000000 0.042830199237 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 6.35043000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BGT1 16048000.00000000 PA USD 13051839.36000000 0.086220217941 Long DBT CORP US N 2 2046-06-14 Fixed 4.40000000 N N N N N N SANDS CHINA LTD 549300EVO6UZDGY05787 80007RAS4 21050000.00000000 PA USD 17151245.30000000 0.113300820439 Long DBT CORP KY N 2 2031-08-08 Variable 3.75000000 N N N N N N BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 000000000 1.00000000 NC USD 22354.07000000 0.000147670587 N/A DCR CORP US N 3 BANK OF AMERICA, NATIONAL ASSOCIATION B4TYDEB6GKMZO031MB27 PRIMEX.FRM.1 PRIMEX.FRM.1 Y Default Event 2036-07-25 10129.87000000 USD 0.00000000 USD 213950.61000000 USD 12224.20000000 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNLM2 19189554.30000000 PA USD 16308792.12000000 0.107735589763 Long ABS-MBS USGSE US N 2 2052-03-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNXN7 5453220.75000000 PA USD 5125017.02000000 0.033855770993 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36210UZL0 1293.25000000 PA USD 1334.94000000 0.000008818589 Long ABS-MBS USGA US N 2 2029-03-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XKYE4 5469600.47000000 PA USD 5367606.64000000 0.035458313695 Long ABS-MBS USGSE US N 2 2053-04-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQAY2 6173537.59000000 PA USD 6166574.09000000 0.040736278414 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FW3E8 4627218.96000000 PA USD 687774.56000000 0.004543426472 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132D9L28 1657331.97000000 PA USD 1405414.35000000 0.009284142120 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136ABQH9 1942008.63000000 PA USD 1952501.50000000 0.012898190072 Long ABS-MBS USGSE US N 2 2042-04-25 Fixed 5.50000000 N N N N N N NEW YORK LIFE GLOBAL FDG 635400DPNHEAUHB7ZI15 64952WDQ3 5130000.00000000 PA USD 4688194.09000000 0.030970126511 Long DBT CORP US N 2 2025-06-24 Fixed 0.95000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36291DPC1 783.58000000 PA USD 792.71000000 0.000005236628 Long ABS-MBS USGA US N 2 2034-08-15 Fixed 6.00000000 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 91282CGK1 170308248.00000000 PA USD 163278345.89000000 1.078613839739 Long DBT UST US N 2 2033-01-15 Fixed 1.12500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UCB6 2746321.60000000 PA USD 2621904.77000000 0.017320256130 Long ABS-MBS USGA US N 2 2048-09-20 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128MJZU7 1546688.38000000 PA USD 1524895.18000000 0.010073430351 Long ABS-MBS USGSE US N 2 2047-03-01 Fixed 4.50000000 N N N N N N LOCKHEED MARTIN CORP DPRBOZP0K5RM2YE8UU08 539830BR9 3850000.00000000 PA USD 3629521.24000000 0.023976552553 Long DBT CORP US N 2 2032-06-15 Fixed 3.90000000 N N N N N N COOPERATIEVE RABOBANK UA DG3RU1DBUFHT4ZF9WN62 74977RDN1 7190000.00000000 PA USD 6664206.88000000 0.044023631746 Long DBT CORP NL N 2 2028-04-06 Fixed 3.64900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MJF79 1304273.58000000 PA USD 1255266.45000000 0.008292267772 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KYVS5 30086891.99000000 PA USD 25624923.47000000 0.169277787243 Long ABS-MBS USGSE US N 2 2041-09-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L7M41 1129224.35000000 PA USD 936316.06000000 0.006185287186 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N MARS INC 54930073HKEO6GZBSS03 571676AB1 9788000.00000000 PA USD 8887237.47000000 0.058708932160 Long DBT CORP US N 2 2030-04-01 Fixed 3.20000000 N N N N N N Arbor Realty Collateralized Lo N/A 03880XAA4 8850000.00000000 PA USD 8703090.00000000 0.057492457259 Long ABS-CBDO CORP KY N 2 2037-01-15 Floating 6.51662000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3617K1ZG1 612490.88000000 PA USD 582217.81000000 0.003846120464 Long ABS-MBS USGA US N 2 2049-11-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XQWR8 21530.80000000 PA USD 21146.04000000 0.000139690362 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 4.50000000 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZU5 1440000.00000000 PA USD 1383654.24000000 0.009140395222 Long DBT CORP US N 2 2024-10-28 Fixed 2.90000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CT0 24660000.00000000 PA USD 24317809.95000000 0.160643018651 Long DBT CORP US N 2 2025-05-01 Fixed 4.87500000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468Q5 18980000.00000000 PA USD 17825145.77000000 0.117752594920 Long DBT CORP US N 2 2026-04-28 Fixed 2.18800000 N N N N N N MICRON TECHNOLOGY INC B3DXGBC8GAIYWI2Z0172 595112BZ5 7160000.00000000 PA USD 7127449.21000000 0.047083802313 Long DBT CORP US N 2 2033-02-09 Fixed 5.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36292CQT4 33228.42000000 PA USD 33639.50000000 0.000222221936 Long ABS-MBS USGA US N 2 2035-06-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38382EDT1 2802328.80000000 PA USD 461814.26000000 0.003050736761 Long ABS-MBS USGA US N 2 2050-04-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31389CLA5 6148.97000000 PA USD 6096.98000000 0.000040276541 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HBJB5 2885636.60000000 PA USD 2836416.99000000 0.018737320028 Long ABS-MBS USGSE US N 2 2048-06-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36212UNX5 5877.03000000 PA USD 5945.50000000 0.000039275866 Long ABS-MBS USGA US N 2 2035-03-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KGNJ3 6184849.88000000 PA USD 5532644.78000000 0.036548552703 Long ABS-MBS USGSE US N 2 2049-09-01 Fixed 3.00000000 N N N N N N Jack in the Box Funding, LLC N/A 466365AD5 14264250.00000000 PA USD 12678507.59000000 0.083753994929 Long ABS-O CORP US N 2 2052-02-26 Fixed 3.44500000 N N N N N N MCDONALD'S CORP UE2136O97NLB5BYP9H04 58013MEY6 3953000.00000000 PA USD 3822979.03000000 0.025254531262 Long DBT CORP US N 2 2026-01-30 Fixed 3.70000000 N N N N N N Citigroup Commercial Mortgage N/A 17291EAV3 3369873.07000000 PA USD 3133097.36000000 0.020697185259 Long ABS-MBS CORP US N 2 2049-12-10 Fixed 3.45800000 N N N N N N Greenwood Park CLO, Ltd N/A 39729RAB4 6680000.00000000 PA USD 6583771.43000000 0.043492276599 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 6.27029000 N N N N N N Fanniemae Strip B1V7KEBTPIMZEU4LTD58 3136FLFM3 481683.01000000 PA USD 88754.93000000 0.000586313484 Long ABS-MBS USGSE US N 2 2042-04-25 Fixed 4.00000000 N N N N N N EOG RESOURCES INC XWTZDRYZPBUHIQBKDB46 26875PAT8 16795000.00000000 PA USD 16597910.51000000 0.109645500689 Long DBT CORP US N 2 2050-04-15 Fixed 4.95000000 N N N N N N Citigroup Commercial Mortgage N/A 17325HBS2 2624000.00000000 PA USD 2267832.67000000 0.014981262155 Long ABS-MBS CORP US N 2 2050-04-14 Variable 4.13700000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179T7K5 8100408.66000000 PA USD 7765123.19000000 0.051296265247 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 4.00000000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 3136BP3K5 4000000.00000000 PA USD 3797056.40000000 0.025083286831 Long ABS-MBS USGSE US N 2 2032-08-25 Variable 3.89357000 N N N N N N PNC FINANCIAL SERVICES CFGNEKW0P8842LEUIA51 693475BR5 15460000.00000000 PA USD 15398426.69000000 0.101721731975 Long DBT CORP US N 2 2029-06-12 Fixed 5.58200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BCD80 24681471.10000000 PA USD 3643002.41000000 0.024065608922 Long ABS-MBS USGSE US N 2 2050-12-25 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390DEJ9 8558.61000000 PA USD 8461.99000000 0.000055899754 Long ABS-MBS USGSE US N 2 2032-05-01 Fixed 7.00000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2N2 12110000.00000000 PA USD 11352223.41000000 0.074992585300 Long DBT CORP US N 2 2026-04-30 Fixed 2.18800000 N N N N N N KKR Financial CLO Ltd 549300HJX0LGFQYWTF96 48251TAA9 5634996.37000000 PA USD 5594884.25000000 0.036959705531 Long ABS-CBDO CORP KY N 2 2030-10-16 Floating 6.39029000 N N N N N N Nelnet Student Loan Trust 5493000EBJ0T2MCM3713 64033QAB5 3131671.32000000 PA USD 3059179.08000000 0.020208882420 Long ABS-O CORP US N 2 2042-09-25 Floating 5.75043000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31404DAY4 990.17000000 PA USD 1000.55000000 0.000006609615 Long ABS-MBS USGSE US N 2 2034-01-01 Fixed 6.00000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCZ2 2420000.00000000 PA USD 1844198.17000000 0.012182740206 Long DBT CORP US N 2 2050-02-01 Fixed 3.45000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XNF9 2261493.01000000 PA USD 2225553.61000000 0.014701967439 Long ABS-MBS USGA US N 2 2052-12-20 Fixed 5.00000000 N N N N N N SMRT N/A 78457JAA0 20410000.00000000 PA USD 19801018.67000000 0.130805176044 Long ABS-MBS CORP US N 2 2039-01-15 Floating 6.14700000 N N N N N N Shackleton CLO LTD 549300S9WB2KLCOJR134 81881QAS5 738137.33000000 PA USD 734493.17000000 0.004852048776 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 6.38029000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297UX88 207019.46000000 PA USD 206640.16000000 0.001365061210 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XGWP0 797984.84000000 PA USD 684304.15000000 0.004520501005 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N CHEVRON CORP N/A 166764CA6 8710000.00000000 PA USD 6493556.54000000 0.042896318645 Long DBT CORP US N 2 2050-05-11 Fixed 3.07800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31388KDC3 7176.82000000 PA USD 7170.06000000 0.000047365288 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 7.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZR8 2370000.00000000 PA USD 2225594.81000000 0.014702239605 Long DBT CORP US N 2 2028-03-15 Fixed 3.61500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVL94 54186920.70000000 PA USD 46432623.88000000 0.306733084900 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AR2T1 608582.30000000 PA USD 520097.07000000 0.003435751964 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ABUS7 2757539.88000000 PA USD 2371430.06000000 0.015665624665 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WVAJ0 32353.41000000 PA USD 31036.60000000 0.000205027225 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N IndyMac INDX Mortgage Loan Tru N/A 45660LVM8 12339.27000000 PA USD 10392.62000000 0.000068653462 Long ABS-MBS CORP US N 2 2035-09-25 Variable 3.49887000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380RDK3 17291428.12000000 PA USD 1098778.61000000 0.007258511893 Long ABS-MBS USGA US N 2 2062-06-16 Variable 0.93985000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAQ8 1000000.00000000 PA USD 936718.01000000 0.006187942461 Long DBT CORP ES N 2 2028-03-24 Fixed 4.17500000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJA8 25140000.00000000 PA USD 20865030.49000000 0.137834019143 Long DBT CORP US N 2 2051-03-20 Fixed 4.08300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FVQG0 10760644.61000000 PA USD 1687562.84000000 0.011148010011 Long ABS-MBS USGSE US N 2 2050-09-25 Fixed 2.50000000 N N N N N N TSMC ARIZONA CORP 2549005GOBWLCSY63Q97 872898AA9 7100000.00000000 PA USD 6371585.72000000 0.042090581584 Long DBT CORP US N 2 2026-10-25 Fixed 1.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31417VKU6 48687.17000000 PA USD 48110.45000000 0.000317816774 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 4.50000000 N N N N N N Credit Suisse Mortgage Trust N/A 12657LAA2 6880626.78000000 PA USD 5269890.63000000 0.034812803476 Long ABS-MBS CORP US N 2 2056-03-25 Variable 0.83000000 N N N N N N Whitebox CLO IV Ltd 549300SN372GTCE2YI66 96467KAA7 8680000.00000000 PA USD 8710953.11000000 0.057544400823 Long ABS-CBDO CORP KY N 2 2036-04-20 Floating 6.92970000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133B3TR8 939103.49000000 PA USD 770319.67000000 0.005088717995 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.00000000 N N N N N N DEVON ENERGY CORPORATION 54930042348RKR3ZPN35 25179MBD4 1026000.00000000 PA USD 1011193.21000000 0.006679924303 Long DBT CORP US N 2 2027-10-15 Fixed 5.25000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201DYX4 1580.88000000 PA USD 1599.30000000 0.000010564947 Long ABS-MBS USGA US N 2 2034-07-15 Fixed 6.00000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ACB9 7900000.00000000 PA USD 6569030.91000000 0.043394900986 Long DBT CORP US N 2 2031-02-15 Fixed 2.55000000 N N N N N N MEDTRONIC INC D56MRZY2INAN94ZONZ37 585055BU9 410000.00000000 PA USD 399440.40000000 0.002638696155 Long DBT CORP US N 2 2045-03-15 Fixed 4.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418EAV2 4819687.92000000 PA USD 3906381.98000000 0.025805489662 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 1.50000000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 71654QBR2 3950000.00000000 PA USD 2430034.47000000 0.016052764352 Long DBT CORP MX N 2 2045-01-23 Fixed 6.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132HBH73 594357.14000000 PA USD 570078.79000000 0.003765930315 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 4.00000000 N N N N N N TRUIST FINANCIAL CORP 549300DRQQI75D2JP341 89788MAN2 8060000.00000000 PA USD 8066973.92000000 0.053290285784 Long DBT CORP US N 2 2027-06-08 Fixed 6.04700000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FWHG8 6347857.25000000 PA USD 683548.06000000 0.004515506288 Long ABS-MBS USGSE US N 2 2035-07-25 Variable 1.43621100 N N N N N N HALEON US CAPITAL LLC 549300N8C3A3L0UVQB07 36264FAK7 6490000.00000000 PA USD 6077320.82000000 0.040146672905 Long DBT CORP US N 2 2027-03-24 Fixed 3.37500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P7NJ8 14493.35000000 PA USD 14514.63000000 0.000095883386 Long ABS-MBS USGSE US N 2 2030-03-01 Fixed 5.00000000 N N N N N N ABBOTT LABORATORIES HQD377W2YR662HK5JX27 002824BF6 10859000.00000000 PA USD 10593153.11000000 0.069978180441 Long DBT CORP US N 2 2026-11-30 Fixed 3.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DVLE3 10500526.20000000 PA USD 9043874.93000000 0.059743676426 Long ABS-MBS USGSE US N 2 2050-10-01 Fixed 2.50000000 N N N N N N PROCTER & GAMBLE CO/THE 2572IBTT8CCZW6AU4141 742718FH7 3430000.00000000 PA USD 3176462.84000000 0.020983656846 Long DBT CORP US N 2 2030-03-25 Fixed 3.00000000 N N N N N N TELEFONICA EMISIONES SAU 549300Y5MFC4SW5Z3K71 87938WAT0 219000.00000000 PA USD 210225.20000000 0.001388743920 Long DBT CORP ES N 2 2027-03-08 Fixed 4.10300000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36291VNV1 366.62000000 PA USD 370.89000000 0.000002450092 Long ABS-MBS USGA US N 2 2035-02-15 Fixed 6.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VDS6 2283236.70000000 PA USD 2276744.00000000 0.015040130242 Long ABS-MBS USGA US N 2 2050-01-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140M32Z2 3663880.39000000 PA USD 2995193.42000000 0.019786194292 Long ABS-MBS USGSE US N 2 2051-12-01 Fixed 2.00000000 N N N N N N New Residential Mortgage Loan N/A 64831QAA1 15674416.59000000 PA USD 14190627.72000000 0.093743033529 Long ABS-MBS CORP US N 2 2062-04-25 Variable 3.90000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2L7 8840000.00000000 PA USD 8180197.52000000 0.054038238866 Long DBT CORP FR N 2 2026-06-09 Fixed 2.21900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMT62 2662734.93000000 PA USD 2216102.95000000 0.014639536548 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31297QDF3 153529.02000000 PA USD 153143.73000000 0.001011664747 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.50000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PEH1 10630000.00000000 PA USD 10166223.09000000 0.067157888346 Long DBT CORP US N 2 2029-05-15 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DM5J0 5356762.80000000 PA USD 4601743.48000000 0.030399035324 Long ABS-MBS USGSE US N 2 2052-01-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36178DH20 1327955.17000000 PA USD 1212121.36000000 0.008007252077 Long ABS-MBS USGA US N 2 2042-09-15 Fixed 3.00000000 N N N N N N UNITED MEXICAN STATES 254900EGTWEU67VP6075 91087BAM2 8882000.00000000 PA USD 7405850.06000000 0.048922913361 Long DBT NUSS MX N 2 2031-05-24 Fixed 2.65900000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFM6 2875000.00000000 PA USD 2797392.14000000 0.018479522565 Long DBT CORP US N 2 2025-01-22 Fixed 4.00000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NBS9 4835000.00000000 PA USD 4632944.58000000 0.030605149234 Long DBT CORP US N 2 2026-03-01 Fixed 3.15000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MDZ88 406695.08000000 PA USD 390581.78000000 0.002580176269 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418AY36 523155.45000000 PA USD 513827.92000000 0.003394338071 Long ABS-MBS USGSE US N 2 2043-10-01 Fixed 4.50000000 N N N N N N AMAZON.COM INC ZXTILKJKG63JELOEG630 023135BT2 19520000.00000000 PA USD 13000659.06000000 0.085882121792 Long DBT CORP US N 2 2050-06-03 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31390KJ66 27230.65000000 PA USD 27376.36000000 0.000180847745 Long ABS-MBS USGSE US N 2 2031-10-01 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WRXK1 46700.97000000 PA USD 44886.90000000 0.000296522060 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179WRZ3 3907110.59000000 PA USD 3290647.23000000 0.021737956889 Long ABS-MBS USGA US N 2 2051-11-20 Fixed 2.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FMC7 30766.58000000 PA USD 31281.44000000 0.000206644634 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFSY8 1258479.49000000 PA USD 1078718.20000000 0.007125993182 Long ABS-MBS USGSE US N 2 2051-07-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DYX4 14362042.33000000 PA USD 11772814.42000000 0.077771002008 Long ABS-MBS USGSE US N 2 2051-05-01 Fixed 2.00000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BY9 8500000.00000000 PA USD 5148301.25000000 0.034009586201 Long DBT CORP US N 2 2061-04-01 Fixed 3.85000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133AJ6W8 1165043.36000000 PA USD 969622.68000000 0.006405310124 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N BCRED MML CLO 2021-1 LLC 2549008X01GXURMQIW78 072917AA5 8380000.00000000 PA USD 8168887.43000000 0.053963524613 Long ABS-CBDO CORP US N 2 2035-04-20 Floating 6.69845000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132WLAL0 25427.39000000 PA USD 24997.26000000 0.000165131453 Long ABS-MBS USGSE US N 2 2047-02-01 Fixed 4.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225BWT1 16312.73000000 PA USD 16650.48000000 0.000109992773 Long ABS-MBS USGA US N 2 2032-09-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XFSM4 12452929.59000000 PA USD 10673592.50000000 0.070509561616 Long ABS-MBS USGSE US N 2 2052-02-01 Fixed 2.50000000 N N N N N N Freddie Mac - STACR 5493000ISOMSKCX2AW62 35564KMH9 3500000.00000000 PA USD 3376129.40000000 0.022302650579 Long ABS-MBS CORP US N 2 2041-11-25 Floating 6.86655000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918BR4 8721000.00000000 PA USD 8189409.53000000 0.054099093239 Long DBT CORP US N 2 2026-08-08 Fixed 2.40000000 N N N N N N Cerberus 5493006EIGNTETP6G413 15673FAA8 1950000.00000000 PA USD 1936652.43000000 0.012793491398 Long ABS-CBDO CORP KY N 2 2032-01-15 Floating 7.06029000 N N N N N N FREEPORT-MCMORAN INC 549300IRDTHJQ1PVET45 35671DBC8 3000000.00000000 PA USD 2801381.37000000 0.018505875348 Long DBT CORP US N 2 2043-03-15 Fixed 5.45000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137FEXL9 3144077.78000000 PA USD 2835753.16000000 0.018732934779 Long ABS-MBS USGSE US N 2 2048-05-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X3CH9 1489565.17000000 PA USD 1395770.17000000 0.009220432839 Long ABS-MBS USGSE US N 2 2040-02-01 Fixed 3.50000000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816CV9 7640000.00000000 PA USD 7493385.65000000 0.049501171907 Long DBT CORP US N 2 2024-05-03 Fixed 3.37500000 N N N N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599DE2 8284000.00000000 PA USD 9246913.11000000 0.061084943021 Long DBT CORP US N 2 2031-09-15 Fixed 7.87500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133KL6J1 11068927.49000000 PA USD 9106141.21000000 0.060155006361 Long ABS-MBS USGSE US N 2 2051-06-01 Fixed 2.00000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -4902.00000000 NC USD -2205900.00000000 -0.01457213604 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Put Written CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2025-03-18 0.00000000 USD 2500.00000000 95.25000000 USD 2023-12-15 XXXX -255394.20000000 N N N CON EDISON CO OF NY INC VZFZPMWDHTQCFKYOBP05 209111FX6 2680000.00000000 PA USD 2437862.59000000 0.016104476773 Long DBT CORP US N 2 2030-04-01 Fixed 3.35000000 N N N N N N UNION PACIFIC CORP 549300LMMRSZZCZ8CL11 907818FJ2 4460000.00000000 PA USD 4077724.93000000 0.026937378132 Long DBT CORP US N 2 2027-02-05 Fixed 2.15000000 N N N N N N ILFC E-CAPITAL TRUST II N/A 44965UAA2 3743000.00000000 PA USD 2617129.85000000 0.017288713094 Long DBT CORP US N 2 2065-12-21 Variable 7.31429000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31397UUU1 444495.74000000 PA USD 448226.66000000 0.002960977318 Long ABS-MBS USGSE US N 2 2041-07-25 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412XLH5 949.88000000 PA USD 976.38000000 0.000006449948 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410F2T1 1224.41000000 PA USD 1258.57000000 0.000008314090 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 5.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 -2066.00000000 NC USD 3766091.88000000 0.024878735764 N/A DIR CORP US N 1 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Short THE SECURED OVERNIGHT FINANCING RATE THE SECURED OVERNIGHT FINANCING RATE 2023-12-19 -492375091.88000000 USD 3766091.88000000 N N N LOWE'S COS INC WAFCR4OKGSC504WU3E95 548661ED5 9030000.00000000 PA USD 7658836.76000000 0.050594138987 Long DBT CORP US N 2 2028-09-15 Fixed 1.70000000 N N N N N N Blackbird Capital Aircraft N/A 09229CAA7 11099880.41000000 PA USD 9577158.86000000 0.063266540553 Long ABS-O CORP US N 2 2046-07-15 Fixed 2.44300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KXAB2 1749225.65000000 PA USD 1499527.13000000 0.009905849466 Long ABS-MBS USGSE US N 2 2050-12-01 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H032670 51300000.00000000 PA USD 47354308.72000000 0.312821718509 Long ABS-MBS USGA US N 2 2053-07-15 Fixed 3.50000000 N N N N N N ALTRIA GROUP INC XSGZFLO9YTNO9VCQV219 02209SBL6 2370000.00000000 PA USD 1849560.70000000 0.012218164984 Long DBT CORP US N 2 2032-02-04 Fixed 2.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138MLBZ6 409489.15000000 PA USD 393774.86000000 0.002601269699 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 4.00000000 N N N N N N Dryden Senior Loan Fund N/A 26246GAA1 28030000.00000000 PA USD 27588126.86000000 0.182246673810 Long ABS-CBDO CORP KY N 2 2034-05-20 Floating 6.47914000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179VZV5 3376192.30000000 PA USD 3299929.45000000 0.021799275069 Long ABS-MBS USGA US N 2 2050-12-20 Fixed 4.50000000 N N N N N N SMB Private Education Loan Tru N/A 78449VAD8 10000000.00000000 PA USD 7932860.00000000 0.052404331622 Long ABS-O CORP US N 2 2054-09-15 Fixed 2.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36213FRM7 46650.58000000 PA USD 47612.54000000 0.000314527589 Long ABS-MBS USGA US N 2 2033-04-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W9BG4 2923193.66000000 PA USD 2643331.22000000 0.017461798877 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31419AZY6 378100.26000000 PA USD 398450.61000000 0.002632157620 Long ABS-MBS USGSE US N 2 2039-02-01 Fixed 7.00000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 225401BB3 28855000.00000000 PA USD 34608236.28000000 0.228621391385 Long DBT CORP CH N 2 2033-11-15 Fixed 9.01600000 N N N N N N FRETE 2020-ML07 TRUST S6XOOCT0IEG5ABCC6L87 35833FAC9 16920394.71000000 PA USD 2462594.25000000 0.016267853677 Long ABS-MBS USGSE US N 2 2036-10-25 Variable 2.01544300 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140L05D5 3764562.25000000 PA USD 3114189.62000000 0.020572281066 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 2.00000000 N N N N N N REPUBLIC OF PERU 254900STKLK2DBJJZ530 715638DT6 410000.00000000 PA USD 308529.10000000 0.002038137729 Long DBT NUSS PE N 2 2051-03-10 Fixed 3.55000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179XLJ3 17473103.53000000 PA USD 17415079.72000000 0.115043705910 Long ABS-MBS USGA US N 2 2052-11-20 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36213FBZ5 6615.23000000 PA USD 6700.51000000 0.000044263449 Long ABS-MBS USGA US N 2 2032-09-15 Fixed 6.00000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GFD1 3045000.00000000 PA USD 3277646.13000000 0.021652071855 Long DBT CORP US N 2 2037-10-01 Fixed 6.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128M5NL0 3700.26000000 PA USD 3807.83000000 0.000025154457 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 5.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 341.00000000 NC USD 261078.13000000 0.001724677468 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 128.00000000 USD 2023-07-21 XXXX -204089.94000000 N N N WF-RBS COMMERCIAL MORTGAGE TRU 5493000F7E2NMQ4HIO61 92939FAX7 4621000.00000000 PA USD 4129956.37000000 0.027282418093 Long ABS-MBS CORP US N 2 2047-08-15 Variable 4.21300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31389DLA3 3606.44000000 PA USD 3685.36000000 0.000024345422 Long ABS-MBS USGSE US N 2 2032-02-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 31296LZG9 8974.32000000 PA USD 8970.18000000 0.000059256849 Long ABS-MBS USGSE US N 2 2033-08-01 Fixed 5.00000000 N N N N N N NIKE INC 787RXPR0UX0O0XUXPZ81 654106AH6 3750000.00000000 PA USD 3587941.09000000 0.023701874824 Long DBT CORP US N 2 2025-03-27 Fixed 2.40000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412MBF4 4147.20000000 PA USD 4159.95000000 0.000027480555 Long ABS-MBS USGSE US N 2 2037-12-01 Fixed 7.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140KTHM0 672005.47000000 PA USD 571386.43000000 0.003774568561 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DN5J8 3997134.71000000 PA USD 3421322.51000000 0.022601195457 Long ABS-MBS USGSE US N 2 2052-04-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 186.00000000 NC USD 27609.47000000 0.000182387666 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-29 0.00000000 USD 100000.00000000 108.25000000 USD 2023-07-21 XXXX -78790.53000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TN8 61028000.00000000 PA USD 58586880.00000000 0.387023883973 Long DBT UST US N 2 2053-02-15 Fixed 3.62500000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBV0 4640000.00000000 PA USD 4336979.79000000 0.028650011112 Long DBT CORP US N 2 2026-11-21 Fixed 2.95000000 N N N N N N Nomura Asset Acceptance Corpor N/A 65535VLL0 46850.47000000 PA USD 24459.02000000 0.000161575849 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.47600000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBP4 4750000.00000000 PA USD 4158888.91000000 0.027473545936 Long DBT CORP US N 2 2047-12-01 Fixed 5.20000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABU91 4114586.15000000 PA USD 3758940.04000000 0.024831490837 Long ABS-MBS USGA US N 2 2052-03-20 Fixed 3.50000000 N N N N N N SHELL INTERNATIONAL FIN 213800ITMMKU4Z7I4F78 822582BQ4 3779000.00000000 PA USD 3214740.09000000 0.021236515677 Long DBT CORP NL N 2 2046-05-10 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201AY51 1979.37000000 PA USD 2002.43000000 0.000013228016 Long ABS-MBS USGA US N 2 2032-10-15 Fixed 6.00000000 N N N N N N GS Mortgage Securities Trust N/A 36255TAJ1 28663348.45000000 PA USD 15278808.71000000 0.100931537733 Long ABS-MBS CORP US N 2 2031-09-15 Floating 8.19300000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36291XA90 2540.99000000 PA USD 2571.79000000 0.000016989198 Long ABS-MBS USGA US N 2 2035-05-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXBD3 111334.40000000 PA USD 105177.77000000 0.000694802472 Long ABS-MBS USGSE US N 2 2055-04-01 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380PXV1 3935355.95000000 PA USD 3024745.67000000 0.019981415928 Long ABS-MBS USGA US N 2 2063-01-16 Fixed 1.45000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XA7H9 3263114.97000000 PA USD 2786775.27000000 0.018409387712 Long ABS-MBS USGSE US N 2 2050-09-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31398NY24 1429830.10000000 PA USD 1383317.01000000 0.009138167486 Long ABS-MBS USGSE US N 2 2040-07-25 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3133ASGU1 1526599.17000000 PA USD 1311018.12000000 0.008660562309 Long ABS-MBS USGSE US N 2 2051-09-01 Fixed 2.50000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RMM1 5500000.00000000 PA USD 4322015.23000000 0.028551155496 Long DBT CORP US N 2 2033-12-01 Fixed 2.55000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ACD72 9893999.09000000 PA USD 9769747.28000000 0.064538776219 Long ABS-MBS USGA US N 2 2052-10-20 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140LRU55 1971321.56000000 PA USD 1694010.04000000 0.011190600099 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 2.50000000 N N N N N N MICROSOFT CORP INR2EJN1ERAN0W5ZP974 594918BX1 6985000.00000000 PA USD 6880472.97000000 0.045452281678 Long DBT CORP US N 2 2024-02-06 Fixed 2.87500000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380QGU0 22603976.59000000 PA USD 21852611.37000000 0.144357960816 Long ABS-MBS USGA US N 2 2070-07-20 Floating 4.38905000 N N N N N N SUZANO AUSTRIA GMBH 254900287ZNSGVP1R341 86964WAF9 49955000.00000000 PA USD 49682745.25000000 0.328203328682 Long DBT CORP AT N 2 2029-01-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136BDR26 21184815.24000000 PA USD 3158107.27000000 0.020862400278 Long ABS-MBS USGSE US N 2 2051-02-25 Fixed 2.50000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2M4 103670000.00000000 PA USD 96639753.72000000 0.638400488829 Long DBT CORP US N 2 2051-04-04 Fixed 5.01300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DYC0 4089599.36000000 PA USD 3488940.56000000 0.023047879089 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -124.00000000 NC USD -230562.50000000 -0.00152309176 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Put Written BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Short US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 128.00000000 USD 2023-07-21 XXXX -74808.27000000 N N N NVIDIA CORP 549300S4KLFTLO7GSQ80 67066GAJ3 6630000.00000000 PA USD 5473937.77000000 0.036160735242 Long DBT CORP US N 2 2060-04-01 Fixed 3.70000000 N N N N N N NVIDIA CORP 549300S4KLFTLO7GSQ80 67066GAG9 8680000.00000000 PA USD 7438678.76000000 0.049139779167 Long DBT CORP US N 2 2040-04-01 Fixed 3.50000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBP4 760000.00000000 PA USD 519592.30000000 0.003432417463 Long DBT CORP US N 2 2051-06-04 Fixed 2.93900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138XBVE1 125202.35000000 PA USD 122813.18000000 0.000811301675 Long ABS-MBS USGSE US N 2 2043-11-01 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137BAQX3 286894.64000000 PA USD 24632.57000000 0.000162722317 Long ABS-MBS USGSE US N 2 2044-05-15 Floating 0.80671000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QNXQ0 914544.49000000 PA USD 852275.42000000 0.005630116218 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138M8GU1 14883.24000000 PA USD 13854.67000000 0.000091523702 Long ABS-MBS USGSE US N 2 2042-08-01 Fixed 3.50000000 N N N N N N Thrust Engine Leasing N/A 88603UAA7 9322445.26000000 PA USD 7868423.47000000 0.051978665054 Long ABS-O CORP US N 2 2040-07-15 Fixed 4.16300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418DYB2 31829228.63000000 PA USD 26088952.65000000 0.172343155727 Long ABS-MBS USGSE US N 2 2051-04-01 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31412YBQ4 1968.32000000 PA USD 2022.84000000 0.000013362844 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.50000000 N N N N N N Golub Capital Partners CLO, LT N/A 38179MAA4 5790000.00000000 PA USD 5780508.75000000 0.038185937666 Long ABS-CBDO CORP JE N 2 2036-04-25 Floating 6.92592000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179W7M4 4389869.65000000 PA USD 4156220.95000000 0.027455921440 Long ABS-MBS USGA US N 2 2052-06-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140FXTS1 6576825.82000000 PA USD 5403965.87000000 0.035698502119 Long ABS-MBS USGSE US N 2 2061-09-01 Fixed 2.50000000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29279FAA7 11182000.00000000 PA USD 10933181.60000000 0.072224402579 Long DBT CORP US N 2 2049-04-15 Fixed 6.25000000 N N N N N N COOPERATIEVE RABOBANK UA DG3RU1DBUFHT4ZF9WN62 74977RDP6 7300000.00000000 PA USD 6348161.25000000 0.041935839953 Long DBT CORP NL N 2 2033-04-06 Fixed 3.75800000 N N N N N N Greywolf CLO Ltd 549300RJBZLY8V18YD77 39808PAL0 15000000.00000000 PA USD 14857500.00000000 0.098148379912 Long ABS-CBDO CORP KY N 2 2031-01-27 Floating 6.41514000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36291LG66 29282.91000000 PA USD 29655.24000000 0.000195901986 Long ABS-MBS USGA US N 2 2035-05-15 Fixed 6.00000000 N N N N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAH6 3250000.00000000 PA USD 2757603.84000000 0.018216681765 Long DBT CORP US N 2 2030-06-01 Fixed 2.30000000 N N N N N N College Ave Student Loans N/A 19424WAD9 3163000.00000000 PA USD 2617738.97000000 0.017292736930 Long ABS-O CORP US N 2 2055-07-26 Fixed 3.06000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GVM3 1012000.00000000 PA USD 999263.11000000 0.006601114275 Long DBT CORP US N 2 2024-03-03 Fixed 4.00000000 N N N N N N Whitebox CLO I Ltd 549300E4AC0513DYO913 96467FAJ9 10800000.00000000 PA USD 10664311.05000000 0.070448248523 Long ABS-CBDO CORP KY N 2 2032-07-24 Floating 6.40271000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622ABB35 3513903.29000000 PA USD 3010177.91000000 0.019885181565 Long ABS-MBS USGA US N 2 2051-07-20 Fixed 2.50000000 N N N N N N Fortress Credit BSL Limited N/A 34956NAC6 6717000.00000000 PA USD 6712499.46000000 0.044342651668 Long ABS-CBDO CORP KY N 2 2032-07-23 Floating 7.33221000 N N N N N N BANK OF MONTREAL NQQ6HPCNCCU6TUTQYE16 06368BGS1 1316000.00000000 PA USD 1160453.30000000 0.007665933795 Long DBT CORP CA N 2 2032-12-15 Fixed 3.80300000 N N N N N N CINTAS CORPORATION NO. 2 549300QVUQTTKMTE0G41 17252MAQ3 3440000.00000000 PA USD 3270952.55000000 0.021607854185 Long DBT CORP US N 2 2032-05-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3136AYSU8 1864766.24000000 PA USD 156990.38000000 0.001037075649 Long ABS-MBS USGSE US N 2 2047-11-25 Floating 1.04957000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CY4 17470000.00000000 PA USD 16132249.25000000 0.106569350714 Long DBT CORP US N 2 2038-03-25 Fixed 4.78000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36202FMU7 63582.78000000 PA USD 66572.99000000 0.000439779984 Long ABS-MBS USGA US N 2 2040-11-20 Fixed 6.00000000 N N N N N N Goldentree Loan Opportunities 549300IOBSI2NBFBJX90 38123HAS3 6390000.00000000 PA USD 6318721.51000000 0.041741361556 Long ABS-CBDO CORP KY N 2 2029-10-29 Floating 6.89914000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179UQ62 6933038.35000000 PA USD 6773762.47000000 0.044747354019 Long ABS-MBS USGA US N 2 2049-04-20 Fixed 4.50000000 N N N N N N HGI CRE CLO Ltd 549300VYJ293N0KO2L78 40441LAA4 3233988.47000000 PA USD 3145053.79000000 0.020776169222 Long ABS-CBDO CORP KY N 2 2036-06-16 Floating 6.20814000 N N N N N N ENERGY TRANSFER LP MTLVN9N7JE8MIBIJ1H73 29278NAN3 6670000.00000000 PA USD 6638269.08000000 0.043852287102 Long DBT CORP US N 2 2027-06-01 Fixed 5.50000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RLJ9 12151000.00000000 PA USD 8515411.44000000 0.056252656040 Long DBT CORP US N 2 2055-09-15 Fixed 3.55000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DQF92 5976493.21000000 PA USD 5963254.50000000 0.039393152830 Long ABS-MBS USGSE US N 2 2053-05-01 Fixed 5.50000000 N N N N N N CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 2235753.89000000 0.014769350307 N/A DIR CORP US N 2 CHICAGO MERCANTILE EXCHANGE INC. SNZ2OJLFK8MNNCLQOF39 Y 2029-04-30 838672.10000000 USD 0.00000000 USD -71759000.00000000 USD 1397081.79000000 N N N HOME DEPOT INC QEKMOTMBBKA8I816DO57 437076BW1 750000.00000000 PA USD 726473.27000000 0.004799069459 Long DBT CORP US N 2 2028-12-06 Fixed 3.90000000 N N N N N N USAA CAPITAL CORP 5493007XLF4LU3U2W757 90327QD55 650000.00000000 PA USD 541408.94000000 0.003576537797 Long DBT CORP US N 2 2030-05-01 Fixed 2.12500000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2L6 12440000.00000000 PA USD 11832796.76000000 0.078167244275 Long DBT CORP US N 2 2031-04-04 Fixed 4.47800000 N N N N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JF5 3160000.00000000 PA USD 2701657.33000000 0.017847100119 Long DBT CORP US N 2 2027-08-01 Fixed 2.10000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DPZN1 3303356.63000000 PA USD 3124529.02000000 0.020640582958 Long ABS-MBS USGSE US N 2 2052-07-01 Fixed 4.00000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DH0 2780000.00000000 PA USD 2640504.24000000 0.017443123897 Long DBT CORP US N 2 2027-04-01 Fixed 3.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140X8PK7 2485637.13000000 PA USD 2209858.60000000 0.014598286483 Long ABS-MBS USGSE US N 2 2050-11-01 Fixed 3.00000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -2149.00000000 NC USD -62066.91000000 -0.00041001290 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short FEDERAL RESERVE BANK OF NEW YORK 30 DAY FEDERAL FUNDS 2023-06-30 -849980201.87000000 USD -62066.91000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38380LCX9 4507967.61000000 PA USD 4493947.38000000 0.029686936211 Long ABS-MBS USGA US N 2 2068-05-20 Floating 5.39386000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31378DTS9 1422.39000000 PA USD 1417.84000000 0.000009366225 Long ABS-MBS USGSE US N 2 2027-09-01 Fixed 7.50000000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 62.00000000 NC USD 90093.75000000 0.000595157705 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Call Purchased BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 0.00000000 NC USD 0.00000000 0.00000000 DIR CORP US Long US TREASURY N/B United States Treasury Note/Bond 2023-09-20 0.00000000 USD 100000.00000000 126.50000000 USD 2023-07-21 XXXX 17330.24000000 N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225BVS4 16365.60000000 PA USD 16739.33000000 0.000110579715 Long ABS-MBS USGA US N 2 2032-11-15 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31418CR89 18638770.42000000 PA USD 17242406.86000000 0.113903032078 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.50000000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AH0 15102000.00000000 PA USD 14357953.15000000 0.094848382334 Long DBT CORP US N 2 2027-07-15 Variable 4.15000000 N N N N N N PEPSICO INC FJSUNZKFNQ5YPJ5OT455 713448EP9 2270000.00000000 PA USD 1707368.45000000 0.011278845517 Long DBT CORP US N 2 2049-10-15 Fixed 2.87500000 N N N N N N Freddie Mac - STACR 5493000IS4CDPWRMWB65 35564KWS4 4834067.70000000 PA USD 4867014.77000000 0.032151412733 Long ABS-MBS CORP US N 2 2042-05-25 Floating 7.26655000 N N N N N N GS Mortgage Securities Trust N/A 36255WAG0 11033000.00000000 PA USD 6984400.93000000 0.046138827927 Long ABS-MBS CORP US N 2 2035-07-15 Floating 6.52665600 N N N N N N Legacy Mortgage Asset Trust N/A 52474JAA4 14192693.19000000 PA USD 13297781.44000000 0.087844906933 Long ABS-MBS CORP US N 2 2066-10-25 Variable 1.89200000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DP2Y3 8349728.08000000 PA USD 8225019.80000000 0.054334334048 Long ABS-MBS USGSE US N 2 2053-03-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P7NM1 14468.26000000 PA USD 14489.57000000 0.000095717840 Long ABS-MBS USGSE US N 2 2030-04-01 Fixed 5.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36225BZP6 961.16000000 PA USD 1004.93000000 0.000006638549 Long ABS-MBS USGA US N 2 2033-08-15 Fixed 6.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3137ASRX4 590396.05000000 PA USD 59758.41000000 0.000394762990 Long ABS-MBS USGSE US N 2 2042-08-15 Floating 0.80671000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138W5GH5 1239458.64000000 PA USD 1119770.78000000 0.007397185793 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 3.00000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AM0 4690000.00000000 PA USD 4536423.23000000 0.029967530918 Long DBT CORP CH N 2 2026-05-12 Fixed 4.48800000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378ES38 21466.75000000 PA USD 261.87000000 0.000001729908 Long ABS-MBS USGA US N 2 2027-04-20 Fixed 3.50000000 N N N N N N New York Mortgage Trust N/A 62955VAA4 14423756.75000000 PA USD 12930694.55000000 0.085419937488 Long ABS-MBS CORP US N 2 2061-07-25 Fixed 2.04240000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31410LNV0 1587049.80000000 PA USD 1558387.84000000 0.010294682266 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3138WCTK9 3007097.98000000 PA USD 2879510.21000000 0.019021993071 Long ABS-MBS USGSE US N 2 2044-09-01 Fixed 4.00000000 N N N N N N ECOPETROL SA 254900IDGKCJICKBPA66 279158AJ8 70455000.00000000 PA USD 48338104.58000000 0.319320656407 Long DBT CORP CO N 2 2045-05-28 Fixed 5.87500000 N N N N N N CAMERON LNG LLC 549300C39FLHGVD73K22 133434AA8 9880000.00000000 PA USD 8516233.27000000 0.056258085035 Long DBT CORP US N 2 2031-07-15 Fixed 2.90200000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140N7GY0 477560.30000000 PA USD 468578.32000000 0.003095420021 Long ABS-MBS USGSE US N 2 2052-12-01 Fixed 5.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VDD3 2387000.00000000 PA USD 2219800.05000000 0.014663959524 Long DBT CORP US N 2 2026-08-15 Fixed 2.62500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132DMVK8 2032779.72000000 PA USD 1806045.60000000 0.011930705010 Long ABS-MBS USGSE US N 2 2051-02-01 Fixed 3.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36201EM56 9972.55000000 PA USD 10223.46000000 0.000067535994 Long ABS-MBS USGA US N 2 2032-02-15 Fixed 6.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AAZZ0 7012498.30000000 PA USD 5726839.41000000 0.037831398964 Long ABS-MBS USGA US N 2 2051-03-20 Fixed 2.00000000 N N N N N N REPUBLIC OF PANAMA 549300SHS4T08CL0LP14 698299BK9 2770000.00000000 PA USD 2432069.00000000 0.016066204421 Long DBT NUSS PA N 2 2030-01-23 Fixed 3.16000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QCK96 752880.86000000 PA USD 716869.57000000 0.004735627589 Long ABS-MBS USGSE US N 2 2049-12-01 Fixed 4.00000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NDG3 3920000.00000000 PA USD 3604198.76000000 0.023809272702 Long DBT CORP US N 2 2030-04-01 Fixed 3.40000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 21H040673 7500000.00000000 PA USD 7097753.93000000 0.046887635823 Long ABS-MBS USGA US N 2 2053-07-15 Fixed 4.00000000 N N N N N N CLEVELAND ELECTRIC ILLUM N/A 186108CK0 1415000.00000000 PA USD 1298018.47000000 0.008574686853 Long DBT CORP US N 2 2028-04-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140QKDF2 5651523.59000000 PA USD 4971111.29000000 0.032839072487 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 31371MSG3 465.30000000 PA USD 461.60000000 0.000003049321 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 5.50000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36179TCY9 6162504.51000000 PA USD 5919279.76000000 0.039102656482 Long ABS-MBS USGA US N 2 2047-07-20 Fixed 4.00000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 36213URS1 602.53000000 PA USD 609.55000000 0.000004026676 Long ABS-MBS USGA US N 2 2034-01-15 Fixed 6.00000000 N N N N N N JOHNSON & JOHNSON 549300G0CFPGEF6X2043 478160CP7 9500000.00000000 PA USD 8310036.94000000 0.054895955758 Long DBT CORP US N 2 2027-09-01 Fixed 0.95000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XCXQ6 5299298.32000000 PA USD 4549188.53000000 0.030051858262 Long ABS-MBS USGSE US N 2 2051-10-01 Fixed 2.50000000 N N N N N N PRKCM Trust N/A 69357TAA8 8458898.90000000 PA USD 6626868.88000000 0.043776977584 Long ABS-MBS CORP US N 2 2056-08-25 Variable 1.51000000 N N N N N N LAS VEGAS SANDS CORP 549300DUOO1KXOHPM605 517834AH0 2610000.00000000 PA USD 2454051.46000000 0.016211420159 Long DBT CORP US N 2 2025-06-25 Fixed 2.90000000 N N N N N N HALLIBURTON CO ENYF8GB5SMQZ25S06U51 406216BK6 1075000.00000000 PA USD 973944.69000000 0.006433861245 Long DBT CORP US N 2 2045-11-15 Fixed 5.00000000 N N N N N N FHLMC Multifamily Structured P S6XOOCT0IEG5ABCC6L87 3137FRUL3 6977466.02000000 PA USD 549561.27000000 0.003630391944 Long ABS-MBS USGSE US N 2 2030-01-25 Variable 1.64421700 N N N N N N COMM Mortgage Trust N/A 12592FAA3 2830000.00000000 PA USD 2661136.16000000 0.017579417993 Long ABS-MBS CORP US N 2 2049-08-10 Variable 3.73167700 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61747YEH4 1030000.00000000 PA USD 832414.84000000 0.005498917581 Long DBT CORP US N 2 2032-10-20 Fixed 2.51100000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132H7DU5 20178.19000000 PA USD 18804.16000000 0.000124219945 Long ABS-MBS USGSE US N 2 2044-02-01 Fixed 3.50000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810TH1 350000.00000000 PA USD 312498.05000000 0.002064356542 Long DBT UST US N 2 2042-05-15 Fixed 3.25000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GHA0 3717000.00000000 PA USD 3018353.68000000 0.019939190556 Long DBT CORP US N 2 2049-01-23 Fixed 3.94600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140XAEW8 11093351.17000000 PA USD 9130639.05000000 0.060316838655 Long ABS-MBS USGSE US N 2 2051-03-01 Fixed 2.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P7RC9 118251.54000000 PA USD 118426.41000000 0.000782322751 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3128P7LR2 82546.94000000 PA USD 81165.51000000 0.000536177910 Long ABS-MBS USGSE US N 2 2029-02-01 Fixed 4.50000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46644PAG4 2186936.44000000 PA USD 1956323.99000000 0.012923441373 Long ABS-MBS CORP US N 2 2028-05-15 Floating 8.94329000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 3132L8WB9 7964270.66000000 PA USD 7606794.05000000 0.050250345773 Long ABS-MBS USGSE US N 2 2047-08-01 Fixed 4.00000000 N N N N N N COLT Funding LLC N/A 19685EAA9 15853127.85000000 PA USD 14053082.86000000 0.092834414638 Long ABS-MBS CORP US N 2 2067-02-25 Variable 2.99400000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 3622AACK8 19168481.79000000 PA USD 18086141.52000000 0.119476728188 Long ABS-MBS USGA US N 2 2048-04-20 Fixed 3.50000000 N N N N N N Cayuga Park CLO, Ltd. 549300SVH2QJEV4A2G21 149791AP0 24600000.00000000 PA USD 24076849.84000000 0.159051240464 Long ABS-CBDO CORP KY N 2 2034-07-17 Floating 6.38029000 N N N N N N 2023-08-17 Western Asset Funds Inc Christopher Berarducci Christopher Berarducci Principal Financial Officer