0001752724-24-009927.txt : 20240123
0001752724-24-009927.hdr.sgml : 20240123
20240123161334
ACCESSION NUMBER: 0001752724-24-009927
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231130
FILED AS OF DATE: 20240123
DATE AS OF CHANGE: 20240123
PERIOD START: 20240531
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: WESTERN ASSET FUNDS INC
CENTRAL INDEX KEY: 0000863520
ORGANIZATION NAME:
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: 24552647
BUSINESS ADDRESS:
STREET 1: 100 INTERNATIONAL DRIVE
CITY: BALTIMORE
STATE: MD
ZIP: 21202
BUSINESS PHONE: 410-454-2760
MAIL ADDRESS:
STREET 1: 100 INTERNATIONAL DRIVE
STREET 2: 7TH FLOOR
CITY: BALTIMORE
STATE: MD
ZIP: 21202
FORMER COMPANY:
FORMER CONFORMED NAME: LM INSTITUTIONAL FUND ADVISORS I INC
DATE OF NAME CHANGE: 19980818
FORMER COMPANY:
FORMER CONFORMED NAME: WESTERN ASSET TRUST INC
DATE OF NAME CHANGE: 19920703
0000863520
S000012738
Western Asset Total Return Unconstrained Fund
C000034298
Class I
WAARX
C000034299
Class FI
WARIX
C000066992
Class IS
WAASX
C000113713
CLASS A
WAUAX
C000113714
CLASS C
WAUCX
C000113715
CLASS R
WAURX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000863520
XXXXXXXX
S000012738
C000066992
C000113714
C000034299
C000113713
C000113715
C000034298
Western Asset Funds Inc
811-06110
0000863520
5493004NC00X8WKL1P34
620 Eighth Avenue
47th Floor
New York
10018
1-877-721-1926
Western Asset Total Return Unconstrained Fund
S000012738
549300TRHXU9STZER182
2024-05-31
2023-11-30
N
298616760.97
23582743.31
275034017.66
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
208593.75000000
17063652.39000000
0.00000000
15298518.58000000
AUD
BRL
EUR
GBP
IDR
INR
JPY
MXN
USD
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2019-RPL3
64830NAA9
157687.90000000
PA
USD
147331.26000000
0.053568377196
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.75000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
26142000.00000000
PA
5286422.01000000
1.922097511783
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAF3
590000.00000000
PA
USD
532033.11000000
0.193442656485
Long
DBT
CORP
US
N
2
2045-05-22
Fixed
5.15000000
N
N
N
N
N
N
SMR 2022-IND Mortgage Trust
N/A
SMR 2022-IND Mortgage Trust
78458MAL8
640130.09000000
PA
USD
498853.64000000
0.181378886962
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Floating
11.32291000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
1563.00000000
NC
USD
811102.68000000
0.294909948558
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
2024-03-28
166197885.60000000
USD
811102.68000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPEH7
373104.91000000
PA
USD
327617.37000000
0.119118854019
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.50000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-21CB
02147GAF1
1468770.04000000
PA
USD
123644.88000000
0.044956213435
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.14263000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WVV7
170871.30000000
PA
USD
147955.84000000
0.053795469105
Long
ABS-MBS
USGA
US
N
2
2052-01-20
Fixed
3.00000000
N
N
N
N
N
N
FNMA 10YR POOL
N/A
FNMA 10YR POOL
000000000
100000.00000000
PA
USD
98562.50000000
0.035836476097
Long
DBT
CORP
US
N
3
2033-12-01
Fixed
5.10000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
100.00000000
NC
USD
48125.00000000
0.017497835507
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
0.00000000
USD
2500.00000000
95.68750000
USD
2023-12-15
XXXX
6840.00000000
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAN9
560000.00000000
PA
USD
494716.38000000
0.179874614860
Long
DBT
CORP
NL
N
2
2115-06-05
Fixed
6.85000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TXX8
28154.53000000
PA
USD
27785.74000000
0.010102655750
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
5.00000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
12451000000.00000000
PA
857220.11000000
0.311677848905
Long
DBT
NUSS
ID
N
2
2029-05-15
Fixed
8.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKY7
136250.99000000
PA
USD
130649.47000000
0.047503022030
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
ML-CFC Commercial Mortgage Tru
N/A
ML-CFC Commercial Mortgage Trust 2007-5
55312YAR3
316204.30000000
PA
USD
49802.18000000
0.018107643710
Long
ABS-MBS
CORP
US
N
2
2048-08-12
Variable
5.45000000
N
N
N
N
N
N
Cook Park CLO, Ltd
N/A
Cook Park CLO Ltd
21623PAJ6
840000.00000000
PA
USD
770972.46000000
0.280318946201
Long
ABS-CBDO
CORP
KY
N
2
2030-04-17
Floating
8.26444000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
63.00000000
NC
USD
-200738.57000000
-0.07298681512
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
15288451.07000000
USD
-200738.57000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XLKT4
98819.89000000
PA
USD
98164.21000000
0.035691661284
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418EDL1
90642.87000000
PA
USD
75055.61000000
0.027289573354
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
2.00000000
N
N
N
N
N
N
Goldentree Loan Opportunities
549300IOBSI2NBFBJX90
GoldenTree Loan Opportunities IX Ltd
38123HAW4
1550000.00000000
PA
USD
1555372.66000000
0.565520103016
Long
ABS-CBDO
CORP
KY
N
2
2029-10-29
Floating
8.65159000
N
N
N
N
N
N
Bank
N/A
BANK 2018-BNK15
06036FBG5
1050000.00000000
PA
USD
905688.21000000
0.329300432617
Long
ABS-MBS
CORP
US
N
2
2061-11-15
Variable
4.81512900
N
N
N
N
N
N
Mosaic Solar Loans LLC
N/A
Mosaic Solar Loan Trust 2021-1
61947DAD1
437255.70000000
PA
USD
370313.12000000
0.134642660988
Long
ABS-O
CORP
US
N
2
2046-12-20
Fixed
3.71000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179YAT1
693355.71000000
PA
USD
698863.53000000
0.254100760315
Long
ABS-MBS
USGA
US
N
2
2053-07-20
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXKP6
35721.14000000
PA
USD
33675.63000000
0.012244169025
Long
ABS-MBS
USGSE
US
N
2
2058-08-01
Fixed
4.50000000
N
N
N
N
N
N
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
JPN 10Y BOND(OSE)
000000000
-20.00000000
NC
-50020.23000000
-0.01818692481
N/A
DIR
CORP
JP
N
1
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
Short
JAPAN (10 YEAR ISSUE)
Japan Government Ten Year Bond
2023-12-13
-19863244.84000000
USD
-50020.23000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2017-CHOP
12651QAU3
1229000.00000000
PA
USD
1069137.70000000
0.388729259418
Long
ABS-MBS
CORP
US
N
2
2032-07-15
Floating
12.79400000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859AZ5
480000.00000000
PA
USD
561819.44000000
0.204272709528
Long
DBT
CORP
US
N
2
2038-06-15
Fixed
8.15000000
N
N
N
N
N
N
CVS PASS-THROUGH TRUST
N/A
CVS Pass-Through Trust
126650BP4
32806.02000000
PA
USD
32693.88000000
0.011887213181
Long
DBT
CORP
US
N
2
2028-12-10
Fixed
6.03600000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-SCHATZ
000000000
-150.00000000
NC
-29585.43000000
-0.01075700753
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESSCHATZANWEISUNGEN
BUNDESSCHATZANWEISUNGEN
2023-12-07
-17245795.92000000
USD
-29585.43000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CR89
361644.14000000
PA
USD
323997.74000000
0.117802787726
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.40
000000000
1.00000000
NC
USD
463544.06000000
0.168540627789
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
405364.37000000
USD
0.00000000
USD
23498000.00000000
USD
58179.69000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DN5J8
463475.77000000
PA
USD
379825.67000000
0.138101342238
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617MB5P0
31806.50000000
PA
USD
29334.06000000
0.010665611566
Long
ABS-MBS
USGA
US
N
2
2050-03-15
Fixed
4.00000000
N
N
N
N
N
N
SPIRIT LOYALTY KY LTD/IP
N/A
Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd
84859BAA9
390000.00000000
PA
USD
286650.00000000
0.104223471132
Long
DBT
CORP
KY
N
2
2025-09-20
Fixed
8.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0326C9
900000.00000000
PA
USD
804564.75000000
0.292532813520
Long
ABS-MBS
USGA
US
N
2
2053-12-15
Fixed
3.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHMZ
46650BAA9
10150000.00000000
PA
USD
101.50000000
0.000036904525
Long
ABS-MBS
CORP
US
N
2
2035-06-15
Floating
13.94513000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XH5K9
629364.20000000
PA
USD
608553.50000000
0.221264811232
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYVY2
83910.04000000
PA
USD
69465.44000000
0.025257035689
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
2.00000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAL7
145000.00000000
PA
USD
133701.71000000
0.048612790205
Long
DBT
CORP
US
N
2
2041-07-15
Fixed
5.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XKLX6
95858.92000000
PA
USD
92468.62000000
0.033620793815
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
5.00000000
N
N
N
N
N
N
WILLIS-KNIGHTON MED CTR
N/A
Willis-Knighton Medical Center
97068LAA6
580000.00000000
PA
USD
485739.29000000
0.176610622254
Long
DBT
CORP
US
N
2
2048-09-01
Fixed
4.81300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QM6A7
263713.38000000
PA
USD
223806.14000000
0.081373984899
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-VOLT
05609VAS4
850000.00000000
PA
USD
797507.66000000
0.289966916378
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
8.28739000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAH2
144000.00000000
PA
USD
144295.20000000
0.052464491930
Long
DBT
CORP
US
N
2
2025-02-01
Variable
6.12500000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BB7
30000.00000000
PA
USD
25746.30000000
0.009361132931
Long
DBT
CORP
US
N
2
2042-12-01
Fixed
4.62500000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAF2
740000.00000000
PA
USD
723741.61000000
0.263146215932
Long
DBT
CORP
KY
N
2
2025-08-08
Variable
5.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NF99
917335.36000000
PA
USD
22902.01000000
0.008326973584
Long
ABS-MBS
USGA
US
N
2
2055-09-16
Variable
0.62798000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA TREASURY BOND
000000000
150.00000000
NC
USD
225095.33000000
0.081842723280
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
2024-03-19
18224904.67000000
USD
225095.33000000
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370DA5
1290000.00000000
PA
USD
1029369.46000000
0.374269869872
Long
DBT
CORP
US
N
2
2032-02-12
Fixed
3.25000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2022-6
92539AAC8
1332400.21000000
PA
USD
1279744.55000000
0.465304096158
Long
ABS-MBS
CORP
US
N
2
2067-06-25
Variable
4.91000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVMH5
377662.64000000
PA
USD
347890.73000000
0.126490073104
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
4.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
80.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
0.00000000
USD
100000.00000000
105.75000000
USD
2023-12-01
XXXX
-7568.12000000
N
N
N
CREDIT SUISSE ESCROW CL
N/A
CREDIT SUISSE ESCROW CL
000000000
1680000.00000000
PA
USD
193200.00000000
0.070245856001
Long
DBT
CORP
US
N
2
2050-01-01
None
0.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F062614
1800000.00000000
PA
USD
1827491.94000000
0.664460329507
Long
ABS-MBS
USGSE
US
N
2
2054-01-15
Fixed
6.50000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/CNY FORWARD
000000000
1.00000000
NC
USD
-129404.18000000
-0.04705024531
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-52744223.00000000
CNY
7304282.37000000
USD
2024-01-19
-129404.18000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
40.00000000
NC
USD
4375.00000000
0.001590712318
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
0.00000000
USD
100000.00000000
107.00000000
USD
2023-12-01
XXXX
1477.66000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-159.00000000
NC
USD
-120492.27000000
-0.04380995159
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
0.00000000
USD
100000.00000000
106.50000000
USD
2023-12-22
XXXX
-37204.78000000
N
N
N
First Horizon Alternative Mort
N/A
First Horizon Alternative Mortgage Securities Trust 2005-AA12
32051GQ57
33189.77000000
PA
USD
25121.43000000
0.009133935581
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
5.54056500
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WNF1
535643.24000000
PA
USD
464349.91000000
0.168833627909
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
3.00000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAS4
200000.00000000
PA
USD
159764.98000000
0.058089170699
Long
DBT
CORP
KY
N
2
2031-08-08
Variable
3.50000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BOBL
000000000
30.00000000
NC
25605.87000000
0.009310073793
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUNDESOBLIGATION
Bundesobligation
2023-12-07
3826588.05000000
USD
25605.87000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-1030.00000000
NC
USD
-283250.00000000
-0.10298726041
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-12-17
0.00000000
USD
2500.00000000
97.00000000
USD
2024-09-13
XXXX
136312.00000000
N
N
N
INDIA GOVERNMENT BOND
335800IV7VCDQGIOI391
India Government Bond
000000000
120000000.00000000
PA
1432268.49000000
0.520760487079
Long
DBT
NUSS
IN
N
2
2032-08-22
Fixed
7.26000000
N
N
N
N
N
N
Goldentree Loan Opportunities
549300IOBSI2NBFBJX90
GoldenTree Loan Opportunities IX Ltd
38123HAU8
2270000.00000000
PA
USD
2279062.78000000
0.828647597628
Long
ABS-CBDO
CORP
KY
N
2
2029-10-29
Floating
7.75159000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QRRN5
95812.17000000
PA
USD
89824.88000000
0.032659552721
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
4.50000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A3
59020UHN8
25632.24000000
PA
USD
22205.51000000
0.008073732183
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Variable
4.58021000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBE2
26000.00000000
PA
USD
26097.40000000
0.009488789867
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
5.87500000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AA5
200000.00000000
PA
USD
166828.84000000
0.060657529355
Long
DBT
CORP
US
N
2
2050-02-01
Variable
5.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0406C2
600000.00000000
PA
USD
552738.28000000
0.200970877967
Long
ABS-MBS
USGA
US
N
2
2053-12-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2020-2
35563PRE1
2120000.00000000
PA
USD
1831620.64000000
0.665961489267
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
4.25000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/IDR FORWARD
000000000
1.00000000
NC
USD
-23551.08000000
-0.00856296984
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-35609404898.00000000
IDR
2271297.67000000
USD
2024-01-19
-23551.08000000
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAD5
390000.00000000
PA
USD
280176.77000000
0.101869860457
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
3.81700000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAF0
90000.00000000
PA
USD
87854.64000000
0.031943190426
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XJGY3
185297.52000000
PA
USD
174646.01000000
0.063499785039
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
4.50000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.HY.41.V1
000000000
1.00000000
NC
USD
99591.64000000
0.036210662538
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.41.V1
Y
Default Event
2028-12-20
15095.90000000
USD
0.00000000
USD
2039796.00000000
USD
84495.74000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
SWOP IRS USD
000000000
-3500000.00000000
NC
USD
-28152.85000000
-0.01023613378
N/A
DIR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Put
Written
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2034-10-09
0.00000000
USD
0.00000000
USD
0.00000000
USD
-3500000.00000000
USD
5.00000000
USD
2024-10-07
XXXX
52347.15000000
N
N
N
Bear Stearns Mortgage Funding
N/A
Bear Stearns Mortgage Funding Trust 2007-AR1
07401MAA9
1037538.49000000
PA
USD
872961.23000000
0.317401184561
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
5.61737000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
UNITED STATES TREASURY NOTE/BOND
912810SH2
260000.00000000
PA
USD
191201.56000000
0.069519240429
Long
DBT
UST
US
N
2
2049-05-15
Fixed
2.87500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
234.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
0.00000000
USD
100000.00000000
108.00000000
USD
2023-12-01
XXXX
-30748.57000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QNT85
1559389.09000000
PA
USD
1418434.49000000
0.515730563829
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKJ7
820000.00000000
PA
USD
747317.66000000
0.271718264656
Long
DBT
CORP
US
N
2
2028-02-04
Fixed
2.55100000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
000000000
1312000.00000000
PA
1369780.77000000
0.498040490283
Long
DBT
CORP
GB
N
2
N/A
Fixed
4.94700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KRBZ6
583765.99000000
PA
USD
562575.28000000
0.204547526442
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
5.00000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
50771900.00000000
PA
2508734.34000000
0.912154198722
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDQS8
162854.41000000
PA
USD
139938.82000000
0.050880549682
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376G5V8
2126454.27000000
PA
USD
21.26000000
0.000007729952
Long
ABS-MBS
USGA
US
N
2
2046-09-16
Variable
0.01000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBF1
320000.00000000
PA
USD
237619.14000000
0.086396272730
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.75000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
917288BL5
6342002.10000000
PA
169435.70000000
0.061605361199
Long
DBT
NUSS
UY
N
2
2040-07-02
Fixed
3.87500000
N
N
N
N
N
N
Dividend Solar Loans LLC
N/A
Dividend Solar Loans 2018-1 LLC
255396AC7
2159564.71000000
PA
USD
1880755.62000000
0.683826544803
Long
ABS-O
CORP
US
N
2
2038-07-20
Fixed
5.14000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R01
20754CAF6
1790000.00000000
PA
USD
1813484.80000000
0.659367454044
Long
ABS-MBS
CORP
US
N
2
2040-01-25
Floating
8.69257000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-4CB
12668BPQ0
5485240.87000000
PA
USD
351519.47000000
0.127809451714
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
0.01000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAN3
160000.00000000
PA
USD
132206.72000000
0.048069224718
Long
DBT
CORP
US
N
2
2042-05-15
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379U5F9
2856310.34000000
PA
USD
98323.63000000
0.035749625023
Long
ABS-MBS
USGA
US
N
2
2058-10-16
Variable
0.63266000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAN1
360000.00000000
PA
USD
296605.43000000
0.107843179735
Long
DBT
CORP
US
N
2
2032-01-31
Fixed
3.25000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
GBP/USD FORWARD
000000000
1.00000000
NC
USD
-17660.58000000
-0.00642123478
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-433302.95000000
GBP
529594.11000000
USD
2024-01-19
-17660.58000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPWM6
183511.29000000
PA
USD
187040.90000000
0.068006460288
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
6.50000000
N
N
N
N
N
N
UBS Commercial Mortgage Trust
N/A
UBS Commercial Mortgage Trust 2017-C7
90276WAR8
497219.95000000
PA
USD
463792.85000000
0.168631085691
Long
ABS-MBS
CORP
US
N
2
2050-12-15
Fixed
3.41800000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MKK99
272340.96000000
PA
USD
252991.75000000
0.091985621325
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPTL2
189668.15000000
PA
USD
177829.19000000
0.064657161871
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
4.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAH3
1930000.00000000
PA
USD
1835739.38000000
0.667459027657
Long
DBT
CORP
US
N
2
N/A
Floating
9.66933000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KE6
800000.00000000
PA
USD
787258.84000000
0.286240533697
Long
DBT
CORP
US
N
2
2025-06-08
Fixed
4.95000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
40.00000000
NC
USD
5625.00000000
0.002045201552
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
0.00000000
USD
100000.00000000
110.00000000
USD
2023-12-01
XXXX
-694.20000000
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AT6
320000.00000000
PA
USD
285594.53000000
0.103839711330
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
Greywolf CLO Ltd
5493008JNE27URH1VF66
Greywolf CLO IV Ltd
39809TAQ0
1840000.00000000
PA
USD
1780681.38000000
0.647440413062
Long
ABS-CBDO
CORP
KY
N
2
2034-04-17
Floating
9.31283000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WNE4
531850.75000000
PA
USD
444685.47000000
0.161683806891
Long
ABS-MBS
USGA
US
N
2
2051-09-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179W5F1
273871.14000000
PA
USD
259595.03000000
0.094386517060
Long
ABS-MBS
USGA
US
N
2
2052-05-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DYX4
661626.49000000
PA
USD
516759.69000000
0.187889372520
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
VanEck J. P. Morgan EM Local Currency Bond ETF
549300CNWPR88MZBEA63
VanEck J. P. Morgan EM Local Currency Bond ETF
92189H300
16200.00000000
NS
USD
403218.00000000
0.146606591952
Long
EC
RF
US
N
1
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
14916RAD6
490000.00000000
PA
USD
400261.09000000
0.145531484943
Long
DBT
CORP
US
N
2
2042-11-01
Fixed
4.35000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36241LUX2
33611.76000000
PA
USD
32649.18000000
0.011870960646
Long
ABS-MBS
USGA
US
N
2
2041-04-20
Fixed
4.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
UNITED STATES TREASURY NOTE/BOND
91282CHT1
2250000.00000000
PA
USD
2164394.52000000
0.786955205910
Long
DBT
UST
US
N
2
2033-08-15
Fixed
3.87500000
N
N
N
N
N
N
MASTR Specialized Loan Trust
N/A
Mastr Specialized Loan Trust
57643BAA6
64694.17000000
PA
USD
61429.61000000
0.022335277113
Long
ABS-O
CORP
US
N
2
2046-06-25
Floating
5.97737000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HS2
648100.00000000
PA
USD
242775.91000000
0.088271229888
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.75000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2023-V3 Mortgage Trust
08163VAC1
230000.00000000
PA
USD
235689.37000000
0.085694624979
Long
ABS-MBS
CORP
US
N
2
2056-07-15
Variable
6.36290000
N
N
N
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AA5
238000.00000000
PA
USD
232344.59000000
0.084478491779
Long
DBT
CORP
US
N
2
2025-10-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A54N3
23608.59000000
PA
USD
25050.55000000
0.009108164223
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Fixed
7.00000000
N
N
N
N
N
N
GreenPoint Mortgage Funding Tr
N/A
GreenPoint Mortgage Funding Trust 2006-AR3
39538WHC5
1028.18000000
PA
USD
2748.17000000
0.000999210942
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
5.91737000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAN0
80000.00000000
PA
USD
75111.30000000
0.027309821759
Long
DBT
CORP
US
N
2
N/A
Fixed
6.50000000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2017-CD5 Mortgage Trust
12515HAZ8
340000.00000000
PA
USD
310964.65000000
0.113064068454
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Fixed
3.43100000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
215092.13000000
0.078205645916
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-02-29
33818.98000000
USD
0.00000000
USD
46664000.00000000
USD
181273.15000000
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
29657000000.00000000
PA
1964509.30000000
0.714278661495
Long
DBT
NUSS
ID
N
2
2042-06-15
Fixed
7.12500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023BY0
150000.00000000
PA
USD
114819.98000000
0.041747555803
Long
DBT
CORP
US
N
2
2038-03-01
Fixed
3.55000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AL3
220000.00000000
PA
USD
212791.52000000
0.077369163934
Long
DBT
CORP
CO
N
2
2026-06-26
Fixed
5.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KQUT1
481750.05000000
PA
USD
466709.44000000
0.169691532695
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
5.00000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBF9
50000.00000000
PA
USD
48777.15000000
0.017734951630
Long
DBT
CORP
US
N
2
2049-02-14
Fixed
5.95000000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
48667QAN5
750000.00000000
PA
USD
715337.25000000
0.260090463022
Long
DBT
CORP
KZ
N
2
2027-04-19
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617MKLU1
40072.86000000
PA
USD
36199.85000000
0.013161953676
Long
ABS-MBS
USGA
US
N
2
2050-05-15
Fixed
3.50000000
N
N
N
N
N
N
MORONGO BAND OF MISSION
N/A
Morongo Band of Mission Indians/The
617734AG3
360000.00000000
PA
USD
368123.33000000
0.133846472204
Long
DBT
NUSS
US
N
2
2039-10-01
Fixed
7.00000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
28368EAE6
310000.00000000
PA
USD
344463.48000000
0.125243954522
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
7.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XMBU9
97205.36000000
PA
USD
83639.41000000
0.030410569103
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XKHN3
187762.37000000
PA
USD
176061.62000000
0.064014488643
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
4.50000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AS9
740000.00000000
PA
USD
726889.01000000
0.264290583464
Long
DBT
CORP
GB
N
2
2024-09-11
Fixed
3.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DN5L3
271976.23000000
PA
USD
222891.79000000
0.081041535114
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Cook Park CLO, Ltd
N/A
Cook Park CLO Ltd
21623RAA1
250000.00000000
PA
USD
212257.73000000
0.077175082488
Long
ABS-CBDO
CORP
KY
N
2
2030-04-17
Floating
11.06444000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
836789.81000000
0.304249567787
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2052-04-21
453691.18000000
USD
0.00000000
USD
-3368000.00000000
USD
383098.63000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LUFQ9
80850.02000000
PA
USD
66203.12000000
0.024070884235
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
UNIV OF CALIFORNIA CA RGTS MED
N/A
Regents of the University of California Medical Center Pooled Revenue
913366KD1
190000.00000000
PA
USD
119868.53000000
0.043583165100
Long
DBT
MUN
US
N
2
2120-05-15
Fixed
3.70600000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
-78.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
0.00000000
USD
100000.00000000
106.00000000
USD
2023-12-01
XXXX
16583.85000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNPZ0
1524972.13000000
PA
USD
1309433.62000000
0.476098786303
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAR6
1040000.00000000
PA
USD
998110.76000000
0.362904475777
Long
DBT
CORP
IE
N
2
2027-10-15
Fixed
4.62500000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B85
660000.00000000
PA
USD
627427.65000000
0.228127289612
Long
DBT
CORP
US
N
2
2025-02-10
Fixed
2.30000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2H3
360000.00000000
PA
USD
349577.01000000
0.127103189988
Long
DBT
CORP
CH
N
2
2025-02-21
Fixed
3.70000000
N
N
N
N
N
N
Magnetite CLO Ltd
529900728SHVCI48J015
Magnetite XXXIX Ltd
559923AA5
680000.00000000
PA
USD
661128.67000000
0.240380690223
Long
ABS-CBDO
CORP
KY
N
2
2033-10-25
Floating
11.98481000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H062610
900000.00000000
PA
USD
914800.78000000
0.332613684584
Long
ABS-MBS
USGA
US
N
2
2054-01-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MKAF9
82637.86000000
PA
USD
75761.02000000
0.027546054355
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133C1NL0
98109.01000000
PA
USD
96808.41000000
0.035198704081
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
5.50000000
N
N
N
N
N
N
BrightSpire Capital, Inc
N/A
BRSP 2021-FL1 Ltd
05591XAA9
1469682.24000000
PA
USD
1430147.79000000
0.519989418824
Long
ABS-CBDO
CORP
KY
N
2
2038-08-19
Floating
6.59555000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
1855386.49000000
0.674602547635
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-07-11
0.00000000
USD
0.00000000
USD
-10838000.00000000
USD
1855386.49000000
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AT8
630000.00000000
PA
USD
611751.26000000
0.222427489226
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
5.75000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AU5
320000.00000000
PA
USD
289180.74000000
0.105143626399
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
2.26800000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325CU7
370000.00000000
PA
USD
263295.10000000
0.095731830644
Long
DBT
NUSS
CO
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
AMERICAN AIRLINES INC
IWUQB36BXD6OWD6X4T14
American Airlines Inc
023771T40
110000.00000000
PA
USD
113538.43000000
0.041281595260
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
8.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKK4
700000.00000000
PA
USD
571525.37000000
0.207801702081
Long
DBT
CORP
US
N
2
2033-02-04
Fixed
2.97200000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
-78.00000000
NC
USD
-66421.92000000
-0.02415043803
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
0.00000000
USD
100000.00000000
106.00000000
USD
2023-12-01
XXXX
-44205.27000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDGD2
252863.36000000
PA
USD
206643.94000000
0.075133956794
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
AUST 10Y BOND
000000000
116.00000000
NC
-201416.28000000
-0.07323322464
N/A
DIR
CORP
AU
N
1
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
Long
AUSTRALIAN GOVERNMENT
Australia Government Bond
2023-12-15
8548911.98000000
USD
-201416.28000000
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAQ4
730000.00000000
PA
USD
679221.20000000
0.246958978303
Long
DBT
CORP
NL
N
2
2029-05-09
Fixed
5.12500000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBL5
210000.00000000
PA
USD
212166.44000000
0.077141890230
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
6.50000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CY3
1825000.00000000
PA
USD
1782504.73000000
0.648103367418
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABCA8
82534.56000000
PA
USD
68220.03000000
0.024804215340
Long
ABS-MBS
USGA
US
N
2
2051-06-20
Fixed
2.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TR9
180000.00000000
PA
USD
153703.13000000
0.055885134249
Long
DBT
UST
US
N
2
2053-05-15
Fixed
3.62500000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AG2
640000.00000000
PA
USD
625984.32000000
0.227602507255
Long
DBT
CORP
US
N
2
2024-08-08
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M2PG1
90906.80000000
PA
USD
73781.16000000
0.026826194311
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAE1
1830000.00000000
PA
USD
1668430.71000000
0.606627036246
Long
DBT
CORP
NL
N
2
2026-10-01
Fixed
3.15000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
-20.00000000
NC
USD
-11875.00000000
-0.00431764772
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
0.00000000
USD
100000.00000000
109.25000000
USD
2023-12-01
XXXX
-3784.60000000
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636ABC4
520000.00000000
PA
USD
493232.60000000
0.179335125231
Long
DBT
CORP
DK
N
2
2028-04-01
Fixed
4.29800000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
-78.00000000
NC
USD
-81656.26000000
-0.02968951284
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
0.00000000
USD
100000.00000000
108.75000000
USD
2023-12-01
XXXX
-48166.19000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAP4
60000.00000000
PA
USD
52392.03000000
0.019049290864
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.30000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2005-9
17307GK31
83802.57000000
PA
USD
67751.44000000
0.024633840052
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
5.71737000
N
N
N
N
N
N
MSWF Commercial Mortgage Trust
N/A
MSWF Commercial Mortgage Trust 2023-1
55376CAD5
160000.00000000
PA
USD
158050.13000000
0.057465666009
Long
ABS-MBS
CORP
US
N
2
2056-05-15
Fixed
5.47200000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-405.00000000
NC
USD
-2531.25000000
-0.00092034069
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-19
0.00000000
USD
2500.00000000
95.12500000
USD
2023-12-15
XXXX
14337.00000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPT73
94177.25000000
PA
USD
90846.45000000
0.033030986774
Long
ABS-MBS
USGSE
US
N
2
2053-01-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XHZ2
188137.03000000
PA
USD
183149.63000000
0.066591628031
Long
ABS-MBS
USGA
US
N
2
2052-10-20
Fixed
5.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JW8
460000.00000000
PA
USD
406473.94000000
0.147790423693
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CL6
545000.00000000
PA
USD
431535.70000000
0.156902663776
Long
DBT
CORP
US
N
2
2063-04-01
Fixed
5.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
USD/CAD FORWARD
000000000
1.00000000
NC
USD
13879.08000000
0.005046313949
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-2950068.39000000
USD
4018701.16000000
CAD
2024-01-19
13879.08000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XLET1
90738.70000000
PA
USD
82658.95000000
0.030054082292
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
4.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2023-VLT2
123918AA2
160000.00000000
PA
USD
160169.54000000
0.058236265231
Long
ABS-MBS
CORP
US
N
2
2040-06-15
Floating
7.60391000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HVBT0
97906.98000000
PA
USD
85643.60000000
0.031139275326
Long
ABS-MBS
USGSE
US
N
2
2031-09-01
Fixed
2.85000000
N
N
N
N
N
N
GoodLeap Sustainable Home Impr
N/A
GoodLeap Sustainable Home Solutions Trust 2022-1
38237JAC7
1557121.78000000
PA
USD
1056228.25000000
0.384035494585
Long
ABS-O
CORP
US
N
2
2049-01-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R05
20754HAD0
1559587.13000000
PA
USD
1620319.64000000
0.589134265566
Long
ABS-MBS
CORP
US
N
2
2039-07-25
Floating
9.54257000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/JPY FORWARD
000000000
1.00000000
NC
USD
1038.99000000
0.000377767815
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-34810000.00000000
JPY
237758.12000000
USD
2024-01-19
1038.99000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
216236.32000000
0.078621663545
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-09-30
3201.11000000
USD
0.00000000
USD
-5162000.00000000
USD
213035.21000000
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBN1
30000.00000000
PA
USD
30475.05000000
0.011080465703
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.87500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAQ6
120000.00000000
PA
USD
107713.66000000
0.039163759056
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.75000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
360.00000000
NC
USD
87750.00000000
0.031905144224
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
0.00000000
USD
2500.00000000
96.00000000
USD
2024-06-14
XXXX
-15918.50000000
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
Netflix Inc
000000000
840000.00000000
PA
917256.74000000
0.333506650487
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
3.87500000
N
N
N
N
N
N
DIGNITY HEALTH
TFVG45LTYVO3XKPZWP18
Dignity Health
254010AE1
860000.00000000
PA
USD
758344.20000000
0.275727419630
Long
DBT
CORP
US
N
2
2064-11-01
Fixed
5.26700000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAL3
250000.00000000
PA
USD
242117.50000000
0.088031837683
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST
46652DAQ8
2173000.00000000
PA
USD
74266.84000000
0.027002783376
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
12.43748000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAK7
350000.00000000
PA
USD
308956.52000000
0.112333929682
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.00000000
N
N
N
N
N
N
H&E EQUIPMENT SERVICES
254900KVLRCDMQRYY541
H&E Equipment Services Inc
404030AJ7
2280000.00000000
PA
USD
2020590.95000000
0.734669466414
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.87500000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2P8
1130000.00000000
PA
USD
916048.50000000
0.333067344830
Long
DBT
CORP
FR
N
2
2032-04-19
Fixed
2.87100000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
3 MONTH SOFR
000000000
-456.00000000
NC
USD
521317.40000000
0.189546516621
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2026-12-15
-110388817.40000000
USD
521317.40000000
N
N
N
GS Mortgage Securities Trust
549300L45M7638EL0H21
GS Mortgage Securities Trust 2015-GC30
36250GAX3
1000000.00000000
PA
USD
680289.70000000
0.247347475700
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Fixed
3.38400000
N
N
N
N
N
N
Marathon CLO LTD
N/A
Marathon CLO 14 Ltd
56578HAJ5
1410000.00000000
PA
USD
1415990.33000000
0.514841888304
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
8.97743000
N
N
N
N
N
N
HACKENSACK MERIDIAN HLTH
5493001CB3OCWTEJY668
Hackensack Meridian Health Inc
404530AB3
310000.00000000
PA
USD
254377.20000000
0.092489359012
Long
DBT
CORP
US
N
2
2048-07-01
Fixed
4.21100000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RC4
570000.00000000
PA
USD
489576.56000000
0.178005820576
Long
DBT
UST
US
N
2
2043-08-15
Fixed
3.62500000
N
N
N
N
N
N
BUILDERS FIRSTSOURCE INC
549300W0SKP6L3H7DP63
Builders FirstSource Inc
12008RAP2
30000.00000000
PA
USD
25758.55000000
0.009365586925
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPBT4
2149380.96000000
PA
USD
1833445.80000000
0.666625101723
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR3 Trust
92925CDB5
1193961.12000000
PA
USD
1017435.16000000
0.369930661180
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
5.92869500
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CE2
40000.00000000
PA
USD
26461.57000000
0.009621198943
Long
DBT
CORP
US
N
2
2042-03-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVL94
4541882.07000000
PA
USD
3727813.02000000
1.355400707053
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABE65
252313.38000000
PA
USD
208534.91000000
0.075821497200
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
THE VANGUARD GROUP INC
N/A
THE VANGUARD GROUP INC
000000000
1000000.00000000
PA
USD
579529.10000000
0.210711789374
Long
DBT
CORP
US
N
2
2050-08-22
Fixed
3.05000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBD4
26000.00000000
PA
USD
25753.82000000
0.009363867138
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DQBZ8
190016.57000000
PA
USD
188024.13000000
0.068363954248
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
5.50000000
N
N
N
N
N
N
BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The
06417XAH4
825000.00000000
PA
USD
801716.21000000
0.291497108910
Long
DBT
CORP
CA
N
2
2025-04-11
Fixed
3.45000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
-40.00000000
NC
USD
-312.53000000
-0.00011363321
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
0.00000000
USD
100000.00000000
106.25000000
USD
2023-12-01
XXXX
10305.78000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133AUP44
176351.84000000
PA
USD
144103.99000000
0.052394969620
Long
ABS-MBS
USGSE
US
N
2
2051-10-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBH1
793960.60000000
PA
USD
779042.40000000
0.283253106880
Long
ABS-MBS
USGSE
US
N
2
2056-08-25
Variable
4.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2023-SMRT
17291NAA9
330000.00000000
PA
USD
327763.10000000
0.119171840192
Long
ABS-MBS
CORP
US
N
2
2040-10-12
Variable
6.01468600
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179W2W7
909530.80000000
PA
USD
813621.56000000
0.295825791632
Long
ABS-MBS
USGA
US
N
2
2052-04-20
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEK7
760000.00000000
PA
USD
692825.83000000
0.251905504597
Long
DBT
CORP
US
N
2
2028-01-21
Fixed
2.47500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
135.00000000
NC
USD
6328.13000000
0.002300853564
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
0.00000000
USD
100000.00000000
107.25000000
USD
2023-12-01
XXXX
-21327.31000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NK51
176653.00000000
PA
USD
636.20000000
0.000231316840
Long
ABS-MBS
USGA
US
N
2
2048-02-16
Variable
0.15167000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378BF61
1052702.98000000
PA
USD
2487.12000000
0.000904295410
Long
ABS-MBS
USGA
US
N
2
2053-02-16
Variable
0.11083000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140N6NC2
96952.91000000
PA
USD
90895.30000000
0.033048748214
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
399632.42000000
0.145302905945
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-02-15
21602.11000000
USD
0.00000000
USD
-5549000.00000000
USD
378030.31000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLA1
131030.07000000
PA
USD
108279.96000000
0.039369660859
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UGE6
60187.02000000
PA
USD
59432.07000000
0.021608988773
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
5.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-61997.80000000
-0.02254186610
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-02-29
707.03000000
USD
0.00000000
USD
25588000.00000000
USD
-62704.83000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/NZD FORWARD
000000000
1.00000000
NC
USD
30152.65000000
0.010963243840
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-1373300.14000000
USD
2278631.00000000
NZD
2024-01-19
30152.65000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XLH7
285211.90000000
PA
USD
277417.18000000
0.100866497301
Long
ABS-MBS
USGA
US
N
2
2052-11-20
Fixed
5.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
657534.92000000
0.239074033675
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-04-30
0.00000000
USD
-245462.18000000
USD
-13949000.00000000
USD
902997.10000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617JYLP6
85698.71000000
PA
USD
76660.48000000
0.027873090264
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
3.50000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2001-HYB1
12669B2W1
3124.62000000
PA
USD
3018.36000000
0.001097449699
Long
ABS-MBS
CORP
US
N
2
2031-06-19
Variable
5.25743400
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/MXN FORWARD
000000000
1.00000000
NC
USD
-65159.36000000
-0.02369138208
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-24297668.44000000
MXN
1322294.19000000
USD
2024-01-19
-65159.36000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QPJ24
86891.44000000
PA
USD
84153.61000000
0.030597527795
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
5.00000000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAF5
1110000.00000000
PA
USD
868928.63000000
0.315934965933
Long
DBT
CORP
NL
N
2
2031-07-13
Fixed
3.06100000
N
N
N
N
N
N
CREDIT AGRICOLE SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AJ4
1020000.00000000
PA
USD
1025752.80000000
0.372954883445
Long
DBT
CORP
FR
N
2
N/A
Fixed
8.12500000
N
N
N
N
N
N
NGPL PIPECO LLC
549300K3NT1HSQFEM073
NGPL PipeCo LLC
62912XAF1
1390000.00000000
PA
USD
1337263.37000000
0.486217443710
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
4.87500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
247.00000000
NC
USD
111921.88000000
0.040693831603
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
0.00000000
USD
100000.00000000
110.75000000
USD
2023-12-22
XXXX
-43599.19000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XSQ5
30639744.68000000
PA
USD
138252.66000000
0.050267476429
Long
ABS-MBS
USGA
US
N
2
2055-01-16
Variable
0.14577000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBR3
130000.00000000
PA
USD
112601.97000000
0.040941106470
Long
DBT
CORP
US
N
2
2078-02-15
Fixed
5.37500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TV0
1830000.00000000
PA
USD
1902628.13000000
0.691779201055
Long
DBT
UST
US
N
2
2053-11-15
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179X5G7
1088158.31000000
PA
USD
1057600.12000000
0.384534294702
Long
ABS-MBS
USGA
US
N
2
2053-06-20
Fixed
5.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2022-7R
12662TAA8
1012029.58000000
PA
USD
1006489.83000000
0.365951033462
Long
ABS-MBS
CORP
US
N
2
2066-10-25
Floating
8.81696000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912797HU4
2040000.00000000
PA
USD
2036717.52000000
0.740532948370
Long
DBT
UST
US
N
2
2023-12-12
None
0.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA BOND
000000000
-256.00000000
NC
USD
-218269.06000000
-0.07936075030
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
2024-03-19
-28841732.22000000
USD
-218269.06000000
N
N
N
FORD MOTOR CREDI
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B69
340000.00000000
PA
USD
282532.64000000
0.102726434498
Long
DBT
CORP
US
N
2
2031-06-17
Fixed
3.62500000
N
N
N
N
N
N
PARSLEY ENERGY LLC/FINAN
N/A
Parsley Energy LLC / Parsley Finance Corp
701885AJ4
70000.00000000
PA
USD
66197.12000000
0.024068702687
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.12500000
N
N
N
N
N
N
Bristol Park CLO, Ltd.
549300XRS6MFERKEPO61
Bristol Park CLO LTD
11014PAQ8
1420000.00000000
PA
USD
1392174.60000000
0.506182693997
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
8.60548000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-H7
61771MAW0
178000.00000000
PA
USD
156207.78000000
0.056795803416
Long
ABS-MBS
CORP
US
N
2
2052-07-15
Fixed
3.26100000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAF6
1190000.00000000
PA
USD
1122571.98000000
0.408157503406
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XKM31
93453.83000000
PA
USD
87618.72000000
0.031857411946
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAZ3
70000.00000000
PA
USD
68516.16000000
0.024911885657
Long
DBT
CORP
US
N
2
2032-10-15
Fixed
5.60000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
59.00000000
NC
USD
26918.75000000
0.009787425653
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
0.00000000
USD
2500.00000000
95.87500000
USD
2023-12-15
XXXX
-26180.15000000
N
N
N
Amortizing Residential Collate
N/A
Amortizing Residential Collateral Trust 2002-BC5
86358RZ67
11546.88000000
PA
USD
11633.62000000
0.004229884033
Long
ABS-O
CORP
US
N
2
2032-07-25
Floating
6.49237000
N
N
N
N
N
N
INDIA GOVERNMENT BOND
335800IV7VCDQGIOI391
India Government Bond
000000000
200000000.00000000
PA
2217192.54000000
0.806152111242
Long
DBT
NUSS
IN
N
2
2030-05-11
Fixed
5.79000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFTF8
267323.71000000
PA
USD
219074.32000000
0.079653535902
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HV5
1190000.00000000
PA
USD
392261.31000000
0.142622833836
Long
DBT
NUSS
AR
N
2
2041-07-09
Variable
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
234.00000000
NC
USD
9140.74000000
0.003323494336
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
0.00000000
USD
100000.00000000
106.50000000
USD
2023-12-01
XXXX
-16857.83000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MB5S4
29570.42000000
PA
USD
27970.74000000
0.010169920156
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WDN6
84575.87000000
PA
USD
73409.93000000
0.026691218280
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
3.00000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.40.V1
000000000
1.00000000
NC
USD
-51810.88000000
-0.01883798972
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.40.V1
Y
Default Event
2033-06-20
358077.54000000
USD
0.00000000
USD
-23498000.00000000
USD
-409888.42000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KQPL9
146165.16000000
PA
USD
114610.69000000
0.041671459761
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.00000000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2021-GS2
52476DAB3
1200000.00000000
PA
USD
1084327.80000000
0.394252248949
Long
ABS-MBS
CORP
US
N
2
2061-04-25
Variable
3.50000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-8T1
12668BMF7
3386112.00000000
PA
USD
294578.20000000
0.107106096368
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
0.04263000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0426C8
600000.00000000
PA
USD
567441.91000000
0.206316991195
Long
ABS-MBS
USGA
US
N
2
2053-12-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HKJD1
540731.91000000
PA
USD
423212.51000000
0.153876423578
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
2.00000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CV5
265000.00000000
PA
USD
261457.27000000
0.095063611485
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.70500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/JPY FORWARD
000000000
1.00000000
NC
USD
-8479.61000000
-0.00308311316
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-121765000.00000000
JPY
819561.34000000
USD
2024-01-19
-8479.61000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CHR5
7350000.00000000
PA
USD
7193238.32000000
2.615399499014
Long
DBT
UST
US
N
2
2030-07-31
Fixed
4.00000000
N
N
N
N
N
N
Deutsche Mortgage Securities,
N/A
Deutsche Mortgage Securities Inc Mortgage Loan Trust 2004-4
251563FE7
2707.71000000
PA
USD
2433.87000000
0.000884934169
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Floating
5.90737000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2022-ONL
95003WAN6
1190000.00000000
PA
USD
889565.70000000
0.323438426842
Long
ABS-MBS
CORP
US
N
2
2039-12-15
Variable
5.09191500
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H052611
1800000.00000000
PA
USD
1786752.58000000
0.649647849092
Long
ABS-MBS
USGA
US
N
2
2054-01-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9XA6
85606.28000000
PA
USD
79231.20000000
0.028807781915
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABLA8
87490.34000000
PA
USD
72315.33000000
0.026293231148
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-28CB
12667GXC2
751238.86000000
PA
USD
495473.58000000
0.180149926258
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
5.75000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/JPY FORWARD
000000000
1.00000000
NC
USD
-2263.38000000
-0.00082294547
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-40937000.00000000
JPY
276121.31000000
USD
2024-01-19
-2263.38000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XFCD1
70452.68000000
PA
USD
66549.66000000
0.024196883195
Long
ABS-MBS
USGSE
US
N
2
2051-09-01
Fixed
4.50000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BK2
1240000.00000000
PA
USD
693941.20000000
0.252311043522
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAHA5
5535.87000000
PA
USD
4985.14000000
0.001812553967
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
44.00000000
NC
USD
19937.50000000
0.007249103281
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
0.00000000
USD
100000.00000000
110.75000000
USD
2023-12-22
XXXX
-9013.62000000
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
984245AU4
673234.58000000
PA
USD
675570.70000000
0.245631687944
Long
DBT
CORP
AR
N
2
2026-02-12
Variable
9.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QC6H4
110601.62000000
PA
USD
101832.52000000
0.037025427205
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.00000000
N
N
N
N
N
N
COTERRA ENERGY INC
FCNMH6O7VWU7LHXMK351
Coterra Energy Inc
127097AK9
230000.00000000
PA
USD
217406.51000000
0.079047134550
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.37500000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBF9
84000.00000000
PA
USD
78161.82000000
0.028418964557
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.50000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DH5
530000.00000000
PA
USD
590418.98000000
0.214671255949
Long
DBT
CORP
US
N
2
2039-06-15
Fixed
7.95000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-52CB
12668AFX8
3115104.84000000
PA
USD
154637.85000000
0.056224990390
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
0.01000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAQ8
330000.00000000
PA
USD
276844.52000000
0.100658283057
Long
DBT
CORP
KY
N
2
2029-03-08
Variable
3.10000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VHV5
106014.22000000
PA
USD
101633.97000000
0.036953236135
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XQX7
768540.65000000
PA
USD
763487.07000000
0.277597322867
Long
ABS-MBS
USGA
US
N
2
2053-01-20
Fixed
5.50000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/MXN FORWARD
000000000
1.00000000
NC
USD
4445.25000000
0.001616254613
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-427642.96000000
USD
7566910.00000000
MXN
2024-01-19
4445.25000000
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2019-4
89178BBA1
1840000.00000000
PA
USD
1294680.49000000
0.470734675301
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
3.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-4757429.91000000
-1.72976054034
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2024-07-11
0.00000000
USD
-1375170.24000000
USD
119278000.00000000
USD
-3382259.67000000
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBE4
380000.00000000
PA
USD
306251.50000000
0.111350407707
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
5.25000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
133.00000000
NC
USD
-539760.55000000
-0.19625228711
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-12-19
32010054.30000000
USD
-539760.55000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
-78.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
0.00000000
USD
100000.00000000
108.75000000
USD
2023-12-01
XXXX
29474.44000000
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Republic of Kenya Government International Bond
491798AJ3
1000000.00000000
PA
USD
905021.00000000
0.329057840808
Long
DBT
NUSS
KE
N
2
2027-05-22
Fixed
7.00000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAN5
500000.00000000
PA
USD
441016.20000000
0.160349691922
Long
DBT
CORP
KY
N
2
2027-03-08
Variable
2.55000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
15.00000000
NC
USD
10125.00000000
0.003681362795
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
0.00000000
USD
2500.00000000
96.00000000
USD
2023-12-15
XXXX
-3406.50000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WQB7
159635.21000000
PA
USD
138278.07000000
0.050276715286
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UEB4
75351.77000000
PA
USD
74308.01000000
0.027017752433
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
5.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
179.00000000
NC
USD
40554.78000000
0.014745368716
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
0.00000000
USD
100000.00000000
106.75000000
USD
2023-12-01
XXXX
5135.74000000
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
74977RDN1
450000.00000000
PA
USD
421115.79000000
0.153114074245
Long
DBT
CORP
NL
N
2
2028-04-06
Fixed
3.64900000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AT7
290000.00000000
PA
USD
274767.23000000
0.099902998304
Long
DBT
CORP
GB
N
2
2027-09-11
Fixed
4.00000000
N
N
N
N
N
N
PRKCM Trust
N/A
PRKCM 2022-AFC1 Trust
69377CAA1
600917.56000000
PA
USD
559122.00000000
0.203291943577
Long
ABS-MBS
CORP
US
N
2
2057-04-25
Variable
4.10000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDX4
520000.00000000
PA
USD
541680.46000000
0.196950349854
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
8.72809000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29279FAA7
505000.00000000
PA
USD
497365.47000000
0.180837801167
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RPH0
492639.29000000
PA
USD
13898.39000000
0.005053334899
Long
ABS-MBS
USGA
US
N
2
2058-07-16
Variable
0.59051000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
117.00000000
NC
USD
25593.75000000
0.009305667065
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
0.00000000
USD
100000.00000000
109.75000000
USD
2023-12-01
XXXX
8938.21000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-1140196.21000000
-0.41456552164
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-07-18
124888.23000000
USD
0.00000000
USD
312170000.00000000
MXN
-1265084.44000000
N
N
N
Starwood Retail Property Trust
5493007115G809OI4R97
Starwood Retail Property Trust 2014-STAR
85571XAS6
7530000.00000000
PA
USD
36791.58000000
0.013377101608
Long
ABS-MBS
CORP
US
N
2
2027-11-15
Floating
8.50000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CX1
230000.00000000
PA
USD
223524.12000000
0.081271444856
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
5.93000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AD6
230000.00000000
PA
USD
197298.07000000
0.071735878957
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QP2U0
17550.36000000
PA
USD
16453.59000000
0.005982383612
Long
ABS-MBS
USGSE
US
N
2
2052-08-01
Fixed
4.50000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBG7
188000.00000000
PA
USD
189863.41000000
0.069032700614
Long
DBT
CORP
US
N
2
2059-02-14
Fixed
6.20000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAE5
590000.00000000
PA
USD
565237.11000000
0.205515344904
Long
DBT
CORP
KY
N
2
2028-08-08
Variable
5.65000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAX3
640000.00000000
PA
USD
530766.39000000
0.192982088003
Long
DBT
CORP
IE
N
2
2032-01-30
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M2SK9
176612.48000000
PA
USD
150810.75000000
0.054833489792
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
HalseyPoint CLO I, Ltd.
549300POBLM5RW6LD816
Halsey Point CLO I Ltd
40638CAC3
860000.00000000
PA
USD
755575.06000000
0.274720584176
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
13.87743000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-817779.27000000
-0.29733749917
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2053-10-27
0.00000000
USD
0.00000000
USD
-2182760000.00000000
JPY
-817779.27000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/CNH FORWARD
000000000
1.00000000
NC
USD
70283.78000000
0.025554577065
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-3510261.68000000
USD
25489063.12000000
CNY
2024-01-19
70283.78000000
N
N
N
COTERRA ENERGY INC
FCNMH6O7VWU7LHXMK351
Coterra Energy Inc
127097AG8
325000.00000000
PA
USD
309903.01000000
0.112678065294
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.90000000
N
N
N
N
N
N
HPS Loan Management Ltd
2549009NI8GVCM3ROT27
HPS Loan Management 10-2016 Ltd
40436TBA3
1520000.00000000
PA
USD
1432600.00000000
0.520881021260
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
8.82743000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AH0
110000.00000000
PA
USD
104706.25000000
0.038070290682
Long
DBT
CORP
US
N
2
2025-06-25
Fixed
2.90000000
N
N
N
N
N
N
PROVINCIA DE BUENOS AIRE
549300L6AYROPOTQ4L07
Provincia de Buenos Aires/Government Bonds
000000000
100000.00000000
PA
USD
36775.00000000
0.013371073263
Long
DBT
NUSS
AR
N
2
2037-09-01
Variable
6.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XJU84
269708.55000000
PA
USD
232033.54000000
0.084365396678
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
3.00000000
N
N
N
N
N
N
Golub Capital Partners CLO Ltd
254900SGGS5FSVUNJG17
Golub Capital Partners Clo 45M Ltd
38172HAE4
950000.00000000
PA
USD
950900.03000000
0.345739060967
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Floating
9.47743000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DNGZ0
2626651.69000000
PA
USD
2315181.73000000
0.841780136761
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140L2QE6
150689.71000000
PA
USD
118105.78000000
0.042942244383
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-XL2
05609KAQ2
836665.27000000
PA
USD
785775.27000000
0.285701120423
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
9.32748000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4MM5
39708.62000000
PA
USD
37817.11000000
0.013749975483
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WR34
330708.58000000
PA
USD
287072.77000000
0.104377186663
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
3.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
18.00000000
NC
USD
2324.70000000
0.000845240897
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-19
4255687.80000000
USD
2324.70000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133B5EE8
91059.41000000
PA
USD
77183.52000000
0.028063263103
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
3.00000000
N
N
N
N
N
N
Access Group Inc
635400C9RW3TYNTIJP57
AccessLex Institute
00432CBK6
200000.00000000
PA
USD
173775.31000000
0.063183206018
Long
ABS-O
CORP
US
N
2
2039-07-01
Variable
6.95700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWBP7
2125460.79000000
PA
USD
1662132.59000000
0.604337094058
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
2.00000000
N
N
N
N
N
N
National Collegiate Student Lo
635400VQIBXGEB9ZUC59
National Collegiate Student Loan Trust 2007-2
63543LAD7
605050.16000000
PA
USD
565944.26000000
0.205772458554
Long
ABS-O
CORP
US
N
2
2033-01-25
Floating
5.74737000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
Vale Overseas Ltd
91911TAH6
910000.00000000
PA
USD
945029.54000000
0.343604601365
Long
DBT
CORP
KY
N
2
2036-11-21
Fixed
6.87500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
JPY/USD FORWARD
000000000
1.00000000
NC
USD
16434.41000000
0.005975409929
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-6187367.10000000
USD
912280840.00000000
JPY
2024-01-19
16434.41000000
N
N
N
Fremont Home Loan Trust
N/A
Fremont Home Loan Trust 2006-B
35729QAC2
311187.00000000
PA
USD
98820.70000000
0.035930355394
Long
ABS-O
CORP
US
N
2
2036-08-25
Floating
5.65737000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179V7D6
207477.80000000
PA
USD
167820.14000000
0.061017957497
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
2.00000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAB6
770000.00000000
PA
USD
767939.29000000
0.279216111713
Long
DBT
CORP
KY
N
2
2024-02-15
Fixed
5.50000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAQ8
800000.00000000
PA
USD
754691.69000000
0.274399398452
Long
DBT
CORP
ES
N
2
2028-03-24
Fixed
4.17500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0506C1
200000.00000000
PA
USD
194294.28000000
0.070643726784
Long
ABS-MBS
USGA
US
N
2
2053-12-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XK6S4
91457.87000000
PA
USD
87865.22000000
0.031947037223
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
4.50000000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAH0
2010000.00000000
PA
USD
1795652.80000000
0.652883892428
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.62500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
180000.00000000
PA
USD
134034.20000000
0.048733680706
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
BRASKEM AMERICA FINANCE
254900QMQAJ26H49CL75
Braskem America Finance Co
000000000
810000.00000000
PA
USD
725899.00000000
0.263930624355
Long
DBT
CORP
US
N
2
2041-07-22
Fixed
7.12500000
N
N
N
N
N
N
NISSAN MOTOR CO
353800DRBDH1LUTNAY26
Nissan Motor Co Ltd
654744AB7
790000.00000000
PA
USD
753498.04000000
0.273965397593
Long
DBT
CORP
JP
N
2
2025-09-17
Fixed
3.52200000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/INR FORWARD
000000000
1.00000000
NC
USD
-992.61000000
-0.00036090444
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-214436892.00000000
INR
2567276.35000000
USD
2024-01-19
-992.61000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2U6
140000.00000000
PA
USD
117245.73000000
0.042629537610
Long
DBT
CORP
US
N
2
2033-03-02
Fixed
3.35000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYWE5
175239.81000000
PA
USD
145068.90000000
0.052745802586
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QHG66
404043.69000000
PA
USD
316494.93000000
0.115074830631
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-ARIA
05608RAQ8
1030000.00000000
PA
USD
941303.30000000
0.342249772594
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
8.57958000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.41.V1
000000000
1.00000000
NC
USD
-404024.97000000
-0.14689999929
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.41.V1
Y
Default Event
2028-12-20
0.00000000
USD
-349389.96000000
USD
-21499000.00000000
USD
-54635.01000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVMB8
1422227.66000000
PA
USD
1168632.93000000
0.424904868111
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
ML-CFC Commercial Mortgage Tru
N/A
ML-CFC Commercial Mortgage Trust 2007-5
55312YAH5
245208.90000000
PA
USD
38620.65000000
0.014042135706
Long
ABS-MBS
CORP
US
N
2
2048-08-12
Variable
5.45000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2015-2R
12649QBC7
14988.64000000
PA
USD
14982.42000000
0.005447478870
Long
ABS-MBS
CORP
US
N
2
2036-08-27
Variable
4.26542000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TUB9
264440.36000000
PA
USD
248127.15000000
0.090216894663
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DQFF8
95006.33000000
PA
USD
88457.90000000
0.032162530567
Long
ABS-MBS
USGSE
US
N
2
2049-07-01
Fixed
4.00000000
N
N
N
N
N
N
PROVINCIA DE BUENOS AIRE
549300L6AYROPOTQ4L07
Provincia de Buenos Aires/Government Bonds
000000000
2668882.04403500
PA
USD
981481.37000000
0.356858172800
Long
DBT
NUSS
AR
N
2
2037-09-01
Variable
6.37500000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-SDMF
12434CAQ7
860000.00000000
PA
USD
794472.73000000
0.288863441969
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
7.37448000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2006-13
41162KAA1
68456.66000000
PA
USD
46313.52000000
0.016839196981
Long
ABS-MBS
CORP
US
N
2
2046-11-19
Floating
5.62555000
N
N
N
N
N
N
METLIFE INC
C4BXATY60WC6XEOZDX54
MetLife Inc
59156RAP3
510000.00000000
PA
USD
502665.08000000
0.182764693719
Long
DBT
CORP
US
N
2
2036-12-15
Fixed
6.40000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
2 YEAR US TREASURY NOTE
000000000
205.00000000
NC
USD
135938.86000000
0.049426198677
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
2024-03-28
41778553.41000000
USD
135938.86000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
137.00000000
NC
USD
10703.13000000
0.003891565883
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
0.00000000
USD
100000.00000000
110.25000000
USD
2023-12-01
XXXX
-27971.39000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
20.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
0.00000000
USD
100000.00000000
108.25000000
USD
2023-12-01
XXXX
-2534.60000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ACCK4
189946.81000000
PA
USD
186048.62000000
0.067645675826
Long
ABS-MBS
USGA
US
N
2
2053-01-20
Fixed
5.00000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
000000000
2200000.00000000
PA
2257004.75000000
0.820627487902
Long
DBT
CORP
NL
N
2
N/A
Fixed
4.62500000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687DX1
350000.00000000
PA
USD
422926.29000000
0.153772356451
Long
DBT
CORP
US
N
2
2034-08-01
Fixed
8.45000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2M4
660000.00000000
PA
USD
587303.47000000
0.213538483347
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01300000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DQB70
96742.19000000
PA
USD
95564.88000000
0.034746567283
Long
ABS-MBS
USGSE
US
N
2
2053-05-01
Fixed
5.50000000
N
N
N
N
N
N
CALIFORNIA INSTITUTE OF
549300CITPNHOTVPHC04
California Institute of Technology
13034VAD6
260000.00000000
PA
USD
165407.68000000
0.060140807819
Long
DBT
CORP
US
N
2
2119-09-01
Fixed
3.65000000
N
N
N
N
N
N
DC Commercial Mortgage Trust
N/A
DC Commercial Mortgage Trust 2023-DC
24023AAA8
600000.00000000
PA
USD
602371.56000000
0.219017111092
Long
ABS-MBS
CORP
US
N
2
2040-09-12
Fixed
6.31430000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-130548.31000000
-0.04746624112
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-4242509.56000000
EUR
4497913.81000000
USD
2024-01-19
-130548.31000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-231.00000000
NC
USD
-27431.25000000
-0.00997376623
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
0.00000000
USD
2500.00000000
94.50000000
USD
2024-06-14
XXXX
53083.65000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
569.00000000
NC
USD
561424.81000000
0.204129225459
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
2024-03-19
65691512.69000000
USD
561424.81000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAM2
310000.00000000
PA
USD
275270.78000000
0.100086084747
Long
DBT
CORP
US
N
2
N/A
Fixed
7.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MKP78
212271.27000000
PA
USD
173656.18000000
0.063139891376
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.50000000
N
N
N
N
N
N
TRANS-ALLEGHENY INTERSTA
N/A
Trans-Allegheny Interstate Line Co
893045AE4
550000.00000000
PA
USD
535158.17000000
0.194578901385
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.85000000
N
N
N
N
N
N
Western Asset Premier Institutional Government Reserves
549300WB3XRN9YTWFB76
Western Asset Premier Institutional Government Reserves
52470G494
27265179.75000000
NS
USD
27265179.75000000
9.913384526748
Long
STIV
RF
US
N
1
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEW4
15700000.00000000
PA
278546.52000000
0.101277115598
Long
DBT
NUSS
DO
N
2
2035-09-15
Fixed
11.25000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
1626314.15000000
0.591313817773
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2048-02-15
492576.07000000
USD
0.00000000
USD
-7166000.00000000
USD
1133738.08000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JU6
98000.00000000
PA
USD
84182.13000000
0.030607897421
Long
DBT
CORP
US
N
2
2045-07-30
Fixed
4.65000000
N
N
N
N
N
N
Babson CLO Ltd
549300I8OP7Y4MO3JF74
Barings CLO Ltd 2018-II
06760JAJ4
2480000.00000000
PA
USD
2469212.46000000
0.897784383549
Long
ABS-CBDO
CORP
KY
N
2
2030-04-15
Floating
7.55548000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-1877.00000000
NC
USD
-782269.99000000
-0.28442663080
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
2024-03-19
-205306473.77000000
USD
-782269.99000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QGXH5
240876.56000000
PA
USD
188785.37000000
0.068640734555
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDP34
167616.86000000
PA
USD
131436.55000000
0.047789197539
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
2.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZR8
480000.00000000
PA
USD
451800.73000000
0.164270854145
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
3.61500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
EUR/NOK FORWARD
000000000
1.00000000
NC
USD
32268.20000000
0.011732439599
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-19556768.00000000
NOK
1688804.19000000
EUR
2024-01-19
32268.20000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCW4
650000.00000000
PA
USD
602367.99000000
0.219015813071
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
2.94700000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAA1
470000.00000000
PA
USD
461749.34000000
0.167888083055
Long
DBT
CORP
GB
N
2
2024-11-04
Fixed
4.50000000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AS8
120000.00000000
PA
USD
113870.51000000
0.041402336688
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
5.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140KNVZ8
151644.39000000
PA
USD
119112.00000000
0.043308097308
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
2.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2016-C1
17290YAR9
150000.00000000
PA
USD
140220.15000000
0.050982838847
Long
ABS-MBS
CORP
US
N
2
2049-05-10
Fixed
3.20900000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-76
12668BDJ9
63890.40000000
PA
USD
51790.71000000
0.018830656091
Long
ABS-MBS
CORP
US
N
2
2046-01-25
Floating
5.97737000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
1075748.36000000
0.391132838458
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2032-05-15
0.00000000
USD
-64754.79000000
USD
-16566000.00000000
USD
1140503.15000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XK5Q9
93018.43000000
PA
USD
93541.48000000
0.034010876471
Long
ABS-MBS
USGSE
US
N
2
2053-04-01
Fixed
6.00000000
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2019-FAME
63873VAL7
2862000.00000000
PA
USD
1674303.77000000
0.608762430278
Long
ABS-MBS
CORP
US
N
2
2036-08-15
Variable
4.54408300
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WGQ6
73033.36000000
PA
USD
63393.27000000
0.023049246976
Long
ABS-MBS
USGA
US
N
2
2042-11-15
Fixed
3.00000000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
48667QAS4
530000.00000000
PA
USD
452745.08000000
0.164614211671
Long
DBT
CORP
KZ
N
2
2048-10-24
Fixed
6.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
118.00000000
NC
USD
33187.50000000
0.012066689161
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
0.00000000
USD
2500.00000000
95.87500000
USD
2024-06-14
XXXX
7864.70000000
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAJ7
10000.00000000
PA
USD
9450.81000000
0.003436233117
Long
DBT
CORP
US
N
2
2037-05-01
Fixed
6.55000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 2
000000000
-156.00000000
NC
USD
-96281.33000000
-0.03500706233
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 2
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
0.00000000
USD
100000.00000000
107.25000000
USD
2023-12-08
XXXX
-26574.63000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKZ4
50554.09000000
PA
USD
49737.16000000
0.018084002998
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
5.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
-30.00000000
NC
USD
-1125.00000000
-0.00040904031
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
0.00000000
USD
2500.00000000
95.37500000
USD
2023-12-15
XXXX
15687.00000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAKS2
238843.97000000
PA
USD
208717.16000000
0.075887761730
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
3.00000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
AUD/USD FORWARD
000000000
1.00000000
NC
USD
118421.91000000
0.043057186528
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-2962368.13000000
USD
4655124.00000000
AUD
2024-01-19
118421.91000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/BRL FORWARD
000000000
1.00000000
NC
USD
-486082.55000000
-0.17673542863
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-72476321.94000000
BRL
14155255.16000000
USD
2024-01-19
-486082.55000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DPR7
67020.53000000
PA
USD
63642.18000000
0.023139748508
Long
ABS-MBS
USGSE
US
N
2
2050-05-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133BQRW8
97029.29000000
PA
USD
90970.27000000
0.033076006660
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YAU0
1522692.24000000
PA
USD
1462137.51000000
0.531620605494
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
8.58748000
N
N
N
N
N
N
Whitehorse Ltd
N/A
Whitehorse XII Ltd
96525YAJ8
1000000.00000000
PA
USD
972291.36000000
0.353516764316
Long
ABS-CBDO
CORP
KY
N
2
2031-10-15
Floating
9.30548000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBF1
180000.00000000
PA
USD
131884.44000000
0.047952046485
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
N
N
N
N
N
N
Foundation Finance Trust
549300RIQ1R4PTXR5G48
Foundation Finance Trust 2017-1
35040UAC5
2600000.00000000
PA
USD
2545087.74000000
0.925371981856
Long
ABS-O
CORP
US
N
2
2033-07-15
Fixed
5.40000000
N
N
N
N
N
N
Countrywide Home Equity Loan T
N/A
CWHEQ Revolving Home Equity Loan Trust Series 2007-A
126682AA1
592440.72000000
PA
USD
544313.80000000
0.197907809597
Long
ABS-O
CORP
US
N
2
2037-04-15
Floating
5.55739000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
456.00000000
NC
USD
-382857.60000000
-0.13920372587
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-12-16
110267457.60000000
USD
-382857.60000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RD2
5600000.00000000
PA
USD
4890156.26000000
1.778018698052
Long
DBT
UST
US
N
2
2043-11-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ECG3
88167.48000000
PA
USD
72995.99000000
0.026540713261
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
2.00000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2018-GW MZ
12433RAA0
1170000.00000000
PA
USD
1155856.81000000
0.420259580918
Long
ABS-MBS
CORP
US
N
2
2037-05-15
Floating
11.10777700
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967NN7
390000.00000000
PA
USD
337613.53000000
0.122753371700
Long
DBT
CORP
US
N
2
2033-03-17
Fixed
3.78500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
-40.00000000
NC
USD
-24375.00000000
-0.00886254006
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
0.00000000
USD
100000.00000000
106.25000000
USD
2023-12-01
XXXX
-13162.95000000
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAK6
30000.00000000
PA
USD
30753.47000000
0.011181696817
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.60000000
N
N
N
N
N
N
Bank
N/A
BANK 2022-BNK39
06539VAJ7
240000.00000000
PA
USD
198380.88000000
0.072129579347
Long
ABS-MBS
CORP
US
N
2
2055-02-15
Variable
2.92800000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-21.00000000
NC
USD
-18375.00000000
-0.00668099173
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
0.00000000
USD
100000.00000000
118.00000000
USD
2023-12-22
XXXX
-4145.71000000
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BH9
680000.00000000
PA
USD
481821.14000000
0.175186016660
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WZA9
615243.97000000
PA
USD
532754.06000000
0.193704787695
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
3.00000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BV1
130000.00000000
PA
USD
123927.11000000
0.045058829832
Long
DBT
CORP
US
N
2
2044-06-24
Fixed
5.75000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAS8
4400000.00000000
PA
USD
1632586.12000000
0.593594252045
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
4.37330000
N
N
N
N
N
N
CENT Trust 2023-CITY
N/A
CENT Trust 2023-CITY
12516WAA9
730000.00000000
PA
USD
735422.29000000
0.267393210577
Long
ABS-MBS
CORP
US
N
2
2028-09-15
Floating
7.94291000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DQC53
92570.71000000
PA
USD
89231.79000000
0.032443910305
Long
ABS-MBS
USGSE
US
N
2
2047-03-01
Fixed
4.50000000
N
N
N
N
N
N
Z Capital Credit Partners CLO
N/A
Z Capital Credit Partners CLO 2021-1 Ltd
98878FAS8
500000.00000000
PA
USD
457488.31000000
0.166338809247
Long
ABS-CBDO
CORP
KY
N
2
2033-07-15
Floating
9.85548000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
743556.11000000
0.270350597473
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2034-03-10
0.00000000
USD
-145690.36000000
USD
-17129000.00000000
USD
889246.47000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CJA0
390000.00000000
PA
USD
395179.69000000
0.143683931668
Long
DBT
UST
US
N
2
2028-09-30
Fixed
4.62500000
N
N
N
N
N
N
Tharaldson Hotel Portfolio Tru
N/A
Tharaldson Hotel Portfolio Trust 2018-THPT
88327HAN3
1603958.92000000
PA
USD
1579308.32000000
0.574222902838
Long
ABS-MBS
CORP
US
N
2
2034-11-11
Floating
8.91648000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AJ8
1180000.00000000
PA
USD
841508.74000000
0.305965330092
Long
DBT
CORP
CO
N
2
2045-05-28
Fixed
5.87500000
N
N
N
N
N
N
Katayma CLO Ltd
254900I6JJYMZNFX8987
Katayma CLO I Ltd
48585JAJ9
230000.00000000
PA
USD
232628.27000000
0.084581635384
Long
ABS-CBDO
CORP
JE
N
2
2036-10-20
Floating
10.62255000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPZN1
91988.46000000
PA
USD
85002.10000000
0.030906031451
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DN6L2
186973.73000000
PA
USD
176258.54000000
0.064086087059
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAV5
120000.00000000
PA
USD
84512.24000000
0.030727922574
Long
DBT
CORP
US
N
2
2046-09-16
Fixed
3.87500000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2006-16N
52522DAN1
8427.57000000
PA
USD
9632.96000000
0.003502461288
Long
ABS-MBS
CORP
US
N
2
2046-11-25
Floating
5.93737000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133BQSA5
93682.74000000
PA
USD
87831.69000000
0.031934846004
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CDS VOLKSWAGEN INTERNATIONAL
000000000
1.00000000
NC
58819.41000000
0.021386230874
N/A
DCR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
VOLKSWAGEN INTERNATIONAL FINANCE NV
VOLKSWAGEN INTERNATIONAL FINANCE NV
Y
Default Event
2024-12-20
19442.96000000
USD
0.00000000
USD
7380000.00000000
EUR
39376.45000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MB5B1
62368.77000000
PA
USD
58850.93000000
0.021397691274
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Fixed
4.00000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBC8
400000.00000000
PA
USD
359169.37000000
0.130590889467
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPAG3
187518.40000000
PA
USD
176569.84000000
0.064199273058
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.50000000
N
N
N
N
N
N
Residential Asset Securitizati
N/A
Residential Asset Securitization Trust 2005-A15
45660L4B2
8161257.74000000
PA
USD
656158.59000000
0.238573611941
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.09263000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AC1
1390000.00000000
PA
USD
1260708.94000000
0.458382912312
Long
DBT
CORP
US
N
2
2030-02-01
Variable
4.05000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TZ65
80537.79000000
PA
USD
77264.46000000
0.028092692190
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
4.50000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CP8
130000.00000000
PA
USD
104565.89000000
0.038019256995
Long
DBT
CORP
US
N
2
2035-02-01
Fixed
3.25000000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
LONG GILT
000000000
41.00000000
NC
-10928.50000000
-0.00397350847
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long
UNITED KINGDOM GILT
United Kingdom Gilt
2024-03-26
4980964.99000000
USD
-10928.50000000
N
N
N
ML-CFC Commercial Mortgage Tru
N/A
ML-CFC Commercial Mortgage Trust 2007-9
60688CAJ5
9604.22000000
PA
USD
8691.82000000
0.003160270890
Long
ABS-MBS
CORP
US
N
2
2049-09-12
Variable
6.19300000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CGK1
3554483.20000000
PA
USD
3256071.22000000
1.183879451604
Long
DBT
UST
US
N
2
2033-01-15
Fixed
1.12500000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AL8
410000.00000000
PA
USD
344863.96000000
0.125389565601
Long
DBT
CORP
US
N
2
2048-08-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGJR1
264719.29000000
PA
USD
224764.81000000
0.081722549054
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
3.00000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
37057000.00000000
PA
7253317.51000000
2.637243775046
Long
DBT
NUSS
BR
N
2
2031-01-01
Fixed
10.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UML3
40416.76000000
PA
USD
37734.19000000
0.013719826485
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
4.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST
46652DAN5
2079000.00000000
PA
USD
114604.25000000
0.041669118233
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
9.93748000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BM5
160000.00000000
PA
USD
138630.23000000
0.050404757629
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
5.37500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
117.00000000
NC
USD
3656.25000000
0.001329381009
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
0.00000000
USD
100000.00000000
110.50000000
USD
2023-12-01
XXXX
-18483.66000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 2
000000000
468.00000000
NC
USD
32906.48000000
0.011964512710
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 2
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
0.00000000
USD
100000.00000000
108.00000000
USD
2023-12-08
XXXX
-34747.12000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WDM8
70512.87000000
PA
USD
62023.35000000
0.022551155863
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH62
92138.20000000
PA
USD
90761.47000000
0.033000088778
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPWC8
96265.61000000
PA
USD
90276.69000000
0.032823826946
Long
ABS-MBS
USGSE
US
N
2
2052-10-01
Fixed
4.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
40.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
0.00000000
USD
100000.00000000
108.50000000
USD
2023-12-01
XXXX
-6569.20000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AB6B3
93810.81000000
PA
USD
88842.67000000
0.032302429625
Long
ABS-MBS
USGA
US
N
2
2052-08-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XNC6
287231.82000000
PA
USD
256935.85000000
0.093419662115
Long
ABS-MBS
USGA
US
N
2
2052-12-20
Fixed
3.50000000
N
N
N
N
N
N
UCFC Manufactured Housing Cont
N/A
UCFC Manufactured Housing Contract
90263ABB5
654327.71000000
PA
USD
605930.16000000
0.220310987402
Long
ABS-O
CORP
US
N
2
2029-01-15
Fixed
7.11500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABFC1
82704.11000000
PA
USD
68352.35000000
0.024852325752
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
405.00000000
NC
USD
2531.25000000
0.000920340698
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-19
0.00000000
USD
2500.00000000
94.87500000
USD
2023-12-15
XXXX
-26163.00000000
N
N
N
INDIA GOVERNMENT BOND
335800IV7VCDQGIOI391
India Government Bond
000000000
220000000.00000000
PA
2654971.15000000
0.965324643325
Long
DBT
NUSS
IN
N
2
2026-01-11
Fixed
7.59000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPB2
223921.13000000
PA
USD
214738.08000000
0.078076916385
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 2
000000000
-156.00000000
NC
USD
-34125.00000000
-0.01240755608
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 2
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
0.00000000
USD
100000.00000000
107.25000000
USD
2023-12-08
XXXX
23902.00000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWDN0
370323.70000000
PA
USD
273421.52000000
0.099413709738
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XL3X4
290705.21000000
PA
USD
260110.56000000
0.094573959328
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12
46632HAL5
23740.40000000
PA
USD
21840.27000000
0.007940934065
Long
ABS-MBS
CORP
US
N
2
2051-02-15
Variable
6.56058500
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133D4QF3
174577.12000000
PA
USD
144520.32000000
0.052546343623
Long
ABS-MBS
USGSE
US
N
2
2042-02-01
Fixed
2.00000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCP6
2110000.00000000
PA
USD
1647549.61000000
0.599034848131
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
4.25000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
97.00000000
NC
USD
4546.88000000
0.001653206406
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
6-7 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
0.00000000
USD
100000.00000000
109.25000000
USD
2023-12-01
XXXX
-9261.56000000
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F0506C5
400000.00000000
PA
USD
384936.20000000
0.139959486930
Long
ABS-MBS
USGSE
US
N
2
2053-12-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UQ70
46495.17000000
PA
USD
45744.36000000
0.016632255307
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MB4M8
71914.67000000
PA
USD
68064.11000000
0.024747524171
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CD6
490000.00000000
PA
USD
461149.22000000
0.167669884592
Long
DBT
NUSS
ID
N
2
2028-01-11
Fixed
3.50000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636ABD2
1290000.00000000
PA
USD
1279254.40000000
0.465125881839
Long
DBT
CORP
DK
N
2
2025-03-28
Fixed
3.77300000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAN8
500000.00000000
PA
USD
500563.00000000
0.182000395536
Long
DBT
CORP
US
N
2
2038-07-01
Fixed
7.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140MRBS5
85164.56000000
PA
USD
82230.78000000
0.029898403368
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
5.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-178.00000000
NC
USD
-5562.50000000
-0.00202247709
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
0.00000000
USD
2500.00000000
98.00000000
USD
2024-06-14
XXXX
114213.70000000
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F052615
4300000.00000000
PA
USD
4237810.00000000
1.540831216463
Long
ABS-MBS
USGSE
US
N
2
2054-01-15
Fixed
5.50000000
N
N
N
N
N
N
Nomura Asset Acceptance Corpor
N/A
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AF2
65536XAD5
63103.67000000
PA
USD
60301.83000000
0.021925226018
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Variable
6.35975000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2017-C4
17326FAD9
170000.00000000
PA
USD
155221.12000000
0.056437062338
Long
ABS-MBS
CORP
US
N
2
2050-10-12
Fixed
3.47100000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-359.00000000
NC
USD
-112187.50000000
-0.04079040874
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-12-17
0.00000000
USD
2500.00000000
96.87500000
USD
2024-09-13
XXXX
44333.60000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 2
000000000
468.00000000
NC
USD
102375.00000000
0.037222668261
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 2
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
0.00000000
USD
100000.00000000
106.50000000
USD
2023-12-08
XXXX
32284.02000000
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BX7
320000.00000000
PA
USD
284269.98000000
0.103358116359
Long
DBT
CORP
US
N
2
2030-11-15
Fixed
3.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
-59.00000000
NC
USD
-2212.50000000
-0.00080444594
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
SOFR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
0.00000000
USD
2500.00000000
95.37500000
USD
2023-12-15
XXXX
3726.10000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-211.00000000
NC
USD
-25056.25000000
-0.00911023669
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
0.00000000
USD
2500.00000000
94.50000000
USD
2024-06-14
XXXX
48350.65000000
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2021-HTL5
46654PAQ9
640000.00000000
PA
USD
607272.00000000
0.220798868869
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
9.70248000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XJV91
185173.61000000
PA
USD
162658.92000000
0.059141382358
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
3.50000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DCH6
200000.00000000
PA
USD
185994.04000000
0.067625831008
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
4.62500000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HX1
143434.80159600
PA
USD
52363.07000000
0.019038761257
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
2273203.47000000
0.826517202977
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2048-02-15
620937.41000000
USD
0.00000000
USD
-14778000.00000000
USD
1652266.06000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XFH4
283209.89000000
PA
USD
268207.56000000
0.097517958789
Long
ABS-MBS
USGA
US
N
2
2052-09-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XDN77
66371.04000000
PA
USD
60411.48000000
0.021965093814
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
4.00000000
N
N
N
N
N
N
WYNN RESORTS FINANCE LLC
N/A
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp
983133AC3
120000.00000000
PA
USD
119551.78000000
0.043467997528
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
7.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPUT3
94460.17000000
PA
USD
88562.01000000
0.032200384066
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29278NAR4
230000.00000000
PA
USD
194225.45000000
0.070618700789
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
5.00000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAA3
1100000.00000000
PA
USD
1096381.00000000
0.398634688657
Long
DBT
CORP
MA
N
2
2024-04-25
Fixed
5.62500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-266061.10000000
-0.09673752442
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2026-03-10
364490.66000000
USD
0.00000000
USD
76758000.00000000
USD
-630551.76000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
NOK/USD FORWARD
000000000
1.00000000
NC
USD
-15746.82000000
-0.00572540812
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-4691042.27000000
USD
50511065.00000000
NOK
2024-01-19
-15746.82000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
274.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE WEEK 1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
0.00000000
USD
100000.00000000
105.50000000
USD
2023-12-01
XXXX
-17872.52000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H060614
900000.00000000
PA
USD
906448.31000000
0.329576798431
Long
ABS-MBS
USGA
US
N
2
2054-01-15
Fixed
6.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2021-RPL1 Trust
12660KAD3
870000.00000000
PA
USD
775336.69000000
0.281905742641
Long
ABS-MBS
CORP
US
N
2
2060-09-27
Fixed
3.93711000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XKYL8
95211.85000000
PA
USD
74857.70000000
0.027217614983
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DP2K3
186566.92000000
PA
USD
187399.82000000
0.068136960509
Long
ABS-MBS
USGSE
US
N
2
2053-03-01
Fixed
6.00000000
N
N
N
N
N
N
Structured Adjustable Rate Mor
N/A
Structured Adjustable Rate Mortgage Loan Trust Series 2004-4
86359BNU1
18844.83000000
PA
USD
18572.66000000
0.006752859212
Long
ABS-MBS
CORP
US
N
2
2034-04-25
Variable
6.62359700
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2006-GP3
525228AD4
10585.53000000
PA
USD
23378.60000000
0.008500257604
Long
ABS-O
CORP
US
N
2
2046-06-25
Floating
5.89737000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
6665000.00000000
PA
1288376.17000000
0.468442478847
Long
DBT
NUSS
BR
N
2
2033-01-01
Fixed
10.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABCD2
80985.08000000
PA
USD
66941.69000000
0.024339421926
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
2.50000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2003-60
12669FJC8
18946.26000000
PA
USD
18319.33000000
0.006660750606
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
4.19808200
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
86765BAV1
10000.00000000
PA
USD
8810.71000000
0.003203498270
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
5.40000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABFG2
84707.87000000
PA
USD
70012.50000000
0.025455941994
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
87460000.00000000
PA
4392311.35000000
1.597006576630
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XKHM5
94338.06000000
PA
USD
88449.33000000
0.032159414588
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM2N4
80941.50000000
PA
USD
68715.04000000
0.024984196713
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMVG7
125528.27000000
PA
USD
119663.53000000
0.043508628866
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABKA9
84497.27000000
PA
USD
69859.80000000
0.025400421589
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2021-2 Receivables Funding LLC
82652RAA7
196161.05000000
PA
USD
182717.41000000
0.066434476562
Long
ABS-O
CORP
US
N
2
2038-09-20
Fixed
1.35000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2021-L7
61772TBN3
6360407.86000000
PA
USD
337559.57000000
0.122733752308
Long
ABS-MBS
CORP
US
N
2
2054-10-15
Variable
1.20825200
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179W5E4
92045.29000000
PA
USD
84846.74000000
0.030849543893
Long
ABS-MBS
USGA
US
N
2
2052-05-20
Fixed
4.00000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAF0
3910000.00000000
PA
USD
3901415.20000000
1.418520964495
Long
DBT
CORP
CH
N
2
N/A
Fixed
7.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F060618
5400000.00000000
PA
USD
5413938.21000000
1.968461303827
Long
ABS-MBS
USGSE
US
N
2
2054-01-15
Fixed
6.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABJF0
86577.84000000
PA
USD
71552.86000000
0.026016003623
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPAC2
346840.71000000
PA
USD
342806.39000000
0.124641450870
Long
ABS-MBS
USGSE
US
N
2
2052-09-01
Fixed
5.50000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370DB3
210000.00000000
PA
USD
204396.62000000
0.074316850598
Long
DBT
CORP
US
N
2
2032-08-19
Fixed
6.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6L74
283442.34000000
PA
USD
265062.07000000
0.096374285717
Long
ABS-MBS
USGSE
US
N
2
2044-04-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617MQCZ7
236295.25000000
PA
USD
197469.95000000
0.071798373044
Long
ABS-MBS
USGA
US
N
2
2050-12-20
Fixed
2.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
CDS DAIMLER AG
000000000
1.00000000
NC
-82138.21000000
-0.02986474571
N/A
DCR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
DAIMLER AG
DAIMLER AG
Y
Default Event
2024-12-20
0.00000000
USD
-38177.29000000
USD
-7380000.00000000
EUR
-43960.92000000
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401AU2
1440000.00000000
PA
USD
1176216.12000000
0.427662050682
Long
DBT
CORP
CH
N
2
2032-05-14
Fixed
3.09100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QFLM9
145318.69000000
PA
USD
125032.34000000
0.045460681941
Long
ABS-MBS
USGSE
US
N
2
2050-10-01
Fixed
3.00000000
N
N
N
N
N
N
GOVERNMENT OF JAMAICA
529900Y93KNSXZI8KK56
Jamaica Government International Bond
470160CF7
30000000.00000000
PA
195247.37000000
0.070990262099
Long
DBT
NUSS
JM
N
2
2030-11-03
Fixed
9.62500000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
AUD/USD FORWARD
000000000
1.00000000
NC
USD
-4433.88000000
-0.00161212057
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-254000.00000000
AUD
163664.90000000
USD
2024-01-19
-4433.88000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133ABRE2
73540.39000000
PA
USD
57649.14000000
0.020960730781
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XK5J5
93191.14000000
PA
USD
87191.69000000
0.031702147516
Long
ABS-MBS
USGSE
US
N
2
2044-12-01
Fixed
4.00000000
N
N
N
N
N
N
2024-01-23
Western Asset Funds Inc
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer