0001752724-20-164528.txt : 20200824
0001752724-20-164528.hdr.sgml : 20200824
20200824095132
ACCESSION NUMBER: 0001752724-20-164528
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200630
FILED AS OF DATE: 20200824
PERIOD START: 20201231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: LEGG MASON PARTNERS VARIABLE INCOME TRUST
CENTRAL INDEX KEY: 0000874835
IRS NUMBER: 000000000
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-06310
FILM NUMBER: 201124958
BUSINESS ADDRESS:
STREET 1: LEGG MASON & CO., LLC
STREET 2: 620 EIGHTH AVENUE, 49TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10018
BUSINESS PHONE: 1-877-721-1926
MAIL ADDRESS:
STREET 1: LEGG MASON & CO., LLC
STREET 2: 620 EIGHTH AVENUE, 49TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10018
FORMER COMPANY:
FORMER CONFORMED NAME: LEGG MASON PARTNERS VARIABLE PORTFOLIOS II
DATE OF NAME CHANGE: 20060501
FORMER COMPANY:
FORMER CONFORMED NAME: GREENWICH STREET SERIES FUND
DATE OF NAME CHANGE: 19970902
FORMER COMPANY:
FORMER CONFORMED NAME: SHEARSON SERIES FUND
DATE OF NAME CHANGE: 19920929
0000874835
S000016930
Western Asset Core Plus VIT Portfolio
C000047111
Class I
QLMHIX
C000154792
Class II
LVITX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000874835
XXXXXXXX
S000016930
C000047111
C000154792
Legg Mason Partners Variable Income Trust
811-06310
0000874835
549300HMB5WZ1N3QY685
620 Eighth Avenue
49th Floor
New York
10018
1-877-721-1926
Western Asset Core Plus VIT Portfolio
S000016930
549300ZKZMJ585OXJ739
2020-12-31
2020-06-30
N
200131710.24
9066470.35
191065239.89
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
2122551.03000000
6604847.69000000
0.00000000
2270812.00000000
USD
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BFY1
50000.00000000
PA
USD
56430.71000000
0.029534786145
Long
DBT
CORP
US
N
2
2026-06-03
Fixed
4.10000000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558AZ6
50000.00000000
PA
USD
55688.75000000
0.029146458053
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.50000000
N
N
N
N
N
N
GOLDEN NUGGET
91D14OD6M4H1RVBN7R43
Golden Nugget LLC
51508PAG9
135589.35000000
PA
USD
112335.78000000
0.058794462072
Long
LON
CORP
US
N
2
2023-10-04
Floating
3.25000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XAW5
100000.00000000
PA
USD
99671.50000000
0.052166212994
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.87500000
N
N
N
N
N
N
NOBLE ENERGY INC
02VFQXG2D1LR5ZH3K186
Noble Energy Inc
655044AP0
40000.00000000
PA
USD
38671.06000000
0.020239714990
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.85000000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BG3
10000.00000000
PA
USD
10638.40000000
0.005567941089
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.10000000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAF9
130000.00000000
PA
USD
172227.66000000
0.090140760349
Long
DBT
CORP
US
N
2
2045-12-14
Fixed
4.30000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBL2
300000.00000000
PA
USD
310458.19000000
0.162488053912
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
2.30000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BA2
20000.00000000
PA
USD
16132.45000000
0.008443424879
Long
DBT
CORP
US
N
2
2043-04-15
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4ZB5
302348.84000000
PA
USD
328420.82000000
0.171889361031
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.50000000
N
N
N
N
N
N
CHANGE HEALTHCARE HOLDINGS
549300GHXFJ3EKF50583
Change Healthcare Holdings LLC
15911AAC7
270694.76980000
PA
USD
260656.60000000
0.136422826124
Long
LON
CORP
US
N
2
2024-03-01
Floating
3.50000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BD1
160000.00000000
PA
USD
207134.34000000
0.108410268722
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
7.75000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FL7
40000.00000000
PA
USD
44821.37000000
0.023458673082
Long
DBT
CORP
US
N
2
2070-02-05
Fixed
3.75000000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BM5
20000.00000000
PA
USD
19983.80000000
0.010459149980
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
3.87500000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BF4
100000.00000000
PA
USD
101920.01000000
0.053343041391
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
2.25000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DQ7
40000.00000000
PA
USD
42392.75000000
0.022187578454
Long
DBT
CORP
US
N
2
2025-06-30
Fixed
2.50000000
N
N
N
N
N
N
TEVA PHARMACEUT FIN BV
549300Q840R30TDKVK53
Teva Pharmaceutical Finance Co BV
88165FAG7
70000.00000000
PA
USD
67705.75000000
0.035435932793
Long
DBT
CORP
CW
N
2
2022-12-18
Fixed
2.95000000
N
N
N
N
N
N
GARDA WORLD SECURITY
N/A
Garda World Security Corp
000000000
48094.58000000
PA
USD
47373.16000000
0.024794232602
Long
LON
CORP
CA
N
2
2026-10-30
Floating
4.92100000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CF0
70000.00000000
PA
USD
49350.00000000
0.025828873963
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
4.62500000
N
N
N
N
N
N
TJX COS INC
V167QI9I69W364E2DY52
TJX Cos Inc/The
872540AR0
60000.00000000
PA
USD
66862.21000000
0.034994439615
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
CONCHO RESOURCES INC
SYHS7HRDXLL4I0IQ8776
Concho Resources Inc
20605PAH4
50000.00000000
PA
USD
53298.33000000
0.027895356596
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.75000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AF7
127000.00000000
PA
USD
137934.42000000
0.072192315085
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JE8
130000.00000000
PA
USD
130533.00000000
0.068318549242
Long
DBT
CORP
US
N
2
2022-06-16
Fixed
1.75000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2D4
210000.00000000
PA
USD
247328.27000000
0.129447025603
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
4.15000000
N
N
N
N
N
N
NATIONAL SECS CLEARING
549300RYC9NELN2ICA34
National Securities Clearing Corp
637639AA3
250000.00000000
PA
USD
253721.99000000
0.132793379971
Long
DBT
CORP
US
N
2
2023-04-23
Fixed
1.20000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QAW2
200135.22000000
PA
USD
208995.33000000
0.109384276344
Long
ABS-MBS
USGA
US
N
2
2070-05-20
Floating
1.34000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
276000.00000000
PA
60302.52000000
0.031561219630
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BT5
200000.00000000
PA
USD
231220.92000000
0.121016737598
Long
DBT
CORP
GB
N
2
2029-06-19
Fixed
4.58300000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
64705.89000000
0.033865861753
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2022-03-23
1083.89000000
USD
0.00000000
USD
8070000.00000000
USD
63622.00000000
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F020471
2100000.00000000
PA
USD
2172679.72000000
1.137140236105
Long
ABS-MBS
USGSE
US
N
2
2035-07-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132H7BP8
131284.13000000
PA
USD
141968.41000000
0.074303630572
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HXQC7
99676.23000000
PA
USD
108168.49000000
0.056613379839
Long
ABS-MBS
USGSE
US
N
2
2030-04-01
Fixed
2.26000000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AK9
80000.00000000
PA
USD
89077.23000000
0.046621368727
Long
DBT
CORP
US
N
2
2030-03-27
Fixed
2.85000000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
961214CS0
110000.00000000
PA
USD
110940.55000000
0.058064224588
Long
DBT
CORP
AU
N
2
2020-11-23
Fixed
2.60000000
N
N
N
N
N
N
VOC ESCROW LTD
N/A
VOC Escrow Ltd
91832VAA2
80000.00000000
PA
USD
59585.20000000
0.031185787657
Long
DBT
CORP
BM
N
2
2028-02-15
Fixed
5.00000000
N
N
N
N
N
N
MEDTRONIC INC
D56MRZY2INAN94ZONZ37
Medtronic Inc
585055BS4
74000.00000000
PA
USD
83560.37000000
0.043733946608
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.50000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AQ3
100000.00000000
PA
USD
120914.42000000
0.063284363011
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
4.75000000
N
N
N
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LAZ2
20000.00000000
PA
USD
21810.90000000
0.011415420205
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380QBN1
98162.70000000
PA
USD
100900.01000000
0.052809192325
Long
ABS-MBS
USGA
US
N
2
2070-04-20
Floating
1.44000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91911KAN2
10000.00000000
PA
USD
10260.00000000
0.005369893553
Long
DBT
CORP
CA
N
2
2025-11-01
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375CWH9
344877.89000000
PA
USD
88338.85000000
0.046234914341
Long
ABS-MBS
USGA
US
N
2
2042-04-16
Floating
6.40487000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/JPY FORWARD
000000000
1.00000000
NC
USD
-681.78000000
-0.00035683099
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-18879668.00000000
JPY
174204.39000000
USD
2020-07-16
-681.78000000
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAJ4
200000.00000000
PA
USD
206340.00000000
0.107994525911
Long
DBT
CORP
KY
N
2
2026-01-08
Fixed
3.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4T22
133138.52000000
PA
USD
145534.04000000
0.076169815129
Long
ABS-MBS
USGSE
US
N
2
2049-08-01
Fixed
5.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
10.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
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
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
137.75000000
USD
2020-06-26
XXXX
-5798.55000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-6.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
175.00000000
USD
2020-06-26
XXXX
6458.37000000
N
N
N
RPI 2019 INTERMEDIATE FI
549300RTICDAOJP6BY55
RPI 2019 Intermediate Finance Trust
74969AAC5
199000.00000000
PA
USD
194978.61000000
0.102048185275
Long
LON
CORP
US
N
2
2027-02-11
Floating
1.93480000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWZ3
260000.00000000
PA
USD
302711.73000000
0.158433700538
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.22300000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.HY.34.V1
000000000
1.00000000
NC
USD
-13092.06000000
-0.00685214118
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.34.V1
Y
Default Event
2025-06-20
0.00000000
USD
-129306.90000000
USD
2318000.00000000
USD
116214.84000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
28.00000000
NC
USD
1312.50000000
0.000686938137
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
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
136.50000000
USD
2020-07-24
XXXX
-13017.19000000
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCE9
165000.00000000
PA
USD
199623.35000000
0.104479155975
Long
DBT
CORP
US
N
2
2049-11-01
Fixed
3.99900000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
USD/MXN FORWARD
000000000
1.00000000
NC
USD
104493.58000000
0.054690000159
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-1365880.08000000
USD
33868991.27000000
MXN
2020-07-16
104493.58000000
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AB3
70000.00000000
PA
USD
66574.20000000
0.034843700527
Long
DBT
CORP
US
N
2
2025-02-01
Variable
3.10000000
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
Aramark Services Inc
03852JAR2
144637.50000000
PA
USD
136682.44000000
0.071537051992
Long
LON
CORP
US
N
2
2027-01-15
Floating
1.94390000
N
N
N
N
N
N
HONEYWELL INTERNATIONAL
ISRPG12PN4EIEOEMW547
Honeywell International Inc
438516CB0
60000.00000000
PA
USD
61491.91000000
0.032183724279
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.35000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132ADXZ6
415340.36000000
PA
USD
453837.66000000
0.237530207096
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
5.00000000
N
N
N
N
N
N
CHEVY CHASE MORTGAGE FUNDING C
549300TC8R2SGZ2KM445
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3
16678RBU0
497789.91000000
PA
USD
481880.94000000
0.252207539308
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
0.43450000
N
N
N
N
N
N
HANESBRANDS INC
GX5LWVWZLL5S4W1L2F20
Hanesbrands Inc
410345AJ1
10000.00000000
PA
USD
9976.05000000
0.005221279394
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
4.62500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGR4
130000.00000000
PA
USD
145799.67000000
0.076308840940
Long
DBT
CORP
US
N
2
2028-07-21
Fixed
3.59300000
N
N
N
N
N
N
EYECARE PARTNERS LLC
N/A
Eyecare Partners LLC
30233PAB6
48648.65000000
PA
USD
44189.17000000
0.023127791337
Long
LON
CORP
US
N
2
2027-02-20
Floating
3.94010000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448ER5
10000.00000000
PA
USD
10941.60000000
0.005726630341
Long
DBT
CORP
US
N
2
2027-03-19
Fixed
2.62500000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAF0
40000.00000000
PA
USD
42983.38000000
0.022496703233
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.95000000
N
N
N
N
N
N
DEERE & COMPANY
PWFTNG3EI0Y73OXWDH08
Deere & Co
244199BJ3
10000.00000000
PA
USD
11352.71000000
0.005941797684
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.10000000
N
N
N
N
N
N
Morgan Stanley ReRemic Trust
N/A
Morgan Stanley Resecuritization Trust 2015-R3
61690TAT0
127411.36000000
PA
USD
126465.60000000
0.066189747581
Long
ABS-MBS
CORP
US
N
2
2047-04-26
Floating
0.68825000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M8RR7
274790.22000000
PA
USD
314580.93000000
0.164645819501
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141EC23
40000.00000000
PA
USD
44126.47000000
0.023094975321
Long
DBT
CORP
US
N
2
2024-07-08
Fixed
3.85000000
N
N
N
N
N
N
SPRINT CORP
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAJ4
40000.00000000
PA
USD
46236.40000000
0.024199273518
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
7.62500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HS3
13000.00000000
PA
USD
17271.33000000
0.009039493531
Long
DBT
CORP
US
N
2
2044-05-06
Fixed
5.30000000
N
N
N
N
N
N
CIT GROUP INC
N8O96ZZJQRFYQUJY7K79
CIT Group Inc
125581GY8
60000.00000000
PA
USD
60950.10000000
0.031900150982
Long
DBT
CORP
US
N
2
2024-02-16
Fixed
4.75000000
N
N
N
N
N
N
GUARDIAN LIFE GLOB FUND
635400NHILJ5JEKILC36
Guardian Life Global Funding
40139LAG8
30000.00000000
PA
USD
30131.15000000
0.015770084614
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
1.10000000
N
N
N
N
N
N
Small Business Administration
N/A
United States Small Business Administration
83162CC68
88621.61000000
PA
USD
95269.59000000
0.049862335009
Long
ABS-O
USGA
US
N
2
2044-07-01
Fixed
2.69000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VAM5
20000.00000000
PA
USD
27776.94000000
0.014537934799
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
7.55000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP MORGAN MORTGAGE TRUST 2018-5
46649KAA3
402940.66000000
PA
USD
412417.54000000
0.215851685129
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
3.50000000
N
N
N
N
N
N
PFIZER INC
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081EY5
70000.00000000
PA
USD
71252.04000000
0.037291995153
Long
DBT
CORP
US
N
2
2030-05-28
Fixed
1.70000000
N
N
N
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc
595112BR3
80000.00000000
PA
USD
83211.06000000
0.043551124237
Long
DBT
CORP
US
N
2
2023-04-24
Fixed
2.49700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416WYK2
202804.52000000
PA
USD
226892.69000000
0.118751422357
Long
ABS-MBS
USGSE
US
N
2
2040-10-01
Fixed
4.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE
000000000
11.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Purchased
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-06-30
0.00000000
USD
100000.00000000
125.25000000
USD
2020-06-26
XXXX
-3628.41000000
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBS7
10000.00000000
PA
USD
12175.73000000
0.006372551075
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBK7
80000.00000000
PA
USD
91231.03000000
0.047748627669
Long
DBT
CORP
US
N
2
2030-03-19
Fixed
3.48200000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAB0
40000.00000000
PA
USD
39195.57000000
0.020514233788
Long
DBT
CORP
US
N
2
2040-04-05
Fixed
3.37700000
N
N
N
N
N
N
EATON CORP
0NZWDMRCE180888QQE14
Eaton Corp
278062AC8
220000.00000000
PA
USD
231505.45000000
0.121165655319
Long
DBT
CORP
US
N
2
2022-11-02
Fixed
2.75000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
53550000.00000000
PA
802006.58000000
0.419755357103
Long
DBT
NUSS
RU
N
2
2023-08-16
Fixed
7.00000000
N
N
N
N
N
N
TEVA PHARMACEUT FIN BV
549300Q840R30TDKVK53
Teva Pharmaceutical Finance Co BV
88165FAF9
10000.00000000
PA
USD
9960.15000000
0.005212957629
Long
DBT
CORP
CW
N
2
2021-11-10
Fixed
3.65000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LBD7
20000.00000000
PA
USD
21250.65000000
0.011122195754
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.25000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397XQ1
200000.00000000
PA
USD
197500.00000000
0.103367833999
Long
DBT
CORP
US
N
2
2021-01-15
Fixed
3.20000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NBD0
30000.00000000
PA
USD
31665.00000000
0.016572873233
Long
DBT
CORP
NL
N
2
2049-03-19
Fixed
6.90000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2017-ASHF
61691KAA9
281409.76000000
PA
USD
262862.63000000
0.137577421278
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Floating
1.03475000
N
N
N
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718FH7
50000.00000000
PA
USD
57317.55000000
0.029998941740
Long
DBT
CORP
US
N
2
2030-03-25
Fixed
3.00000000
N
N
N
N
N
N
CIT GROUP INC
N8O96ZZJQRFYQUJY7K79
CIT Group Inc
125581GW2
60000.00000000
PA
USD
62318.70000000
0.032616450818
Long
DBT
CORP
US
N
2
2025-03-07
Fixed
5.25000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR CALL VERSUS USD PUT
000000000
2110000.00000000
NC
USD
16537.88000000
0.008655619415
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Purchased
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR CALL VERSUS USD PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
EUR
2020-09-11
2110000.00000000
USD
1.13850000
USD
2020-09-11
XXXX
-14099.32000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
2200000.00000000
PA
2548080.47000000
1.333618020455
Long
DBT
NUSS
IT
N
2
2021-10-15
Fixed
2.30000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBW2
40000.00000000
PA
USD
44825.19000000
0.023460672399
Long
DBT
CORP
US
N
2
2050-01-31
Fixed
4.20000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBC8
100000.00000000
PA
USD
98338.50000000
0.051468545537
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.45000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BB5
30000.00000000
PA
USD
38461.44000000
0.020130003773
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
7.50000000
N
N
N
N
N
N
SMB Private Education Loan Tru
549300GD7VLLBVPDNJ81
SMB Private Education Loan Trust 2015-C
78448R106
1092.00000000
PA
USD
547711.51000000
0.286662037697
Long
ABS-O
CORP
US
N
2
2046-09-18
Fixed
0.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617B8HH4
1056898.96000000
PA
USD
1129998.30000000
0.591420135159
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
3.50000000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZM3
110000.00000000
PA
USD
106994.42000000
0.055998893394
Long
DBT
CORP
US
N
2
2021-04-19
Fixed
3.40000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-20.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
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
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
136.75000000
USD
2020-06-26
XXXX
5590.40000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RF7
583053.00000000
PA
USD
795698.28000000
0.416453709977
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XW72
1595293.27000000
PA
USD
58256.44000000
0.030490339338
Long
ABS-MBS
USGA
US
N
2
2054-08-16
Variable
0.69973000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
ZAR/USD FORWARD
000000000
1.00000000
NC
USD
14074.19000000
0.007366169800
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-308931.39000000
USD
5615137.00000000
ZAR
2020-07-16
14074.19000000
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BX1
200000.00000000
PA
USD
215693.66000000
0.112890057932
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
2.87500000
N
N
N
N
N
N
BLUE RACER MID LLC/FINAN
N/A
Blue Racer Midstream LLC / Blue Racer Finance Corp
095796AA6
40000.00000000
PA
USD
39889.00000000
0.020877162179
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
6.12500000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAL7
40000.00000000
PA
USD
39096.94000000
0.020462612677
Long
DBT
CORP
US
N
2
2041-07-15
Fixed
5.60000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDG3
50000.00000000
PA
USD
57217.80000000
0.029946734441
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.40000000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BU7
42000.00000000
PA
USD
54152.52000000
0.028342423787
Long
DBT
CORP
US
N
2
2056-08-08
Fixed
3.95000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CT0
130000.00000000
PA
USD
128083.05000000
0.067036290888
Long
DBT
CORP
US
N
2
2021-02-08
Floating
1.39763000
N
N
N
N
N
N
INTL LEASE FINANCE CORP
N/A
International Lease Finance Corp
459745GK5
90000.00000000
PA
USD
96730.53000000
0.050626963887
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
8.62500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JT9
10000.00000000
PA
USD
11205.58000000
0.005864792573
Long
DBT
CORP
US
N
2
2025-06-10
Fixed
4.40000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CT0
270000.00000000
PA
USD
294560.40000000
0.154167445721
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.87500000
N
N
N
N
N
N
NEW YORK LIFE GLOBAL FDG
635400DPNHEAUHB7ZI15
New York Life Global Funding
64952WDQ3
60000.00000000
PA
USD
60189.79000000
0.031502218841
Long
DBT
CORP
US
N
2
2025-06-24
Fixed
0.95000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAA4
390000.00000000
PA
USD
430548.47000000
0.225341077345
Long
DBT
CORP
NL
N
2
2023-12-01
Fixed
4.62500000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BY8
50000.00000000
PA
USD
49532.14000000
0.025924202659
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
4.35000000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EY0
100000.00000000
PA
USD
100952.14000000
0.052836476199
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
0.75000000
N
N
N
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBK4
60000.00000000
PA
USD
75368.86000000
0.039446662325
Long
DBT
CORP
US
N
2
2049-07-15
Fixed
4.15000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GXJ8
100000.00000000
PA
USD
109769.59000000
0.057451365859
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.50000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CJ2
40000.00000000
PA
USD
27969.00000000
0.014638455438
Long
DBT
CORP
US
N
2
2046-04-15
Fixed
4.40000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
CAD/USD FORWARD
000000000
1.00000000
NC
USD
134603.66000000
0.070449057127
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-4867104.40000000
USD
6790000.00000000
CAD
2020-07-16
134603.66000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
100526.66000000
0.052613787865
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2024-08-31
6353.24000000
USD
0.00000000
USD
22471000.00000000
USD
94173.42000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MQ1
70000.00000000
PA
USD
75424.38000000
0.039475720462
Long
DBT
CORP
US
N
2
2026-04-08
Fixed
3.10600000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YAY1
90000.00000000
PA
USD
89891.78000000
0.047047689078
Long
DBT
CORP
US
N
2
2026-02-24
Fixed
0.75000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CW8
20000.00000000
PA
USD
21681.50000000
0.011347694647
Long
DBT
CORP
US
N
2
2025-04-22
Fixed
9.00000000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK5
06541WAX0
640000.00000000
PA
USD
714371.97000000
0.373889028905
Long
ABS-MBS
CORP
US
N
2
2060-06-15
Fixed
3.39000000
N
N
N
N
N
N
CINTAS CORPORATION NO. 2
549300QVUQTTKMTE0G41
Cintas Corp No 2
17252MAM2
180000.00000000
PA
USD
187023.16000000
0.097884450414
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
2.90000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CP8
110000.00000000
PA
USD
102607.45000000
0.053702834727
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.70000000
N
N
N
N
N
N
GENESEE & WYOMING INC
G617XSG94Z7G0RMW3L02
Genesee & Wyoming Inc
55316HAB1
180000.00000000
PA
USD
174015.00000000
0.091076220928
Long
LON
CORP
US
N
2
2026-12-30
Floating
2.17100000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2017-RB1
95000TBV7
2157921.64000000
PA
USD
142027.50000000
0.074334557181
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Variable
1.40312100
N
N
N
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
iHeartCommunications Inc
45174UAF5
91638.43540000
PA
USD
84841.89000000
0.044404670388
Long
LON
CORP
US
N
2
2026-05-01
Floating
3.17100000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BU2
40000.00000000
PA
USD
44634.95000000
0.023361104314
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.50000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FPJJ5
1088799.28000000
PA
USD
75594.79000000
0.039564909893
Long
ABS-MBS
USGSE
US
N
2
2029-09-25
Variable
1.00559700
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-7415.30000000
-0.00388103037
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-170000.00000000
EUR
183646.41000000
USD
2020-07-16
-7415.30000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-8.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
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
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
138.00000000
USD
2020-06-26
XXXX
3486.16000000
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XY32
200000.00000000
PA
USD
200726.18000000
0.105056356726
Long
ABS-MBS
CORP
US
N
2
2031-01-25
Floating
4.43450000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCM1
20000.00000000
PA
USD
26944.91000000
0.014102465741
Long
DBT
CORP
US
N
2
2048-10-15
Fixed
4.70000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JHYV9
76107.44000000
PA
USD
84152.84000000
0.044044034408
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/EUR FORWARD
000000000
1.00000000
NC
USD
12047.52000000
0.006305448341
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-920000.00000000
EUR
1047420.00000000
USD
2020-09-15
12047.52000000
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HK9
350000.00000000
PA
USD
145430.25000000
0.076115493369
Long
DBT
NUSS
AR
N
2
2022-01-26
Fixed
5.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178NF95
79615.16000000
PA
USD
84619.14000000
0.044288087173
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPER
549300TPZNMN50BJ3745
Charter Communications Operating LLC
16117LBW8
222440.86640000
PA
USD
215242.46000000
0.112653908227
Long
LON
CORP
US
N
2
2025-04-30
Floating
1.92950000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBL8
10000.00000000
PA
USD
10188.55000000
0.005332497949
Long
DBT
CORP
US
N
2
2024-11-14
Fixed
4.55000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VER1
144000.00000000
PA
USD
173429.89000000
0.090769985215
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.32900000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00772BAM3
150000.00000000
PA
USD
151756.52000000
0.079426545659
Long
DBT
CORP
IE
N
2
2021-10-01
Fixed
5.00000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
CAD/USD FORWARD
000000000
1.00000000
NC
USD
35181.96000000
0.018413584815
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-4186420.96000000
USD
5730000.00000000
CAD
2020-10-16
35181.96000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HVFM1
100000.00000000
PA
USD
112519.20000000
0.058890460695
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.77000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FG8
180000.00000000
PA
USD
209144.86000000
0.109462537571
Long
DBT
CORP
US
N
2
2060-03-20
Fixed
3.83900000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
298003.30000000
0.155969395674
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2029-07-20
22330.06000000
USD
0.00000000
USD
47980000.00000000
MXN
275673.24000000
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BK6
10000.00000000
PA
USD
10279.91000000
0.005380314078
Long
DBT
CORP
US
N
2
2045-11-15
Fixed
5.00000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAN3
130000.00000000
PA
USD
135495.78000000
0.070915976175
Long
DBT
CORP
US
N
2
2022-08-09
Fixed
2.85000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076BW1
10000.00000000
PA
USD
11969.69000000
0.006264713564
Long
DBT
CORP
US
N
2
2028-12-06
Fixed
3.90000000
N
N
N
N
N
N
Banc of America Funding Corpor
549300R847L762RQF071
Banc of America Funding 2015-R4 Trust
05990RAS0
16425.28000000
PA
USD
16457.15000000
0.008613366831
Long
ABS-MBS
CORP
US
N
2
2036-08-27
Floating
0.30825000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CN8
150000.00000000
PA
USD
193570.16000000
0.101311028689
Long
DBT
CORP
US
N
2
2045-07-20
Fixed
5.12500000
N
N
N
N
N
N
DCP MIDSTREAM OPERATING
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
26439XAH6
20000.00000000
PA
USD
18085.90000000
0.009465824349
Long
DBT
CORP
US
N
2
2036-11-03
Fixed
6.45000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31329PS53
67916.32000000
PA
USD
73946.16000000
0.038702047553
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAQ9
790000.00000000
PA
USD
811548.49000000
0.424749415679
Long
DBT
CORP
US
N
2
2021-09-25
Fixed
4.37500000
N
N
N
N
N
N
HERSHEY COMPANY
21X2CX66SU2BR6QTAD08
Hershey Co/The
427866BF4
20000.00000000
PA
USD
20129.07000000
0.010535181601
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
0.90000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DE2
70000.00000000
PA
USD
66587.85000000
0.034850844684
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
7.87500000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833DJ6
110000.00000000
PA
USD
110703.18000000
0.057939989536
Long
DBT
CORP
US
N
2
2020-11-13
Fixed
2.00000000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BB9
70000.00000000
PA
USD
76357.98000000
0.039964349372
Long
DBT
CORP
US
N
2
2025-02-12
Fixed
2.70000000
N
N
N
N
N
N
UNITED AIR 2013-1 B PTT
N/A
United Airlines 2013-1 Class B Pass Through Trust
90931QAA5
19790.29000000
PA
USD
18890.83000000
0.009887109769
Long
DBT
CORP
US
N
2
2021-08-15
Fixed
5.37500000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAE1
80000.00000000
PA
USD
71730.40000000
0.037542359898
Long
DBT
CORP
NL
N
2
2026-10-01
Fixed
3.15000000
N
N
N
N
N
N
FIRST EAGLE HOLDINGS INC
549300ZKYR56QRODD510
First Eagle Holdings Inc
05554JAH0
59152.37590000
PA
USD
57106.71000000
0.029888591997
Long
LON
CORP
US
N
2
2027-02-02
Floating
2.67100000
N
N
N
N
N
N
VICI PROPERTIES INC
549300XI4XP4JVS3XU20
VICI Properties 1 LLC
92565EAB9
100000.00000000
PA
USD
93500.00000000
0.048936164450
Long
LON
CORP
US
N
2
2024-12-22
Floating
1.92950000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918CD4
8000.00000000
PA
USD
8374.04000000
0.004382817096
Long
DBT
CORP
US
N
2
2060-06-01
Fixed
2.67500000
N
N
N
N
N
N
L3HARRIS TECH INC
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
413875AT2
30000.00000000
PA
USD
39535.44000000
0.020692115438
Long
DBT
CORP
US
N
2
2045-04-27
Fixed
5.05400000
N
N
N
N
N
N
Small Business Administration
N/A
United States Small Business Administration
83162CB51
85822.82000000
PA
USD
91475.95000000
0.047876814250
Long
ABS-MBS
USGA
US
N
2
2039-04-01
Fixed
2.98000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BY3
110000.00000000
PA
USD
114397.64000000
0.059873601323
Long
DBT
CORP
US
N
2
2022-05-16
Fixed
2.60000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
CAD/USD FORWARD
000000000
1.00000000
NC
USD
65742.41000000
0.034408357081
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-1710094.52000000
USD
2410763.00000000
CAD
2020-07-16
65742.41000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CX1
90000.00000000
PA
USD
107181.91000000
0.056097022180
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
5.93000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87265VAF5
150000.00000000
PA
USD
150000.00000000
0.078507215695
Long
LON
CORP
US
N
2
2027-04-01
Floating
3.17100000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XAY1
20000.00000000
PA
USD
21237.40000000
0.011115260950
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
7.75000000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AJ2
70000.00000000
PA
USD
77179.41000000
0.040394270587
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
2.75000000
N
N
N
N
N
N
CORE 2019-CORE MORTGAGE TRUST
N/A
CORE 2019-CORE Mortgage Trust
21871FAA6
490000.00000000
PA
USD
485044.83000000
0.253863460606
Long
ABS-MBS
CORP
US
N
2
2031-12-15
Floating
1.06475000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
549300XYOVNMTJWOZ135
Morgan Stanley Capital I Trust 2007-IQ16
61756UAH4
27312.83000000
PA
USD
16688.14000000
0.008734262710
Long
ABS-MBS
CORP
US
N
2
2049-12-12
Variable
6.46059300
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV FIN
5493000EYEKDT0FBSQ91
Anheuser-Busch InBev Finance Inc
035242AL0
108000.00000000
PA
USD
114430.72000000
0.059890914781
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
3.30000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDW9
20000.00000000
PA
USD
20384.79000000
0.010669020702
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.25000000
N
N
N
N
N
N
MILEAGE PLUS HLDINGS LLC
N/A
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd
599191AA1
90000.00000000
PA
USD
90253.80000000
0.047237163626
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CC4
70000.00000000
PA
USD
78867.73000000
0.041277905936
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
3.30000000
N
N
N
N
N
N
BARRICK NA FINANCE LLC
N/A
Barrick North America Finance LLC
06849RAG7
190000.00000000
PA
USD
256097.79000000
0.134036829591
Long
DBT
CORP
US
N
2
2041-05-30
Fixed
5.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379FFB0
239624.32000000
PA
USD
38134.58000000
0.019958931316
Long
ABS-MBS
USGA
US
N
2
2045-04-16
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
3617MKLU1
99851.47000000
PA
USD
107477.83000000
0.056251901215
Long
ABS-MBS
USGA
US
N
2
2050-05-15
Fixed
3.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38145GAH3
100000.00000000
PA
USD
110057.28000000
0.057601937465
Long
DBT
CORP
US
N
2
2026-11-16
Fixed
3.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VES9
50000.00000000
PA
USD
59180.84000000
0.030974153139
Long
DBT
CORP
US
N
2
2029-02-08
Fixed
3.87500000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EU8
20000.00000000
PA
USD
24141.07000000
0.012634987930
Long
DBT
CORP
US
N
2
2050-03-19
Fixed
3.62500000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
12000000.00000000
PA
1745165.12000000
0.913387030003
Long
DBT
NUSS
CN
N
2
2029-05-23
Fixed
3.29000000
N
N
N
N
N
N
VIRGIN MEDIA BRISTOL LLC
N/A
Virgin Media Bristol LLC
000000000
240000.00000000
PA
USD
230280.00000000
0.120524277536
Long
LON
CORP
US
N
2
2028-01-31
Floating
3.25080000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31329PBA0
511816.61000000
PA
USD
555263.06000000
0.290614378795
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
3.50000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BL3
40000.00000000
PA
USD
52979.87000000
0.027728680544
Long
DBT
CORP
US
N
2
2040-03-25
Fixed
4.60000000
N
N
N
N
N
N
ACADEMY LTD
549300BN53IR80C35Z14
Academy Ltd
00400YAH4
233014.37500000
PA
USD
188256.27000000
0.098529837299
Long
LON
CORP
US
N
2
2022-07-02
Floating
5.00000000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200JY8
200000.00000000
PA
USD
216699.88000000
0.113416694802
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.00000000
N
N
N
N
N
N
Banc of America Funding Corpor
549300R847L762RQF071
Banc of America Funding 2015-R4 Trust
05990RAT8
780000.00000000
PA
USD
781162.90000000
0.408846161891
Long
ABS-MBS
CORP
US
N
2
2036-08-27
Floating
0.30825000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAJ7
130000.00000000
PA
USD
171210.08000000
0.089608177865
Long
DBT
CORP
US
N
2
2037-05-01
Fixed
6.55000000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BH1
60000.00000000
PA
USD
69029.18000000
0.036128591490
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.55000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GGQ1
200000.00000000
PA
USD
210045.53000000
0.109933931530
Long
DBT
CORP
US
N
2
2021-07-27
Fixed
5.25000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BW2
40000.00000000
PA
USD
40127.53000000
0.021002004353
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.62500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE
000000000
-30.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
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
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-09-30
0.00000000
USD
100000.00000000
126.50000000
USD
2020-06-26
XXXX
3698.10000000
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AH0
200000.00000000
PA
USD
226595.63000000
0.118595946667
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
3.90000000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BP8
150000.00000000
PA
USD
152084.21000000
0.079598052522
Long
DBT
CORP
US
N
2
2021-08-08
Fixed
1.55000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBL9
80000.00000000
PA
USD
84672.46000000
0.044315993871
Long
DBT
CORP
US
N
2
2031-04-22
Fixed
2.52200000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132ADZD3
205961.88000000
PA
USD
224009.74000000
0.117242539840
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AH7
20000.00000000
PA
USD
18800.00000000
0.009839571033
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.50000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582CH3
150000.00000000
PA
USD
160258.86000000
0.083876512594
Long
DBT
CORP
NL
N
2
2050-04-06
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36189ML55
730083.21000000
PA
USD
785712.97000000
0.411227584071
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Fixed
4.00000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B2HC9
99990.83000000
PA
USD
112728.58000000
0.059000046300
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Variable
3.22844400
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AS9
100000.00000000
PA
USD
114299.99000000
0.059822493126
Long
DBT
CORP
US
N
2
2040-06-01
Fixed
4.35000000
N
N
N
N
N
N
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
480000.00000000
NC
USD
15.99000000
0.000008368869
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2020-07-30
0.00000000
USD
0.00000000
USD
0.00000000
USD
480000.00000000
USD
1.88000000
USD
2020-07-30
XXXX
-12480.01000000
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAS8
430000.00000000
PA
USD
479920.85000000
0.251181664585
Long
DBT
CORP
NL
N
2
2027-01-17
Fixed
7.37500000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78013XKG2
40000.00000000
PA
USD
40962.17000000
0.021438839437
Long
DBT
CORP
CA
N
2
2021-04-30
Fixed
3.20000000
N
N
N
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CX6
40000.00000000
PA
USD
40491.61000000
0.021192557067
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
2.60000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-5.00000000
NC
USD
-1015.63000000
-0.00053156188
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
173.00000000
USD
2020-07-24
XXXX
2756.98000000
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131XUM38
61215.74000000
PA
USD
66586.50000000
0.034850138119
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9XL2
144132.56000000
PA
USD
158323.62000000
0.082863643900
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132H7BY9
3427439.25000000
PA
USD
3740935.26000000
1.957936075737
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
4.00000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AG5
70000.00000000
PA
USD
80505.07000000
0.042134859300
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.12500000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BF9
50000.00000000
PA
USD
57276.44000000
0.029977425529
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.65000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AH8
80000.00000000
PA
USD
87296.00000000
0.045689106009
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
5.37500000
N
N
N
N
N
N
ATLANTIC AVIATION FBO INC
549300IFVVFYQ4SH7939
Atlantic Aviation FBO Inc
04822DAJ8
29550.00000000
PA
USD
27777.00000000
0.014537966202
Long
LON
CORP
US
N
3
2025-12-06
Floating
4.06290000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-4
46649CAA1
261558.08000000
PA
USD
268668.38000000
0.140616043061
Long
ABS-MBS
CORP
US
N
2
2048-10-25
Variable
3.50000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
59562VAM9
97000.00000000
PA
USD
140303.75000000
0.073432378427
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.12500000
N
N
N
N
N
N
ZIGGO BV
213800TQASLF9JXH5J59
Ziggo BV
000000000
200000.00000000
PA
USD
189500.00000000
0.099180782495
Long
LON
CORP
US
N
2
2028-04-30
Floating
2.69390000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-38.00000000
NC
USD
-38628.24000000
-0.02021730379
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
2020-09-21
-6746746.76000000
USD
-38628.24000000
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AD3
30000.00000000
PA
USD
29975.70000000
0.015688724970
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
5.12500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
96092.95000000
0.050293266349
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2025-03-23
0.00000000
USD
-3583.74000000
USD
4700000.00000000
USD
99676.69000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
17.00000000
NC
USD
33203.14000000
0.017377907158
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
178.00000000
USD
2020-07-24
XXXX
-6482.56000000
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
000000000
75.00000000
NC
USD
225757.73000000
0.118157405360
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Long
90 DAY EURO DOLLAR TIME DEPOSIT
90 DAY EURO DOLLAR TIME DEPOSIT
2020-12-14
18469867.27000000
USD
225757.73000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HQ7
20000.00000000
PA
USD
20048.70000000
0.010493117435
Long
DBT
CORP
US
N
2
N/A
Fixed
6.30000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBB8
60000.00000000
PA
USD
65646.49000000
0.034358154333
Long
DBT
CORP
US
N
2
2024-02-14
Fixed
3.80000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29279FAA7
20000.00000000
PA
USD
21231.13000000
0.011111979349
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
6.25000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFN9
60000.00000000
PA
USD
66732.46000000
0.034926530874
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.30000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAT8
10000.00000000
PA
USD
10575.00000000
0.005534758706
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.62500000
N
N
N
N
N
N
FANNIE MAE
N/A
FANNIE MAE REMICS
3136BAS21
100000.00000000
PA
USD
99437.50000000
0.052043741738
Long
ABS-MBS
USGSE
US
N
3
2050-07-25
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGBJ2
59978.03000000
PA
USD
65233.73000000
0.034142123411
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.50000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017DD8
80000.00000000
PA
USD
91089.38000000
0.047674490688
Long
DBT
CORP
US
N
2
2025-08-16
Fixed
3.95000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBG6
10000.00000000
PA
USD
12528.59000000
0.006557231449
Long
DBT
CORP
US
N
2
2050-03-19
Fixed
4.32700000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CQ6
80000.00000000
PA
USD
71955.17000000
0.037660000344
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.75000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582AY8
10000.00000000
PA
USD
12468.89000000
0.006525985578
Long
DBT
CORP
NL
N
2
2043-08-12
Fixed
4.55000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UGD8
411083.42000000
PA
USD
439828.94000000
0.230198303078
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
4.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHQ5
110000.00000000
PA
USD
128171.57000000
0.067082620613
Long
DBT
CORP
US
N
2
2030-02-07
Fixed
3.97400000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9VM0
67831.63000000
PA
USD
73915.46000000
0.038685979743
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AN8
80000.00000000
PA
USD
85865.44000000
0.044940377459
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
4.00000000
N
N
N
N
N
N
UNITED AIR 2014-1 B PTT
N/A
United Airlines 2014-1 Class B Pass Through Trust
90932PAB4
49052.13000000
PA
USD
43612.29000000
0.022825863053
Long
DBT
CORP
US
N
2
2022-04-11
Fixed
4.75000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BR9
20000.00000000
PA
USD
21481.10000000
0.011242809007
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.37500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHD4
861000.00000000
PA
USD
959664.18000000
0.502270418498
Long
DBT
CORP
US
N
2
2028-12-20
Fixed
3.41900000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XJ70
441868.56000000
PA
USD
438169.81000000
0.229329945233
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
2.33450000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9HZ9
139416.90000000
PA
USD
153143.05000000
0.080152229724
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BX0
30000.00000000
PA
USD
29911.94000000
0.015655354169
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
4.25000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2019-AFC1 Trust
12596XAA0
476875.44000000
PA
USD
488488.74000000
0.255665939174
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
2.57300000
N
N
N
N
N
N
MPH ACQUISITION HOLDINGS
5493002WXOPRPTXWTU06
MPH Acquisition Holdings LLC
55328HAE1
230633.51449900
PA
USD
219342.16000000
0.114799615108
Long
LON
CORP
US
N
2
2023-06-07
Floating
3.75000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BE6
50000.00000000
PA
USD
49962.25000000
0.026149314249
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.25000000
N
N
N
N
N
N
UNITED AIR 2014-2 B PTT
N/A
United Airlines 2014-2 Class B Pass Through Trust
90932QAB2
40661.37000000
PA
USD
35888.07000000
0.018783149682
Long
DBT
CORP
US
N
2
2022-09-03
Fixed
4.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXG89
281362.61000000
PA
USD
315041.05000000
0.164886637769
Long
ABS-MBS
USGSE
US
N
2
2057-09-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HBJB5
74659.41000000
PA
USD
82551.69000000
0.043206022219
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.50000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBA0
10000.00000000
PA
USD
11618.51000000
0.006080912470
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
4.85000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BE4
120000.00000000
PA
USD
106038.67000000
0.055498671585
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967EW7
37000.00000000
PA
USD
64154.15000000
0.033577091278
Long
DBT
CORP
US
N
2
2039-07-15
Fixed
8.12500000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023BU8
50000.00000000
PA
USD
48307.49000000
0.025283243580
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
2.80000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAT7
80000.00000000
PA
USD
88790.60000000
0.046471351906
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
5.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWL4
150000.00000000
PA
USD
168135.37000000
0.087998931724
Long
DBT
CORP
US
N
2
2028-06-05
Fixed
3.69100000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
LONG GILT
000000000
-19.00000000
NC
-4084.35000000
-0.00213767297
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Short
UK TSY 4 3/4% 2030
United Kingdom Gilt
2020-09-28
-3202302.40000000
USD
-4084.35000000
N
N
N
CONCHO RESOURCES INC
SYHS7HRDXLL4I0IQ8776
Concho Resources Inc
20605PAG6
30000.00000000
PA
USD
30967.61000000
0.016207872252
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.37500000
N
N
N
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Kenya Government International Bond
000000000
200000.00000000
PA
USD
203735.00000000
0.106631117265
Long
DBT
NUSS
KE
N
2
2024-06-24
Fixed
6.87500000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBF9
30000.00000000
PA
USD
39408.49000000
0.020625672164
Long
DBT
CORP
US
N
2
2049-02-14
Fixed
5.95000000
N
N
N
N
N
N
SOUTHERN NATURAL GAS
N/A
Southern Natural Gas Co LLC
843452AZ6
50000.00000000
PA
USD
72630.49000000
0.038013450296
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
8.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VBG8
10000.00000000
PA
USD
12212.55000000
0.006391821980
Long
DBT
CORP
US
N
2
2042-11-01
Fixed
3.85000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CP2
40000.00000000
PA
USD
41269.40000000
0.021599637916
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.10000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2015-FL7
46644PAG4
128833.02000000
PA
USD
126428.74000000
0.066170455742
Long
ABS-MBS
CORP
US
N
2
2028-05-15
Floating
3.93475000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DK3
20000.00000000
PA
USD
23690.15000000
0.012398984772
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.12500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-10876.02000000
-0.00569230698
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-407609.74000000
EUR
447233.48000000
USD
2020-07-16
-10876.02000000
N
N
N
Small Business Administration
N/A
SBA Small Business Investment Cos
831641FL4
152426.09000000
PA
USD
164159.32000000
0.085917940958
Long
ABS-MBS
USGA
US
N
2
2028-09-10
Fixed
3.54800000
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BN1
180000.00000000
PA
USD
201435.63000000
0.105427669688
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.25000000
N
N
N
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Walmart Inc
931142EE9
170000.00000000
PA
USD
201444.40000000
0.105432259743
Long
DBT
CORP
US
N
2
2028-06-26
Fixed
3.70000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAF2
400000.00000000
PA
USD
434782.00000000
0.227556828364
Long
DBT
CORP
KY
N
2
2025-08-08
Fixed
5.12500000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962G3P7
30000.00000000
PA
USD
33898.98000000
0.017742096898
Long
DBT
CORP
US
N
2
2038-01-14
Fixed
5.87500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
270000.00000000
PA
USD
309643.97000000
0.162061906277
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BC9
130000.00000000
PA
USD
148875.91000000
0.077918887855
Long
DBT
CORP
US
N
2
2027-08-22
Fixed
3.15000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2
46590MAR1
200000.00000000
PA
USD
213747.16000000
0.111871295963
Long
ABS-MBS
CORP
US
N
2
2049-08-15
Fixed
2.82180000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BCW4
571060.44000000
PA
USD
617779.20000000
0.323334166044
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.00000000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AJ8
430000.00000000
PA
USD
454422.93000000
0.237836526550
Long
DBT
CORP
IT
N
2
2022-01-14
Fixed
6.57200000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076BS0
10000.00000000
PA
USD
12177.85000000
0.006373660644
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
3.90000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO BTP
000000000
55.00000000
NC
194819.40000000
0.101964857716
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUONI POLIENNALI DEL TES
Italy Buoni Poliennali Del Tesoro
2020-09-08
8636434.04000000
USD
194819.40000000
N
N
N
NEW COTAI CLASS B SHARES
N/A
NEW COTAI CLASS B SHARES
000000000
1.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
N
3
N
N
N
CHUBB INA HOLDINGS INC
CZCBJZWDMLTHWJDXU843
Chubb INA Holdings Inc
00440EAT4
40000.00000000
PA
USD
40194.24000000
0.021036919129
Long
DBT
CORP
US
N
2
2020-11-03
Fixed
2.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXET5
887837.90000000
PA
USD
966911.50000000
0.506063531261
Long
ABS-MBS
USGSE
US
N
2
2057-03-01
Fixed
3.50000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962G4B7
451000.00000000
PA
USD
554667.29000000
0.290302563835
Long
DBT
CORP
US
N
2
2039-01-10
Fixed
6.87500000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114GX2
310000.00000000
PA
USD
126073.90000000
0.065984739072
Long
DBT
NUSS
AR
N
2
2026-04-22
Fixed
7.50000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
50000.00000000
PA
USD
53650.81000000
0.028079838086
Long
DBT
CORP
US
N
2
2024-03-12
Fixed
4.12500000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MAE0
240000.00000000
PA
USD
244139.81000000
0.127778244823
Long
DBT
CORP
JP
N
2
2021-07-14
Fixed
2.05800000
N
N
N
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AT9
40000.00000000
PA
USD
57290.00000000
0.029984522581
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AA5
50000.00000000
PA
USD
43512.25000000
0.022773503974
Long
DBT
CORP
US
N
2
2050-02-01
Variable
5.25000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAN0
140000.00000000
PA
USD
141539.58000000
0.074079188910
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.70000000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBE0
200000.00000000
PA
USD
248036.20000000
0.129817543024
Long
DBT
NUSS
QA
N
2
2050-04-16
Fixed
4.40000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAF3
140000.00000000
PA
USD
184882.91000000
0.096764283292
Long
DBT
CORP
US
N
2
2045-05-22
Fixed
5.15000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JU6
145000.00000000
PA
USD
187247.98000000
0.098002117029
Long
DBT
CORP
US
N
2
2045-07-30
Fixed
4.65000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEA6
30000.00000000
PA
USD
32189.29000000
0.016847276887
Long
DBT
CORP
US
N
2
2060-05-15
Fixed
3.12500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DMKC8
256184.29000000
PA
USD
279921.19000000
0.146505554940
Long
ABS-MBS
USGSE
US
N
2
2050-03-01
Fixed
5.00000000
N
N
N
N
N
N
FOCUS FINANCIAL PARTNERS LLC
5493007L0E0VKRC2CP39
Focus Financial Partners LLC
34416DAT5
128965.26410000
PA
USD
123806.65000000
0.064798102507
Long
LON
CORP
US
N
2
2024-07-03
Floating
2.17830000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
06739GCR8
200000.00000000
PA
USD
203645.43000000
0.106584237989
Long
DBT
CORP
GB
N
2
2022-05-12
Fixed
1.70000000
N
N
N
N
N
N
EDELMAN FINANCIAL CENTER
N/A
Edelman Financial Center LLC/The
27943UAJ5
29177.83380000
PA
USD
27981.54000000
0.014645018641
Long
LON
CORP
US
N
2
2025-07-19
Floating
4.35900000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AL4
80000.00000000
PA
USD
92389.42000000
0.048354907492
Long
DBT
CORP
US
N
2
2028-04-13
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QDU28
99862.24000000
PA
USD
105865.29000000
0.055407927711
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.00000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAV3
200000.00000000
PA
USD
208184.84000000
0.108960080923
Long
DBT
CORP
DK
N
2
2025-12-20
Fixed
3.24400000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-5.00000000
NC
USD
-1015.63000000
-0.00053156188
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
173.00000000
USD
2020-07-24
XXXX
3991.36000000
N
N
N
CANADIAN IMPERIAL BANK
2IGI19DL77OX0HC3ZE78
Canadian Imperial Bank of Commerce
13607GRK2
80000.00000000
PA
USD
80304.71000000
0.042029994595
Long
DBT
CORP
CA
N
2
2023-06-23
Fixed
0.95000000
N
N
N
N
N
N
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
JAPAN 10 YEAR BOND
000000000
-4.00000000
NC
-4104.65000000
-0.00214829761
N/A
DIR
CORP
JP
N
1
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
Short
JAPAN (10 YEAR ISSUE)
Japan Government Ten Year Bond
2020-09-14
-5663264.49000000
USD
-4104.65000000
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
40000.00000000
PA
USD
52481.66000000
0.027467926677
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AC7
50000.00000000
PA
USD
54932.77000000
0.028750792154
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
3.35000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2016-4
64829LAA6
724369.36000000
PA
USD
775313.97000000
0.405784940498
Long
ABS-MBS
CORP
US
N
2
2056-11-25
Variable
3.75000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BN7
20000.00000000
PA
USD
22767.16000000
0.011915908939
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.87500000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JC6
80000.00000000
PA
USD
90988.42000000
0.047621650098
Long
DBT
CORP
US
N
2
2026-11-20
Fixed
4.30000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BC7
30000.00000000
PA
USD
40518.47000000
0.021206615093
Long
DBT
CORP
US
N
2
2055-10-23
Fixed
6.83400000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BD8
230000.00000000
PA
USD
296424.14000000
0.155142892642
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
4.90000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAA8
90000.00000000
PA
USD
84521.75000000
0.044237115054
Long
DBT
CORP
KY
N
2
2022-08-15
Fixed
5.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380AK63
368985.73000000
PA
USD
103526.70000000
0.054183953114
Long
ABS-MBS
USGA
US
N
2
2046-10-16
Floating
5.90487000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CM5
40000.00000000
PA
USD
39105.75000000
0.020467223667
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
2.70000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
60.00000000
NC
USD
23567.60000000
0.012334844377
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
2020-09-21
8326745.20000000
USD
23567.60000000
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAV3
10000.00000000
PA
USD
10112.75000000
0.005292825636
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.37500000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BW3
210000.00000000
PA
USD
216798.01000000
0.113468054223
Long
DBT
CORP
US
N
2
2022-02-06
Fixed
2.40000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
INR/USD FORWARD
000000000
1.00000000
NC
USD
12511.74000000
0.006548412472
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-353079.00000000
USD
27646086.00000000
INR
2020-07-16
12511.74000000
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZU5
50000.00000000
PA
USD
40590.36000000
0.021244240984
Long
DBT
CORP
US
N
2
2024-10-28
Fixed
2.90000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2F0
200000.00000000
PA
USD
230859.69000000
0.120827676521
Long
DBT
CORP
FR
N
2
2028-08-14
Fixed
4.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAHF8
70720.12000000
PA
USD
77115.85000000
0.040361004463
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HVBS2
100000.00000000
PA
USD
113325.18000000
0.059312295666
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.85000000
N
N
N
N
N
N
INTL LEASE FINANCE CORP
N/A
International Lease Finance Corp
459745GF6
90000.00000000
PA
USD
92136.24000000
0.048222397780
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
8.25000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AV2
50000.00000000
PA
USD
56338.32000000
0.029486430934
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-4926.36000000
-0.00257836538
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-150000.00000000
EUR
163657.50000000
USD
2020-07-16
-4926.36000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCR3
40000.00000000
PA
USD
44299.48000000
0.023185525543
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
3.50000000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BL7
100000.00000000
PA
USD
103481.50000000
0.054160296273
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.25000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AN7
30000.00000000
PA
USD
30304.01000000
0.015860556330
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.60000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T4Q5
45451.25000000
PA
USD
48967.70000000
0.025628785240
Long
ABS-MBS
USGA
US
N
2
2048-07-20
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAP3
230000.00000000
PA
USD
262028.84000000
0.137141031069
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
3.77200000
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BM3
150000.00000000
PA
USD
162340.43000000
0.084965967694
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
2.93000000
N
N
N
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780099CH8
430000.00000000
PA
USD
470874.14000000
0.246446784496
Long
DBT
CORP
GB
N
2
2024-05-28
Fixed
5.12500000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBN0
30000.00000000
PA
USD
33441.36000000
0.017502587084
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.37500000
N
N
N
N
N
N
U.S. FOODSERVICE
5493000JOOFAOUY1JZ87
US Foods Inc
90351HAD0
60000.00000000
PA
USD
56625.00000000
0.029636473925
Long
LON
CORP
US
N
2
2026-09-13
Floating
2.32090000
N
N
N
N
N
N
Navient Student Loan Trust
549300ZUZB9UCBWEBN39
Navient Private Education Refi Loan Trust 2019-A
63941BAC9
470000.00000000
PA
USD
466837.61000000
0.244334139620
Long
ABS-O
CORP
US
N
2
2043-01-15
Floating
1.08475000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BG5
4000.00000000
PA
USD
4323.52000000
0.002262850114
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.80000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
1334.97000000
0.000698698518
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2050-03-17
11875.10000000
USD
0.00000000
USD
-700000.00000000
USD
-10540.13000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-110935.94000000
-0.05806181179
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-02-15
993.00000000
USD
0.00000000
USD
-5364000.00000000
USD
-111928.94000000
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764BL3
30000.00000000
PA
USD
33252.86000000
0.017403929683
Long
DBT
CORP
US
N
2
2026-05-16
Fixed
2.95400000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172AT6
90000.00000000
PA
USD
93720.09000000
0.049051355471
Long
DBT
CORP
US
N
2
2022-08-22
Fixed
2.50000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023BY0
20000.00000000
PA
USD
18260.51000000
0.009557211981
Long
DBT
CORP
US
N
2
2038-03-01
Fixed
3.55000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2N2
150000.00000000
PA
USD
155272.79000000
0.081266896108
Long
DBT
CORP
US
N
2
2026-04-30
Fixed
2.18800000
N
N
N
N
N
N
CIMAREX ENERGY CO
11KYOFXPU1C4CQL1CL44
Cimarex Energy Co
171798AE1
100000.00000000
PA
USD
102853.54000000
0.053831633665
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.37500000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114QCG1
150000.00000000
PA
USD
150927.80000000
0.078992808993
Long
DBT
CORP
CA
N
2
2023-06-12
Fixed
0.75000000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QDA3
190000.00000000
PA
USD
210290.66000000
0.110062228022
Long
DBT
CORP
GB
N
2
2025-03-17
Fixed
3.50600000
N
N
N
N
N
N
UFC HOLDINGS LLC
549300JEOTH7UMZ3C491
UFC Holdings LLC
90266UAF0
153140.03440000
PA
USD
146376.30000000
0.076610638378
Long
LON
CORP
US
N
2
2026-04-29
Floating
4.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31397EWH4
2390945.47000000
PA
USD
566425.02000000
0.296456341470
Long
ABS-MBS
USGSE
US
N
2
2037-02-15
Floating
6.24525000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NWU3
34793.75000000
PA
USD
36458.53000000
0.019081717857
Long
ABS-MBS
USGA
US
N
2
2048-06-16
Variable
2.57976000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WE3Y3
323146.76000000
PA
USD
362298.62000000
0.189620372710
Long
ABS-MBS
USGSE
US
N
2
2045-07-01
Fixed
4.00000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBC6
60000.00000000
PA
USD
69138.11000000
0.036185603430
Long
DBT
CORP
US
N
2
2026-02-14
Fixed
4.40000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBY8
40000.00000000
PA
USD
42087.49000000
0.022027811036
Long
DBT
CORP
US
N
2
2051-01-31
Fixed
3.70000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-55824.75000000
-0.02921763792
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-1751000.00000000
EUR
1912110.88000000
USD
2020-07-16
-55824.75000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCK8
100000.00000000
PA
USD
136019.55000000
0.071190107671
Long
DBT
CORP
US
N
2
2046-08-21
Fixed
4.86200000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
7500000.00000000
PA
1103509.76000000
0.577556525004
Long
DBT
NUSS
CN
N
2
2025-11-30
Fixed
3.31000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CC1
250000.00000000
PA
USD
277733.36000000
0.145360485329
Long
DBT
CORP
GB
N
2
2030-05-22
Fixed
3.97300000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-11.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
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
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
137.50000000
USD
2020-06-26
XXXX
4184.10000000
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Walmart Inc
931142EK5
30000.00000000
PA
USD
32699.23000000
0.017114170017
Long
DBT
CORP
US
N
2
2023-06-26
Fixed
3.40000000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AG6
50000.00000000
PA
USD
50218.75000000
0.026283561588
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.37500000
N
N
N
N
N
N
AMERICAN AIRLINES INC
IWUQB36BXD6OWD6X4T14
American Airlines Inc
02376CBA2
129081.64000000
PA
USD
105293.70000000
0.055108768115
Long
LON
CORP
US
N
2
2023-12-14
Floating
2.38560000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2018-3
46649TAA4
73937.67000000
PA
USD
75952.77000000
0.039752269980
Long
ABS-MBS
CORP
US
N
2
2048-09-25
Variable
3.50000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SB5
530252.10000000
PA
USD
701147.39000000
0.366967529208
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1.00000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
2228000.00000000
PA
425315.40000000
0.222602185643
Long
DBT
NUSS
BR
N
2
2021-01-01
Fixed
10.00000000
N
N
N
N
N
N
HANESBRANDS INC
GX5LWVWZLL5S4W1L2F20
Hanesbrands Inc
410345AL6
50000.00000000
PA
USD
50490.75000000
0.026425921339
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
4.87500000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAM1
30000.00000000
PA
USD
30205.57000000
0.015809034661
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.25000000
N
N
N
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CP3
20000.00000000
PA
USD
25448.02000000
0.013319021301
Long
DBT
CORP
US
N
2
2040-03-25
Fixed
4.12500000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2018-2
33851HAD5
148656.18000000
PA
USD
153475.38000000
0.080326165077
Long
ABS-MBS
CORP
US
N
2
2048-04-25
Variable
3.50000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DB8
100000.00000000
PA
USD
98500.00000000
0.051553071640
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
6.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382AKD6
88861.48000000
PA
USD
95550.26000000
0.050009232477
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.00000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAE5
40000.00000000
PA
USD
43822.40000000
0.022935830727
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.85000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAH4
40000.00000000
PA
USD
48898.29000000
0.025592457334
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
5.55000000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAF4
120000.00000000
PA
USD
126342.63000000
0.066125387366
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.56500000
N
N
N
N
N
N
U.S. FOODSERVICE
5493000JOOFAOUY1JZ87
US Foods Inc
90351HAB4
59844.15580000
PA
USD
55804.68000000
0.029207133663
Long
LON
CORP
US
N
2
2023-06-27
Floating
1.92830000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CB2
90000.00000000
PA
USD
104933.64000000
0.054920319394
Long
DBT
CORP
US
N
2
2029-07-26
Fixed
3.40000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAV1
644000.00000000
PA
USD
670249.44000000
0.350796115706
Long
DBT
CORP
NL
N
2
2025-01-27
Fixed
5.29900000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AF5
60000.00000000
PA
USD
64194.80000000
0.033598366734
Long
DBT
CORP
US
N
2
2023-05-30
Fixed
4.12500000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AF0
90000.00000000
PA
USD
94922.53000000
0.049680690247
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
2.95000000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAJ3
50000.00000000
PA
USD
50531.25000000
0.026447118287
Long
DBT
CORP
CA
N
2
2025-06-01
Fixed
4.25000000
N
N
N
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RDL5
290000.00000000
PA
USD
294662.85000000
0.154221066149
Long
ABS-O
CORP
US
N
2
2025-09-22
Fixed
3.35000000
N
N
N
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718FJ3
50000.00000000
PA
USD
60247.54000000
0.031532444119
Long
DBT
CORP
US
N
2
2040-03-25
Fixed
3.55000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CF4
200000.00000000
PA
USD
240886.12000000
0.126075323872
Long
DBT
CORP
GB
N
2
2030-03-31
Fixed
4.95000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDU3
100000.00000000
PA
USD
118526.37000000
0.062034501968
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
3.70000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
9015.27000000
0.004718424976
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2050-03-19
0.00000000
USD
0.00000000
USD
-353000.00000000
USD
9015.27000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LWC2
126752.44000000
PA
USD
135505.78000000
0.070921209989
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.00000000
N
N
N
N
N
N
FOUR SEASONS HOTELS LTD
5493009FUVX8LHYY2202
Four Seasons Hotels Ltd
35100DAR7
89384.33950000
PA
USD
85138.58000000
0.044559952427
Long
LON
CORP
CA
N
2
2023-11-30
Floating
2.29610000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAT8
30000.00000000
PA
USD
38430.60000000
0.020113862690
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HTWQ8
59184.23000000
PA
USD
67820.04000000
0.035495750058
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.16000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
IRS BRL
000000000
1.00000000
NC
24317.16000000
0.012727150168
N/A
DIR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
Y
2027-01-04
1702.89000000
USD
0.00000000
USD
3108000.00000000
BRL
22614.27000000
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PCM2
100000.00000000
PA
USD
100087.45000000
0.052383913503
Long
DBT
CORP
US
N
2
2020-07-15
Fixed
2.70000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAY2
220000.00000000
PA
USD
242533.97000000
0.126937777975
Long
DBT
CORP
US
N
2
2024-12-05
Fixed
4.02300000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AL7
50000.00000000
PA
USD
56083.90000000
0.029353272229
Long
DBT
CORP
US
N
2
2040-03-27
Fixed
3.25000000
N
N
N
N
N
N
DANONE SA
969500KMUQ2B6CBAF162
Danone SA
23636TAD2
220000.00000000
PA
USD
231733.82000000
0.121285179938
Long
DBT
CORP
FR
N
2
2023-11-02
Fixed
2.58900000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHC6
323000.00000000
PA
USD
339444.45000000
0.177658924352
Long
DBT
CORP
US
N
2
2023-12-20
Fixed
3.00400000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-1332.41000000
-0.00069735866
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-2390000.00000000
EUR
2690458.85000000
USD
2020-10-16
-1332.41000000
N
N
N
INTL LEASE FINANCE CORP
N/A
International Lease Finance Corp
459745GN9
30000.00000000
PA
USD
31576.75000000
0.016526684821
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.87500000
N
N
N
N
N
N
CHEVY CHASE MORTGAGE FUNDING C
549300DNEIQWPVRRQF88
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-2
16678RBE6
169095.02000000
PA
USD
124017.87000000
0.064908651134
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
0.95588500
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGL8
350000.00000000
PA
USD
402040.83000000
0.210420707728
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
4.30000000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BG2
20000.00000000
PA
USD
22388.96000000
0.011717966079
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.50000000
N
N
N
N
N
N
MISSOURI ST HLTH & EDUCTNL FAC
549300IWTBCMX5JB3277
Health & Educational Facilities Authority of the State of Missouri
60636AVL4
80000.00000000
PA
USD
91506.40000000
0.047892751215
Long
DBT
MUN
US
N
2
2050-05-15
Fixed
3.22900000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
06740L8C2
810000.00000000
PA
USD
882292.18000000
0.461775349879
Long
DBT
CORP
GB
N
2
2022-11-21
Fixed
7.62500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-292479.88000000
-0.15307854017
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2026-11-15
1824.30000000
USD
0.00000000
USD
-3829000.00000000
USD
-294304.18000000
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBU4
10000.00000000
PA
USD
11128.79000000
0.005824602113
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
3.40000000
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M Co
88579YBN0
20000.00000000
PA
USD
22670.93000000
0.011865543943
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.05000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JH1
20000.00000000
PA
USD
19543.20000000
0.010228548118
Long
DBT
CORP
US
N
2
2040-08-01
Fixed
3.30000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDD3
150000.00000000
PA
USD
163346.48000000
0.085492515589
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
2.62500000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO OAT
000000000
13.00000000
NC
26407.19000000
0.013821033074
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
FRANCE (GOVT OF)
French Republic Government Bond OAT
2020-09-08
2398166.08000000
USD
26407.19000000
N
N
N
SANTANDER HOLDINGS USA
549300SMVCQN2P0O6I58
Santander Holdings USA Inc
80282KAE6
70000.00000000
PA
USD
75778.26000000
0.039660934685
Long
DBT
CORP
US
N
2
2025-07-17
Fixed
4.50000000
N
N
N
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBJ7
50000.00000000
PA
USD
51502.19000000
0.026955290260
Long
DBT
CORP
US
N
2
2039-07-15
Fixed
4.00000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KU4
170000.00000000
PA
USD
192696.52000000
0.100853781729
Long
DBT
CORP
US
N
2
2028-07-25
Fixed
4.12500000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AJ8
180000.00000000
PA
USD
189953.10000000
0.099417926625
Long
DBT
CORP
CO
N
2
2045-05-28
Fixed
5.87500000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135AQ9
50000.00000000
PA
USD
71517.45000000
0.037430905821
Long
DBT
CORP
US
N
2
2044-12-05
Fixed
4.95000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFL3
10000.00000000
PA
USD
10264.57000000
0.005372285406
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
1.45000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BK2
30000.00000000
PA
USD
31660.95000000
0.016570753538
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
8.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36255TAJ1
530000.00000000
PA
USD
501081.08000000
0.262256536190
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Floating
2.68475000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131Y3XB7
59962.48000000
PA
USD
65606.26000000
0.034337098698
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
5.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
000000000
-128.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Short
90 DAY EURO DOLLAR TIME DEPOSIT
90 DAY EURO DOLLAR TIME DEPOSIT
2021-12-13
-31727631.20000000
USD
0.00000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QADF4
64291.78000000
PA
USD
69726.38000000
0.036493493028
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAC0
250000.00000000
PA
USD
281568.99000000
0.147367982874
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
4.37500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HJY7
60000.00000000
PA
USD
66565.27000000
0.034839026731
Long
DBT
CORP
US
N
2
2024-09-10
Fixed
3.87500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-10.00000000
NC
USD
-1562.50000000
-0.00081778349
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
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
138.00000000
USD
2020-07-24
XXXX
1935.83000000
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CC7
10000.00000000
PA
USD
9627.00000000
0.005038593103
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
3.12500000
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC 2011-RR5-I Trust
05533YBH2
454972.30000000
PA
USD
454566.19000000
0.237911506175
Long
ABS-MBS
CORP
US
N
2
2036-05-28
Floating
0.46825000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9H53
230869.25000000
PA
USD
249808.40000000
0.130745079609
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
UNIVISION COMMUNICATIONS
549300YQDE2JSGTL8V47
Univision Communications Inc
914908AX6
12024.56420000
PA
USD
11172.83000000
0.005847651831
Long
LON
CORP
US
N
2
2024-03-15
Floating
3.75000000
N
N
N
N
N
N
TJX COS INC
V167QI9I69W364E2DY52
TJX Cos Inc/The
872540AS8
20000.00000000
PA
USD
22875.78000000
0.011972758631
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAA2
130000.00000000
PA
USD
130833.34000000
0.068475741623
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.72200000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBU2
70000.00000000
PA
USD
76200.63000000
0.039881995303
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
2.95000000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAJ9
210000.00000000
PA
USD
257770.83000000
0.134912467672
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CV0
50000.00000000
PA
USD
52968.75000000
0.027722860542
Long
DBT
CORP
US
N
2
2023-04-21
Fixed
8.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
10.00000000
NC
USD
2656.25000000
0.001390231944
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
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
138.50000000
USD
2020-07-24
XXXX
-2517.30000000
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CX6
620000.00000000
PA
USD
725604.49000000
0.379767921374
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UQ62
73979.21000000
PA
USD
79110.92000000
0.041405187068
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
4.50000000
N
N
N
N
N
N
Community Funding CLO, Ltd
N/A
Community Funding CLO 2015-1A
20369FAA7
246158.54000000
PA
USD
265096.75000000
0.138746718216
Long
ABS-CBDO
CORP
KY
N
2
2027-11-01
Variable
5.75000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HHZ6
180000.00000000
PA
USD
185611.78000000
0.097145760320
Long
DBT
CORP
US
N
2
2025-05-12
Fixed
1.45000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
ULTRA 10 YEAR US TREASURY NOTE
000000000
-8.00000000
NC
USD
-4435.91000000
-0.00232167295
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
2020-09-21
-1255439.13000000
USD
-4435.91000000
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017CY3
70000.00000000
PA
USD
82509.84000000
0.043184118705
Long
DBT
CORP
US
N
2
2028-11-16
Fixed
4.12500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
244.00000000
NC
USD
74570.99000000
0.039029071977
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
2020-09-30
30606523.37000000
USD
74570.99000000
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AL5
40000.00000000
PA
USD
38361.20000000
0.020077540018
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
4.50000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CB6
60000.00000000
PA
USD
66025.35000000
0.034556442625
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.70000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBH2
10000.00000000
PA
USD
10580.26000000
0.005537511692
Long
DBT
CORP
US
N
2
2023-04-06
Fixed
2.93700000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBL3
60000.00000000
PA
USD
68221.78000000
0.035706013317
Long
DBT
CORP
US
N
2
2030-04-06
Fixed
3.63300000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JG3
50000.00000000
PA
USD
49041.50000000
0.025667410790
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380L2S1
294202.46000000
PA
USD
294062.21000000
0.153906702322
Long
ABS-MBS
USGA
US
N
2
2069-06-20
Floating
0.80338000
N
N
N
N
N
N
SALESFORCE.COM INC
RCGZFPDMRW58VJ54VR07
salesforce.com Inc
79466LAE4
50000.00000000
PA
USD
53756.14000000
0.028134965852
Long
DBT
CORP
US
N
2
2023-04-11
Fixed
3.25000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBL5
20000.00000000
PA
USD
20540.33000000
0.010750427451
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
1.57100000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZP6
30000.00000000
PA
USD
26814.71000000
0.014034321478
Long
DBT
CORP
US
N
2
2023-04-19
Fixed
3.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5W39
295800.26000000
PA
USD
319905.65000000
0.167432679112
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
3.00000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AH3
160000.00000000
PA
USD
189489.12000000
0.099175088105
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718FF1
50000.00000000
PA
USD
54301.36000000
0.028420323880
Long
DBT
CORP
US
N
2
2025-03-25
Fixed
2.45000000
N
N
N
N
N
N
MASTERCARD INC
AR5L2ODV9HN37376R084
Mastercard Inc
57636QAQ7
20000.00000000
PA
USD
24997.24000000
0.013083091416
Long
DBT
CORP
US
N
2
2050-03-26
Fixed
3.85000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
7520000.00000000
PA
121913.97000000
0.063807508927
Long
DBT
NUSS
RU
N
2
2027-02-03
Fixed
8.15000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132ACYK0
50874.11000000
PA
USD
55647.03000000
0.029124622580
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
5.00000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114QCH9
80000.00000000
PA
USD
81017.25000000
0.042402924805
Long
DBT
CORP
CA
N
2
2025-06-12
Fixed
1.15000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378KYP8
93750.56000000
PA
USD
99235.49000000
0.051938013454
Long
ABS-MBS
CORP
US
N
2
2047-11-16
Variable
2.69380000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
IRS BRL
000000000
1.00000000
NC
18777.73000000
0.009827915329
N/A
DIR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
Y
2027-01-04
0.00000000
USD
0.00000000
USD
2400000.00000000
BRL
18777.73000000
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131Y7SZ1
54177.55000000
PA
USD
59244.67000000
0.031007560576
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BH0
10000.00000000
PA
USD
12484.87000000
0.006534349213
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.25000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
150924.04000000
0.078990841079
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-03-24
45417.37000000
USD
0.00000000
USD
6380000.00000000
USD
105506.67000000
N
N
N
Applebees/IHOP Funding LLC
N/A
Applebee's Funding LLC / IHOP Funding LLC
03789XAD0
400000.00000000
PA
USD
355032.00000000
0.185817158685
Long
ABS-O
CORP
US
N
2
2049-06-07
Fixed
4.19400000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Non Gold Pool
31352DC24
44426.89000000
PA
USD
2688.46000000
0.001407090060
Long
ABS-MBS
USGSE
US
N
2
2038-02-15
Fixed
1.81700000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131XW2N2
63811.12000000
PA
USD
68343.67000000
0.035769808280
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
3.50000000
N
N
N
N
N
N
JAGUAR HOLDING CO II
N/A
Jaguar Holding Co II
47009YAK3
137921.09080000
PA
USD
135913.79000000
0.071134754850
Long
LON
CORP
US
N
2
2022-08-18
Floating
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36189EBF2
242856.34000000
PA
USD
267522.44000000
0.140016279336
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
4.00000000
N
N
N
N
N
N
WYETH LLC
549300Q9GR3WRH4N4836
Wyeth LLC
983024AN0
10000.00000000
PA
USD
14616.84000000
0.007650182737
Long
DBT
CORP
US
N
2
2037-04-01
Fixed
5.95000000
N
N
N
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CU2
90000.00000000
PA
USD
92690.35000000
0.048512408669
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
1.45000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KA8
660000.00000000
PA
USD
753973.26000000
0.394615609010
Long
DBT
CORP
US
N
2
2027-09-29
Fixed
4.45000000
N
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764CA6
10000.00000000
PA
USD
10648.50000000
0.005573227242
Long
DBT
CORP
US
N
2
2050-05-11
Fixed
3.07800000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
53650000.00000000
PA
2617668.10000000
1.370038894310
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EQ7
10000.00000000
PA
USD
10694.33000000
0.005597213813
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.25000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2M4
720000.00000000
PA
USD
1003765.99000000
0.525352487233
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01300000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-298087.19000000
-0.15601330214
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-9189094.53000000
EUR
10029466.50000000
USD
2020-07-16
-298087.19000000
N
N
N
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
-2660000.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2020-07-30
0.00000000
USD
0.00000000
USD
0.00000000
USD
-2660000.00000000
USD
1.55000000
USD
2020-07-30
XXXX
12236.00000000
N
N
N
JANE STREET GROUP LLC
5493002N1IVX6KHGYO08
Jane Street Group LLC
47077DAF7
68875.63120000
PA
USD
67211.11000000
0.035177047399
Long
LON
CORP
US
N
2
2025-01-07
Floating
3.17100000
N
N
N
N
N
N
TECK RESOURCES LIMITED
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd
878742AS4
10000.00000000
PA
USD
10608.14000000
0.005552103567
Long
DBT
CORP
CA
N
2
2040-08-15
Fixed
6.00000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAV5
40000.00000000
PA
USD
40014.36000000
0.020942773276
Long
DBT
CORP
US
N
2
2046-09-16
Fixed
3.87500000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AB9
90000.00000000
PA
USD
102607.81000000
0.053703023144
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.65000000
N
N
N
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718FG9
20000.00000000
PA
USD
22261.84000000
0.011651433831
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
2.80000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCU3
50000.00000000
PA
USD
61321.63000000
0.032094602888
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
520000.00000000
NC
USD
14.76000000
0.000007725110
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2020-07-30
0.00000000
USD
0.00000000
USD
0.00000000
USD
520000.00000000
USD
1.92250000
USD
2020-07-30
XXXX
-11961.00000000
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBE9
130000.00000000
PA
USD
143992.99000000
0.075363258164
Long
DBT
CORP
US
N
2
2026-02-11
Fixed
3.41000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAV2
60000.00000000
PA
USD
67496.47000000
0.035326399526
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.12500000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2G8
360000.00000000
PA
USD
398842.39000000
0.208746703602
Long
DBT
CORP
FR
N
2
2025-01-10
Fixed
4.70500000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
IRS BRL
000000000
1.00000000
NC
15988.99000000
0.008368340577
N/A
DIR
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Y
2027-01-04
0.00000000
USD
0.00000000
USD
2000000.00000000
BRL
15988.99000000
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AF4
220000.00000000
PA
USD
238047.44000000
0.124589611452
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
4.25000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AP3
250000.00000000
PA
USD
285775.12000000
0.149569393242
Long
DBT
CORP
CH
N
2
2031-04-01
Fixed
4.19400000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAM8
70000.00000000
PA
USD
76021.03000000
0.039787995997
Long
DBT
CORP
US
N
2
2045-07-15
Fixed
5.20000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
13.00000000
NC
USD
8937.50000000
0.004677721601
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
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
176.00000000
USD
2020-07-24
XXXX
-12241.24000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBK1
150000.00000000
PA
USD
155971.07000000
0.081632362898
Long
DBT
CORP
US
N
2
2026-04-22
Fixed
2.08300000
N
N
N
N
N
N
BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The
064159VL7
80000.00000000
PA
USD
80593.58000000
0.042181183791
Long
DBT
CORP
CA
N
2
2025-06-11
Fixed
1.30000000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BB1
80000.00000000
PA
USD
98611.39000000
0.051611371098
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.85000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
11733.71000000
0.006141206012
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2024-11-30
3561.70000000
USD
0.00000000
USD
5696000.00000000
USD
8172.01000000
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO BUND
000000000
-87.00000000
NC
-121253.06000000
-0.06346160090
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2020-09-08
-16898495.32000000
USD
-121253.06000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
7.00000000
NC
USD
3500.00000000
0.001831835032
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
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
138.50000000
USD
2020-08-21
XXXX
-1871.49000000
N
N
N
PFIZER INC
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081EW9
90000.00000000
PA
USD
99271.76000000
0.051956996498
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.62500000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FNWZ9
1999528.34000000
PA
USD
132528.34000000
0.069362873161
Long
ABS-MBS
USGSE
US
N
2
2026-07-25
Variable
1.43721400
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
RAYTHEON TECHNOLOGIES CORP
75513EAU5
40000.00000000
PA
USD
43249.60000000
0.022636037839
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.15000000
N
N
N
N
N
N
WA Premier Institutional Government Reserves - Premium Shares
549300WB3XRN9YTWFB76
WA Premier Institutional Government Reserves - Premium Shares
52470G494
5577663.31000000
NS
USD
5577663.31000000
2.919245443708
Long
STIV
RF
US
N
1
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AJ6
150000.00000000
PA
USD
190397.28000000
0.099650402192
Long
DBT
CORP
US
N
2
2047-07-15
Fixed
4.85000000
N
N
N
N
N
N
PFIZER INC
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081EX7
120000.00000000
PA
USD
120036.99000000
0.062825132435
Long
DBT
CORP
US
N
2
2025-05-28
Fixed
0.80000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAS9
10000.00000000
PA
USD
11132.48000000
0.005826533390
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.80000000
N
N
N
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CN8
60000.00000000
PA
USD
66075.60000000
0.034582742542
Long
DBT
CORP
US
N
2
2025-03-25
Fixed
2.95000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178DH20
35914.86000000
PA
USD
38383.45000000
0.020089185255
Long
ABS-MBS
USGA
US
N
2
2042-09-15
Fixed
3.00000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HAZ0
200000.00000000
PA
USD
203878.52000000
0.106706232969
Long
DBT
CORP
IT
N
2
2022-07-14
Fixed
3.12500000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAF0
350000.00000000
PA
USD
363805.75000000
0.190409176577
Long
DBT
CORP
CH
N
2
N/A
Fixed
7.00000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAU5
200000.00000000
PA
USD
203206.76000000
0.106354646254
Long
DBT
CORP
DK
N
2
2022-09-20
Fixed
3.00100000
N
N
N
N
N
N
WESTERN DIGITAL CORP
549300QQXOOYEF89IC56
Western Digital Corp
95810DAR2
29574.34250000
PA
USD
28945.89000000
0.015149741531
Long
LON
CORP
US
N
2
2023-04-29
Floating
1.94390000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BT5
30000.00000000
PA
USD
34701.41000000
0.018162073865
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
5.25000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFX2
150000.00000000
PA
USD
168981.09000000
0.088441565874
Long
DBT
CORP
US
N
2
2026-04-19
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
-48.00000000
NC
USD
-17250.00000000
-0.00902832980
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
139.50000000
USD
2020-07-24
XXXX
-6833.04000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5F99
71127.35000000
PA
USD
76597.61000000
0.040089767266
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.50000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBC0
200000.00000000
PA
USD
205852.19000000
0.107739215211
Long
DBT
CORP
IT
N
2
2023-01-12
Fixed
3.37500000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F020679
1200000.00000000
PA
USD
1228125.01000000
0.642777833742
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDH1
10000.00000000
PA
USD
11750.44000000
0.006149962183
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.75000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AT7
180000.00000000
PA
USD
214323.02000000
0.112172690397
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
4.50000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50076QAE6
30000.00000000
PA
USD
31650.82000000
0.016565451684
Long
DBT
CORP
US
N
2
2042-06-04
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QANJ5
66199.58000000
PA
USD
71953.19000000
0.037658964048
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFD1
40000.00000000
PA
USD
51402.10000000
0.026902905012
Long
DBT
CORP
US
N
2
2050-03-22
Fixed
4.00000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CA8
60000.00000000
PA
USD
65836.56000000
0.034457633443
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
2.50000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
ANGGYXNX0JLX3X63JN86
Credit Suisse AG/New York NY
22550L2C4
250000.00000000
PA
USD
271623.68000000
0.142162792225
Long
DBT
CORP
CH
N
2
2025-04-09
Fixed
2.95000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/RUB FORWARD
000000000
1.00000000
NC
USD
-7251.08000000
-0.00379508067
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-4647972.25000000
RUB
57934.90000000
USD
2020-07-16
-7251.08000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CNY/USD FORWARD
000000000
1.00000000
NC
USD
-226.07000000
-0.00011832084
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-127604.74000000
USD
901872.00000000
CNY
2020-07-16
-226.07000000
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BZ0
210000.00000000
PA
USD
227423.84000000
0.119029416408
Long
DBT
CORP
US
N
2
2024-07-26
Fixed
2.90000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAF8
200000.00000000
PA
USD
225595.29000000
0.118072387279
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.70000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78015K7H1
80000.00000000
PA
USD
80195.00000000
0.041972574418
Long
DBT
CORP
CA
N
2
2025-06-10
Fixed
1.15000000
N
N
N
N
N
N
STRIP PRINC
254900HROIFWPRGM1V77
United States Treasury Strip Principal
912803FJ7
950000.00000000
PA
USD
622698.53000000
0.325908852054
Long
DBT
UST
US
N
2
2049-05-15
None
0.00000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAW0
30000.00000000
PA
USD
32461.90000000
0.016989955901
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
5.40000000
N
N
N
N
N
N
CITADEL SECURITIES LP
549300NV5RXBUS3X7L47
Citadel Securities LP
17288YAC6
59849.62410000
PA
USD
58403.24000000
0.030567171733
Long
LON
CORP
US
N
2
2026-02-27
Floating
2.94510000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABE4
190000.00000000
PA
USD
211818.65000000
0.110861949626
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAD3
70000.00000000
PA
USD
70943.25000000
0.037130380199
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
4.75000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AS9
300000.00000000
PA
USD
315152.35000000
0.164944890123
Long
DBT
CORP
GB
N
2
2024-09-11
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QDWP5
208839.35000000
PA
USD
221793.63000000
0.116082669002
Long
ABS-MBS
USGSE
US
N
2
2050-06-01
Fixed
3.00000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAY2
50000.00000000
PA
USD
50994.80000000
0.026689731753
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
4.87500000
N
N
N
N
N
N
MICHAELS STORES INC
BV4WJ23XIGNG4UDYEK73
Michaels Stores Inc
594088AQ9
65263.36000000
PA
USD
59987.93000000
0.031396569064
Long
LON
CORP
US
N
2
2023-01-28
Floating
3.50000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/CNY FORWARD
000000000
1.00000000
NC
USD
-2856.53000000
-0.00149505477
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-5690000.00000000
CNY
800788.12000000
USD
2020-07-16
-2856.53000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHA0
50000.00000000
PA
USD
60599.73000000
0.031716773828
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
3.94600000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDX7
30000.00000000
PA
USD
31450.11000000
0.016460403796
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.00000000
N
N
N
N
N
N
CIMAREX ENERGY CO
11KYOFXPU1C4CQL1CL44
Cimarex Energy Co
171798AC5
10000.00000000
PA
USD
10561.25000000
0.005527562211
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
4.37500000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BV7
10000.00000000
PA
USD
11016.91000000
0.005766046197
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
4.25000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/CNH FORWARD
000000000
1.00000000
NC
USD
-30.15000000
-0.00001577995
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-32639.88000000
USD
230767.00000000
CNY
2020-07-16
-30.15000000
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AH6
50000.00000000
PA
USD
53808.18000000
0.028162202623
Long
DBT
CORP
US
N
2
2025-03-27
Fixed
2.40000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
USD/PHP FORWARD
000000000
1.00000000
NC
USD
30718.37000000
0.016077424662
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-1536906.72000000
USD
78165706.00000000
PHP
2020-07-16
30718.37000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERVZ0
502875.44000000
PA
USD
543909.66000000
0.284672219977
Long
ABS-MBS
USGSE
US
N
2
2046-12-01
Fixed
3.00000000
N
N
N
N
N
N
HILTON WORLDWIDE FIN LLC
N/A
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp
432891AH2
10000.00000000
PA
USD
9813.55000000
0.005136229910
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.62500000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAC4
10000.00000000
PA
USD
9128.57000000
0.004777724093
Long
DBT
CORP
KY
N
2
2023-03-15
Fixed
4.50000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAY4
90000.00000000
PA
USD
111407.12000000
0.058308418665
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
5.87500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132XCRW7
403649.97000000
PA
USD
438055.13000000
0.229269923850
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DC6
10000.00000000
PA
USD
9147.45000000
0.004787605534
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.55000000
N
N
N
N
N
N
AETNA INC
549300QKBENKLBXQ8968
Aetna Inc
00817YAV0
30000.00000000
PA
USD
31652.49000000
0.016566325731
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
2.80000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017BT5
30000.00000000
PA
USD
37444.83000000
0.019597928969
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
4.50000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GAW2
40000.00000000
PA
USD
48206.05000000
0.025230151767
Long
DBT
CORP
US
N
2
2046-03-01
Fixed
4.11400000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AC1
240000.00000000
PA
USD
350955.33000000
0.183683505279
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
7.37500000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AL8
10000.00000000
PA
USD
8150.00000000
0.004265558719
Long
DBT
CORP
US
N
2
2048-08-15
Fixed
5.50000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/CNH FORWARD
000000000
1.00000000
NC
USD
-5720.49000000
-0.00299399828
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-11114634.00000000
CNY
1564890.39000000
USD
2020-07-16
-5720.49000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCJ0
170000.00000000
PA
USD
172337.50000000
0.090198248566
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
4.50000000
N
N
N
N
N
N
CHEVY CHASE MORTGAGE FUNDING C
549300TC8R2SGZ2KM445
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3
16678RBV8
543161.05000000
PA
USD
527871.50000000
0.276278144734
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
0.48450000
N
N
N
N
N
N
Morgan Stanley ReRemic Trust
N/A
Morgan Stanley Resecuritization Trust 2015-R3
61690TAN3
180577.50000000
PA
USD
179132.01000000
0.093754368980
Long
ABS-MBS
CORP
US
N
2
2047-04-26
Floating
2.46059800
N
N
N
N
N
N
WACHOVIA CAP TRUST III
529900IS945AVTZGWM53
Wachovia Capital Trust III
92978AAA0
260000.00000000
PA
USD
258523.20000000
0.135306244164
Long
DBT
CORP
US
N
2
N/A
Floating
5.56975000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CW8
130000.00000000
PA
USD
147115.37000000
0.076997453898
Long
DBT
CORP
US
N
2
2025-03-25
Fixed
4.10000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AJ5
110000.00000000
PA
USD
123937.89000000
0.064866791087
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
5.75000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBS9
80000.00000000
PA
USD
89446.22000000
0.046814491244
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.15000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AQ2
200000.00000000
PA
USD
217513.54000000
0.113842549343
Long
DBT
CORP
GB
N
2
2028-11-07
Fixed
3.57400000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEN0
99000.00000000
PA
USD
110222.92000000
0.057688630367
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.37600000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78013GKN4
100000.00000000
PA
USD
100584.60000000
0.052644112585
Long
DBT
CORP
CA
N
2
2020-10-26
Fixed
2.15000000
N
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764BX7
40000.00000000
PA
USD
41923.82000000
0.021942149196
Long
DBT
CORP
US
N
2
2027-05-11
Fixed
1.99500000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BF2
60000.00000000
PA
USD
74387.32000000
0.038932942508
Long
DBT
CORP
US
N
2
2037-08-22
Fixed
3.87500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-19157.90000000
-0.01002688925
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-05-15
0.00000000
USD
-25819.79000000
USD
-7692000.00000000
USD
6661.89000000
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CW3
160000.00000000
PA
USD
137035.20000000
0.071721680028
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.90000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2L7
200000.00000000
PA
USD
205042.32000000
0.107315344286
Long
DBT
CORP
FR
N
2
2026-06-09
Fixed
2.21900000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RL4
958135.20000000
PA
USD
1172183.15000000
0.613498902612
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
75513EAD3
70000.00000000
PA
USD
73064.79000000
0.038240754855
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
2.25000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KR1
70000.00000000
PA
USD
89184.67000000
0.046677600829
Long
DBT
CORP
US
N
2
2046-05-18
Fixed
4.75000000
N
N
N
N
N
N
ARCELORMITTAL
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LBB9
110000.00000000
PA
USD
109078.38000000
0.057089599376
Long
DBT
CORP
LU
N
2
2024-07-16
Fixed
3.60000000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAG5
260000.00000000
PA
USD
292138.69000000
0.152899967659
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
3.65000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFM6
130000.00000000
PA
USD
143656.56000000
0.075187176946
Long
DBT
CORP
US
N
2
2025-01-22
Fixed
4.00000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QCB6
150000.00000000
PA
USD
141764.25000000
0.074196777017
Long
DBT
CORP
MX
N
2
2026-08-04
Fixed
6.87500000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAF8
60000.00000000
PA
USD
67359.64000000
0.035254785244
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.30000000
N
N
N
N
N
N
ARCELORMITTAL
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LAZ7
210000.00000000
PA
USD
228045.35000000
0.119354703205
Long
DBT
CORP
LU
N
2
2025-06-01
Fixed
6.12500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SN9
670000.00000000
PA
USD
643932.81000000
0.337022480054
Long
DBT
UST
US
N
2
2050-05-15
Fixed
1.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J94B4
68354.76000000
PA
USD
74295.38000000
0.038884822819
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F022675
2500000.00000000
PA
USD
2606445.33000000
1.364165104809
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BD4
50000.00000000
PA
USD
67684.52000000
0.035424821406
Long
DBT
CORP
US
N
2
2046-03-01
Fixed
4.75000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAJ4
200000.00000000
PA
USD
223605.78000000
0.117031114675
Long
DBT
CORP
ES
N
2
2028-04-12
Fixed
4.37900000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617BFM90
793367.36000000
PA
USD
850007.75000000
0.444878278481
Long
ABS-MBS
USGA
US
N
2
2047-10-20
Fixed
3.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDV3
10000.00000000
PA
USD
14847.64000000
0.007770979173
Long
DBT
CORP
US
N
2
2047-03-16
Fixed
5.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
19.00000000
NC
USD
25234.38000000
0.013207206090
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
2020-09-21
0.00000000
USD
100000.00000000
138.00000000
USD
2020-07-24
XXXX
13842.13000000
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BQ8
100000.00000000
PA
USD
100994.35000000
0.052858568129
Long
DBT
CORP
US
N
2
2025-06-03
Fixed
0.80000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAK0
50000.00000000
PA
USD
49945.17000000
0.026140374894
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.70000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBB0
330000.00000000
PA
USD
355904.76000000
0.186273945069
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.55700000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CY9
130000.00000000
PA
USD
145231.72000000
0.076011586452
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.15000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
MEXICAN PESO
000000000
5.00000000
NC
USD
-5445.15000000
-0.00284989043
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
MEXICAN PESO
MEXICAN PESO
2020-09-14
113145.15000000
USD
-5445.15000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EN2H1
154817.48000000
PA
USD
169323.52000000
0.088620787379
Long
ABS-MBS
USGSE
US
N
2
2044-01-01
Fixed
3.50000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBJ3
10000.00000000
PA
USD
9913.43000000
0.005188505248
Long
DBT
CORP
US
N
2
2034-11-14
Fixed
5.40000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DAU9
70000.00000000
PA
USD
70155.75000000
0.036718217316
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
3.55000000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
Netflix Inc
64110LAE6
30000.00000000
PA
USD
30759.30000000
0.016098846664
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
5.37500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SL3
820000.00000000
PA
USD
939380.47000000
0.491654301190
Long
DBT
UST
US
N
2
2050-02-15
Fixed
2.00000000
N
N
N
N
N
N
MWO HOLDINGS LLC
N/A
MWO HOLDINGS LLC
000000000
146.00000000
NS
USD
11195.28000000
0.005859401744
Long
EC
CORP
US
N
3
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140AS9
40000.00000000
PA
USD
45477.44000000
0.023802047942
Long
DBT
CORP
US
N
2
2025-07-29
Fixed
3.70000000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAN1
90000.00000000
PA
USD
105209.72000000
0.055064814542
Long
DBT
CORP
US
N
2
2035-04-01
Fixed
3.90000000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK7
06541XAG5
3206973.24000000
PA
USD
130872.09000000
0.068496022654
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Variable
0.92240400
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GVR2
100000.00000000
PA
USD
112650.18000000
0.058959013196
Long
DBT
CORP
US
N
2
2025-10-21
Fixed
4.25000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJA8
330000.00000000
PA
USD
415438.19000000
0.217432637270
Long
DBT
CORP
US
N
2
2051-03-20
Fixed
4.08300000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBQ1
350000.00000000
PA
USD
371791.74000000
0.194588895507
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UEA6
188319.69000000
PA
USD
202905.85000000
0.106197155545
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
4.50000000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HAT4
470000.00000000
PA
USD
481850.42000000
0.252191565706
Long
DBT
CORP
IT
N
2
2024-06-26
Fixed
5.01700000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JM4
40000.00000000
PA
USD
39793.36000000
0.020827105978
Long
DBT
CORP
US
N
2
N/A
Fixed
5.95000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAC5
270000.00000000
PA
USD
265117.05000000
0.138757342859
Long
DBT
CORP
NL
N
2
2021-07-21
Fixed
2.20000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GFD1
190000.00000000
PA
USD
276931.97000000
0.144941052678
Long
DBT
CORP
US
N
2
2037-10-01
Fixed
6.75000000
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06368BGS1
30000.00000000
PA
USD
32313.75000000
0.016912416941
Long
DBT
CORP
CA
N
2
2032-12-15
Fixed
3.80300000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9NR0
286103.68000000
PA
USD
315897.81000000
0.165335050049
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
NOBLE ENERGY INC
02VFQXG2D1LR5ZH3K186
Noble Energy Inc
655044AN5
30000.00000000
PA
USD
26848.71000000
0.014052116447
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.95000000
N
N
N
N
N
N
PCI GAMING AUTHORITY
549300KPXAJ1LRW5LP59
PCI Gaming Authority
70455DAG9
79044.23310000
PA
USD
76030.67000000
0.039793041394
Long
LON
CORP
US
N
2
2026-05-31
Floating
2.67950000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAH8
30000.00000000
PA
USD
36088.53000000
0.018888066725
Long
DBT
CORP
US
N
2
2029-01-25
Fixed
4.70900000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SG4
2078535.60000000
PA
USD
2773500.23000000
1.451598538591
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHS45
77996.84000000
PA
USD
84087.53000000
0.044009852366
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
3.00000000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAE7
40000.00000000
PA
USD
41835.30000000
0.021895819471
Long
DBT
CORP
US
N
2
2027-04-05
Fixed
2.29300000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CV5
100000.00000000
PA
USD
114188.40000000
0.059764088991
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.70500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SLS4
50542.17000000
PA
USD
54179.20000000
0.028356387604
Long
ABS-MBS
USGA
US
N
2
2046-09-20
Fixed
3.50000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MS7
430000.00000000
PA
USD
445315.82000000
0.233070034223
Long
DBT
CORP
US
N
2
2031-06-03
Fixed
2.57200000
N
N
N
N
N
N
MONDELEZ INTERNATIONAL
549300DV9GIB88LZ5P30
Mondelez International Inc
609207AS4
30000.00000000
PA
USD
31092.39000000
0.016273179788
Long
DBT
CORP
US
N
2
2023-04-13
Fixed
2.12500000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818ES3
70000.00000000
PA
USD
79294.38000000
0.041501206627
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.75000000
N
N
N
N
N
N
TARGET CORP
8WDDFXB5T1Z6J0XC1L66
Target Corp
87612EBL9
80000.00000000
PA
USD
85656.71000000
0.044831132051
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.25000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833CC2
10000.00000000
PA
USD
10148.87000000
0.005311730174
Long
DBT
CORP
US
N
2
2021-08-04
Fixed
1.55000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2C6
60000.00000000
PA
USD
65601.93000000
0.034334832457
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Walmart Inc
931142ED1
30000.00000000
PA
USD
34041.83000000
0.017816861936
Long
DBT
CORP
US
N
2
2025-06-26
Fixed
3.55000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B6XU2
199970.61000000
PA
USD
217807.79000000
0.113996554331
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Variable
2.72000000
N
N
N
N
N
N
VVC HOLDING CORP
549300Z86PUW4ENZCD61
VVC Holding Corp
04685YAK5
307673.16560000
PA
USD
298186.68000000
0.156065373362
Long
LON
CORP
US
N
2
2026-02-11
Floating
4.93350000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BM5
180000.00000000
PA
USD
217034.88000000
0.113592027584
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
5.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A8LC8
32571.04000000
PA
USD
36763.01000000
0.019241077037
Long
ABS-MBS
USGSE
US
N
2
2041-03-01
Fixed
4.00000000
N
N
N
N
N
N
1011778 BC ULC
549300RHSHNRWI5LLA86
1011778 BC ULC
000000000
257552.49640000
PA
USD
244868.04000000
0.128159386888
Long
LON
CORP
CA
N
2
2026-11-19
Floating
1.94010000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBQ8
240000.00000000
PA
USD
244109.91000000
0.127762595718
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
1.51400000
N
N
N
N
N
N
STATE OF ISRAEL
213800T8ZHTFZIBYPE21
Israel Government International Bond
46513JB34
200000.00000000
PA
USD
221048.00000000
0.115692420100
Long
DBT
NUSS
IL
N
2
2030-07-03
Fixed
2.75000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBH5
20000.00000000
PA
USD
21040.00000000
0.011011945454
Long
DBT
CORP
US
N
2
2025-05-06
Fixed
2.35000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJF0
60000.00000000
PA
USD
82537.85000000
0.043198778620
Long
DBT
CORP
US
N
2
2041-03-29
Fixed
6.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXEW8
254703.09000000
PA
USD
284358.80000000
0.148828117643
Long
ABS-MBS
USGSE
US
N
2
2056-04-01
Fixed
4.50000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAL3
30000.00000000
PA
USD
30048.27000000
0.015726706761
Long
DBT
CORP
US
N
2
2024-12-01
Fixed
2.87500000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172AL3
30000.00000000
PA
USD
31066.42000000
0.016259587572
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
2.90000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AF4
40000.00000000
PA
USD
42067.40000000
0.022017296303
Long
DBT
CORP
CA
N
2
2029-05-30
Fixed
7.25000000
N
N
N
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780097BJ9
200000.00000000
PA
USD
217366.82000000
0.113765758818
Long
DBT
CORP
GB
N
2
2024-06-25
Fixed
4.51900000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BV0
30000.00000000
PA
USD
36616.53000000
0.019164412124
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
5.50000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CV0
250000.00000000
PA
USD
268584.27000000
0.140572021449
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
3.70000000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BK4
30000.00000000
PA
USD
39050.67000000
0.020438395818
Long
DBT
CORP
US
N
2
2036-05-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AK72
826050.25000000
PA
USD
901374.67000000
0.471762770935
Long
ABS-MBS
USGSE
US
N
2
2042-10-01
Fixed
4.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
000000000
-31.00000000
NC
USD
-87540.10000000
-0.04581686341
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Short
90 DAY EURO DOLLAR TIME DEPOSIT
90 DAY EURO DOLLAR TIME DEPOSIT
2021-06-14
-7648509.90000000
USD
-87540.10000000
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
000000000
129835.65832500
PA
USD
124804.53000000
0.065320374376
Long
LON
CORP
FR
N
2
2026-01-31
Floating
4.24360000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C4M3
253310.11000000
PA
USD
277053.17000000
0.145004486509
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAD7
70000.00000000
PA
USD
74987.50000000
0.039247065579
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
3.75000000
N
N
N
N
N
N
Waterfall Commercial Mortgage
N/A
Waterfall Commercial Mortgage Trust 2015-SBC5
94132LAA5
76897.57000000
PA
USD
75865.81000000
0.039706756730
Long
ABS-MBS
CORP
US
N
2
2022-09-14
Variable
4.10370000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AH1
130000.00000000
PA
USD
143599.04000000
0.075157072046
Long
DBT
CORP
US
N
2
2024-04-29
Fixed
4.62500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-10.00000000
NC
USD
-5468.76000000
-0.00286224747
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
2020-09-21
0.00000000
USD
100000.00000000
182.00000000
USD
2020-07-24
XXXX
1154.59000000
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
64072UAK8
39900.00000000
PA
USD
38044.65000000
0.019911863624
Long
LON
CORP
US
N
2
2027-04-15
Floating
2.67100000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBD4
180000.00000000
PA
USD
210304.70000000
0.110069576298
Long
DBT
CORP
US
N
2
2029-02-14
Fixed
4.80000000
N
N
N
N
N
N
NEWELL BRANDS INC
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229AV8
47000.00000000
PA
USD
48635.60000000
0.025454970264
Long
DBT
CORP
US
N
2
2023-04-01
Variable
4.35000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAT8
170000.00000000
PA
USD
181155.67000000
0.094813515061
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.15000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCZ2
70000.00000000
PA
USD
80454.29000000
0.042108281991
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.45000000
N
N
N
N
N
N
WYNN RESORTS FINANCE LLC
N/A
Wynn Resorts Finance LLC
98313DAC1
240625.00000000
PA
USD
227390.63000000
0.119012034910
Long
LON
CORP
US
N
3
2024-09-20
Floating
1.94010000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBN5
40000.00000000
PA
USD
43283.07000000
0.022653555416
Long
DBT
CORP
US
N
2
2051-04-22
Fixed
3.10900000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468L6
160000.00000000
PA
USD
169700.46000000
0.088818070779
Long
DBT
CORP
US
N
2
2031-01-22
Fixed
2.69900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HVEB6
100000.00000000
PA
USD
112471.95000000
0.058865730922
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.76500000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BF8
320000.00000000
PA
USD
363340.81000000
0.190165835611
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.95000000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BT2
40000.00000000
PA
USD
40503.30000000
0.021198675396
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F022675
-800000.00000000
PA
USD
-834062.50000000
-0.43653283060
Short
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BB8
30000.00000000
PA
USD
30109.05000000
0.015758517884
Long
DBT
CORP
US
N
2
2020-09-01
Fixed
2.55000000
N
N
N
N
N
N
DEERFIELD DAKOTA HOLDING
549300FDREJLOIGXY104
Deerfield Dakota Holding LLC
24440EAB3
180000.00000000
PA
USD
175218.84000000
0.091706288438
Long
LON
CORP
US
N
2
2027-04-09
Floating
4.75000000
N
N
N
N
N
N
COSTCO WHOLESALE CORP
29DX7H14B9S6O3FD6V18
Costco Wholesale Corp
22160KAN5
140000.00000000
PA
USD
143292.46000000
0.074996613765
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
1.37500000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AH4
30000.00000000
PA
USD
30431.25000000
0.015927151384
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
5.75000000
N
N
N
N
N
N
BANK OF MONTREAL
NQQ6HPCNCCU6TUTQYE16
Bank of Montreal
06367WB85
160000.00000000
PA
USD
165762.51000000
0.086757020845
Long
DBT
CORP
CA
N
2
2025-05-01
Fixed
1.85000000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
Vale Overseas Ltd
91911TAH6
149000.00000000
PA
USD
195308.46000000
0.102220822642
Long
DBT
CORP
KY
N
2
2036-11-21
Fixed
6.87500000
N
N
N
N
N
N
Ford Credit Floorplan Master O
5493001DTG5N7T8BG747
Ford Credit Floorplan Master Owner Trust A
34528PAK2
280000.00000000
PA
USD
302028.50000000
0.158076110638
Long
ABS-O
CORP
US
N
2
2030-11-15
Fixed
4.06000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818EY0
190000.00000000
PA
USD
225900.55000000
0.118232154697
Long
DBT
CORP
US
N
2
2028-09-10
Fixed
3.95000000
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BG4
80000.00000000
PA
USD
108501.64000000
0.056787744365
Long
DBT
CORP
US
N
2
2036-11-30
Fixed
4.75000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172AP4
10000.00000000
PA
USD
12150.46000000
0.006359325226
Long
DBT
CORP
US
N
2
2042-03-20
Fixed
4.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-5.00000000
NC
USD
-1953.13000000
-0.00102223198
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
2020-09-21
0.00000000
USD
100000.00000000
183.00000000
USD
2020-07-24
XXXX
1116.36000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136ATNF7
692127.91000000
PA
USD
143822.93000000
0.075274251916
Long
ABS-MBS
USGSE
US
N
2
2046-09-25
Floating
5.91550000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGU8
170000.00000000
PA
USD
218232.90000000
0.114219049014
Long
DBT
CORP
US
N
2
2046-12-07
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHLP5
267038.96000000
PA
USD
285609.74000000
0.149482836419
Long
ABS-MBS
USGSE
US
N
2
2046-07-01
Fixed
3.00000000
N
N
N
N
N
N
CRED SUIS GP FUN LTD
549300PXR5FKNXF0OH19
Credit Suisse Group Funding Guernsey Ltd
225433AR2
250000.00000000
PA
USD
287687.58000000
0.150570339306
Long
DBT
CORP
GG
N
2
2026-04-17
Fixed
4.55000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAC0
190000.00000000
PA
USD
207094.45000000
0.108389391036
Long
DBT
CORP
US
N
2
2025-01-23
Fixed
3.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFE9
60000.00000000
PA
USD
67442.61000000
0.035298210202
Long
DBT
CORP
US
N
2
2030-03-22
Fixed
3.15000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132WKPD4
361096.56000000
PA
USD
390638.60000000
0.204452992195
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
-2590000.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2020-08-03
0.00000000
USD
0.00000000
USD
0.00000000
USD
-2590000.00000000
USD
1.60000000
USD
2020-08-03
XXXX
11929.70000000
N
N
N
SALESFORCE.COM INC
RCGZFPDMRW58VJ54VR07
salesforce.com Inc
79466LAF1
30000.00000000
PA
USD
35044.04000000
0.018341400047
Long
DBT
CORP
US
N
2
2028-04-11
Fixed
3.70000000
N
N
N
N
N
N
REPUBLIC OF POLAND
259400R9L8QEP0TPXS31
Republic of Poland Government International Bond
857524AC6
220000.00000000
PA
USD
244652.76000000
0.128046713332
Long
DBT
NUSS
PL
N
2
2024-01-22
Fixed
4.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/GBP FORWARD
000000000
1.00000000
NC
USD
-4217.29000000
-0.00220725130
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-2265404.42000000
USD
1824672.92000000
GBP
2020-07-16
-4217.29000000
N
N
N
Small Business Administration
N/A
SBA Small Business Investment Cos
831641FM2
270884.34000000
PA
USD
290065.25000000
0.151814767650
Long
ABS-MBS
USGA
US
N
2
2029-03-10
Fixed
3.11300000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BQ8
20000.00000000
PA
USD
21368.42000000
0.011183834386
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
3.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAM8
300000.00000000
PA
USD
335443.27000000
0.175564781010
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
3.50900000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAW0
80000.00000000
PA
USD
85973.69000000
0.044997033499
Long
DBT
CORP
US
N
2
2023-11-28
Fixed
3.21600000
N
N
N
N
N
N
PROVINCIA DE BUENOS AIRE
549300L6AYROPOTQ4L07
Provincia de Buenos Aires/Government Bonds
000000000
160000.00000000
PA
USD
68001.60000000
0.035590775192
Long
DBT
NUSS
AR
N
2
2023-02-15
Fixed
6.50000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAV5
100000.00000000
PA
USD
110470.36000000
0.057818135870
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
5.85000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO BUXL 30 YEAR BOND
000000000
-7.00000000
NC
-34051.48000000
-0.01782191256
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2020-09-08
-1685027.43000000
USD
-34051.48000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CW3
240000.00000000
PA
USD
284084.36000000
0.148684480842
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.80500000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BG8
20000.00000000
PA
USD
20531.30000000
0.010745701317
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.87500000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
000000000
49080.42520000
PA
USD
47723.06000000
0.024977363767
Long
LON
CORP
US
N
2
2025-06-01
Floating
3.33710000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAQ6
230000.00000000
PA
USD
228915.82000000
0.119810291046
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.75000000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BR4
170000.00000000
PA
USD
185699.99000000
0.097191927797
Long
DBT
CORP
US
N
2
2026-08-08
Fixed
2.40000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411AW5
170000.00000000
PA
USD
139907.41000000
0.073224941428
Long
DBT
CORP
US
N
2
2040-09-01
Fixed
5.10000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GEU9
90000.00000000
PA
USD
96090.05000000
0.050291748543
Long
DBT
CORP
US
N
2
2023-01-11
Fixed
3.30000000
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BH2
40000.00000000
PA
USD
57522.14000000
0.030106020348
Long
DBT
CORP
US
N
2
2046-11-30
Fixed
4.90000000
N
N
N
N
N
N
OPTION CARE HEALTH INC
549300DI3Q5ACSYJRI17
Option Care Health Inc
09071FAK7
109450.00000000
PA
USD
106622.58000000
0.055804279240
Long
LON
CORP
US
N
2
2026-08-06
Floating
4.67100000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.34.V1
000000000
1.00000000
NC
USD
372165.82000000
0.194784682035
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.34
Y
Default Event
2025-06-20
0.00000000
USD
-42576.90000000
USD
30870000.00000000
USD
414742.72000000
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BC0
8000.00000000
PA
USD
12057.33000000
0.006310582713
Long
DBT
CORP
US
N
2
2039-12-16
Fixed
6.85000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638BM3
120000.00000000
PA
USD
189815.40000000
0.099345857001
Long
DBT
NUSS
PE
N
2
2050-11-18
Fixed
5.62500000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MEY6
220000.00000000
PA
USD
249593.85000000
0.130632788121
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
3.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378KZQ5
5232536.85000000
PA
USD
102487.08000000
0.053639835303
Long
ABS-MBS
USGA
US
N
2
2054-10-16
Variable
0.49881000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AK3
70000.00000000
PA
USD
70481.25000000
0.036888577975
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
6.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378D2U8
632374.54000000
PA
USD
150851.93000000
0.078953100044
Long
ABS-MBS
USGA
US
N
2
2042-03-20
Floating
5.86000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/MXN FORWARD
000000000
1.00000000
NC
USD
-13714.46000000
-0.00717789379
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-1683806.87000000
USD
38469367.74000000
MXN
2020-07-16
-13714.46000000
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAU5
110000.00000000
PA
USD
113745.62000000
0.059532346158
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
2.25000000
N
N
N
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CQ1
180000.00000000
PA
USD
235716.39000000
0.123369583151
Long
DBT
CORP
US
N
2
2050-03-25
Fixed
4.20000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PCP5
40000.00000000
PA
USD
45604.82000000
0.023868716270
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.75000000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EV6
20000.00000000
PA
USD
25443.56000000
0.013316687019
Long
DBT
CORP
US
N
2
2060-03-19
Fixed
3.87500000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDJ7
10000.00000000
PA
USD
11035.99000000
0.005776032315
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.10000000
N
N
N
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAJ3
70000.00000000
PA
USD
83669.98000000
0.043791314447
Long
DBT
CORP
US
N
2
2060-04-01
Fixed
3.70000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CL7
60000.00000000
PA
USD
40725.00000000
0.021314709061
Long
DBT
CORP
US
N
2
2047-02-15
Fixed
4.10000000
N
N
N
N
N
N
CON EDISON CO OF NY INC
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co of New York Inc
209111FX6
40000.00000000
PA
USD
45519.76000000
0.023824197444
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.35000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CN3
50000.00000000
PA
USD
33922.50000000
0.017754406829
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
4.20000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
23730000.00000000
PA
390513.42000000
0.204387475306
Long
DBT
NUSS
RU
N
2
2039-03-16
Fixed
7.70000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAX4
60000.00000000
PA
USD
71907.99000000
0.037635307207
Long
DBT
CORP
US
N
2
2029-12-05
Fixed
4.45200000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CA4
160000.00000000
PA
USD
179695.17000000
0.094049116471
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
9.00000000
NC
USD
9562.50000000
0.005004835000
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
180.00000000
USD
2020-07-24
XXXX
-2124.95000000
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CQ1
30000.00000000
PA
USD
23767.35000000
0.012439389819
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
4.75000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AP3
20000.00000000
PA
USD
20659.80000000
0.010812955832
Long
DBT
CORP
US
N
2
2022-10-27
Fixed
3.00000000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AG2
30000.00000000
PA
USD
29913.58000000
0.015656212515
Long
DBT
CORP
US
N
2
2024-08-08
Fixed
3.20000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-48.00000000
NC
USD
-1500.00000000
-0.00078507215
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
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
135.50000000
USD
2020-07-24
XXXX
11166.96000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RCN0
40000.00000000
PA
USD
43986.76000000
0.023021853700
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.40000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFU8
40000.00000000
PA
USD
46084.89000000
0.024119975996
Long
DBT
CORP
US
N
2
2026-03-03
Fixed
4.45000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BV0
150000.00000000
PA
USD
161977.32000000
0.084775922660
Long
DBT
CORP
US
N
2
2024-06-06
Fixed
3.36300000
N
N
N
N
N
N
SLM Student Loan Trust
549300I2YWZ9E1B0EY33
SLM Private Credit Student Loan Trust 2006-A
78443CCL6
502810.44000000
PA
USD
466928.68000000
0.244381803968
Long
ABS-O
CORP
US
N
2
2039-06-15
Floating
0.60338000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBP6
20000.00000000
PA
USD
19331.20000000
0.010117591253
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
5.50000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DJ6
90000.00000000
PA
USD
103900.14000000
0.054379404678
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.75000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687EH5
50000.00000000
PA
USD
75044.59000000
0.039276945426
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
6.65000000
N
N
N
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M Co
88579YBP5
100000.00000000
PA
USD
119452.96000000
0.062519461974
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.70000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CD5
130000.00000000
PA
USD
128803.01000000
0.067413104588
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
3.20000000
N
N
N
N
N
N
USAA CAPITAL CORP
N/A
USAA Capital Corp
90327QD55
150000.00000000
PA
USD
154674.17000000
0.080953589511
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.12500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCX0
100000.00000000
PA
USD
132514.05000000
0.069355394040
Long
DBT
CORP
US
N
2
2048-09-15
Fixed
4.52200000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
9127962R9
1700000.00000000
PA
USD
1699261.67000000
0.889362016334
Long
DBT
UST
US
N
2
2020-10-15
None
0.00000000
N
N
N
N
N
N
NEWELL BRANDS INC
549300LWGYFM1TVO1Z12
Newell Brands Inc
651229AW6
10000.00000000
PA
USD
10523.80000000
0.005507961576
Long
DBT
CORP
US
N
2
2026-04-01
Variable
4.70000000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
62856RAD7
290000.00000000
PA
USD
325817.90000000
0.170527041018
Long
DBT
CORP
NL
N
2
2027-07-06
Fixed
4.85000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
05581KAC5
200000.00000000
PA
USD
224445.67000000
0.117470697511
Long
DBT
CORP
FR
N
2
2027-03-13
Fixed
4.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH54
170821.35000000
PA
USD
183606.15000000
0.096096050807
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
4.50000000
N
N
N
N
N
N
LifePoint Health Inc
549300G8ZVHRTBBBSZ90
LifePoint Health Inc
75915TAD4
229705.00000000
PA
USD
215204.87000000
0.112634234319
Long
LON
CORP
US
N
2
2025-11-16
Floating
3.94010000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BW9
510000.00000000
PA
USD
491790.45000000
0.257393992901
Long
DBT
NUSS
BR
N
2
2045-01-27
Fixed
5.00000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BR6
120000.00000000
PA
USD
121929.51000000
0.063815642274
Long
DBT
CORP
US
N
2
2027-06-03
Fixed
1.20000000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114QBZ0
130000.00000000
PA
USD
133577.65000000
0.069912062537
Long
DBT
CORP
CA
N
2
2021-06-11
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AAKS2
99312.12000000
PA
USD
105410.85000000
0.055170082250
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
3.00000000
N
N
N
N
N
N
TKC HOLDINGS INC
N/A
TKC Holdings Inc
87256FAB0
53778.19180000
PA
USD
50591.83000000
0.026478824735
Long
LON
CORP
US
N
2
2023-02-01
Floating
4.75000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BF8
160000.00000000
PA
USD
197170.93000000
0.103195604869
Long
DBT
CORP
NL
N
2
2045-05-11
Fixed
4.37500000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/CAD FORWARD
000000000
1.00000000
NC
USD
-35103.02000000
-0.01837226908
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-5730000.00000000
CAD
4185778.74000000
USD
2020-07-16
-35103.02000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RBK7
260000.00000000
PA
USD
293044.21000000
0.153373900019
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
4.35000000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAC4
260000.00000000
PA
USD
269066.20000000
0.140824254665
Long
DBT
NUSS
AE
N
2
2022-10-11
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396LT75
2045192.75000000
PA
USD
509147.67000000
0.266478439664
Long
ABS-MBS
USGSE
US
N
2
2036-12-25
Floating
6.45550000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFR0
90000.00000000
PA
USD
109611.23000000
0.057368483175
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.20000000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAC7
200000.00000000
PA
USD
190900.00000000
0.099913516508
Long
DBT
NUSS
NG
N
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
N
SUNOCO LOGISTICS PARTNER
5493006LL0CKP8WQW329
Sunoco Logistics Partners Operations LP
86765BAP4
10000.00000000
PA
USD
9596.48000000
0.005022619501
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.30000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BN9
90000.00000000
PA
USD
132895.50000000
0.069555037889
Long
DBT
CORP
US
N
2
2060-03-25
Fixed
4.95000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/PHP FORWARD
000000000
1.00000000
NC
USD
3073.34000000
0.001608529108
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-151952.98000000
USD
7730000.00000000
PHP
2020-07-16
3073.34000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417BGG6
374789.61000000
PA
USD
423652.19000000
0.221731692401
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
4.00000000
N
N
N
N
N
N
CONCHO RESOURCES INC
SYHS7HRDXLL4I0IQ8776
Concho Resources Inc
20605PAK7
140000.00000000
PA
USD
153759.53000000
0.080474883913
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.30000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CH6
20000.00000000
PA
USD
20395.48000000
0.010674615650
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
3.10000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BP3
200000.00000000
PA
USD
205413.00000000
0.107509351318
Long
DBT
CORP
GB
N
2
N/A
Fixed
6.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HLL2
170000.00000000
PA
USD
229066.12000000
0.119888955276
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
4.95000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBA0
50000.00000000
PA
USD
52186.59000000
0.027313492517
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
3.49000000
N
N
N
N
N
N
KCAD HOLDINGS I LIMITED
N/A
KCAD HOLDINGS I LIMITED
000000000
108106087.00000000
NS
USD
0.00000000
0.000000
Long
EC
CORP
US
N
3
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582CG5
80000.00000000
PA
USD
86917.67000000
0.045491095109
Long
DBT
CORP
NL
N
2
2030-04-06
Fixed
2.75000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JF5
40000.00000000
PA
USD
39686.00000000
0.020770915747
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
2.10000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFK5
10000.00000000
PA
USD
11022.69000000
0.005769071342
Long
DBT
CORP
US
N
2
2049-09-01
Fixed
3.62500000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AS0
160000.00000000
PA
USD
141121.60000000
0.073860425936
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.37500000
N
N
N
N
N
N
TENNESSEE GAS PIPELINE
N/A
Tennessee Gas Pipeline Co LLC
880451AZ2
210000.00000000
PA
USD
215659.69000000
0.112872278664
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.90000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BS4
110000.00000000
PA
USD
111581.44000000
0.058399654518
Long
DBT
CORP
US
N
2
2030-06-03
Fixed
1.50000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAD2
230000.00000000
PA
USD
239612.85000000
0.125408917989
Long
DBT
NUSS
MX
N
2
2048-02-10
Fixed
4.60000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAQ2
90000.00000000
PA
USD
99583.54000000
0.052120176363
Long
DBT
CORP
US
N
2
2025-05-14
Fixed
3.60000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 2 YEAR TREASURY NOTE
000000000
39.00000000
NC
USD
1002.86000000
0.000524878308
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
2020-09-30
8611294.05000000
USD
1002.86000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X6KQ3
95625.99000000
PA
USD
103591.54000000
0.054217889166
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.50000000
N
N
N
N
N
N
REYNOLDS CONSUMER PRODUC
549300DWNZYMOSR1X343
REYNOLDS CONSUMER PRODUCTS LLC
76171JAB7
220376.94680000
PA
USD
212526.02000000
0.111232173953
Long
LON
CORP
US
N
2
2027-02-04
Floating
1.92100000
N
N
N
N
N
N
Morgan Stanley ReRemic Trust
N/A
Morgan Stanley Resecuritization Trust 2015-R3
61690TAP8
730000.00000000
PA
USD
689798.02000000
0.361027479617
Long
ABS-MBS
CORP
US
N
2
2047-04-26
Floating
2.46059800
N
N
N
N
N
N
SOUTHERN COPPER CORP
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAG0
290000.00000000
PA
USD
344629.79000000
0.180372835058
Long
DBT
CORP
US
N
2
2042-11-08
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q95N9
397107.21000000
PA
USD
433964.37000000
0.227128895999
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-5.00000000
NC
USD
-3125.00000000
-0.00163556699
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
2020-09-21
0.00000000
USD
100000.00000000
186.00000000
USD
2020-08-21
XXXX
928.85000000
N
N
N
SWEDBANK AB
M312WZV08Y7LYUC71685
Swedbank AB
87020PAK3
200000.00000000
PA
USD
202548.04000000
0.106009884433
Long
DBT
CORP
SE
N
2
2023-06-02
Fixed
1.30000000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZJ0
60000.00000000
PA
USD
56853.10000000
0.029755857231
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.62500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-10.00000000
NC
USD
-1562.50000000
-0.00081778349
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
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
138.00000000
USD
2020-07-24
XXXX
2013.95000000
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2007-IQ13
61753JAG4
1212.97000000
PA
USD
1212.45000000
0.000634573824
Long
ABS-MBS
CORP
US
N
2
2044-03-15
Fixed
5.43800000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBV4
30000.00000000
PA
USD
32174.27000000
0.016839415698
Long
DBT
CORP
US
N
2
2029-07-31
Fixed
3.12500000
N
N
N
N
N
N
PRINCIPAL LFE GLB FND II
635400WSLKBQWSOIIT41
Principal Life Global Funding II
74256LEE5
30000.00000000
PA
USD
30122.11000000
0.015765353246
Long
DBT
CORP
US
N
2
2025-06-23
Fixed
1.25000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-111797.73000000
-0.05851285668
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2026-11-15
0.00000000
USD
-5312.29000000
USD
-1404000.00000000
USD
-106485.44000000
N
N
N
BONCER
549300KPBYGYF7HCHO27
Argentina Treasury Bond BONCER
000000000
5624221.94407362
PA
51192.59000000
0.026793251367
Long
DBT
NUSS
AR
N
2
2021-08-05
Fixed
1.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEA8
80000.00000000
PA
USD
99754.70000000
0.052209758330
Long
DBT
CORP
US
N
2
2033-08-10
Fixed
4.50000000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAD9
40000.00000000
PA
USD
42010.52000000
0.021987526367
Long
DBT
CORP
US
N
2
2025-04-05
Fixed
2.05600000
N
N
N
N
N
N
KINDER MORGAN INC/DELAWA
549300WR7IX8XE0TBO16
Kinder Morgan Inc
28368EAE6
60000.00000000
PA
USD
83964.06000000
0.043945230460
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
7.75000000
N
N
N
N
N
N
CON EDISON CO OF NY INC
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co of New York Inc
209111FY4
20000.00000000
PA
USD
24185.71000000
0.012658351678
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.95000000
N
N
N
N
N
N
PHOENIX GUARANTOR INC
N/A
Phoenix Guarantor Inc
71913BAB8
89425.88000000
PA
USD
86351.87000000
0.045194965892
Long
LON
CORP
US
N
2
2026-03-05
Floating
3.42100000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BF5
31000.00000000
PA
USD
34217.57000000
0.017908840990
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.73400000
N
N
N
N
N
N
CNOOC FINANCE 2015 US
549300Q3CTIH31RFPO82
CNOOC Finance 2015 USA LLC
12634MAB6
290000.00000000
PA
USD
316661.22000000
0.165734604673
Long
DBT
CORP
US
N
2
2025-05-05
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BQ33
130830.75000000
PA
USD
143205.93000000
0.074951325569
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.50000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAB2
70000.00000000
PA
USD
68921.96000000
0.036072474532
Long
DBT
CORP
US
N
2
2046-06-01
Fixed
4.37500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAS8
640000.00000000
PA
USD
480659.71000000
0.251568370194
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
4.37330000
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC 2015-RR6 Trust
05490QAB4
360000.00000000
PA
USD
358634.09000000
0.187702425729
Long
ABS-MBS
CORP
US
N
2
2037-05-26
Variable
3.50000000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
48667QAQ8
200000.00000000
PA
USD
227025.00000000
0.118820670955
Long
DBT
CORP
KZ
N
2
2030-04-24
Fixed
5.37500000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCE1
10000.00000000
PA
USD
10236.55000000
0.005357620258
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
730000.00000000
NC
USD
202.85000000
0.000106167924
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2020-08-19
0.00000000
USD
0.00000000
USD
0.00000000
USD
730000.00000000
USD
1.91250000
USD
2020-08-19
XXXX
-15492.15000000
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
Elanco Animal Health Inc
000000000
160000.00000000
PA
USD
153200.00000000
0.080182036297
Long
LON
CORP
US
N
2
2027-02-04
Floating
1.94010000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967GT2
20000.00000000
PA
USD
21318.02000000
0.011157455962
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QAMD9
63866.51000000
PA
USD
69096.51000000
0.036163830762
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
4.50000000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BK9
10000.00000000
PA
USD
10519.00000000
0.005505449346
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
6.50000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBX5
50000.00000000
PA
USD
56772.79000000
0.029713824467
Long
DBT
CORP
US
N
2
2025-01-23
Fixed
4.15000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WDM8
97056.16000000
PA
USD
103156.70000000
0.053990301982
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
3.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YDC0
170000.00000000
PA
USD
188812.52000000
0.098820968224
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.80000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AQ4
20000.00000000
PA
USD
15968.30000000
0.008357511815
Long
DBT
CORP
US
N
2
2044-06-01
Fixed
4.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGHT4
59671.49000000
PA
USD
65269.95000000
0.034161080287
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BM1
260000.00000000
PA
USD
368189.80000000
0.192703706970
Long
DBT
CORP
US
N
2
2050-03-25
Fixed
4.75000000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
000000000
23858.62060000
PA
USD
23252.21000000
0.012169775105
Long
LON
CORP
CA
N
2
2025-05-31
Floating
4.00000000
N
N
N
N
N
N
SOTERA HEALTH HOLDINGS LLC
549300OVT7MBXFLOFU20
Sotera Health Holdings LLC
83600VAD3
239400.00000000
PA
USD
234686.69000000
0.122830657284
Long
LON
CORP
US
N
2
2026-12-13
Floating
5.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE
000000000
-7.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
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
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-09-30
0.00000000
USD
100000.00000000
125.75000000
USD
2020-06-26
XXXX
2066.02000000
N
N
N
BERRY PLASTICS GROUP INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08579JBD3
100000.00000000
PA
USD
97687.50000000
0.051127824221
Long
LON
CORP
US
N
2
2022-10-01
Floating
2.19000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GGM0
100000.00000000
PA
USD
150131.29000000
0.078575930444
Long
DBT
CORP
US
N
2
2041-02-01
Fixed
6.25000000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp Mortgage Loan Trust 2007-WF1
86358BAA0
494095.32000000
PA
USD
465084.12000000
0.243416395503
Long
ABS-O
CORP
US
N
2
2037-02-25
Floating
0.39450000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BQ4
40000.00000000
PA
USD
46843.50000000
0.024517018389
Long
DBT
CORP
NL
N
2
2046-05-10
Fixed
4.00000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BU1
110000.00000000
PA
USD
153793.70000000
0.080492767856
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.00000000
N
N
N
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
Syngenta Finance NV
87164KAE4
200000.00000000
PA
USD
201979.08000000
0.105712101330
Long
DBT
CORP
NL
N
2
2021-04-23
Fixed
3.93300000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AN1
70000.00000000
PA
USD
65638.30000000
0.034353867840
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.80000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFF6
20000.00000000
PA
USD
22220.07000000
0.011629572188
Long
DBT
CORP
US
N
2
2027-03-22
Fixed
3.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-5.00000000
NC
USD
-2734.38000000
-0.00143112373
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
2020-09-21
0.00000000
USD
100000.00000000
182.00000000
USD
2020-07-24
XXXX
803.86000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0NX3
460000.00000000
PA
USD
470865.75000000
0.246442393326
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
3.63450000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379XGR5
1713924.08000000
PA
USD
308120.02000000
0.161264299135
Long
ABS-MBS
USGA
US
N
2
2045-11-16
Fixed
4.50000000
N
N
N
N
N
N
BHP BILLITON FIN USA LTD
5493003NUVITP3TMY274
BHP Billiton Finance USA Ltd
055451AV0
170000.00000000
PA
USD
235456.31000000
0.123233462107
Long
DBT
CORP
AU
N
2
2043-09-30
Fixed
5.00000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAD3
150000.00000000
PA
USD
142119.38000000
0.074382645468
Long
DBT
CORP
NL
N
2
2023-07-21
Fixed
2.80000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DW4
110000.00000000
PA
USD
150770.85000000
0.078910664277
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
5.12500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746SH5
190000.00000000
PA
USD
207235.44000000
0.108463182585
Long
DBT
CORP
US
N
2
2026-10-23
Fixed
3.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CU7
150000.00000000
PA
USD
146996.25000000
0.076935108701
Long
DBT
CORP
US
N
2
2021-08-13
Fixed
2.60000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BB4
220000.00000000
PA
USD
244441.98000000
0.127936394993
Long
DBT
CORP
GB
N
2
2026-05-25
Fixed
3.90000000
N
N
N
N
N
N
DCERT BUYER INC
549300EF826JEEUCHZ67
Dcert Buyer Inc
24022KAB5
159600.00000000
PA
USD
154978.30000000
0.081112765508
Long
LON
CORP
US
N
2
2026-10-16
Floating
5.13530000
N
N
N
N
N
N
TEVA PHARM FIN IV BV
549300P1YOE2RRPSGG38
Teva Pharmaceutical Finance IV BV
88166JAA1
30000.00000000
PA
USD
30036.75000000
0.015720677406
Long
DBT
CORP
CW
N
2
2021-11-10
Fixed
3.65000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B35Z9
100000.00000000
PA
USD
119999.07000000
0.062805285811
Long
ABS-MBS
USGSE
US
N
2
2031-02-25
Fixed
3.61000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBZ5
40000.00000000
PA
USD
41637.75000000
0.021792425468
Long
DBT
CORP
US
N
2
2060-01-31
Fixed
3.95000000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRU
N/A
Sofi Consumer Loan Program 2017-1 LLC
83405AAA2
41402.24000000
PA
USD
41554.64000000
0.021748927237
Long
ABS-O
CORP
US
N
2
2026-01-26
Fixed
3.28000000
N
N
N
N
N
N
MCAFEE LLC
549300713UKUTLV9T378
McAfee LLC
57906PAG4
228013.48781700
PA
USD
222085.14000000
0.116235239925
Long
LON
CORP
US
N
2
2024-09-29
Floating
4.29090000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDV1
50000.00000000
PA
USD
61388.60000000
0.032129653743
Long
DBT
CORP
US
N
2
2059-08-15
Fixed
3.87500000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2017-6
64830BAA5
425941.55000000
PA
USD
457441.04000000
0.239416149302
Long
ABS-MBS
CORP
US
N
2
2057-08-27
Variable
4.00000000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EP9
30000.00000000
PA
USD
32546.72000000
0.017034349114
Long
DBT
CORP
US
N
2
2049-10-15
Fixed
2.87500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
PHP/USD FORWARD
000000000
1.00000000
NC
USD
-65073.14000000
-0.03405807358
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-85895706.00000000
PHP
1657578.27000000
USD
2020-07-16
-65073.14000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MP3
110000.00000000
PA
USD
130675.87000000
0.068393324748
Long
DBT
CORP
US
N
2
2031-03-31
Fixed
4.41200000
N
N
N
N
N
N
COSTCO WHOLESALE CORP
29DX7H14B9S6O3FD6V18
Costco Wholesale Corp
22160KAP0
90000.00000000
PA
USD
91085.20000000
0.047672302953
Long
DBT
CORP
US
N
2
2030-04-20
Fixed
1.60000000
N
N
N
N
N
N
VFH PARENT LLC
549300FRO9M476YHHY64
VFH Parent LLC
91820UAQ3
53552.34800000
PA
USD
52302.81000000
0.027374319907
Long
LON
CORP
US
N
2
2026-03-01
Floating
3.17100000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABA2
340000.00000000
PA
USD
370690.10000000
0.194012317579
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDL3
20000.00000000
PA
USD
25610.06000000
0.013403830029
Long
DBT
CORP
US
N
2
2048-06-15
Fixed
4.25000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-BPR
61769GAA5
330000.00000000
PA
USD
294178.60000000
0.153967618688
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
1.58475000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
06406RAN7
50000.00000000
PA
USD
51835.58000000
0.027129780398
Long
DBT
CORP
US
N
2
2025-04-24
Fixed
1.60000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962GXZ2
60000.00000000
PA
USD
73054.96000000
0.038235610015
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
6.75000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DJ1
70000.00000000
PA
USD
58931.25000000
0.030843522366
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
6.20000000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAH7
110000.00000000
PA
USD
152750.28000000
0.079946661196
Long
DBT
CORP
US
N
2
2040-02-15
Fixed
5.30000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCK5
10000.00000000
PA
USD
12181.16000000
0.006375393036
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
30000.00000000
PA
USD
33340.44000000
0.017449767429
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/AUD FORWARD
000000000
1.00000000
NC
USD
13330.71000000
0.006977046168
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-123881.49000000
USD
198810.00000000
AUD
2020-07-16
13330.71000000
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BU5
60000.00000000
PA
USD
86441.88000000
0.045242075455
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.25000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBG4
220000.00000000
PA
USD
216817.63000000
0.113478322966
Long
DBT
CORP
US
N
2
2050-02-24
Fixed
3.00000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BV4
20000.00000000
PA
USD
20488.50000000
0.010723300591
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.45000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CH6
90000.00000000
PA
USD
73575.00000000
0.038507789298
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
3.40000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAC8
50000.00000000
PA
USD
49439.27000000
0.025875596224
Long
DBT
CORP
US
N
2
2050-04-05
Fixed
3.57700000
N
N
N
N
N
N
NOBLE ENERGY INC
02VFQXG2D1LR5ZH3K186
Noble Energy Inc
655044AQ8
10000.00000000
PA
USD
9110.85000000
0.004768449774
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
3.25000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SM1
1246562.50000000
PA
USD
1400179.41000000
0.732827913023
Long
DBT
UST
US
N
2
2050-02-15
Fixed
0.25000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAS2
70000.00000000
PA
USD
58921.80000000
0.030838576411
Long
DBT
CORP
US
N
2
N/A
Fixed
6.75000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAV8
140000.00000000
PA
USD
164316.50000000
0.086000206052
Long
DBT
CORP
US
N
2
2029-07-23
Fixed
4.20300000
N
N
N
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBG3
30000.00000000
PA
USD
30925.37000000
0.016185764620
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
3.45000000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BK3
20000.00000000
PA
USD
22194.98000000
0.011616440548
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.25000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCY5
10000.00000000
PA
USD
11108.83000000
0.005814155419
Long
DBT
CORP
US
N
2
2039-11-01
Fixed
3.25000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
IRS BRL
000000000
1.00000000
NC
22689.76000000
0.011875399216
N/A
DIR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
Y
2027-01-04
1362.84000000
USD
0.00000000
USD
2900000.00000000
BRL
21326.92000000
N
N
N
PRIME SECURITY SERVICES BOR
549300O6QPZVWXV2DC15
Prime Security Services Borrower LLC
03765VAJ9
219006.14140000
PA
USD
211067.17000000
0.110468638943
Long
LON
CORP
US
N
2
2026-09-23
Floating
4.25000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAB6
50000.00000000
PA
USD
45778.40000000
0.023959564820
Long
DBT
CORP
KY
N
2
2024-02-15
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
-3640000.00000000
NC
USD
-0.32000000
-0.00000016748
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2020-08-19
0.00000000
USD
0.00000000
USD
0.00000000
USD
-3640000.00000000
USD
1.60000000
USD
2020-08-19
XXXX
15651.68000000
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAP8
70000.00000000
PA
USD
71594.07000000
0.037471007306
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.90000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15137TAA8
10000.00000000
PA
USD
10407.25000000
0.005446961470
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
5.37500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-30.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
139.50000000
USD
2020-06-26
XXXX
10448.10000000
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
67452000.00000000
PA
1035135.97000000
0.541770952474
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
MONDELEZ INTERNATIONAL
549300DV9GIB88LZ5P30
Mondelez International Inc
609207AU9
160000.00000000
PA
USD
163393.86000000
0.085517313402
Long
DBT
CORP
US
N
2
2025-05-04
Fixed
1.50000000
N
N
N
N
N
N
Nomura Resecuritization Trust
N/A
Nomura Resecuritization Trust 2015-5R
65540XAY3
157117.25000000
PA
USD
157098.84000000
0.082222616782
Long
ABS-MBS
CORP
US
N
2
2037-07-26
Floating
2.32969200
N
N
N
N
N
N
CAESARS RESORT COLLECTIO
549300V3UCT773B1KR38
Caesars Resort Collection LLC
12769LAB5
67257.27020000
PA
USD
60269.98000000
0.031544188798
Long
LON
CORP
US
N
2
2024-12-22
Floating
3.04660000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DD6
130000.00000000
PA
USD
144021.79000000
0.075378331549
Long
DBT
CORP
US
N
2
2025-07-10
Fixed
3.75000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BR4
100000.00000000
PA
USD
118124.10000000
0.061823961317
Long
DBT
CORP
US
N
2
2029-03-30
Fixed
5.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C3K8
358880.43000000
PA
USD
392282.27000000
0.205313258563
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
5.00000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RR1
497747.60000000
PA
USD
644673.15000000
0.337409960268
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136APB68
379141.85000000
PA
USD
19082.17000000
0.009987253574
Long
ABS-MBS
USGSE
US
N
2
2055-08-25
Variable
2.83388800
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJWF1
1229154.59000000
PA
USD
1329323.60000000
0.695743297297
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.00000000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BJ6
40000.00000000
PA
USD
52004.95000000
0.027218425512
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFL8
210000.00000000
PA
USD
241084.41000000
0.126179105178
Long
DBT
CORP
US
N
2
2026-10-22
Fixed
4.25000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
19.00000000
NC
USD
1187.50000000
0.000621515457
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
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
137.00000000
USD
2020-07-24
XXXX
-11392.25000000
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764BW9
90000.00000000
PA
USD
92615.15000000
0.048473050384
Long
DBT
CORP
US
N
2
2025-05-11
Fixed
1.55400000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BM3
20000.00000000
PA
USD
22785.29000000
0.011925397844
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.50000000
N
N
N
N
N
N
BROOKFIELD WEC HOLDINGS
5493002M6GRSU1IWMG57
Brookfield WEC Holdings Inc
11284EAL7
79470.63790000
PA
USD
76987.18000000
0.040293660973
Long
LON
CORP
US
N
2
2025-08-01
Floating
3.75000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CE4
300000.00000000
PA
USD
339127.69000000
0.177493138048
Long
DBT
NUSS
ID
N
2
2048-01-11
Fixed
4.35000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZV5
3410000.00000000
PA
USD
3413196.88000000
1.786403891134
Long
DBT
UST
US
N
2
2027-06-30
Fixed
0.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JJ7
20000.00000000
PA
USD
19379.60000000
0.010142922915
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022671
500000.00000000
PA
USD
526367.19000000
0.275490816803
Long
ABS-MBS
USGA
US
N
2
2050-07-20
Fixed
2.50000000
N
N
N
N
N
N
DOLLAR GENERAL CORP
OPX52SQVOZI8IVSWYU66
Dollar General Corp
256677AC9
10000.00000000
PA
USD
10681.31000000
0.005590399387
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
3.25000000
N
N
N
N
N
N
WPX ENERGY INC
ZXZE9GCS2BB547GJW219
WPX Energy Inc
98212BAG8
70000.00000000
PA
USD
77955.15000000
0.040800278504
Long
DBT
CORP
US
N
2
2023-08-01
Fixed
8.25000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AQ1
90000.00000000
PA
USD
96255.89000000
0.050378546121
Long
DBT
CORP
US
N
2
2027-10-27
Fixed
3.87500000
N
N
N
N
N
N
UNIVISION COMMUNICATIONS
549300YQDE2JSGTL8V47
Univision Communications Inc
914908AY4
275636.99000000
PA
USD
257950.19000000
0.135006341367
Long
LON
CORP
US
N
2
2026-03-15
Floating
4.75000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY FIN
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp
084664CR0
150000.00000000
PA
USD
192594.08000000
0.100800166535
Long
DBT
CORP
US
N
2
2049-01-15
Fixed
4.25000000
N
N
N
N
N
N
LEVI STRAUSS & CO
MB0UERO0RDFKU8258G77
Levi Strauss & Co
52736RBH4
60000.00000000
PA
USD
60444.30000000
0.031635424651
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.00000000
N
N
N
N
N
N
CITYCENTER HOLDINGS LLC
54930012KUDSU3GT0X08
CityCenter Holdings LLC
17875LAL3
26078.16760000
PA
USD
23774.60000000
0.012443184335
Long
LON
CORP
US
N
2
2024-04-18
Floating
3.00000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BU3
50000.00000000
PA
USD
52903.79000000
0.027688861684
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.70000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
67054KAA7
300000.00000000
PA
USD
313155.00000000
0.163899514207
Long
DBT
CORP
FR
N
2
2026-05-01
Fixed
7.37500000
N
N
N
N
N
N
KUWAIT INTL BOND
549300FSC1YD0D9XX589
Kuwait International Government Bond
501499AB3
470000.00000000
PA
USD
525548.83000000
0.275062502369
Long
DBT
NUSS
KW
N
2
2027-03-20
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468Q5
230000.00000000
PA
USD
239752.43000000
0.125481971570
Long
DBT
CORP
US
N
2
2026-04-28
Fixed
2.18800000
N
N
N
N
N
N
UBS AG LONDON
BFM8T61CT2L1QCEMIK50
UBS AG/London
902674YA2
200000.00000000
PA
USD
203876.00000000
0.106704914047
Long
DBT
CORP
CH
N
2
2022-04-21
Fixed
1.75000000
N
N
N
N
N
N
NIKE INC
787RXPR0UX0O0XUXPZ81
NIKE Inc
654106AM5
170000.00000000
PA
USD
197080.21000000
0.103148123705
Long
DBT
CORP
US
N
2
2050-03-27
Fixed
3.37500000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAW1
200000.00000000
PA
USD
200690.33000000
0.105037593502
Long
DBT
CORP
DK
N
2
2024-06-22
Fixed
1.22600000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
7.00000000
NC
USD
8203.13000000
0.004293365975
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
2020-09-21
0.00000000
USD
100000.00000000
138.50000000
USD
2020-08-21
XXXX
1847.27000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
CHINA GOVERNMENT BOND
000000000
1500000.00000000
PA
220816.33000000
0.115571168322
Long
DBT
NUSS
CN
N
2
2025-05-21
Fixed
3.39000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAF1
60000.00000000
PA
USD
61411.16000000
0.032141461228
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
2.24200000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BY9
220000.00000000
PA
USD
251953.20000000
0.131867628117
Long
DBT
CORP
US
N
2
2027-02-06
Fixed
3.30000000
N
N
N
N
N
N
CSMC 2019-RIO A
N/A
CSMC 2019-RIO A
12597HAA4
480000.00000000
PA
USD
441656.11000000
0.231154609940
Long
ABS-MBS
CORP
US
N
2
2021-12-15
Floating
4.76351100
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-6.00000000
NC
USD
-2343.76000000
-0.00122668047
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
2020-09-21
0.00000000
USD
100000.00000000
183.00000000
USD
2020-07-24
XXXX
1130.26000000
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136AC7M7
85085.08000000
PA
USD
95291.21000000
0.049873650515
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Variable
3.55186500
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CG2
230000.00000000
PA
USD
232645.17000000
0.121762163611
Long
DBT
CORP
GB
N
2
2026-06-04
Fixed
2.09900000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132XCSJ5
68618.11000000
PA
USD
75147.33000000
0.039330717635
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
000000000
-75.00000000
NC
USD
-27707.50000000
-0.01450159119
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Short
90 DAY EURO DOLLAR TIME DEPOSIT
90 DAY EURO DOLLAR TIME DEPOSIT
2021-03-15
-18684792.50000000
USD
-27707.50000000
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDP4
40000.00000000
PA
USD
47952.31000000
0.025097348961
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.87500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PCH3
60000.00000000
PA
USD
62227.65000000
0.032568796938
Long
DBT
CORP
US
N
2
2021-12-15
Fixed
2.87500000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DU8
40000.00000000
PA
USD
49169.69000000
0.025734503056
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDC5
50000.00000000
PA
USD
62705.18000000
0.032818727276
Long
DBT
CORP
US
N
2
2046-08-15
Fixed
4.12500000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAE8
50000.00000000
PA
USD
52496.03000000
0.027475447669
Long
DBT
CORP
N/A
N
2
2025-05-01
Fixed
2.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179SQV2
58484.55000000
PA
USD
62199.90000000
0.032554273103
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
3.00000000
N
N
N
N
N
N
WPX ENERGY INC
ZXZE9GCS2BB547GJW219
WPX Energy Inc
98212BAD5
10000.00000000
PA
USD
10085.15000000
0.005278380309
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
6.00000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
390000.00000000
PA
USD
405754.30000000
0.212364268997
Long
DBT
NUSS
ID
N
2
2022-04-25
Fixed
3.75000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDJ8
30000.00000000
PA
USD
32699.76000000
0.017114447410
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.50000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCT6
270000.00000000
PA
USD
323895.81000000
0.169521054790
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.15000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFQ2
50000.00000000
PA
USD
57642.11000000
0.030168810419
Long
DBT
CORP
US
N
2
2030-07-01
Fixed
3.60000000
N
N
N
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAH7
300000.00000000
PA
USD
344730.14000000
0.180425356385
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.50000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90352JAC7
300000.00000000
PA
USD
340654.10000000
0.178292032708
Long
DBT
CORP
CH
N
2
2028-03-23
Fixed
4.25300000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWV2
60000.00000000
PA
USD
67873.53000000
0.035523745731
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
3.81400000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDU5
160000.00000000
PA
USD
214458.47000000
0.112243582413
Long
DBT
CORP
US
N
2
2037-03-16
Fixed
5.25000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AD9
30000.00000000
PA
USD
27542.73000000
0.014415353633
Long
DBT
CORP
US
N
2
2023-01-13
Floating
2.16138000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAD2
20000.00000000
PA
USD
21852.02000000
0.011436941650
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
3.79000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BT8
140000.00000000
PA
USD
153820.83000000
0.080506967195
Long
DBT
CORP
NL
N
2
2026-05-10
Fixed
2.87500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDQ2
20000.00000000
PA
USD
26255.03000000
0.013741395355
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
4.45000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGQ7
300000.00000000
PA
USD
385799.55000000
0.201920323247
Long
DBT
CORP
US
N
2
2045-11-17
Fixed
4.90000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAF0
80000.00000000
PA
USD
81619.34000000
0.042718047535
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
1.35000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LBG0
50000.00000000
PA
USD
53497.88000000
0.027999797362
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
5.50000000
N
N
N
N
N
N
NORDEA BANK ABP
529900ODI3047E2LIV03
Nordea Bank Abp
65557FAA4
330000.00000000
PA
USD
341176.57000000
0.178565483808
Long
DBT
CORP
FI
N
2
2021-05-13
Fixed
4.87500000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBU6
10000.00000000
PA
USD
11967.28000000
0.006263452215
Long
DBT
CORP
US
N
2
2049-02-01
Fixed
4.80000000
N
N
N
N
N
N
PARTY CITY HOLDINGS INC
5493005PYM1JS6EZN307
Party City Holdings Inc
70215EAN3
29801.24458800
PA
USD
14441.18000000
0.007558245554
Long
LON
CORP
US
N
2
2022-08-19
Floating
3.25000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-1173407.65000000
-0.61413978318
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2044-11-15
11389.87000000
USD
0.00000000
USD
-5427000.00000000
USD
-1184797.52000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617K1ZG1
297085.85000000
PA
USD
321573.34000000
0.168305517102
Long
ABS-MBS
USGA
US
N
2
2049-11-20
Fixed
4.00000000
N
N
N
N
N
N
CIMAREX ENERGY CO
11KYOFXPU1C4CQL1CL44
Cimarex Energy Co
171798AD3
180000.00000000
PA
USD
182276.34000000
0.095400052937
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.90000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFP4
20000.00000000
PA
USD
22744.67000000
0.011904138090
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
3.50000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAG8
30000.00000000
PA
USD
32895.24000000
0.017216758013
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAJ4
40000.00000000
PA
USD
53547.76000000
0.028025903628
Long
DBT
CORP
US
N
2
2039-01-25
Fixed
5.47600000
N
N
N
N
N
N
CHARTER COMMUNICATIONS OPER
549300TPZNMN50BJ3745
Charter Communications Operating LLC
16117LBX6
39799.49880000
PA
USD
38362.30000000
0.020078115737
Long
LON
CORP
US
N
2
2027-02-01
Floating
1.92950000
N
N
N
N
N
N
BMW US CAPITAL LLC
KK5MZM9DIXLXZL9DZL15
BMW US Capital LLC
05565EAL9
20000.00000000
PA
USD
20188.60000000
0.010566338498
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
1.85000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/BRL FORWARD
000000000
1.00000000
NC
USD
2019.41000000
0.001056921709
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-407637.00000000
BRL
76919.90000000
USD
2020-07-16
2019.41000000
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JW30
200000.00000000
PA
USD
205000.00000000
0.107293194784
Long
DBT
NUSS
EG
N
2
2023-02-21
Fixed
5.57700000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAC0
70000.00000000
PA
USD
72753.80000000
0.038077988461
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.75000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DC1
43000.00000000
PA
USD
43856.13000000
0.022953484383
Long
DBT
CORP
US
N
2
2021-03-09
Fixed
3.35000000
N
N
N
N
N
N
HANESBRANDS INC
GX5LWVWZLL5S4W1L2F20
Hanesbrands Inc
410345AN2
50000.00000000
PA
USD
50656.25000000
0.026512540967
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
5.37500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2017-CHOP
12651QAS8
800000.00000000
PA
USD
498035.36000000
0.260662462877
Long
ABS-MBS
CORP
US
N
2
2032-07-15
Floating
5.53475000
N
N
N
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36255TAA0
530000.00000000
PA
USD
508164.53000000
0.265963882437
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Floating
1.48475000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKZ4
377108.18000000
PA
USD
410209.62000000
0.214696100785
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
5.00000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BG3
8000.00000000
PA
USD
9874.10000000
0.005167920656
Long
DBT
CORP
US
N
2
2044-12-15
Fixed
4.68500000
N
N
N
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780097AZ4
130000.00000000
PA
USD
145711.01000000
0.076262437942
Long
DBT
CORP
GB
N
2
2023-12-19
Fixed
6.00000000
N
N
N
N
N
N
GRIFOLS WORLDWIDE OPERAT
N/A
Grifols Worldwide Operations USA Inc
39843PAG8
199500.00000000
PA
USD
192655.95000000
0.100832548144
Long
LON
CORP
US
N
2
2027-11-15
Floating
2.19390000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAN8
10000.00000000
PA
USD
13795.39000000
0.007220251055
Long
DBT
CORP
US
N
2
2038-07-01
Fixed
7.30000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CA5
10000.00000000
PA
USD
9643.92000000
0.005047448717
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GAT9
40000.00000000
PA
USD
43991.62000000
0.023024397334
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.04300000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBW8
190000.00000000
PA
USD
209910.37000000
0.109863191295
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CQ0
60000.00000000
PA
USD
61039.81000000
0.031947103531
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
1.12500000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CN4
290000.00000000
PA
USD
302597.45000000
0.158373888507
Long
DBT
NUSS
ID
N
2
2049-10-30
Fixed
3.70000000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAP6
30000.00000000
PA
USD
34554.70000000
0.018085288574
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
4.15000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBF1
180000.00000000
PA
USD
195750.95000000
0.102452413695
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAH5
50000.00000000
PA
USD
50141.81000000
0.026243292620
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.37500000
N
N
N
N
N
N
DELL INTERNATIONAL LLC
N/A
Dell International LLC
24702NBE9
150068.06700000
PA
USD
146503.95000000
0.076677448019
Long
LON
CORP
US
N
2
2025-09-19
Floating
2.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132H7D68
661503.51000000
PA
USD
715567.14000000
0.374514558698
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
3.50000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCS8
180000.00000000
PA
USD
206415.95000000
0.108034276731
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.95000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132WKLT3
1271445.97000000
PA
USD
1375465.13000000
0.719892917619
Long
ABS-MBS
USGSE
US
N
2
2047-01-01
Fixed
3.00000000
N
N
N
N
N
N
SCIENTIFIC GAMES INTERNATIO
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80875AAP6
173246.45460000
PA
USD
153582.98000000
0.080382480920
Long
LON
CORP
US
N
2
2024-08-14
Floating
2.94510000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAU5
20000.00000000
PA
USD
23908.42000000
0.012513223239
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.37500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468N2
30000.00000000
PA
USD
45839.69000000
0.023991642868
Long
DBT
CORP
US
N
2
2051-03-24
Fixed
5.59700000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAC3
60000.00000000
PA
USD
60166.20000000
0.031489872273
Long
DBT
CORP
CA
N
2
2024-05-15
Fixed
4.25000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
40.00000000
NC
USD
23750.00000000
0.012430309151
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
2020-09-21
0.00000000
USD
100000.00000000
139.00000000
USD
2020-07-24
XXXX
-3678.58000000
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAH7
10000.00000000
PA
USD
10202.09000000
0.005339584534
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
2.49300000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833DT4
200000.00000000
PA
USD
204456.16000000
0.107008559022
Long
DBT
CORP
US
N
2
2025-05-11
Fixed
1.12500000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFB5
20000.00000000
PA
USD
22664.80000000
0.011862335615
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
3.50000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BJ4
90000.00000000
PA
USD
117286.89000000
0.061385781143
Long
DBT
CORP
US
N
2
2047-08-22
Fixed
4.05000000
N
N
N
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BZ2
100000.00000000
PA
USD
108738.84000000
0.056911890442
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
2.45000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MR9
90000.00000000
PA
USD
91857.30000000
0.048076405762
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
1.67800000
N
N
N
N
N
N
TEXAS INSTRUMENTS INC
WDJNR2L6D8RWOEB8T652
Texas Instruments Inc
882508BJ2
50000.00000000
PA
USD
50874.55000000
0.026626795135
Long
DBT
CORP
US
N
2
2030-05-04
Fixed
1.75000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBT9
210000.00000000
PA
USD
239700.02000000
0.125454541149
Long
DBT
CORP
US
N
2
2028-10-16
Fixed
4.15000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAS0
200000.00000000
PA
USD
210215.24000000
0.110022754594
Long
DBT
CORP
DK
N
2
2022-01-12
Fixed
5.00000000
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BF6
86000.00000000
PA
USD
100142.58000000
0.052412767522
Long
DBT
CORP
US
N
2
2026-11-30
Fixed
3.75000000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK7
06541XAF7
190000.00000000
PA
USD
213346.92000000
0.111661817776
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Fixed
3.43500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGT1
40000.00000000
PA
USD
47773.93000000
0.025003988180
Long
DBT
CORP
US
N
2
2046-06-14
Fixed
4.40000000
N
N
N
N
N
N
CAMERON LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AA8
30000.00000000
PA
USD
32164.60000000
0.016834354599
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.90200000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJB6
90000.00000000
PA
USD
95440.26000000
0.049951660519
Long
DBT
CORP
US
N
2
2031-04-29
Fixed
2.59200000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CD2
180000.00000000
PA
USD
206655.31000000
0.108159553312
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.35000000
N
N
N
N
N
N
LEVEL 3 PARENT LLC
N/A
Level 3 Parent LLC
52729KAP1
175410.47000000
PA
USD
166201.42000000
0.086986738192
Long
LON
CORP
US
N
2
2027-03-01
Floating
1.92100000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CP8
140000.00000000
PA
USD
127796.95000000
0.066886551459
Long
DBT
CORP
US
N
2
2035-02-01
Fixed
3.25000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BM7
20000.00000000
PA
USD
26751.07000000
0.014001013483
Long
DBT
CORP
US
N
2
2057-08-22
Fixed
4.25000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAU7
240000.00000000
PA
USD
213701.70000000
0.111847503042
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
9127963P2
1330000.00000000
PA
USD
1329773.90000000
0.695978975958
Long
DBT
UST
US
N
2
2020-08-18
None
0.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
JPY/USD FORWARD
000000000
1.00000000
NC
USD
796.29000000
0.000416763405
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-6000000.00000000
JPY
56375.50000000
USD
2020-07-16
796.29000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JGKQ7
259164.78000000
PA
USD
281549.22000000
0.147357635623
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAF1
40000.00000000
PA
USD
44593.02000000
0.023339158931
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.85000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGE4
220000.00000000
PA
USD
272893.55000000
0.142827418612
Long
DBT
CORP
US
N
2
2044-11-04
Fixed
4.65000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
11319.66000000
0.005924499928
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2050-03-18
0.00000000
USD
0.00000000
USD
-357000.00000000
USD
11319.66000000
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
24736CBM5
150000.00000000
PA
USD
147600.00000000
0.077251100244
Long
LON
CORP
US
N
2
2023-04-29
Floating
5.75000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAN9
20000.00000000
PA
USD
19409.81000000
0.010158734268
Long
DBT
CORP
US
N
2
2029-12-01
Fixed
3.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
5.00000000
NC
USD
9765.63000000
0.005111149472
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
178.00000000
USD
2020-07-24
XXXX
772.60000000
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
43880000.00000000
PA
699151.28000000
0.365922802286
Long
DBT
NUSS
RU
N
2
2030-04-10
Fixed
7.65000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HNJ5
50000.00000000
PA
USD
58263.79000000
0.030494186191
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
4.25000000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAD4
150000.00000000
PA
USD
167213.61000000
0.087516499650
Long
DBT
CORP
US
N
2
2025-12-14
Fixed
3.15000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CS2
10000.00000000
PA
USD
7332.00000000
0.003837432703
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.50000000
N
N
N
N
N
N
NEXSTAR BROADCASTING INC
5493006PK6I4I2OOT688
Nexstar Broadcasting Inc
65336RAW8
269416.92010000
PA
USD
256956.39000000
0.134486204894
Long
LON
CORP
US
N
2
2026-09-19
Floating
2.94010000
N
N
N
N
N
N
HILTON WORLDWIDE FIN LLC
N/A
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp
432891AK5
30000.00000000
PA
USD
29356.95000000
0.015364882705
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
4.87500000
N
N
N
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBH1
40000.00000000
PA
USD
41018.35000000
0.021468243006
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HQJ2
40000.00000000
PA
USD
40501.82000000
0.021197900792
Long
DBT
CORP
US
N
2
2021-03-01
Fixed
2.55000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CD9
140000.00000000
PA
USD
145953.06000000
0.076389122419
Long
DBT
CORP
US
N
2
2022-11-02
Fixed
2.50000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCB0
50000.00000000
PA
USD
50081.19000000
0.026211565237
Long
DBT
CORP
US
N
2
2020-11-06
Fixed
2.45000000
N
N
N
N
N
N
TERRIER MEDIA BUYER INC
N/A
Terrier Media Buyer Inc
88145LAB0
109375.06270000
PA
USD
104726.62000000
0.054811968969
Long
LON
CORP
US
N
2
2026-12-17
Floating
4.44390000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918CC6
110000.00000000
PA
USD
115332.07000000
0.060362664640
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
2.52500000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAG0
200000.00000000
PA
USD
213105.11000000
0.111535258910
Long
DBT
CORP
ES
N
2
2023-04-12
Fixed
3.84800000
N
N
N
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718FK0
70000.00000000
PA
USD
88218.52000000
0.046171935853
Long
DBT
CORP
US
N
2
2050-03-25
Fixed
3.60000000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBK5
150000.00000000
PA
USD
178517.56000000
0.093432777255
Long
DBT
CORP
GB
N
2
2028-05-30
Fixed
4.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UCC4
274670.84000000
PA
USD
296117.74000000
0.154982528570
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
160000.00000000
NC
USD
5.33000000
0.000002789623
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Purchased
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2020-07-30
0.00000000
USD
0.00000000
USD
0.00000000
USD
160000.00000000
USD
1.88000000
USD
2020-07-30
XXXX
-4334.67000000
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-IG1 Mortgage Trust
08162LAF7
500000.00000000
PA
USD
506308.35000000
0.264992392279
Long
ABS-MBS
CORP
US
N
2
2043-09-15
Variable
2.90860000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJX1
140000.00000000
PA
USD
145164.29000000
0.075976294842
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
2.30000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
176577.81000000
0.092417548111
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2029-07-18
10843.83000000
USD
0.00000000
USD
28260000.00000000
MXN
165733.98000000
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BZ2
200000.00000000
PA
USD
209539.00000000
0.109668823131
Long
DBT
NUSS
BR
N
2
2028-01-13
Fixed
4.62500000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DH0
30000.00000000
PA
USD
33739.46000000
0.017658607091
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410LXD9
81862.64000000
PA
USD
88975.61000000
0.046568182706
Long
ABS-MBS
USGSE
US
N
2
2049-02-01
Fixed
3.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWT7
100000.00000000
PA
USD
106144.71000000
0.055554170952
Long
DBT
CORP
US
N
2
2023-02-23
Fixed
3.20000000
N
N
N
N
N
N
COCA-COLA CO/THE
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216CR9
60000.00000000
PA
USD
68870.66000000
0.036045625064
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
3.37500000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
38000000.00000000
PA
1807424.13000000
0.945972240183
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BU9
10000.00000000
PA
USD
11864.25000000
0.006209528225
Long
DBT
CORP
US
N
2
2044-03-01
Fixed
5.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HHU7
250000.00000000
PA
USD
252837.56000000
0.132330485726
Long
DBT
CORP
US
N
2
2020-10-15
Fixed
4.25000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
EUR/USD FORWARD
000000000
1.00000000
NC
USD
5357.11000000
0.002803811935
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-174465.68000000
USD
160000.00000000
EUR
2020-07-16
5357.11000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-40.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
140.00000000
USD
2020-06-26
XXXX
5212.05000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0TF6
670000.00000000
PA
USD
632690.98000000
0.331138714904
Long
ABS-MBS
CORP
US
N
2
2042-12-25
Floating
4.78450000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBH4
220000.00000000
PA
USD
239132.52000000
0.125157522183
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.99200000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHF9
190000.00000000
PA
USD
203181.07000000
0.106341200585
Long
DBT
CORP
US
N
2
2024-03-05
Fixed
3.55000000
N
N
N
N
N
N
NVIDIA CORP
549300S4KLFTLO7GSQ80
NVIDIA Corp
67066GAG9
110000.00000000
PA
USD
128765.84000000
0.067393650500
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140FXF98
70077.61000000
PA
USD
77345.91000000
0.040481413597
Long
ABS-MBS
USGSE
US
N
2
2057-06-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A4LV8
1243165.82000000
PA
USD
1358059.91000000
0.710783348547
Long
ABS-MBS
USGSE
US
N
2
2038-06-01
Fixed
4.50000000
N
N
N
N
N
N
FRONERI US INC
N/A
FRONERI US INC
000000000
90000.00000000
PA
USD
84975.03000000
0.044474353393
Long
LON
CORP
US
N
2
2027-01-31
Floating
2.42100000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBX0
110000.00000000
PA
USD
114793.07000000
0.060080562045
Long
DBT
CORP
US
N
2
2030-01-31
Fixed
2.80000000
N
N
N
N
N
N
ARGENTINE REPUBLIC GOVERNMENT INTERNATIONAL BOND
549300KPBYGYF7HCHO27
REPUBLIC OF ARGENTINA
040114GK0
380000.00000000
PA
USD
149832.10000000
0.078419339952
Long
DBT
NUSS
AR
N
2
2038-12-31
Variable
3.75000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BC8
90000.00000000
PA
USD
68566.37000000
0.035886365327
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KGNJ3
277117.32000000
PA
USD
299671.79000000
0.156842652369
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325BR5
240000.00000000
PA
USD
289030.80000000
0.151273355722
Long
DBT
NUSS
CO
N
2
2044-02-26
Fixed
5.62500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DF9
140000.00000000
PA
USD
119023.80000000
0.062294847596
Long
DBT
CORP
US
N
2
2036-09-15
Fixed
6.45000000
N
N
N
N
N
N
SVENSKA HANDELSBANKEN AB
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken AB
86960BAT9
250000.00000000
PA
USD
256371.10000000
0.134179874972
Long
DBT
CORP
SE
N
2
2021-05-24
Fixed
3.35000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DV6
20000.00000000
PA
USD
26164.15000000
0.013693830450
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
5.00000000
N
N
N
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YAZ8
50000.00000000
PA
USD
50012.18000000
0.026175446684
Long
DBT
CORP
US
N
2
2030-06-24
Fixed
1.45000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAK2
19000.00000000
PA
USD
20172.80000000
0.010558069071
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
3.95000000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBB6
330000.00000000
PA
USD
435142.95000000
0.227745742894
Long
DBT
NUSS
QA
N
2
2049-03-14
Fixed
4.81700000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
USD/MXN FORWARD
000000000
1.00000000
NC
USD
-72431.29000000
-0.03790919271
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-21368991.27000000
MXN
855272.81000000
USD
2020-07-16
-72431.29000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
5.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
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
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
138.25000000
USD
2020-06-26
XXXX
-3133.65000000
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50076QAR7
10000.00000000
PA
USD
12390.26000000
0.006484832095
Long
DBT
CORP
US
N
2
2039-01-26
Fixed
6.87500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-1242137.26000000
-0.65011158529
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2026-06-30
62213.06000000
USD
0.00000000
USD
-17927000.00000000
USD
-1304350.32000000
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281ABA6
150000.00000000
PA
USD
129467.25000000
0.067760755475
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
5.00000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAG8
70000.00000000
PA
USD
72446.33000000
0.037917064371
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.65000000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZX9
440000.00000000
PA
USD
454660.29000000
0.237960756368
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
7.00000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Bonos del Tesoro
000000000
9410000.00000000
PA
68071.43000000
0.035627322918
Long
DBT
NUSS
AR
N
2
2021-10-03
Fixed
18.20000000
N
N
N
N
N
N
EATON CORP
0NZWDMRCE180888QQE14
Eaton Corp
278062AE4
20000.00000000
PA
USD
23677.87000000
0.012392557648
Long
DBT
CORP
US
N
2
2042-11-02
Fixed
4.15000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-5.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Put
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
174.00000000
USD
2020-06-26
XXXX
5928.85000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BK9
80000.00000000
PA
USD
89792.61000000
0.046995785341
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.20000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
19830000.00000000
PA
301715.26000000
0.157912166636
Long
DBT
NUSS
RU
N
2
2029-05-23
Fixed
6.90000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
6348000.00000000
PA
1326676.81000000
0.694358016541
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
10.00000000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QCS5
40000.00000000
PA
USD
44114.43000000
0.023088673808
Long
DBT
CORP
GB
N
2
2024-11-04
Fixed
3.53500000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAH2
20000.00000000
PA
USD
20601.26000000
0.010782317082
Long
DBT
CORP
US
N
2
2025-05-31
Fixed
5.37500000
N
N
N
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
141781BL7
80000.00000000
PA
USD
81414.12000000
0.042610639196
Long
DBT
CORP
US
N
2
2023-07-23
Fixed
1.37500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CM5
50000.00000000
PA
USD
39010.00000000
0.020417109895
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.00000000
N
N
N
N
N
N
DEERE & COMPANY
PWFTNG3EI0Y73OXWDH08
Deere & Co
244199BK0
100000.00000000
PA
USD
123605.21000000
0.064692672550
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.75000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468P7
270000.00000000
PA
USD
309083.96000000
0.161768807438
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.62200000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/IDR FORWARD
000000000
1.00000000
NC
USD
234931.26000000
0.122958660683
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1515536.96000000
USD
25051825883.00000000
IDR
2020-07-16
234931.26000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8AH8
75599.35000000
PA
USD
82189.81000000
0.043016620944
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
SWOP IRS USD
000000000
-890000.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
GB
N
2
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO INTERNATIONAL
4PQUHN3JPFGFNF3BB653
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
2020-07-30
0.00000000
USD
0.00000000
USD
0.00000000
USD
-890000.00000000
USD
1.55000000
USD
2020-07-30
XXXX
4405.50000000
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AC1
270000.00000000
PA
USD
260921.25000000
0.136561339022
Long
DBT
CORP
US
N
2
2030-02-01
Variable
4.05000000
N
N
N
N
N
N
API GROUP DE INC
549300XP4G7B4QYA0G83
APi Group DE Inc
00186XAB9
109450.00000000
PA
USD
106234.91000000
0.055601379958
Long
LON
CORP
US
N
2
2026-10-01
Floating
2.67100000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AJ4
100000.00000000
PA
USD
111856.00000000
0.058543354125
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
5.62500000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABC8
20000.00000000
PA
USD
22188.40000000
0.011612996698
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HVFR0
100000.00000000
PA
USD
112471.95000000
0.058865730922
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.76500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA BOND
000000000
93.00000000
NC
USD
149806.12000000
0.078405742502
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
2020-09-21
20138725.13000000
USD
149806.12000000
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650BZ2
60000.00000000
PA
USD
62631.79000000
0.032780316312
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
2.75000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
2000000.00000000
PA
104781.05000000
0.054840456621
Long
DBT
NUSS
MX
N
2
2024-12-05
Fixed
10.00000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
2348000000.00000000
PA
162773.85000000
0.085192811677
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
HILTON WORLDWIDE FINANCE
549300406TN7EY0NPH20
Hilton Worldwide Finance LLC
43289DAH6
188276.34000000
PA
USD
176509.07000000
0.092381570871
Long
LON
CORP
US
N
2
2026-06-21
Floating
2.05510000
N
N
N
N
N
N
NATWEST MARKETS NV
X3CZP3CK64YBHON1LE12
NatWest Markets NV
00077TAA2
100000.00000000
PA
USD
114037.40000000
0.059685058394
Long
DBT
CORP
NL
N
2
2023-05-15
Fixed
7.75000000
N
N
N
N
N
N
REPUBLIC SERVICES INC
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759AU4
80000.00000000
PA
USD
85146.21000000
0.044563945827
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.50000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DL6
30000.00000000
PA
USD
26245.35000000
0.013736329023
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
6.60000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAD6
20000.00000000
PA
USD
20399.73000000
0.010676840021
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
1.92300000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAW0
118641.69080000
PA
USD
114897.12000000
0.060135019884
Long
LON
CORP
US
N
2
2024-11-03
Floating
3.17100000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2L6
60000.00000000
PA
USD
72676.85000000
0.038037714260
Long
DBT
CORP
US
N
2
2031-04-04
Fixed
4.47800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9QD8
49382.90000000
PA
USD
54011.58000000
0.028268658407
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
5.00000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BG4
110000.00000000
PA
USD
118293.62000000
0.061912684938
Long
DBT
CORP
US
N
2
2021-09-01
Fixed
7.87500000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAT7
152269.52960000
PA
USD
148605.62000000
0.077777423086
Long
LON
CORP
US
N
2
2022-08-04
Floating
3.17100000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBC2
20000.00000000
PA
USD
21751.99000000
0.011384587804
Long
DBT
CORP
US
N
2
2023-11-14
Fixed
3.75000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BT2
90000.00000000
PA
USD
92879.68000000
0.048611500476
Long
DBT
CORP
US
N
2
2050-06-03
Fixed
2.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/JPY FORWARD
000000000
1.00000000
NC
USD
395.32000000
0.000206903150
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-112022.90000000
USD
12136001.00000000
JPY
2020-07-16
395.32000000
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAV2
39894.83870000
PA
USD
38697.99000000
0.020253809652
Long
LON
CORP
US
N
2
2023-11-03
Floating
3.17100000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179Q6P1
29622.65000000
PA
USD
31732.81000000
0.016608363728
Long
ABS-MBS
USGA
US
N
2
2045-03-20
Fixed
3.50000000
N
N
N
N
N
N
CAMERON LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AB6
160000.00000000
PA
USD
176912.23000000
0.092592577332
Long
DBT
CORP
US
N
2
2035-01-15
Fixed
3.30200000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-9885.20000000
-0.00517373019
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-3651296.64000000
USD
3240000.00000000
EUR
2020-07-16
-9885.20000000
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M Co
88579YBJ9
80000.00000000
PA
USD
86529.81000000
0.045288096385
Long
DBT
CORP
US
N
2
2029-08-26
Fixed
2.37500000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
MXN CALL VERSUS USD PUT
000000000
-1920000.00000000
NC
USD
-207135.17000000
-0.10841070312
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Put
Written
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
MXN CALL VERSUS USD PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
MXN
2020-07-24
-1920000.00000000
USD
25.51940000
USD
2020-07-24
XXXX
-133743.17000000
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBP2
43000.00000000
PA
USD
44678.54000000
0.023383918511
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HTWT2
40000.00000000
PA
USD
46304.79000000
0.024235067575
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.26000000
N
N
N
N
N
N
TRANS UNION LLC
X8NPN6PWJOM1QCTYFV34
Trans Union LLC
89334GAX2
76910.81290000
PA
USD
74042.65000000
0.038752548628
Long
LON
CORP
US
N
2
2026-11-13
Floating
1.94050000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162CF5
29000.00000000
PA
USD
38731.90000000
0.020271557517
Long
DBT
CORP
US
N
2
2051-06-15
Fixed
4.66300000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XDA9
395715.47000000
PA
USD
412978.16000000
0.216145103231
Long
ABS-MBS
CORP
US
N
2
2029-01-25
Floating
4.43450000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAL0
20000.00000000
PA
USD
22028.81000000
0.011529470254
Long
DBT
CORP
US
N
2
2035-07-15
Fixed
5.00000000
N
N
N
N
N
N
ALLIED UNIVERSAL HOLDCO LLC
N/A
Allied Universal Holdco LLC
01957TAC1
185723.98360000
PA
USD
180306.97000000
0.094369321234
Long
LON
CORP
US
N
2
2026-07-12
Floating
4.44510000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
EURO FX CURRENCY
000000000
2.00000000
NC
USD
-1852.25000000
-0.00096943326
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
CHICAGO MERCANTILE EXCHANGE
EURO CURRENCY 2PM
2020-09-14
283189.75000000
USD
-1852.25000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/MXN FORWARD
000000000
1.00000000
NC
USD
722.52000000
0.000378153556
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-300000.00000000
MXN
13746.59000000
USD
2020-07-16
722.52000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WGJG0
57902.52000000
PA
USD
62982.26000000
0.032963745805
Long
ABS-MBS
USGSE
US
N
2
2046-01-01
Fixed
3.50000000
N
N
N
N
N
N
BANCO ACTINVER SA
N/A
Banco Actinver SA / Grupo GICSA SAB de CV
89835RAA2
490000.00000000
PA
USD
366887.50000000
0.192022107323
Long
DBT
CORP
MX
N
2
2032-12-18
Fixed
4.80000000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EZ7
80000.00000000
PA
USD
81576.39000000
0.042695568302
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
1.62500000
N
N
N
N
N
N
BRIGHTVIEW LANDSCAPES
549300OSAEQC89PVOW06
Brightview Landscapes LLC
10801XAG2
58800.00000000
PA
USD
57330.00000000
0.030005457838
Long
LON
CORP
US
N
3
2025-08-15
Floating
2.88050000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CZ6
32000.00000000
PA
USD
31900.00000000
0.016695867871
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
4.85000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CL2
160000.00000000
PA
USD
179934.52000000
0.094174387818
Long
DBT
CORP
US
N
2
2025-07-20
Fixed
3.87500000
N
N
N
N
N
N
CINTAS CORPORATION NO. 2
549300QVUQTTKMTE0G41
Cintas Corp No 2
17252MAN0
160000.00000000
PA
USD
181981.99000000
0.095245995611
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.70000000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BS2
10000.00000000
PA
USD
12099.66000000
0.006332737449
Long
DBT
CORP
US
N
2
2036-08-08
Fixed
3.45000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BQ1
30000.00000000
PA
USD
34428.03000000
0.018018991847
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.25000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2018-IND
056059AS7
238000.00000000
PA
USD
230497.81000000
0.120638275247
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Floating
2.23475000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FLN91
170000.00000000
PA
USD
202137.74000000
0.105795141029
Long
ABS-MBS
USGSE
US
N
2
2029-03-25
Fixed
3.50500000
N
N
N
N
N
N
CEOC LLC
N/A
CEOC LLC
12768PAB7
92183.32850000
PA
USD
91964.39000000
0.048132454680
Long
LON
CORP
US
N
2
2024-10-06
Floating
3.13530000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GVS0
170000.00000000
PA
USD
222398.24000000
0.116399110653
Long
DBT
CORP
US
N
2
2045-10-21
Fixed
4.75000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAP6
40000.00000000
PA
USD
45390.80000000
0.023756702174
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.30000000
N
N
N
N
N
N
DELTA AIR LINES 2007-1 A
N/A
Delta Air Lines 2007-1 Class A Pass Through Trust
247367BH7
27751.96000000
PA
USD
27258.62000000
0.014266655732
Long
DBT
CORP
US
N
2
2022-08-10
Fixed
6.82100000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDD1
10000.00000000
PA
USD
10466.53000000
0.005477987521
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
2.37500000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AJ9
10000.00000000
PA
USD
10903.03000000
0.005706443519
Long
DBT
CORP
US
N
2
2024-01-12
Fixed
3.50000000
N
N
N
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281AAS8
40000.00000000
PA
USD
30325.00000000
0.015871542106
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TZ65
274340.83000000
PA
USD
296042.98000000
0.154943400573
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
4.50000000
N
N
N
N
N
N
EYECARE PARTNERS LLC
N/A
Eyecare Partners LLC
30233PAC4
11351.35000000
PA
USD
10310.81000000
0.005396486564
Long
LON
CORP
US
N
2
2027-02-20
Floating
3.94000000
N
N
N
N
N
N
CREDIT AGRICOLE LONDON
969500TJ5KRTCJQWXH05
Credit Agricole SA/London
22535WAG2
250000.00000000
PA
USD
253948.22000000
0.132911784553
Long
DBT
CORP
FR
N
2
2026-06-16
Fixed
1.90700000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BJ9
20000.00000000
PA
USD
21063.58000000
0.011024286789
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
4.85000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78015K7G3
140000.00000000
PA
USD
143677.05000000
0.075197901032
Long
DBT
CORP
CA
N
2
2023-04-17
Fixed
1.60000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDK4
40000.00000000
PA
USD
44952.64000000
0.023527377363
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.30000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-4.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
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
2020-09-21
0.00000000
USD
100000.00000000
187.00000000
USD
2020-06-26
XXXX
3118.08000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-8.00000000
NC
USD
-1625.00000000
-0.00085049483
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-09-21
0.00000000
USD
100000.00000000
140.00000000
USD
2020-07-24
XXXX
236.16000000
N
N
N
NOBLE ENERGY INC
02VFQXG2D1LR5ZH3K186
Noble Energy Inc
655044AE5
40000.00000000
PA
USD
39091.00000000
0.020459503791
Long
DBT
CORP
US
N
2
2041-03-01
Fixed
6.00000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AQ1
370000.00000000
PA
USD
375171.43000000
0.196357762519
Long
DBT
CORP
CH
N
2
2026-06-05
Fixed
2.19300000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AE0
90000.00000000
PA
USD
93011.59000000
0.048680539722
Long
DBT
CORP
US
N
2
2021-09-17
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JGLX1
280244.27000000
PA
USD
306219.72000000
0.160269717388
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
5.00000000
N
N
N
N
N
N
LAMB WESTON HLD
5493005SMYID1D2OY946
Lamb Weston Holdings Inc
513272AB0
70000.00000000
PA
USD
72612.05000000
0.038003799143
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
4.87500000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAE9
400000.00000000
PA
USD
415001.44000000
0.217204050427
Long
DBT
CORP
ES
N
2
2025-05-28
Fixed
2.74600000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/CNY FORWARD
000000000
1.00000000
NC
USD
-5799.57000000
-0.00303538728
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-9196162.00000000
CNY
1293048.65000000
USD
2020-07-16
-5799.57000000
N
N
N
Alterra Mountain Co
549300C5O4FSVNUEI843
Alterra Mountain Co
46124CAB3
68563.49830000
PA
USD
64835.36000000
0.033933623948
Long
LON
CORP
US
N
2
2024-07-31
Floating
2.94510000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZZ4
140000.00000000
PA
USD
135586.51000000
0.070963462573
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
7.37500000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAM2
120000.00000000
PA
USD
120165.89000000
0.062892596303
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
4.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2018-J1
12653TAB7
959609.75000000
PA
USD
999298.06000000
0.523014055604
Long
ABS-MBS
CORP
US
N
2
2048-02-25
Variable
3.50000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
13823000000.00000000
PA
970561.36000000
0.507973800236
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
2020-08-20
Legg Mason Partners Variable Income Trust
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer