0001752724-24-037540.txt : 20240223
0001752724-24-037540.hdr.sgml : 20240223
20240223163410
ACCESSION NUMBER: 0001752724-24-037540
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231229
FILED AS OF DATE: 20240223
DATE AS OF CHANGE: 20240223
PERIOD START: 20231231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: LEGG MASON PARTNERS INSTITUTIONAL TRUST
CENTRAL INDEX KEY: 0000889512
ORGANIZATION NAME:
IRS NUMBER: 000000000
STATE OF INCORPORATION: MD
FISCAL YEAR END: 0831
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-06740
FILM NUMBER: 24671790
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: CITIFUNDS INSTITUTIONAL TRUST
DATE OF NAME CHANGE: 19981030
0000889512
S000014683
Western Asset SMASh Series Core Plus Completion Fund
C000040181
SMASh Series Core Plus Completion Fund
LMECX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000889512
XXXXXXXX
S000014683
C000040181
Legg Mason Partners Institutional Trust
811-06740
0000889512
54930003LJE4ZPPMRV82
620 Eighth Avenue
47thFloor
New York
10018
1-877-656-3863
Western Asset SMASh Series Core Plus Completion Fund
S000014683
549300S54ZXI065Q3491
2023-12-31
2023-12-29
N
2745817799.17
288439697.28
2457378101.89
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
228080707.09000000
0.00000000
9485191.83000000
BRL
EUR
GBP
IDR
INR
JPY
MXN
USD
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MXN CALL VERSUS USD PUT
000000000
-41419142.00000000
NC
USD
-364187.47000000
-0.01482016421
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MXN CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
MXN
N/A
USD
2024-02-22
-41419142.00000000
USD
16.79930000
USD
2024-02-22
XXXX
-56277.57000000
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBT1
10000000.00000000
PA
USD
7361801.40000000
0.299579515026
Long
DBT
CORP
US
N
2
2040-09-25
Fixed
3.73400000
N
N
N
N
N
N
Garda World Security Corporation
549300ZF1NDXLMCHNO20
Garda World Security Corp
000000000
2964367.18000000
PA
USD
2973408.50000000
0.120999226684
Long
LON
CORP
CA
N
2
2026-10-30
Floating
9.72462000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H062636
5500000.00000000
PA
USD
5617949.21000000
0.228615580389
Long
ABS-MBS
USGA
US
N
2
2054-03-15
Fixed
6.50000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B36
12260000.00000000
PA
USD
11009851.23000000
0.448032446514
Long
DBT
CORP
US
N
2
2030-11-13
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Republic of Kenya Government International Bond
491798AG9
910000.00000000
PA
USD
834481.83000000
0.033958218694
Long
DBT
NUSS
KE
N
2
2028-02-28
Fixed
7.25000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
143857000.00000000
PA
29105825.47000000
1.184426012733
Long
DBT
NUSS
BR
N
2
2033-01-01
Fixed
10.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAS8
1100000.00000000
PA
USD
429152.57000000
0.017463839596
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
4.37330000
N
N
N
N
N
N
Asurion LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAY6
3013611.72000000
PA
USD
2995951.96000000
0.121916605250
Long
LON
CORP
US
N
2
2027-07-31
Floating
8.72044000
N
N
N
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
CommScope Inc
20338QAD5
1150000.00000000
PA
USD
1026030.00000000
0.041753037483
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
6.00000000
N
N
N
N
N
N
SUZANO AUSTRIA GMBH
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAJ1
12210000.00000000
PA
USD
10719891.60000000
0.436232893576
Long
DBT
CORP
AT
N
2
2031-01-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R01
20754LAF6
2700000.00000000
PA
USD
2724460.38000000
0.110868587048
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
8.48743000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ACFY1
14422952.01000000
PA
USD
13091130.28000000
0.532727555028
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
3.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12
46632HAL5
4802.63000000
PA
USD
4453.25000000
0.000181219568
Long
ABS-MBS
CORP
US
N
2
2051-02-15
Variable
6.34894100
N
N
N
N
N
N
Freddie Mac - STACR
549300D2VO9JVX6KU482
STACR Trust 2018-HRP1
3137G0VB2
17051389.56000000
PA
USD
20061205.36000000
0.816366245982
Long
ABS-MBS
CORP
US
N
2
2043-05-25
Floating
17.20191000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
AUDUSD CRNCY
000000000
221.00000000
NC
USD
544433.50000000
0.022155056219
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
CHICAGO MERCANTILE EXCHANGE
AUD USD EURO CURRENCY
2024-03-18
14550971.50000000
USD
544433.50000000
N
N
N
VFH Parent LLC
549300FRO9M476YHHY64
VFH Parent LLC
91820UAS9
5276944.44000000
PA
USD
5294754.13000000
0.215463551413
Long
LON
CORP
US
N
2
2029-01-13
Floating
8.45596000
N
N
N
N
N
N
OPEN TEXT HOLDINGS INC
N/A
Open Text Holdings Inc
683720AC0
400000.00000000
PA
USD
354324.84000000
0.014418816531
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
4.12500000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AS0
10830000.00000000
PA
USD
10494524.07000000
0.427061837245
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.37500000
N
N
N
N
N
N
VIRGIN MEDIA SECURED FIN
213800X3RLP4NOTPY579
Virgin Media Secured Finance PLC
92769XAP0
3300000.00000000
PA
USD
3192311.43000000
0.129907214015
Long
DBT
CORP
GB
N
2
2029-05-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D6L1
3186829.49000000
PA
USD
2741960.17000000
0.111580719625
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
2.00000000
N
N
N
N
N
N
WYNN MACAU LTD
254900NMDQ8ENTHU1I31
Wynn Macau Ltd
98313RAH9
7740000.00000000
PA
USD
7175556.63000000
0.292000511621
Long
DBT
CORP
KY
N
2
2028-08-26
Fixed
5.62500000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBG7
1200000.00000000
PA
USD
1200885.41000000
0.048868564795
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.41200000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAL4
600000.00000000
PA
USD
574555.62000000
0.023380839096
Long
DBT
CORP
US
N
2
N/A
Fixed
6.75000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGU8
2000000.00000000
PA
USD
1764766.30000000
0.071815008795
Long
DBT
CORP
US
N
2
2046-12-07
Fixed
4.75000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
197677AH0
10000.00000000
PA
USD
11315.25000000
0.000460460276
Long
DBT
CORP
US
N
2
2095-11-15
Fixed
7.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
EUR/NOK FORWARD
000000000
1.00000000
NC
USD
1975443.14000000
0.080388245442
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-55616309.76000000
EUR
644050548.64000000
NOK
2024-01-19
1975443.14000000
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZR7
230000.00000000
PA
USD
223870.36000000
0.009110130827
Long
DBT
CORP
US
N
2
2029-05-03
Fixed
5.11300000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
633766000000.00000000
PA
40997008.25000000
1.668323170067
Long
DBT
NUSS
ID
N
2
2031-02-15
Fixed
6.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
3673.00000000
NC
USD
183650.00000000
0.007473412408
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
0.00000000
USD
2500.00000000
94.75000000
USD
2024-04-12
XXXX
-386688.30000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/CNH FORWARD
000000000
1.00000000
NC
USD
-397009.04000000
-0.01615579790
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-142914666.16000000
CNY
19689012.50000000
USD
2024-01-19
-397009.04000000
N
N
N
COMM Mortgage Trust
N/A
COMM 2014-CCRE20 Mortgage Trust
12592LBM3
720000.00000000
PA
USD
664885.01000000
0.027056683279
Long
ABS-MBS
CORP
US
N
2
2047-11-10
Variable
4.23900000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810TP3
1262748.80000000
PA
USD
1146080.61000000
0.046638350407
Long
DBT
UST
US
N
2
2053-02-15
Fixed
1.50000000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAH0
6756000.00000000
PA
USD
6325510.38000000
0.257408917867
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.62500000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AT6
7580000.00000000
PA
USD
7022543.30000000
0.285773821073
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
3200030000.00000000
PA
168572100.34000000
6.859835700918
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/IDR FORWARD
000000000
1.00000000
NC
USD
-432564.98000000
-0.01760270345
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-375966717624.00000000
IDR
23980527.98000000
USD
2024-01-19
-432564.98000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGB32
1332693.03000000
PA
USD
1179258.34000000
0.047988477601
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AP4
21540000.00000000
PA
USD
18296101.85000000
0.744537514838
Long
DBT
CORP
CO
N
2
2031-11-02
Fixed
4.62500000
N
N
N
N
N
N
MILEAGE PLUS HLDINGS LLC
N/A
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd
599191AA1
5369000.00000000
PA
USD
5388161.96000000
0.219264668951
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622AB4Z2
847808.27000000
PA
USD
852672.40000000
0.034698461720
Long
ABS-MBS
USGA
US
N
2
2052-09-20
Fixed
5.00000000
N
N
N
N
N
N
AmWINS Group Inc
549300SJE7MUB8NMRG61
AmWINS Group Inc
03234TAW8
126477.28740000
PA
USD
126833.32000000
0.005161327021
Long
LON
CORP
US
N
2
2028-02-19
Floating
7.71663500
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B93
200000.00000000
PA
USD
175320.91000000
0.007134470265
Long
DBT
CORP
US
N
2
2029-02-10
Fixed
2.90000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AK3
5160000.00000000
PA
USD
2289343.65000000
0.093162043245
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
6.25000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBF1
420000.00000000
PA
USD
335779.50000000
0.013664136574
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.75000000
N
N
N
N
N
N
AthenaHealth Group Inc
254900AA3KZN4Q7A5Z33
AthenaHealth Group Inc
04686RAB9
11091998.94000000
PA
USD
11058722.94000000
0.450021221052
Long
LON
CORP
US
N
2
2029-02-15
Floating
8.60596000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAX4
330000.00000000
PA
USD
307168.69000000
0.012499854611
Long
DBT
CORP
US
N
2
2039-10-01
Fixed
4.62500000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
42307TAG3
432000.00000000
PA
USD
486828.41000000
0.019810887450
Long
DBT
CORP
US
N
2
2032-03-15
Variable
6.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABFG2
10245401.89000000
PA
USD
8867490.62000000
0.360851698531
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
FRESENIUS MED CARE II
5493008GJ5TVVTY4UM62
Fresenius Medical Care US Finance II Inc
35802XAJ2
5070000.00000000
PA
USD
5005676.35000000
0.203699884285
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
4.75000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABR5
1350000.00000000
PA
USD
1280151.68000000
0.052094208824
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
2.25000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-2108.00000000
NC
USD
-1054000.00000000
-0.04289124246
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
0.00000000
USD
2500.00000000
95.50000000
USD
2024-12-13
XXXX
180473.20000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD CALL VERSUS CHF PUT
000000000
47150687.00000000
NC
USD
292420.59000000
0.011899698698
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
Call
Purchased
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD CALL VERSUS CHF PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
CHF
2024-03-15
47150687.00000000
USD
0.85250000
USD
2024-03-15
XXXX
24416.09000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CGK1
92876569.60000000
PA
USD
87926722.11000000
3.578070547726
Long
DBT
UST
US
N
2
2033-01-15
Fixed
1.12500000
N
N
N
N
N
N
Setanta Aircraft Leasing DAC
N/A
Setanta Aircraft Leasing DAC
000000000
5000000.00000000
PA
USD
5021525.00000000
0.204344825736
Long
LON
CORP
IE
N
2
2028-11-05
Floating
7.63072000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513CG8
3020000.00000000
PA
USD
3098515.71000000
0.126090311768
Long
DBT
CORP
US
N
2
2026-08-24
Fixed
5.87500000
N
N
N
N
N
N
Banc of America Funding Corpor
54930023UHZHF7UJ8596
Banc of America Funding Corp
05990QAB9
26712657.88000000
PA
USD
20999429.41000000
0.854546127592
Long
ABS-MBS
CORP
US
N
2
2036-03-27
Variable
3.78759000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-41.00000000
NC
USD
-20500.00000000
-0.00083422245
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
0.00000000
USD
2500.00000000
95.50000000
USD
2024-12-13
XXXX
4013.90000000
N
N
N
BX Trust
N/A
BX Trust 2021-BXMF
05609RAA2
23123780.46000000
PA
USD
22710322.64000000
0.924168837613
Long
ABS-MBS
CORP
US
N
2
2026-10-15
Floating
6.11241000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133KYVY2
9953483.13000000
PA
USD
8519780.53000000
0.346702061170
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
2.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
11044634.32000000
0.449447901871
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-04-30
2813912.53000000
USD
0.00000000
USD
-428445000.00000000
USD
8230721.79000000
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
Vale Overseas Ltd
91911TAH6
1368000.00000000
PA
USD
1494100.87000000
0.060800609757
Long
DBT
CORP
KY
N
2
2036-11-21
Fixed
6.87500000
N
N
N
N
N
N
THE 2023-MIC Trust
N/A
2023-MIC Trust/THE
87256GAA0
4740000.00000000
PA
USD
4994280.86000000
0.203236158740
Long
ABS-MBS
CORP
US
N
2
2038-12-05
Variable
8.43660000
N
N
N
N
N
N
Asplundh Tree Expert LLC
N/A
Asplundh Tree Expert LLC
04538FAD1
2123566.03100000
PA
USD
2128588.26000000
0.086620299023
Long
LON
CORP
US
N
2
2027-09-07
Floating
7.20215500
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TU2
36610000.00000000
PA
USD
37382242.19000000
1.521224680941
Long
DBT
UST
US
N
2
2043-08-15
Fixed
4.37500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IDR/USD FORWARD
000000000
1.00000000
NC
USD
98663.33000000
0.004014983690
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-3227405.96000000
USD
51222160000.00000000
IDR
2024-01-19
98663.33000000
N
N
N
GS Mortgage Securities Corp.
N/A
GSMSC Resecuritization Trust 2014-2R
36249UAC2
13811039.11000000
PA
USD
12439669.22000000
0.506217142996
Long
ABS-MBS
CORP
US
N
2
2037-11-26
Variable
4.99871000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QHG66
1366866.67000000
PA
USD
1123061.63000000
0.045701621135
Long
ABS-MBS
USGSE
US
N
2
2051-02-01
Fixed
2.00000000
N
N
N
N
N
N
TALLGRASS NRG PRTNR/FIN
N/A
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
87470LAJ0
330000.00000000
PA
USD
307239.11000000
0.012502720267
Long
DBT
CORP
US
N
2
2030-12-31
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISU5NYXNHD479
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KJA8
11170000.00000000
PA
USD
11295403.36000000
0.459652641622
Long
ABS-MBS
CORP
US
N
2
2034-01-25
Floating
8.38743000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPUT3
935066.01000000
PA
USD
907058.94000000
0.036911655528
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2014-R2 Trust
05968KAG9
8045612.24000000
PA
USD
6965483.97000000
0.283451861341
Long
ABS-MBS
CORP
US
N
2
2037-05-26
Floating
5.67984000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABCD2
13411138.87000000
PA
USD
11606579.34000000
0.472315568006
Long
ABS-MBS
USGA
US
N
2
2051-08-20
Fixed
2.50000000
N
N
N
N
N
N
ORBIA ADVANCE CORP SAB
549300MVHZ20SBIOEQ79
Orbia Advance Corp SAB de CV
68560EAB4
9900000.00000000
PA
USD
8201131.29000000
0.333735019600
Long
DBT
CORP
MX
N
2
2031-05-11
Fixed
2.87500000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300PX4QZK7CUM8D08
Wells Fargo Commercial Mortgage Trust 2014-LC16
94988XAU0
980000.00000000
PA
USD
966753.44000000
0.039340850284
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Fixed
3.81700000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TZ65
2118996.84000000
PA
USD
2095106.76000000
0.085257810281
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
4.50000000
N
N
N
N
N
N
ELP 2021-ELP
N/A
ELP Commercial Mortgage Trust 2021-ELP
26863LAJ3
15881514.29000000
PA
USD
15449986.55000000
0.628718329430
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
6.99588000
N
N
N
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Republic of Kenya Government International Bond
000000000
4260000.00000000
PA
USD
4149308.16000000
0.168851026905
Long
DBT
NUSS
KE
N
2
2024-06-24
Fixed
6.87500000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABV6
3880000.00000000
PA
USD
3609324.22000000
0.146877040095
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
3.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UD82
139205.83000000
PA
USD
131057.89000000
0.005333240737
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
3.50000000
N
N
N
N
N
N
PROVINCIA DE BUENOS AIRE
549300L6AYROPOTQ4L07
Provincia de Buenos Aires/Government Bonds
000000000
1780000.00000000
PA
USD
686128.84000000
0.027921174990
Long
DBT
NUSS
AR
N
2
2037-09-01
Variable
6.37500000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BP8
4220000.00000000
PA
USD
3738609.83000000
0.152138160062
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
3.75000000
N
N
N
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
Micron Technology Inc
595112BZ5
600000.00000000
PA
USD
624022.85000000
0.025393847593
Long
DBT
CORP
US
N
2
2033-02-09
Fixed
5.87500000
N
N
N
N
N
N
IVORY COAST
254900ICW11T82O6H590
Ivory Coast Government International Bond
000000000
4090000.00000000
PA
USD
3773679.40000000
0.153565273373
Long
DBT
NUSS
CI
N
2
2033-06-15
Fixed
6.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3133BQSA5
654658.07000000
PA
USD
635049.77000000
0.025842574633
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
Grifols Worldwide Operations USA Inc
N/A
Grifols Worldwide Operations USA Inc
39843PAG8
5174143.61960000
PA
USD
5180611.30000000
0.210818648380
Long
LON
CORP
US
N
2
2027-11-15
Floating
7.49328500
N
N
N
N
N
N
INTER-AMERICAN DEVEL BK
VKU1UKDS9E7LYLMACP54
Inter-American Development Bank
000000000
3106000000.00000000
PA
38233893.92000000
1.555881607742
Long
DBT
NUSS
N/A
N
2
2030-10-06
Fixed
7.35000000
N
N
N
N
N
N
Harbor Freight Tools USA Inc
549300Y48HLCFTTB4249
Harbor Freight Tools USA Inc
41151PAP0
6783573.87720000
PA
USD
6784794.92000000
0.276098941175
Long
LON
CORP
US
N
2
2027-10-19
Floating
8.22044000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
917288BL5
214958535.12000000
PA
5816427.95000000
0.236692430258
Long
DBT
NUSS
UY
N
2
2040-07-02
Fixed
3.87500000
N
N
N
N
N
N
GLP CAPITAL LP / FIN II
N/A
GLP Capital LP / GLP Financing II Inc
361841AH2
310000.00000000
PA
USD
308277.08000000
0.012544959188
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
-8994.00000000
NC
USD
14253368.54000000
0.580023421265
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-03-19
-2142289981.04000000
USD
14253368.54000000
N
N
N
KENVUE INC
5493008HSF8L4M2LIJ82
Kenvue Inc
49177JAK8
1720000.00000000
PA
USD
1773702.49000000
0.072178656130
Long
DBT
CORP
US
N
2
2033-03-22
Fixed
4.90000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397A60
200000.00000000
PA
USD
197572.85000000
0.008039985781
Long
DBT
CORP
US
N
2
2025-06-16
Fixed
5.12500000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAH2
460000.00000000
PA
USD
434906.17000000
0.017697975320
Long
DBT
CORP
CA
N
2
2028-01-15
Fixed
3.87500000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HS2
14037114.00000000
PA
USD
5664069.83000000
0.230492402680
Long
DBT
NUSS
AR
N
2
2030-07-09
Variable
0.75000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS APACHE CORP
000000000
1.00000000
NC
USD
121851.46000000
0.004958596314
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
APACHE CORP
APACHE CORP
Y
Default Event
2026-12-20
0.00000000
USD
-481802.31000000
USD
26989000.00000000
USD
603653.77000000
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBE2
720000.00000000
PA
USD
727783.37000000
0.029616255204
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
5.87500000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
7490000.00000000
PA
USD
1821350.79000000
0.074117645493
Long
DBT
NUSS
UA
N
2
2035-03-15
Variable
7.25300000
N
Y
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030617
21300000.00000000
PA
USD
19288095.08000000
0.784905467545
Long
ABS-MBS
USGA
US
N
2
2054-01-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H052611
8900000.00000000
PA
USD
8965381.63000000
0.364835253602
Long
ABS-MBS
USGA
US
N
2
2054-01-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140N6NC2
765445.82000000
PA
USD
742519.21000000
0.030215912212
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XMUR5
8912158.11000000
PA
USD
7400569.11000000
0.301157119627
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
2.00000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AF4
280000.00000000
PA
USD
128278.94000000
0.005220154761
Long
DBT
CORP
CA
N
2
2029-05-30
Fixed
7.25000000
N
N
N
N
N
N
NYO Commercial Mortgage Trust
N/A
NYO Commercial Mortgage Trust 2021-1290
62955HAG2
9150000.00000000
PA
USD
7030810.59000000
0.286110248341
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
7.47148000
N
N
N
N
N
N
Focus Financial Partners LLC
5493007L0E0VKRC2CP39
Focus Financial Partners LLC
34416DAW8
7603212.02000000
PA
USD
7629329.05000000
0.310466225939
Long
LON
CORP
US
N
2
2028-06-30
Floating
8.60596000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/INR FORWARD
000000000
1.00000000
NC
USD
59666.08000000
0.002428038239
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-19458853.14000000
USD
1625339626.00000000
INR
2024-01-19
59666.08000000
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F020612
700000.00000000
PA
USD
572250.00000000
0.023287014707
Long
ABS-MBS
USGSE
US
N
2
2054-01-15
Fixed
2.00000000
N
N
N
N
N
N
BUILDERS FIRSTSOURCE INC
549300W0SKP6L3H7DP63
Builders FirstSource Inc
12008RAP2
1070000.00000000
PA
USD
966729.38000000
0.039339871192
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.25000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2014-C24
92939KAG3
1270000.00000000
PA
USD
1191142.65000000
0.048472095079
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Fixed
3.93100000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
225401BB3
890000.00000000
PA
USD
1094718.92000000
0.044548249174
Long
DBT
CORP
CH
N
2
2033-11-15
Fixed
9.01600000
N
N
N
N
N
N
GOVERNMENT OF JAMAICA
529900Y93KNSXZI8KK56
Jamaica Government International Bond
470160CF7
991000000.00000000
PA
6540346.68000000
0.266151418659
Long
DBT
NUSS
JM
N
2
2030-11-03
Fixed
9.62500000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BQ7
750000.00000000
PA
USD
754959.95000000
0.030722172929
Long
DBT
CORP
US
N
2
2026-06-12
Fixed
5.81200000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
2642.00000000
NC
USD
5027817.04000000
0.204600872618
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
282351611.44000000
USD
5027817.04000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
2108.00000000
NC
USD
2055300.00000000
0.083637922809
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
0.00000000
USD
2500.00000000
96.00000000
USD
2024-12-13
XXXX
-268826.80000000
N
N
N
AMERICAN AIRLINES INC
IWUQB36BXD6OWD6X4T14
American Airlines Inc
023771T40
980000.00000000
PA
USD
1035491.52000000
0.042138062482
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
8.50000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AZ0
5500000.00000000
PA
USD
4858672.50000000
0.197717742184
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
6.50000000
N
N
N
N
N
N
Ali Group North America Corporation
N/A
Ali Group North America Corp
01608UAE7
3080028.13000000
PA
USD
3088883.21000000
0.125698328947
Long
LON
CORP
US
N
2
2029-07-30
Floating
7.46663500
N
N
N
N
N
N
Asurion LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VBC3
622356.79000000
PA
USD
621024.95000000
0.025271851715
Long
LON
CORP
US
N
2
2028-08-21
Floating
9.70596000
N
N
N
N
N
N
ORBIA ADVANCE CORP SAB
549300MVHZ20SBIOEQ79
Orbia Advance Corp SAB de CV
68560EAA6
10430000.00000000
PA
USD
9582314.89000000
0.389940598991
Long
DBT
CORP
MX
N
2
2026-05-11
Fixed
1.87500000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NBJ7
7380000.00000000
PA
USD
6228472.03000000
0.253460060753
Long
DBT
CORP
NL
N
2
2051-06-10
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QS3Y5
1859899.38000000
PA
USD
1869286.07000000
0.076068313157
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
5.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BBN8
39120000.00000000
PA
USD
19784717.02000000
0.805114890735
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Fixed
4.62540000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBN1
830000.00000000
PA
USD
857937.80000000
0.034912730740
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.87500000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAW4
830000.00000000
PA
USD
456465.44000000
0.018575303476
Long
DBT
CORP
US
N
2
2027-01-31
Fixed
8.50000000
N
N
N
N
N
N
Charter Communications Operating LLC
549300TPZNMN50BJ3745
CHARTER COMMUNICATIONS OPER
16117LCB3
1736390.93000000
PA
USD
1733369.61000000
0.070537358848
Long
LON
CORP
US
N
2
2030-12-07
Floating
7.35961000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAD7
4000000.00000000
PA
USD
3449200.00000000
0.140360980564
Long
DBT
CORP
MA
N
2
2031-06-23
Fixed
3.75000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2004-HE7
61744CGD2
5385680.93000000
PA
USD
5274199.49000000
0.214627105448
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
6.37043000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TT5
8093000.00000000
PA
USD
8182781.72000000
0.332988306264
Long
DBT
UST
US
N
2
2053-08-15
Fixed
4.12500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TR9
2500000.00000000
PA
USD
2311914.05000000
0.094080518102
Long
DBT
UST
US
N
2
2053-05-15
Fixed
3.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABJF0
5577409.44000000
PA
USD
4826650.86000000
0.196414660661
Long
ABS-MBS
USGA
US
N
2
2051-11-20
Fixed
2.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TW8
44720000.00000000
PA
USD
47983162.50000000
1.952616183203
Long
DBT
UST
US
N
2
2043-11-15
Fixed
4.75000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
BP CURRENCY
000000000
991.00000000
NC
USD
1347760.00000000
0.054845446818
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
BRITISH POUND CURRENCY
BRITISH POUND CURRENCY
2024-03-18
77628746.25000000
USD
1347760.00000000
N
N
N
SERVICE CORP INTL
549300RKVM2ME20JHZ15
Service Corp International/US
817565BT0
1370000.00000000
PA
USD
1433211.80000000
0.058322803434
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
7.50000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAC9
1180000.00000000
PA
USD
1152530.78000000
0.046900832196
Long
DBT
CORP
MA
N
2
2025-10-22
Fixed
4.50000000
N
N
N
N
N
N
CORECIVIC INC
529900JFA3K6PTLT8B15
CoreCivic Inc
21871NAA9
210000.00000000
PA
USD
194164.41000000
0.007901283479
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
4.75000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAQ2
530000.00000000
PA
USD
250651.10000000
0.010199940326
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
4.37330000
N
N
N
N
N
N
MDC HOLDINGS INC
5299005FV4VNV75R8R35
MDC Holdings Inc
552676AQ1
1650000.00000000
PA
USD
1537430.35000000
0.062563850016
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
6.00000000
N
N
N
N
N
N
PCI Gaming Authority
549300KPXAJ1LRW5LP59
PCI Gaming Authority
70455DAG9
4794030.51080000
PA
USD
4817113.77000000
0.196026560434
Long
LON
CORP
US
N
2
2026-05-29
Floating
7.97044000
N
N
N
N
N
N
Avolon TLB Borrower 1 (US) LLC
635400O84AGITYFZQB55
AVOLON TLB BORROWER 1 US
05400KAJ9
1000000.00000000
PA
USD
1003415.00000000
0.040832747684
Long
LON
CORP
US
N
2
2028-06-22
Floating
7.85792000
N
N
N
N
N
N
Prime Mortgage Trust
N/A
Prime Mortgage Trust 2006-DR1
74159UAC1
728539.11000000
PA
USD
629173.81000000
0.025603459618
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Fixed
5.50000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD CALL VERSUS EUR PUT
000000000
67970000.00000000
NC
USD
65018.12000000
0.002645832969
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
Call
Purchased
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD CALL VERSUS EUR PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
EUR
2024-02-22
67970000.00000000
USD
1.06150000
USD
2024-02-22
XXXX
-122557.33000000
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-OAT
000000000
606.00000000
NC
2574822.95000000
0.104779274626
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
FRANCE (GOVT OF)
FRANCE (GOVT OF)
2024-03-07
83671614.34000000
USD
2574822.95000000
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
48667QAS4
2850000.00000000
PA
USD
2689830.00000000
0.109459346037
Long
DBT
CORP
KZ
N
2
2048-10-24
Fixed
6.37500000
N
N
N
N
N
N
COMMSCOPE TECH LLC
M4TWC4QDOKW45N7T6Y12
CommScope Technologies LLC
20338HAB9
2000000.00000000
PA
USD
834370.00000000
0.033953667909
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
41.00000000
NC
USD
39975.00000000
0.001626733792
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
0.00000000
USD
2500.00000000
96.00000000
USD
2024-12-13
XXXX
-6236.10000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVMH5
3006576.13000000
PA
USD
2881230.95000000
0.117248173888
Long
ABS-MBS
USGSE
US
N
2
2053-02-01
Fixed
4.00000000
N
N
N
N
N
N
Alterra Mountain Company
549300C5O4FSVNUEI843
Alterra Mountain Co
46124CAJ6
4583570.69990000
PA
USD
4595992.18000000
0.187028287444
Long
LON
CORP
US
N
2
2028-08-17
Floating
8.96663500
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BR5
2350000.00000000
PA
USD
2401760.56000000
0.097736712073
Long
DBT
CORP
US
N
2
2029-06-12
Fixed
5.58200000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
29324012.86000000
1.193304882038
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-02-15
13716883.48000000
USD
0.00000000
USD
-566025000.00000000
USD
15607129.38000000
N
N
N
REPUBLIC OF KENYA
549300VVURQQYU45PR87
Republic of Kenya Government International Bond
491798AL8
11470000.00000000
PA
USD
9232022.35000000
0.375685871982
Long
DBT
NUSS
KE
N
2
2034-01-23
Fixed
6.30000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50076QAR7
1130000.00000000
PA
USD
1304366.67000000
0.053079608262
Long
DBT
CORP
US
N
2
2039-01-26
Fixed
6.87500000
N
N
N
N
N
N
OPEN TEXT HOLDINGS INC
N/A
Open Text Holdings Inc
683720AA4
320000.00000000
PA
USD
289964.70000000
0.011799759254
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKY7
6601346.83000000
PA
USD
6524181.64000000
0.265493602103
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H060614
8500000.00000000
PA
USD
8643769.51000000
0.351747641250
Long
ABS-MBS
USGA
US
N
2
2054-01-15
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F022618
92800000.00000000
PA
USD
78959750.46000000
3.213170590202
Long
ABS-MBS
USGSE
US
N
2
2054-01-15
Fixed
2.50000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAH4
2000000.00000000
PA
USD
1927519.12000000
0.078438035991
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
5.55000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/JPY FORWARD
000000000
1.00000000
NC
USD
-57035.88000000
-0.00232100546
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-153910001.00000000
JPY
1038127.64000000
USD
2024-01-19
-57035.88000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RS91
379136.55000000
PA
USD
357657.16000000
0.014554421223
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Fixed
3.50000000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAF6
2520000.00000000
PA
USD
2412323.75000000
0.098166568186
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
3.90000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
MXN CALL VERSUS USD PUT
000000000
-53093797.00000000
NC
USD
-749755.62000000
-0.03051038907
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Put
Written
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
MXN CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
MXN
N/A
USD
2024-02-14
-53093797.00000000
USD
17.02250000
USD
2024-02-14
XXXX
-323837.18000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-164.00000000
NC
USD
-217812.50000000
-0.00886361361
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
0.00000000
USD
100000.00000000
126.00000000
USD
2024-01-26
XXXX
-48971.22000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2018-R07
20753QAF6
2414000.00000000
PA
USD
2587251.33000000
0.105285032368
Long
ABS-MBS
CORP
US
N
2
2031-04-25
Floating
9.80191000
N
N
N
N
N
N
FORD MOTOR CREDI
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B69
13420000.00000000
PA
USD
11579559.46000000
0.471216026996
Long
DBT
CORP
US
N
2
2031-06-17
Fixed
3.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVLA1
2343182.47000000
PA
USD
2031270.93000000
0.082660089159
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
2.50000000
N
N
N
N
N
N
VERTIV GROUP CORPORATION
549300ZT8RQ5VK10E643
Vertiv Group Corp
92535UAB0
2070000.00000000
PA
USD
1943407.91000000
0.079084610890
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
4.12500000
N
N
N
N
N
N
Impac Secured Assets Corp.
N/A
Impac Secured Assets Trust 2006-3
45255RAZ0
18057782.22000000
PA
USD
14934587.66000000
0.607744801197
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
6.01043000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
293791AP4
920000.00000000
PA
USD
1054295.46000000
0.042903265850
Long
DBT
CORP
US
N
2
2034-10-15
Fixed
6.65000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BBQ1
38360000.00000000
PA
USD
16894741.36000000
0.687510861556
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Variable
4.68819000
N
N
N
N
N
N
Phoenix Guarantor Inc
254900JIOIDL3GSUFE55
Phoenix Guarantor Inc
71913BAH5
1249756.45000000
PA
USD
1251512.36000000
0.050928766681
Long
LON
CORP
US
N
2
2026-03-05
Floating
8.97044000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2V5
4910000.00000000
PA
USD
4948208.34000000
0.201361293819
Long
DBT
CORP
FR
N
2
2029-01-13
Fixed
5.12500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
EURO FX CURR
000000000
143.00000000
NC
USD
439367.50000000
0.017879523694
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
EURO FX CURRENCY
EURO FX CURRENCY
2024-03-18
19357195.00000000
USD
439367.50000000
N
N
N
REPUBLIC OF PARAGUAY
529900UXKJTJPCU0HK83
Paraguay Government International Bond
699149AL4
3470000.00000000
PA
USD
3085698.12000000
0.125568715600
Long
DBT
NUSS
PY
N
2
2033-06-28
Fixed
3.84900000
N
N
N
N
N
N
AmWINS Group Inc
549300SJE7MUB8NMRG61
AmWINS Group Inc
03234TAZ1
1230700.00000000
PA
USD
1235702.80000000
0.050285415950
Long
LON
CORP
US
N
2
2028-02-19
Floating
8.21663500
N
N
N
N
N
N
REPUBLIC OF GHANA
213800PP4399SNNXZ126
Ghana Government International Bond
000000000
2830000.00000000
PA
USD
1791746.58000000
0.072912938331
Long
DBT
NUSS
GH
N
2
2030-10-14
Fixed
10.75000000
N
N
N
N
N
N
RBSSP Resecuritization Trust
549300WI4CNLL8T7Q274
RBSSP Resecuritization Trust 2013-4
74932FAB0
15732449.27000000
PA
USD
12340699.97000000
0.502189710265
Long
ABS-MBS
CORP
US
N
2
2037-12-26
Floating
6.95527000
N
N
N
N
N
N
TBW Mortgage Backed Pass Throu
N/A
TBW Mortgage-Backed Trust Series 2006-3
87804AAS1
18852419.15000000
PA
USD
1036579.53000000
0.042182337720
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
1.62957000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325BR5
500000.00000000
PA
USD
421944.44000000
0.017170513551
Long
DBT
NUSS
CO
N
2
2044-02-26
Fixed
5.62500000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAD5
4970000.00000000
PA
USD
4490693.20000000
0.182743274083
Long
DBT
NUSS
NG
N
2
2030-02-23
Fixed
7.14300000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BH9
18090000.00000000
PA
USD
13699569.66000000
0.557487252346
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
4.50000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBC8
7950000.00000000
PA
USD
7747077.05000000
0.315257836962
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.45000000
N
N
N
N
N
N
Accredited Mortgage Loan Trust
N/A
Accredited Mortgage Loan Trust 2006-2
00437NAE2
16246000.00000000
PA
USD
15175547.81000000
0.617550380152
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
5.74043000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89788MAN2
1410000.00000000
PA
USD
1435540.08000000
0.058417549944
Long
DBT
CORP
US
N
2
2027-06-08
Fixed
6.04700000
N
N
N
N
N
N
REPUBLIC OF ANGOLA
549300QHR2R3J8JSGK83
Angolan Government International Bond
000000000
4770000.00000000
PA
USD
3905437.50000000
0.158927008301
Long
DBT
NUSS
AO
N
2
2049-11-26
Fixed
9.12500000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397C27
2750000.00000000
PA
USD
2684974.08000000
0.109261740305
Long
DBT
CORP
US
N
2
2027-05-28
Fixed
4.95000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDR8
330000.00000000
PA
USD
306180.40000000
0.012459637357
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.37500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DWDT7
2634709.54000000
PA
USD
2418390.03000000
0.098413428041
Long
ABS-MBS
USGSE
US
N
2
2052-05-01
Fixed
3.50000000
N
N
N
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust 2005-6
437084NG7
2980000.00000000
PA
USD
2764576.99000000
0.112501083487
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
6.41543000
N
N
N
N
N
N
Asurion LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAX8
5946904.00000000
PA
USD
5943603.47000000
0.241867682691
Long
LON
CORP
US
N
2
2026-12-23
Floating
8.72044000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
4506674.24000000
0.183393602984
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2048-05-15
6635699.56000000
USD
0.00000000
USD
-78391000.00000000
USD
-2129025.32000000
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2019-C7
17328CAD4
15000000.00000000
PA
USD
13453795.50000000
0.547485773135
Long
ABS-MBS
CORP
US
N
2
2072-12-15
Fixed
3.10200000
N
N
N
N
N
N
UFC Holdings LLC
549300JEOTH7UMZ3C491
UFC Holdings LLC
90266UAJ2
7182141.77620000
PA
USD
7217549.74000000
0.293709369935
Long
LON
CORP
US
N
2
2026-04-29
Floating
8.39910000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F042616
1300000.00000000
PA
USD
1260289.07000000
0.051285924173
Long
ABS-MBS
USGSE
US
N
2
2054-01-15
Fixed
4.50000000
N
N
N
N
N
N
DCert Buyer Inc
549300EF826JEEUCHZ67
Dcert Buyer Inc
24022KAB5
9568915.78440000
PA
USD
9504229.91000000
0.386763026116
Long
LON
CORP
US
N
2
2026-10-16
Floating
9.35596000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140NUAM1
12439000.00000000
PA
USD
13123892.71000000
0.534060782095
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.17000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-951.00000000
NC
USD
-1444158.86000000
-0.05876828066
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2024-03-19
-105914830.27000000
USD
-1444158.86000000
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370DA5
150000.00000000
PA
USD
124818.23000000
0.005079325395
Long
DBT
CORP
US
N
2
2032-02-12
Fixed
3.25000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
74977RDP6
750000.00000000
PA
USD
673721.20000000
0.027416261237
Long
DBT
CORP
NL
N
2
2033-04-06
Fixed
3.75800000
N
N
N
N
N
N
Trans Union LLC
X8NPN6PWJOM1QCTYFV34
Trans Union LLC
89334GAX2
2956051.40000000
PA
USD
2963293.73000000
0.120587618475
Long
LON
CORP
US
N
2
2026-11-16
Floating
7.20596000
N
N
N
N
N
N
Sotera Health Holdings LLC
549300OVT7MBXFLOFU20
Sotera Health Holdings LLC
83600VAE1
11050000.00000000
PA
USD
11059171.50000000
0.450039474653
Long
LON
CORP
US
N
2
2026-12-11
Floating
8.39482000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-1144.00000000
NC
USD
-223438.07000000
-0.00909253931
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
0.00000000
USD
100000.00000000
110.25000000
USD
2024-01-26
XXXX
65278.42000000
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
100987000000.00000000
PA
6994515.59000000
0.284633267653
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA BOND
000000000
-1551.00000000
NC
USD
-8286727.66000000
-0.33721825931
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
-174755514.47000000
USD
-8286727.66000000
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAN1
7030000.00000000
PA
USD
5998395.30000000
0.244097369280
Long
DBT
CORP
US
N
2
2032-01-31
Fixed
3.25000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91911KAN2
350000.00000000
PA
USD
320493.25000000
0.013042081304
Long
DBT
CORP
CA
N
2
2025-11-01
Fixed
5.50000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2J9
1170000.00000000
PA
USD
1163251.46000000
0.047337097173
Long
DBT
CORP
CH
N
2
2024-08-09
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISUYHCRLRBE46
Freddie Mac STACR REMIC Trust 2021-DNA3
35564KFG9
6420000.00000000
PA
USD
6704610.80000000
0.272835946362
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
8.83743000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAB6
2840000.00000000
PA
USD
2834965.84000000
0.115365471752
Long
DBT
CORP
KY
N
2
2024-02-15
Fixed
5.50000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.41.V1
000000000
1.00000000
NC
USD
18468440.85000000
0.751550639919
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.41.V1
Y
Default Event
2028-12-20
11490172.66000000
USD
0.00000000
USD
936034900.00000000
USD
6978268.19000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
JPN YEN CURR
000000000
1940.00000000
NC
USD
5727808.17000000
0.233086156566
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
JAPANESE YEN CURRENCY
JAPANESE YEN CURRENCY
2024-03-18
168290191.83000000
USD
5727808.17000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
IDR/USD FORWARD
000000000
1.00000000
NC
USD
422382.98000000
0.017188359401
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-15157264.83000000
USD
239929822000.00000000
IDR
2024-01-19
422382.98000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
IRS BRL
000000000
1.00000000
NC
670364.64000000
0.027279670128
N/A
DIR
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
Y
2029-01-02
0.00000000
USD
0.00000000
USD
785610000.00000000
BRL
670364.64000000
N
N
N
BCAP LLC Trust
N/A
BCAP LLC 2014-RR5 Trust
05544GAB2
18580707.75000000
PA
USD
17222898.38000000
0.700864810618
Long
ABS-MBS
CORP
US
N
2
2036-01-26
Floating
4.79366100
N
N
N
N
N
N
Charter Communications Operating LLC
549300TPZNMN50BJ3745
Charter Communications Operating LLC
16117LBX6
1550611.19400000
PA
USD
1552557.21000000
0.063179419105
Long
LON
CORP
US
N
2
2027-02-01
Floating
7.11578000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
2888.00000000
NC
USD
4201029.20000000
0.170955751447
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
690868370.80000000
USD
4201029.20000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BA1
2000000.00000000
PA
USD
1967115.56000000
0.080049364747
Long
DBT
CORP
US
N
2
2045-10-23
Fixed
6.48400000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
000000000
8440000.00000000
PA
USD
5806340.20000000
0.236281921594
Long
DBT
NUSS
EG
N
2
2032-01-15
Fixed
7.05290000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAG2
4390000.00000000
PA
USD
4281085.42000000
0.174213541526
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
4.37500000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
LONG GILT
000000000
1009.00000000
NC
7406414.47000000
0.301394989411
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long
UNITED KINGDOM GILT
United Kingdom Gilt
2024-03-26
122580516.75000000
USD
7406414.47000000
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAU7
1250000.00000000
PA
USD
1106096.33000000
0.045011238976
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
SUZANO AUSTRIA GMBH
254900287ZNSGVP1R341
Suzano Austria GmbH
86964WAK8
4860000.00000000
PA
USD
4037062.52000000
0.164283327701
Long
DBT
CORP
AT
N
2
2032-01-15
Fixed
3.12500000
N
N
N
N
N
N
PROVINCIA DE BUENOS AIRE
549300L6AYROPOTQ4L07
Provincia de Buenos Aires/Government Bonds
000000000
8834785.99772400
PA
USD
3405506.44000000
0.138582924515
Long
DBT
NUSS
AR
N
2
2037-09-01
Variable
6.37500000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BUXL 30Y BND
000000000
-271.00000000
NC
-3266439.23000000
-0.13292375428
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2024-03-07
-38408872.94000000
USD
-3266439.23000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-4501083.09000000
-0.18316607796
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-07-20
445952.91000000
USD
0.00000000
USD
1560270000.00000000
MXN
-4947036.00000000
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HX1
730360.99670900
PA
USD
293605.12000000
0.011947901699
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BW9
230000.00000000
PA
USD
228808.01000000
0.009311062462
Long
DBT
CORP
US
N
2
2024-06-24
Fixed
4.55000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R03
20753MAE8
10512384.23000000
PA
USD
11069567.93000000
0.450462544672
Long
ABS-MBS
CORP
US
N
2
2031-09-25
Floating
9.55191000
N
N
N
N
N
N
PMT CREDIT RISK TRANSFER TRUST
N/A
PMT Credit Risk Transfer Trust 2019-2R
69345WAA6
9632167.57000000
PA
USD
9647418.18000000
0.392589897850
Long
ABS-MBS
CORP
US
N
2
2025-05-30
Floating
9.22142000
N
N
N
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AD4
650000.00000000
PA
USD
704740.40000000
0.028678549689
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
6.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XUN9
2166414.76000000
PA
USD
13282.07000000
0.000540497613
Long
ABS-MBS
USGA
US
N
2
2055-05-16
Variable
0.18965000
N
N
N
N
N
N
CAMERON LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AB6
4820000.00000000
PA
USD
4109236.78000000
0.167220371046
Long
DBT
CORP
US
N
2
2035-01-15
Fixed
3.30200000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA TREASURY BOND
000000000
4894.00000000
NC
USD
52868820.23000000
2.151432056358
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
600938992.27000000
USD
52868820.23000000
N
N
N
Barclays Commercial Mortgage S
N/A
Barclays Commercial Mortgage Trust 2019-C5
05492JAW2
25110000.00000000
PA
USD
22611788.52000000
0.920159111966
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
3.06300000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBG7
792000.00000000
PA
USD
841097.91000000
0.034227451988
Long
DBT
CORP
US
N
2
2059-02-14
Fixed
6.20000000
N
N
N
N
N
N
VALE CANADA LTD
PRAQ4VOSFIK7OQ8Z2512
Vale Canada Ltd
453258AP0
1254000.00000000
PA
USD
1357455.00000000
0.055239973000
Long
DBT
CORP
CA
N
2
2032-09-15
Fixed
7.20000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAB2
2160000.00000000
PA
USD
1887445.63000000
0.076807294268
Long
DBT
CORP
US
N
2
2046-06-01
Fixed
4.37500000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BH5
1670000.00000000
PA
USD
1699792.98000000
0.069170998907
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
5.55000000
N
N
N
N
N
N
Avolon TLB Borrower 1 (US) LLC
635400O84AGITYFZQB55
Avolon TLB Borrower 1 US LLC
05400KAH3
1389682.65000000
PA
USD
1392719.11000000
0.056675002879
Long
LON
CORP
US
N
2
2027-12-01
Floating
7.70792000
N
N
N
N
N
N
CHENIERE ENERGY INC
MIHC87W9WTYSYZWV1J40
Cheniere Energy Inc
16411RAK5
3160000.00000000
PA
USD
3086764.16000000
0.125612096796
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.62500000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAE5
4630000.00000000
PA
USD
3526573.77000000
0.143509611617
Long
DBT
CORP
MA
N
2
2051-06-23
Fixed
5.12500000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBE4
2260000.00000000
PA
USD
1940492.50000000
0.078965971842
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
5.25000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DCH6
2030000.00000000
PA
USD
1986754.10000000
0.080848531142
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
4.62500000
N
N
N
N
N
N
Avenue of Americas
N/A
AOA 2021-1177 Mortgage Trust
00192NAA5
8235000.00000000
PA
USD
7454913.27000000
0.303368588833
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
6.35088000
N
N
N
N
N
N
VOC ESCROW LTD
N/A
VOC Escrow Ltd
91832VAA2
3540000.00000000
PA
USD
3392892.11000000
0.138069599765
Long
DBT
CORP
BM
N
2
2028-02-15
Fixed
5.00000000
N
N
N
N
N
N
Allied Universal Holdco LLC
98450038B4549046D794
Allied Universal Holdco LLC
01957TAH0
9650355.13320000
PA
USD
9625360.71000000
0.391692296053
Long
LON
CORP
US
N
2
2028-05-12
Floating
9.20596000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DM2N4
561320.91000000
PA
USD
499624.83000000
0.020331622130
Long
ABS-MBS
USGSE
US
N
2
2051-11-01
Fixed
3.00000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XAW5
5100000.00000000
PA
USD
4786593.02000000
0.194784555796
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.87500000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2019-IMC
05608BAQ3
3210000.00000000
PA
USD
3147290.72000000
0.128075151218
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
8.30830000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BV0
190000.00000000
PA
USD
183237.31000000
0.007456618493
Long
DBT
CORP
US
N
2
2047-06-15
Fixed
5.50000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS APACHE CORP
000000000
1.00000000
NC
USD
-44893.34000000
-0.00182687963
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
APACHE CORP
APACHE CORP
Y
Default Event
2028-12-20
0.00000000
USD
-55004.14000000
USD
2716000.00000000
USD
10110.80000000
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBU5
560000.00000000
PA
USD
512016.40000000
0.020835881934
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
4.00000000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C25
46643PBL3
3940000.00000000
PA
USD
3127753.24000000
0.127280097336
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
4.43239700
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-4255363.26000000
-0.17316680964
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-07-18
349205.08000000
USD
0.00000000
USD
1482510000.00000000
MXN
-4604568.34000000
N
N
N
ICON Luxembourg Sarl
635400PUWMHSPI2DDA35
ICON Luxembourg Sarl
000000000
5191998.70770000
PA
USD
5217153.94000000
0.212305706475
Long
LON
CORP
LU
N
2
2028-07-03
Floating
7.88072000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
-1858.00000000
NC
USD
-1876605.89000000
-0.07636618429
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-06-18
-439468069.11000000
USD
-1876605.89000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAH3
2880000.00000000
PA
USD
2769305.67000000
0.112693511343
Long
DBT
CORP
US
N
2
N/A
Floating
9.66933000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B28
5580000.00000000
PA
USD
5342197.14000000
0.217394186750
Long
DBT
CORP
US
N
2
2025-11-13
Fixed
3.37500000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.HY.41.V1
000000000
1.00000000
NC
USD
-7546519.79000000
-0.30709640426
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.41.V1
Y
Default Event
2028-12-20
0.00000000
USD
-854629.20000000
USD
-125776332.00000000
USD
-6691890.59000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H032613
5500000.00000000
PA
USD
5122734.38000000
0.208463417821
Long
ABS-MBS
USGA
US
N
2
2054-01-15
Fixed
3.50000000
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust 2005-SEA1
36242DL68
2347747.75000000
PA
USD
2395442.01000000
0.097479586399
Long
ABS-O
CORP
US
N
2
2035-01-25
Floating
6.82043000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CA5
7660000.00000000
PA
USD
6946048.63000000
0.282660963921
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
3.50000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BUND
000000000
-637.00000000
NC
-2722235.16000000
-0.11077803443
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2024-03-07
-92040242.94000000
USD
-2722235.16000000
N
N
N
Peraton Corp
549300EQPCK07ZW63836
Peraton Corp
71360HAB3
10056771.09000000
PA
USD
10094483.98000000
0.410782694459
Long
LON
CORP
US
N
2
2028-02-01
Floating
9.20596000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAP4
1960000.00000000
PA
USD
1809221.71000000
0.073624067399
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
3.50000000
N
N
N
N
N
N
Station Casinos LLC
5493004E7Q60TX54WL62
Station Casinos LLC
85769EAZ4
3884477.99350000
PA
USD
3897549.26000000
0.158606006011
Long
LON
CORP
US
N
2
2027-02-08
Floating
7.70596000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-XL2
05609KAQ2
7819301.61000000
PA
USD
7464629.82000000
0.303763991966
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
9.36648000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD CALL VERSUS CAD PUT
000000000
62040000.00000000
NC
USD
92068.96000000
0.003746633858
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
Call
Purchased
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD CALL VERSUS CAD PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
CAD
2024-03-21
62040000.00000000
USD
1.37200000
USD
2024-03-21
XXXX
-54345.44000000
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJN1
240000.00000000
PA
USD
247672.32000000
0.010078722513
Long
DBT
CORP
US
N
2
2034-06-12
Fixed
5.83600000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
7688.00000000
NC
USD
15283709.05000000
0.621951869687
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2026-03-17
1847806990.96000000
USD
15283709.05000000
N
N
N
CTR PARTNERSHIP/CARETRST
N/A
CTR Partnership LP / CareTrust Capital Corp
126458AE8
1310000.00000000
PA
USD
1197096.43000000
0.048714376883
Long
DBT
CORP
US
N
2
2028-06-30
Fixed
3.87500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
100000.00000000
PA
USD
99106.09000000
0.004033001267
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325EA9
8600000.00000000
PA
USD
6174321.75000000
0.251256481257
Long
DBT
NUSS
CO
N
2
2042-02-22
Fixed
4.12500000
N
N
N
N
N
N
H&E EQUIPMENT SERVICES
254900KVLRCDMQRYY541
H&E Equipment Services Inc
404030AJ7
1080000.00000000
PA
USD
982822.14000000
0.039994746402
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.87500000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-21M
05609CAA5
8578164.43000000
PA
USD
8420033.69000000
0.342642985364
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
6.20648000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
MXN/USD FORWARD
000000000
1.00000000
NC
USD
489900.05000000
0.019935884088
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-10972610.85000000
USD
195349459.99000000
MXN
2024-01-19
489900.05000000
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397YT4
250000.00000000
PA
USD
233569.47000000
0.009504824260
Long
DBT
CORP
US
N
2
2027-11-02
Fixed
3.81500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
3 MONTH SOFR
000000000
415.00000000
NC
USD
940128.50000000
0.038257380875
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-06-17
99261621.50000000
USD
940128.50000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAN0
3170000.00000000
PA
USD
3020312.60000000
0.122907931737
Long
DBT
CORP
US
N
2
N/A
Fixed
6.50000000
N
N
N
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281AAS8
1680000.00000000
PA
USD
1660318.80000000
0.067564645372
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.87500000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
IDR/USD FORWARD
000000000
1.00000000
NC
USD
22981.85000000
0.000935218311
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-736130.32000000
USD
11690485616.00000000
IDR
2024-01-19
22981.85000000
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AJ6
2160000.00000000
PA
USD
997995.60000000
0.040612211821
Long
DBT
CORP
CA
N
2
2030-01-30
Fixed
5.25000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
3734.00000000
NC
USD
33682328.38000000
1.370661208142
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-19
432834296.62000000
USD
33682328.38000000
N
N
N
COLUMBIA PIPELINES OPCO
N/A
Columbia Pipelines Operating Co LLC
19828TAC0
100000.00000000
PA
USD
110276.17000000
0.004487554028
Long
DBT
CORP
US
N
2
2053-11-15
Fixed
6.54400000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBU8
2500000.00000000
PA
USD
1762845.35000000
0.071736838081
Long
DBT
CORP
US
N
2
2050-09-25
Fixed
3.98400000
N
N
N
N
N
N
Virgin Media Bristol LLC
N/A
Virgin Media Bristol LLC
000000000
7846684.90000000
PA
USD
7832521.63000000
0.318734899768
Long
LON
CORP
US
N
2
2028-01-31
Floating
7.97629000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F030611
11700000.00000000
PA
USD
10351300.87000000
0.421233544078
Long
ABS-MBS
USGSE
US
N
2
2054-01-15
Fixed
3.00000000
N
N
N
N
N
N
KNDR Trust 2021-KIND
N/A
KIND Trust 2021-KIND
482606AN0
18665100.92000000
PA
USD
17284549.80000000
0.703373639844
Long
ABS-MBS
CORP
US
N
2
2038-08-15
Floating
7.77648000
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
-10781.25000000
-0.00043872979
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
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2024-03-19
0.00000000
USD
100000.00000000
114.50000000
USD
2024-01-26
XXXX
4166.85000000
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BL7
100000.00000000
PA
USD
98576.60000000
0.004011454318
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.25000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
USD/CAD FORWARD
000000000
1.00000000
NC
USD
2264207.50000000
0.092139158327
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-79787552.12000000
USD
108689795.00000000
CAD
2024-01-19
2264207.50000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCQ4
5350000.00000000
PA
USD
4724585.00000000
0.192261215169
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
4.75000000
N
N
N
N
N
N
Scientific Games International, Inc.
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80875AAT8
8572471.64000000
PA
USD
8609976.20000000
0.350372463780
Long
LON
CORP
US
N
2
2029-04-16
Floating
8.46483000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R01
20754RAF3
8870000.00000000
PA
USD
8957576.17000000
0.364517619942
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
8.43743000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MXN/USD FORWARD
000000000
1.00000000
NC
USD
739368.97000000
0.030087717044
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-31726540.98000000
USD
553299188.10000000
MXN
2024-01-19
739368.97000000
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BF3
1150000.00000000
PA
USD
840280.16000000
0.034194174651
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.37500000
N
N
N
N
N
N
WYNN RESORTS FINANCE LLC
N/A
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp
983133AC3
3080000.00000000
PA
USD
3211152.56000000
0.130673930785
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
7.12500000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJM3
1310000.00000000
PA
USD
1346760.87000000
0.054804788443
Long
DBT
CORP
US
N
2
2029-06-12
Fixed
5.77500000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
1579171500.00000000
PA
81874011.46000000
3.331762881626
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPQC5
663753.71000000
PA
USD
643872.98000000
0.026201624385
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
GFL Environmental Inc
549300FYK4MBXWIVZU26
GFL ENVIRONMENTAL INC
000000000
3302339.82000000
PA
USD
3318438.73000000
0.135039810416
Long
LON
CORP
CA
N
2
2027-05-31
Floating
7.91193000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140LUFQ9
962748.91000000
PA
USD
827311.32000000
0.033666423549
Long
ABS-MBS
USGSE
US
N
2
2051-08-01
Fixed
2.50000000
N
N
N
N
N
N
ALTICE FINANCING SA
549300DIYGW8HVDF7Q17
Altice Financing SA
02154CAH6
1720000.00000000
PA
USD
1528638.65000000
0.062206082524
Long
DBT
CORP
LU
N
2
2029-08-15
Fixed
5.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RBX6
226514.81000000
PA
USD
214226.40000000
0.008717681655
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Fixed
3.50000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BB2
650000.00000000
PA
USD
495248.00000000
0.020153512380
Long
DBT
CORP
US
N
2
2030-12-01
Fixed
4.12500000
N
N
N
N
N
N
SFO Commerical Mortgage Trust
N/A
SFO Commercial Mortgage Trust 2021-555
78432WAG8
7960000.00000000
PA
USD
6579849.83000000
0.267758951092
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Floating
7.87648000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QS3T6
1074628.14000000
PA
USD
1079805.43000000
0.043941362917
Long
ABS-MBS
USGSE
US
N
2
2053-09-01
Fixed
5.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
71782656.77000000
2.921107529801
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2047-02-15
0.00000000
USD
-5342489.88000000
USD
-213837000.00000000
USD
77125146.65000000
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397B51
2130000.00000000
PA
USD
1914071.93000000
0.077890819020
Long
DBT
CORP
US
N
2
2028-02-16
Fixed
2.90000000
N
N
N
N
N
N
United AirLines Inc
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932RAJ3
4600300.32000000
PA
USD
4623301.82000000
0.188139619883
Long
LON
CORP
US
N
2
2028-04-21
Floating
9.21984000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
1718650000.00000000
PA
92525330.87000000
3.765205313697
Long
DBT
NUSS
MX
N
2
2034-11-23
Fixed
7.75000000
N
N
N
N
N
N
Genesee & Wyoming Inc
G617XSG94Z7G0RMW3L02
Genesee & Wyoming Inc
55316HAB1
9239581.03260000
PA
USD
9272011.96000000
0.377313200311
Long
LON
CORP
US
N
2
2026-12-30
Floating
7.44814000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XAY1
1220000.00000000
PA
USD
850998.80000000
0.034630356612
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
7.75000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
7950820.54000000
0.323548929401
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2048-02-15
2516705.12000000
USD
0.00000000
USD
-100795000.00000000
USD
5434115.42000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DMVG7
83436.51000000
PA
USD
82236.07000000
0.003346496411
Long
ABS-MBS
USGSE
US
N
2
2051-01-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UMM1
985512.00000000
PA
USD
973948.79000000
0.039633656263
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
4.50000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BOBL
000000000
499.00000000
NC
880544.97000000
0.035832701907
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUNDESOBLIGATION
Bundesobligation
2024-03-07
63511956.70000000
USD
880544.97000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H020618
34200000.00000000
PA
USD
28964460.85000000
1.178673352209
Long
ABS-MBS
USGA
US
N
2
2054-01-15
Fixed
2.00000000
N
N
N
N
N
N
Fremont Home Loan Trust
N/A
Fremont Home Loan Trust 2006-B
35729QAA6
14578536.26000000
PA
USD
5864017.94000000
0.238629046766
Long
ABS-O
CORP
US
N
2
2036-08-25
Floating
5.77043000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-61459.22000000
-0.00250100788
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2024-01-31
0.00000000
USD
0.00000000
USD
-637046000.00000000
USD
-61459.22000000
N
N
N
Caesars Entertainment, Inc.
549300FA4CTCW903Y781
Caesars Entertainment Inc
12768EAG1
762299.72000000
PA
USD
765337.48000000
0.031144473836
Long
LON
CORP
US
N
2
2030-02-06
Floating
8.70596000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XKGX2
617660.69000000
PA
USD
599160.54000000
0.024382106259
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
Commscope Inc
549300Z6K4JXMFE8QY54
CommScope Inc
20337EAQ4
3647160.83760000
PA
USD
3271047.38000000
0.133111277319
Long
LON
CORP
US
N
2
2026-04-06
Floating
8.72044000
N
N
N
N
N
N
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
JPN 10Y BOND(OSE)
000000000
-299.00000000
NC
-2906235.47000000
-0.11826570228
N/A
DIR
CORP
JP
N
1
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
Short
JAPAN (10 YEAR ISSUE)
JAPAN (10 YEAR ISSUE)
2024-03-13
-301749892.73000000
USD
-2906235.47000000
N
N
N
Coherent Corp (f/k/a II-VI Incorporated)
549300O5C25A0MMHHU33
Coherent Corp
45173JAQ7
6355870.73000000
PA
USD
6391622.50000000
0.260099269830
Long
LON
CORP
US
N
2
2029-07-02
Floating
8.22044000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-687.00000000
NC
USD
-246890.63000000
-0.01004691259
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
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2024-03-19
0.00000000
USD
100000.00000000
114.50000000
USD
2024-01-26
XXXX
95420.87000000
N
N
N
TECK RESOURCES LIMITED
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd
878742AS4
240000.00000000
PA
USD
244160.21000000
0.009935801487
Long
DBT
CORP
CA
N
2
2040-08-15
Fixed
6.00000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/GBP FORWARD
000000000
1.00000000
NC
USD
-6669803.17000000
-0.27141949237
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-126856700.58000000
GBP
155047551.38000000
USD
2024-01-19
-6669803.17000000
N
N
N
Deerfield Dakota Holding LLC
549300FDREJLOIGXY104
Deerfield Dakota Holding LLC
24440EAB3
6162779.89000000
PA
USD
6116559.04000000
0.248905898335
Long
LON
CORP
US
N
2
2027-04-09
Floating
9.11911000
N
N
N
N
N
N
SPRINT LLC
549300ZTTY7CXOLJ6539
Sprint LLC
85207UAJ4
1973000.00000000
PA
USD
2008742.87000000
0.081743337277
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
7.62500000
N
N
N
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAK1
1225000.00000000
PA
USD
1169402.87000000
0.047587421288
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.50000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AJ8
1170000.00000000
PA
USD
925487.43000000
0.037661580417
Long
DBT
CORP
CO
N
2
2045-05-28
Fixed
5.87500000
N
N
N
N
N
N
Delta Air Lines Inc
2549008L7P4I8VB90936
SkyMiles IP Ltd
24736CBS2
1528000.00000000
PA
USD
1566994.56000000
0.063766929427
Long
LON
CORP
KY
N
2
2027-10-20
Floating
9.16582000
N
N
N
N
N
N
ML-CFC Commercial Mortgage Tru
N/A
ML-CFC Commercial Mortgage Trust 2007-5
55312YAR3
211546.34000000
PA
USD
33540.67000000
0.001364896593
Long
ABS-MBS
CORP
US
N
2
2048-08-12
Variable
5.45000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50076QAE6
1810000.00000000
PA
USD
1745831.92000000
0.071044497330
Long
DBT
CORP
US
N
2
2042-06-04
Fixed
5.00000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBD6
3150000.00000000
PA
USD
1626738.75000000
0.066198146257
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.12500000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BV1
2930000.00000000
PA
USD
2958784.26000000
0.120404111102
Long
DBT
CORP
US
N
2
2044-06-24
Fixed
5.75000000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BJ1
2630000.00000000
PA
USD
2724609.07000000
0.110874637806
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
5.65000000
N
N
N
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281ABJ7
1780000.00000000
PA
USD
1844476.01000000
0.075058698072
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
8.25000000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911363AM1
1620000.00000000
PA
USD
1473876.00000000
0.059977583379
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.87500000
N
N
N
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AT9
5490000.00000000
PA
USD
6782554.62000000
0.276007774903
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2015-R2 Trust
05990TBE6
11320818.80000000
PA
USD
9344649.88000000
0.380269111733
Long
ABS-MBS
CORP
US
N
2
2036-03-27
Variable
4.73282800
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2M4
1000000.00000000
PA
USD
952200.85000000
0.038748650411
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01300000
N
N
N
N
N
N
Deutsche Mortgage Securities,
N/A
Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1
25157GBS0
2177390.15000000
PA
USD
369242.47000000
0.015025871261
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
3.06074700
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABL8
1000000.00000000
PA
USD
749068.75000000
0.030482437742
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
3.00000000
N
N
N
N
N
N
Quikrete Holdings Inc
5493007KIN86DIZWZT22
QUIKRETE HOLDINGS INC
74839XAH2
4073836.02000000
PA
USD
4090803.55000000
0.166470253269
Long
LON
CORP
US
N
2
2029-03-18
Floating
8.22044000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAU6
1350000.00000000
PA
USD
1365968.03000000
0.055586400356
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.30000000
N
N
N
N
N
N
KNDR Trust 2021-KIND
N/A
KIND Trust 2021-KIND
482606AC4
78050000.00000000
PA
USD
81.95000000
0.000003334855
Long
ABS-MBS
CORP
US
N
2
2038-08-15
Variable
0.01000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-41.00000000
NC
USD
-25368.75000000
-0.00103235029
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
0.00000000
USD
2500.00000000
97.12500000
USD
2024-12-13
XXXX
-2392.35000000
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
28368EAE6
300000.00000000
PA
USD
341485.34000000
0.013896328763
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
7.75000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAN1
3920000.00000000
PA
USD
3957228.24000000
0.161034569200
Long
DBT
CORP
NL
N
2
2025-01-31
Fixed
7.12500000
N
N
N
N
N
N
ONEOK INC
2T3D6M0JSY48PSZI1Q41
ONEOK Inc
682680BK8
900000.00000000
PA
USD
936213.55000000
0.038098066767
Long
DBT
CORP
US
N
2
2030-11-01
Fixed
5.80000000
N
N
N
N
N
N
Gainwell Acquisition Corp
N/A
Gainwell Acquisition Corp
59909TAC8
6859732.16140000
PA
USD
6688238.86000000
0.272169710263
Long
LON
CORP
US
N
2
2027-10-01
Floating
9.44814000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
C$ CURRENCY
000000000
-156.00000000
NC
USD
-300690.00000000
-0.01223621223
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
CANADIAN DOLLAR
CANADIAN DOLLAR
2024-03-19
-11496810.00000000
USD
-300690.00000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M2PG1
635116.88000000
PA
USD
540868.95000000
0.022010001211
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DN6L2
1766888.07000000
PA
USD
1722234.51000000
0.070084229556
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
First Eagle Holdings Inc
549300ZKYR56QRODD510
First Eagle Holdings Inc
05554JAH0
2099275.96680000
PA
USD
2097439.10000000
0.085352722008
Long
LON
CORP
US
N
2
2027-02-01
Floating
7.94814000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
JPY/USD FORWARD
000000000
1.00000000
NC
USD
-46605.82000000
-0.00189656691
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-209971002.00000000
JPY
1447465.91000000
USD
2024-01-19
-46605.82000000
N
N
N
RTX CORP
I07WOS4YJ0N7YRFE7309
RTX Corp
75513ECP4
1310000.00000000
PA
USD
905124.43000000
0.036832933007
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
3.03000000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAN5
1300000.00000000
PA
USD
1407996.54000000
0.057296699230
Long
DBT
CORP
US
N
2
2033-10-13
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D5G3
5602843.61000000
PA
USD
4794645.69000000
0.195112249364
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
2.00000000
N
N
N
N
N
N
Verscend Holding Corp
N/A
Verscend Holding Corp
92531HAD9
4142500.90070000
PA
USD
4161473.55000000
0.169346082591
Long
LON
CORP
US
N
2
2025-08-27
Floating
9.47044000
N
N
N
N
N
N
Hilton USA Trust
N/A
Hilton USA Trust 2016-HHV
43300LAL4
2800000.00000000
PA
USD
2625297.92000000
0.106833291872
Long
ABS-MBS
CORP
US
N
2
2038-11-05
Variable
4.19350000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2007-OA8
02148GAA1
2853329.48000000
PA
USD
2342044.51000000
0.095306640365
Long
ABS-MBS
CORP
US
N
2
2047-06-25
Floating
5.83043000
N
N
N
N
N
N
HANESBRANDS INC
GX5LWVWZLL5S4W1L2F20
Hanesbrands Inc
410345AL6
1840000.00000000
PA
USD
1776129.18000000
0.072277407316
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
4.87500000
N
N
N
N
N
N
SOHO Trust 2021-SOHO
N/A
Soho Trust 2021-SOHO
83410JAG3
15108500.00000000
PA
USD
8832590.76000000
0.359431491360
Long
ABS-MBS
CORP
US
N
2
2038-08-10
Variable
2.69658900
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AJ5
300000.00000000
PA
USD
299907.99000000
0.012204389294
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
5.75000000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BG8
13060000.00000000
PA
USD
12759749.29000000
0.519242410444
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.87500000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAQ4
4690000.00000000
PA
USD
4484209.18000000
0.182479414810
Long
DBT
CORP
NL
N
2
2029-05-09
Fixed
5.12500000
N
N
N
N
N
N
MRCD Mortgage Trust
N/A
MRCD 2019-MARK Mortgage Trust
55348UAG3
7980000.00000000
PA
USD
6962691.25000000
0.283338215012
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Fixed
2.71752000
N
N
N
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
03969AAP5
590000.00000000
PA
USD
459043.42000000
0.018680211223
Long
DBT
CORP
N/A
N
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
Citadel Securities LP
549300NV5RXBUS3X7L47
CITADEL SECURITIES LP
17288YAK8
8098948.50800000
PA
USD
8127618.79000000
0.330743518213
Long
LON
CORP
US
N
2
2030-07-29
Floating
7.96283000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
-2108.00000000
NC
USD
-1304325.00000000
-0.05307791255
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Call
Written
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2025-03-18
0.00000000
USD
2500.00000000
97.12500000
USD
2024-12-13
XXXX
-160226.80000000
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AA5
3954000.00000000
PA
USD
3895463.09000000
0.158521111871
Long
DBT
CORP
N/A
N
2
2025-10-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050615
26000000.00000000
PA
USD
25821282.50000000
1.050765548864
Long
ABS-MBS
USGA
US
N
2
2054-01-15
Fixed
5.00000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/AUD FORWARD
000000000
1.00000000
NC
USD
8280385.63000000
0.336960178152
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-115651786.05000000
USD
181735723.00000000
AUD
2024-01-19
8280385.63000000
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BB5
152000.00000000
PA
USD
172205.37000000
0.007007687171
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
7.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
38.00000000
NC
USD
1900.00000000
0.000077318179
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Put
Purchased
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
THREE-MONTH SOFR
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2024-09-17
0.00000000
USD
2500.00000000
94.75000000
USD
2024-04-12
XXXX
-4829.80000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABFC1
10185584.20000000
PA
USD
8814612.00000000
0.358699867685
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
Entain Holdings (Gibraltar) Limited
213800ATWJIEYQ8NF838
Entain Holdings Gibraltar Ltd
000000000
1303863.01000000
PA
USD
1308987.19000000
0.053267634679
Long
LON
CORP
GI
N
2
2027-03-29
Floating
7.94814000
N
N
N
N
N
N
PMT CREDIT RISK TRANSFER TRUST
N/A
PMT Credit Risk Transfer Trust 2021-1R
69356UAA6
6504895.33000000
PA
USD
6478609.05000000
0.263639081223
Long
ABS-MBS
CORP
US
N
2
2024-02-27
Floating
8.37142000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-717.00000000
NC
USD
-347296.88000000
-0.01413282228
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
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2024-03-19
0.00000000
USD
100000.00000000
114.00000000
USD
2024-01-26
XXXX
-23646.66000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
MEXICAN PESO
000000000
1461.00000000
NC
USD
945607.50000000
0.038480342087
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
MEXICAN PESO
MEXICAN PESO
2024-03-18
41598712.50000000
USD
945607.50000000
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
CommScope Inc
203372AX5
1980000.00000000
PA
USD
1331244.17000000
0.054173355291
Long
DBT
CORP
US
N
2
2029-09-01
Fixed
4.75000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370DB3
4770000.00000000
PA
USD
4810683.19000000
0.195764875836
Long
DBT
CORP
US
N
2
2032-08-19
Fixed
6.10000000
N
N
N
N
N
N
RTX CORP
I07WOS4YJ0N7YRFE7309
RTX Corp
913017BT5
2580000.00000000
PA
USD
2346142.04000000
0.095473384343
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
4.50000000
N
N
N
N
N
N
COMMONWEALTH OF BAHAMAS
549300W13SXC7EKNJC20
Bahamas Government International Bond
000000000
690000.00000000
PA
USD
614100.00000000
0.024990049334
Long
DBT
NUSS
BS
N
2
2028-11-21
Fixed
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XJU84
4365562.49000000
PA
USD
3937338.18000000
0.160225167505
Long
ABS-MBS
USGSE
US
N
2
2050-11-01
Fixed
3.00000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AL8
2000000.00000000
PA
USD
1786510.60000000
0.072699866521
Long
DBT
CORP
US
N
2
2048-08-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140M32Z2
726624.62000000
PA
USD
594199.94000000
0.024180240702
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2018-LUAU
36256AAS1
10000000.00000000
PA
USD
9672045.00000000
0.393592056206
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Floating
10.10881000
N
N
N
N
N
N
Nexstar Media Inc
5493006PK6I4I2OOT688
Nexstar Media Inc
65336RAW8
1959655.40540000
PA
USD
1963026.01000000
0.079882945505
Long
LON
CORP
US
N
2
2026-09-18
Floating
7.97044000
N
N
N
N
N
N
Residential Accredit Loans, In
N/A
RALI Series 2007-QS7 Trust
74923WAG3
4270313.94000000
PA
USD
3085139.98000000
0.125546002775
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Floating
6.00000000
N
N
N
N
N
N
COLUMBIA PIPELINES OPCO
N/A
Columbia Pipelines Operating Co LLC
19828TAB2
3830000.00000000
PA
USD
4012948.72000000
0.163302046067
Long
DBT
CORP
US
N
2
2033-11-15
Fixed
6.03600000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCN1
8260000.00000000
PA
USD
7085341.27000000
0.288329307750
Long
DBT
CORP
US
N
2
2032-05-01
Fixed
4.50000000
N
N
N
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
Netflix Inc
64110LAL0
2845000.00000000
PA
USD
2870164.03000000
0.116797819098
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
5.87500000
N
N
N
N
N
N
Brown Group Holding LLC
25490094PF4HHK9QS109
Brown Group Holding LLC
11565HAB2
3006610.63640000
PA
USD
3013465.71000000
0.122629305912
Long
LON
CORP
US
N
2
2028-06-07
Floating
8.19835000
N
N
N
N
N
N
DELTA AIR LINES/SKYMILES
N/A
Delta Air Lines Inc / SkyMiles IP Ltd
830867AB3
5390000.00000000
PA
USD
5304052.41000000
0.215841933560
Long
DBT
CORP
N/A
N
2
2028-10-20
Fixed
4.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
JPY/USD FORWARD
000000000
1.00000000
NC
USD
3350624.81000000
0.136349583624
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-67079554.77000000
USD
9897982173.00000000
JPY
2024-01-19
3350624.81000000
N
N
N
ML-CFC Commercial Mortgage Tru
N/A
ML-CFC Commercial Mortgage Trust 2007-9
60688CAJ5
25045.83000000
PA
USD
24348.55000000
0.000990834498
Long
ABS-MBS
CORP
US
N
2
2049-09-12
Variable
6.19300000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
1144.00000000
NC
USD
625625.01000000
0.025459045537
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
0.00000000
USD
100000.00000000
109.00000000
USD
2024-01-26
XXXX
-33690.36000000
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2M2
2270000.00000000
PA
USD
2487484.66000000
0.101225149605
Long
DBT
CORP
CH
N
2
2028-02-15
Fixed
7.50000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBE2
5000000.00000000
PA
USD
5101876.55000000
0.207614633909
Long
DBT
CORP
US
N
2
2039-02-14
Fixed
5.80000000
N
N
N
N
N
N
KREF 2021-FL2 Ltd
54930083ELM2GCMVTQ91
KREF 2021-FL2 Ltd
48275RAJ6
3130000.00000000
PA
USD
2893923.51000000
0.117764682112
Long
ABS-CBDO
CORP
KY
N
2
2039-02-15
Floating
7.67629000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABLA8
9340966.87000000
PA
USD
8083613.60000000
0.328952780761
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DPAG3
1392333.92000000
PA
USD
1355644.35000000
0.055166290810
Long
ABS-MBS
USGSE
US
N
2
2052-07-01
Fixed
4.50000000
N
N
N
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAE1
35960000.00000000
PA
USD
33321780.22000000
1.355989141205
Long
DBT
CORP
NL
N
2
2026-10-01
Fixed
3.15000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBS0
3590000.00000000
PA
USD
3492010.95000000
0.142103119878
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.87500000
N
N
N
N
N
N
PRA Health Sciences Inc
549300R1HR1VWWHIAK47
PRA Health Sciences Inc
000000000
1393059.51240000
PA
USD
1399808.89000000
0.056963512815
Long
LON
CORP
US
N
2
2028-07-03
Floating
7.88072000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XGQ44
2143780.34000000
PA
USD
1898334.49000000
0.077250403124
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
3.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
15537244.63000000
0.632269190404
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2048-02-15
8130584.72000000
USD
0.00000000
USD
-99521000.00000000
USD
7406659.91000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H062610
2100000.00000000
PA
USD
2149957.03000000
0.087489875015
Long
ABS-MBS
USGA
US
N
2
2054-01-15
Fixed
6.50000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS APACHE CORP
000000000
1.00000000
NC
USD
46095.61000000
0.001875804539
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
APACHE CORP
APACHE CORP
Y
Default Event
2026-06-20
0.00000000
USD
-171447.90000000
USD
6688000.00000000
USD
217543.51000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
JPY/USD FORWARD
000000000
1.00000000
NC
USD
-158698.76000000
-0.00645805217
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-742016006.00000000
JPY
5121197.65000000
USD
2024-01-19
-158698.76000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABE65
31337524.22000000
PA
USD
27119367.17000000
1.103589518810
Long
ABS-MBS
USGA
US
N
2
2051-10-20
Fixed
2.50000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYAH
46654EAQ4
7960000.00000000
PA
USD
5398959.15000000
0.219704047409
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
8.86648000
N
N
N
N
N
N
Jazz Financing Lux Sarl
635400WUEO2NSG5OIU34
Jazz Financing Lux Sarl
000000000
4254124.64000000
PA
USD
4281585.01000000
0.174233871731
Long
LON
CORP
LU
N
2
2028-05-05
Floating
8.97044000
N
N
N
N
N
N
SOUTHWESTERN ENERGY CO
EFWMP121W54QV9MGOP87
Southwestern Energy Co
845467AS8
1510000.00000000
PA
USD
1476247.42000000
0.060074085419
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
5.37500000
N
N
N
N
N
N
BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The
06417XAG6
3620000.00000000
PA
USD
3241157.41000000
0.131894941503
Long
DBT
CORP
CA
N
2
2037-05-04
Fixed
4.58800000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAJ4
2000000.00000000
PA
USD
1946692.34000000
0.079218266757
Long
DBT
CORP
US
N
2
2039-01-25
Fixed
5.47600000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397C68
22000000.00000000
PA
USD
23652163.04000000
0.962495882168
Long
DBT
CORP
US
N
2
2030-03-06
Fixed
7.35000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179V7D6
11235910.09000000
PA
USD
9522585.49000000
0.387509984022
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
2.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABS3
4230000.00000000
PA
USD
3812452.05000000
0.155143079002
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
2.62500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
CNY/USD FORWARD
000000000
1.00000000
NC
USD
-1627774.24000000
-0.06624028425
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-576343979.00000000
CNY
79814981.17000000
USD
2024-01-19
-1627774.24000000
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DJ1
11829000.00000000
PA
USD
12228761.06000000
0.497634493063
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
6.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418D4G4
16365675.80000000
PA
USD
14011063.21000000
0.570163101853
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
2.00000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9
46629PAQ1
3003053.10000000
PA
USD
2886743.65000000
0.117472506480
Long
ABS-MBS
CORP
US
N
2
2047-05-15
Fixed
5.33700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
3132DVMB8
12014373.69000000
PA
USD
10360647.65000000
0.421613899872
Long
ABS-MBS
USGSE
US
N
2
2052-04-01
Fixed
2.50000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2014-C24
92939KAK4
1630000.00000000
PA
USD
1323761.63000000
0.053868862466
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Variable
4.29000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2017-CHOP
12651QAS8
7606000.00000000
PA
USD
6471472.31000000
0.263348660306
Long
ABS-MBS
CORP
US
N
2
2032-07-15
Floating
10.79400000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MBD4
170000.00000000
PA
USD
171034.30000000
0.006960031908
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XKM31
746494.50000000
PA
USD
724135.52000000
0.029467810405
Long
ABS-MBS
USGSE
US
N
2
2052-11-01
Fixed
4.50000000
N
N
N
N
N
N
Virgin Media Bristol LLC
N/A
Virgin Media Bristol LLC
000000000
1910000.00000000
PA
USD
1910105.05000000
0.077729391685
Long
LON
CORP
US
N
2
2029-01-31
Floating
8.72629000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
130000000.00000000
PA
26894325.39000000
1.094431718477
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F040610
11600000.00000000
PA
USD
10972421.90000000
0.446509305652
Long
ABS-MBS
USGSE
US
N
2
2054-01-15
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/ZAR FORWARD
000000000
1.00000000
NC
USD
726891.67000000
0.029579968562
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-14823407.02000000
USD
284980000.00000000
ZAR
2024-01-19
726891.67000000
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AJ3
25640000.00000000
PA
USD
22349775.20000000
0.909496799975
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
5.30000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F052615
300000.00000000
PA
USD
301312.50000000
0.012261544113
Long
ABS-MBS
USGSE
US
N
2
2054-01-15
Fixed
5.50000000
N
N
N
N
N
N
BNY MELLON CASH RESERVE EOD FUND
N/A
BNY MELLON CASH RESERVE EOD FUND
000000000
23758485.35000000
NS
USD
23758485.35000000
0.966822538693
Long
STIV
CORP
US
N
1
N
N
N
ARCELORMITTAL
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LAP9
2000000.00000000
PA
USD
2169180.62000000
0.088272155527
Long
DBT
CORP
LU
N
2
2039-10-15
Variable
7.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
6221468.00000000
0.253175040308
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2029-09-30
3802877.92000000
USD
0.00000000
USD
-328270000.00000000
USD
2418590.08000000
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp
058498AX4
4730000.00000000
PA
USD
4083357.44000000
0.166167242918
Long
DBT
CORP
US
N
2
2031-09-15
Fixed
3.12500000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34
61767EAJ3
6250000.00000000
PA
USD
5547142.50000000
0.225734187821
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Variable
4.11100000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397C35
10000000.00000000
PA
USD
10552330.90000000
0.429414215577
Long
DBT
CORP
US
N
2
2027-11-04
Fixed
7.35000000
N
N
N
N
N
N
TEVA PHARMACEUTICAL INDU
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAP6
30410000.00000000
PA
USD
29155582.03000000
1.186450795161
Long
DBT
CORP
NL
N
2
2027-05-09
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABCA8
6912040.23000000
PA
USD
5982253.25000000
0.243440488274
Long
ABS-MBS
USGA
US
N
2
2051-06-20
Fixed
2.50000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
USD CALL VERSUS EUR PUT
000000000
36706343.00000000
NC
USD
16532.94000000
0.000672787797
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
USD CALL VERSUS EUR PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
EUR
2024-02-06
36706343.00000000
USD
1.05950000
USD
2024-02-06
XXXX
-237291.42000000
N
N
N
VMED O2 UK FINAN
213800MRR46ECNGZ7L69
Vmed O2 UK Financing I PLC
92858RAB6
730000.00000000
PA
USD
652533.13000000
0.026554038611
Long
DBT
CORP
GB
N
2
2031-07-15
Fixed
4.75000000
N
N
N
N
N
N
PMT CREDIT RISK TRANSFER TRUST
N/A
PMT Credit Risk Transfer Trust 2019-3R
69349MAA4
3191490.92000000
PA
USD
3199098.16000000
0.130183391702
Long
ABS-MBS
CORP
US
N
2
2031-11-27
Floating
9.15253000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411AW5
6268000.00000000
PA
USD
5380294.50000000
0.218944512277
Long
DBT
CORP
US
N
2
2040-09-01
Fixed
5.10000000
N
N
N
N
N
N
Bravo Mortgage Asset Trust
N/A
Bravo Mortgage Asset Trust
105667AD1
26033625.44000000
PA
USD
22885962.27000000
0.931316277800
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
6.07043000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAC4
490000.00000000
PA
USD
485815.99000000
0.019769688255
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
5.50000000
N
N
N
N
N
N
Phoenix Guarantor Inc
254900JIOIDL3GSUFE55
Phoenix Guarantor Inc
71913BAE2
6891183.24000000
PA
USD
6896110.44000000
0.280628790282
Long
LON
CORP
US
N
2
2026-03-05
Floating
8.72044000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/MXN FORWARD
000000000
1.00000000
NC
USD
-4914563.97000000
-0.19999217728
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-1205680728.00000000
MXN
65831106.34000000
USD
2024-01-19
-4914563.97000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WZA9
7990849.45000000
PA
USD
7236053.39000000
0.294462353369
Long
ABS-MBS
USGA
US
N
2
2052-03-20
Fixed
3.00000000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513CH6
590000.00000000
PA
USD
622131.28000000
0.025316872463
Long
DBT
CORP
US
N
2
2034-08-24
Fixed
6.13600000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F032617
22600000.00000000
PA
USD
20735500.00000000
0.843805842660
Long
ABS-MBS
USGSE
US
N
2
2054-01-15
Fixed
3.50000000
N
N
N
N
N
N
CIT Mortgage Loan Trust
N/A
CIT Mortgage Loan Trust 2007-1
12559QAF9
8288963.29000000
PA
USD
8203218.94000000
0.333819973967
Long
ABS-O
CORP
US
N
2
2037-10-25
Floating
6.97043000
N
N
N
N
N
N
API GROUP DE INC
549300XP4G7B4QYA0G83
API GROUP DE INC
00186XAK9
2570607.76000000
PA
USD
2577959.70000000
0.104906920836
Long
LON
CORP
US
N
2
2026-10-01
Floating
7.72044000
N
N
N
N
N
N
EQT CORP
4NT01YGM4X7ZX86ISY52
EQT Corp
26884LAL3
180000.00000000
PA
USD
178489.22000000
0.007263400771
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.00000000
N
N
N
N
N
N
Banc of America Merrill Lynch
N/A
BAMLL Re-REMIC Trust 2016-RRGG10
059427AA2
8153401.38000000
PA
USD
1750861.41000000
0.071249166282
Long
ABS-MBS
CORP
US
N
2
2045-08-10
Variable
5.62975000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H062610
-2100000.00000000
PA
USD
-2149957.03000000
-0.08748987501
Short
ABS-MBS
USGA
US
N
2
2054-01-15
Fixed
6.50000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-687872.50000000
-0.02799213110
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-16550458.12000000
EUR
17598826.09000000
USD
2024-01-19
-687872.50000000
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCL5
2220000.00000000
PA
USD
1881311.69000000
0.076557681072
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XLE46
41132560.31000000
PA
USD
33856938.44000000
1.377766751236
Long
ABS-MBS
USGSE
US
N
2
2051-07-01
Fixed
2.00000000
N
N
N
N
N
N
ALLIED UNIVERSAL
N/A
Allied Universal Holdco LLC / Allied Universal Finance Corp
019576AA5
330000.00000000
PA
USD
328577.34000000
0.013371053471
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
6.62500000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAM2
8010000.00000000
PA
USD
7401068.35000000
0.301177435589
Long
DBT
CORP
US
N
2
N/A
Fixed
7.12500000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABW4
9200000.00000000
PA
USD
8421447.24000000
0.342700508054
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
3.50000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140CF5
1000000.00000000
PA
USD
1037808.33000000
0.042232342235
Long
DBT
CORP
US
N
2
2030-02-10
Fixed
5.12500000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
42307TAH1
330000.00000000
PA
USD
391429.98000000
0.015928764877
Long
DBT
CORP
US
N
2
2039-08-01
Fixed
7.12500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DL6
5000000.00000000
PA
USD
5420425.00000000
0.220577573952
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
6.60000000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAF5
19380000.00000000
PA
USD
15666777.85000000
0.637540386558
Long
DBT
CORP
NL
N
2
2031-07-13
Fixed
3.06100000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CV5
1000000.00000000
PA
USD
1034966.48000000
0.042116696620
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
3622AB4U3
2221657.94000000
PA
USD
2179100.44000000
0.088675830484
Long
ABS-MBS
USGA
US
N
2
2052-09-20
Fixed
4.50000000
N
N
N
N
N
N
RTX CORP
I07WOS4YJ0N7YRFE7309
RTX Corp
75513ECV1
1150000.00000000
PA
USD
1225438.52000000
0.049867723613
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
6.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
ZAR/USD FORWARD
000000000
1.00000000
NC
USD
-523552.56000000
-0.02130533187
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-284980000.00000000
ZAR
15026746.13000000
USD
2024-01-19
-523552.56000000
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBF9
7500000.00000000
PA
USD
7656487.50000000
0.311571405886
Long
DBT
CORP
US
N
2
2049-02-14
Fixed
5.95000000
N
N
N
N
N
N
KAZMUNAYGAS NATIONAL CO
2138001H1M69RFJCSH88
KazMunayGas National Co JSC
48667QAQ8
500000.00000000
PA
USD
497061.77000000
0.020227321535
Long
DBT
CORP
KZ
N
2
2030-04-24
Fixed
5.37500000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-ACNT
05609QAA4
7780000.00000000
PA
USD
7677815.15000000
0.312439308549
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
6.32648000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3622ABKA9
5845874.28000000
PA
USD
5060379.53000000
0.205925963371
Long
ABS-MBS
USGA
US
N
2
2051-12-20
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
2 YEAR US TREASURY NOTE
000000000
-3355.00000000
NC
USD
-7205730.61000000
-0.29322840487
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2024-03-28
-683635947.41000000
USD
-7205730.61000000
N
N
N
BCAP LLC Trust
N/A
BCAP LLC 2013-RR3 Trust
05542JAH5
2243072.69000000
PA
USD
2203953.50000000
0.089687195401
Long
ABS-MBS
CORP
US
N
2
2036-11-26
Floating
3.81264000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
05581KAG6
3080000.00000000
PA
USD
3220184.26000000
0.131041464784
Long
DBT
CORP
FR
N
2
2034-12-05
Fixed
5.89400000
N
N
N
N
N
N
REPUBLIC OF SRI LANKA
254900HXCCIOHM74FA02
Sri Lanka Government International Bond
000000000
4030000.00000000
PA
USD
2034630.09000000
0.082796786071
Long
DBT
NUSS
LK
N
2
2030-03-28
Fixed
7.55000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LBF2
1360000.00000000
PA
USD
1333093.99000000
0.054248631457
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.25000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAN8
2500000.00000000
PA
USD
2581285.80000000
0.105042272412
Long
DBT
CORP
US
N
2
2038-07-01
Fixed
7.30000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042612
3900000.00000000
PA
USD
3806775.38000000
0.154912073851
Long
ABS-MBS
USGA
US
N
2
2054-01-15
Fixed
4.50000000
N
N
N
N
N
N
ML-CFC Commercial Mortgage Tru
N/A
ML-CFC Commercial Mortgage Trust 2007-5
55312YAH5
484072.22000000
PA
USD
76750.18000000
0.003123254819
Long
ABS-MBS
CORP
US
N
2
2048-08-12
Variable
5.45000000
N
N
N
N
N
N
SPIRIT LOYALTY KY LTD/IP
N/A
Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd
84859BAA9
4907999.00000000
PA
USD
3535418.63000000
0.143869542390
Long
DBT
CORP
KY
N
2
2025-09-20
Fixed
8.00000000
N
N
N
N
N
N
Triton Water Holdings Inc
5493005IYCEL7QJFZZ63
Triton Water Holdings Inc
89678QAB2
4047111.37000000
PA
USD
4016758.03000000
0.163457061284
Long
LON
CORP
US
N
2
2028-03-31
Floating
8.85975000
N
N
N
N
N
N
Clarios Global LP
549300474L1ZLXZY2P98
CLARIOS GLOBAL LP
000000000
2812950.00000000
PA
USD
2822795.33000000
0.114870207715
Long
LON
CORP
CA
N
2
2030-05-06
Floating
9.10596000
N
N
N
N
N
N
Medline Borrower LP
254900QT3R363TVK6F09
Medline Borrower LP
58503UAC7
3790739.01000000
PA
USD
3814127.87000000
0.155211274450
Long
LON
CORP
US
N
2
2028-10-23
Floating
8.47044000
N
N
N
N
N
N
VENTURE GLOBAL CALCASIEU
549300GKHS6RS20NLH85
Venture Global Calcasieu Pass LLC
92328MAC7
4040000.00000000
PA
USD
3428538.73000000
0.139520195421
Long
DBT
CORP
US
N
2
2033-11-01
Fixed
3.87500000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-VIVA
12433XAJ8
6847863.00000000
PA
USD
5447710.58000000
0.221687927299
Long
ABS-MBS
CORP
US
N
2
2044-03-11
Variable
3.54875000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAV6
540000.00000000
PA
USD
494702.90000000
0.020131330201
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
9.25000000
N
N
N
N
N
N
2024-02-21
Legg Mason Partners Institutional Trust
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer