0001752724-24-143531.txt : 20240625
0001752724-24-143531.hdr.sgml : 20240625
20240625113547
ACCESSION NUMBER: 0001752724-24-143531
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20240430
FILED AS OF DATE: 20240625
DATE AS OF CHANGE: 20240625
PERIOD START: 20241031
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Voya MUTUAL FUNDS
CENTRAL INDEX KEY: 0000895430
ORGANIZATION NAME:
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-07428
FILM NUMBER: 241067292
BUSINESS ADDRESS:
STREET 1: 7337 E DOUBLETREE RANCH ROAD, STE 100
CITY: SCOTTSDALE
STATE: AZ
ZIP: 85258
BUSINESS PHONE: 18009920180
MAIL ADDRESS:
STREET 1: 7337 E DOUBLETREE RANCH ROAD, STE 100
CITY: SCOTTSDALE
STATE: AZ
ZIP: 85258
FORMER COMPANY:
FORMER CONFORMED NAME: ING MUTUAL FUNDS
DATE OF NAME CHANGE: 20020205
FORMER COMPANY:
FORMER CONFORMED NAME: PILGRIM MUTUAL FUNDS
DATE OF NAME CHANGE: 19990526
FORMER COMPANY:
FORMER CONFORMED NAME: NICHOLAS APPLEGATE MUTUAL FUNDS
DATE OF NAME CHANGE: 19930328
0000895430
S000012534
Voya Global Bond Fund
C000034078
Class A
INGBX
C000034080
Class C
IGBCX
C000034081
Class I
IGBIX
C000079030
Class W
IGBWX
C000105408
Class R
IGBRX
C000122013
Class R6
IGBZX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000895430
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S000012534
C000122013
C000105408
C000034080
C000034078
C000079030
C000034081
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811-07428
0000895430
5493002558QOEAVY2M96
7337 East Doubletree Ranch Road
Suite 100
Scottsdale
85258
1-800-992-0180
Voya Global Bond Fund
S000012534
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2024-10-31
2024-04-30
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CNY
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GBP
JPY
MXN
MYR
USD
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BBG Global Aggregate Index
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BNP PARIBAS
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CURRENCY CONTRACT - USD
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1.00000000
NC
USD
-8637.10000000
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N/A
DFE
CORP
US
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BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
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MXN
2016534.10000000
USD
2024-06-28
-8637.10000000
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AT9
231000.00000000
PA
USD
272935.97000000
0.107289537743
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61772BAB9
380000.00000000
PA
USD
350303.83000000
0.137702392214
Long
DBT
CORP
US
N
2
2027-05-04
Fixed
1.59300000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
Viatris Inc
92556VAD8
152000.00000000
PA
USD
125743.14000000
0.049428894861
Long
DBT
CORP
US
N
2
2030-06-22
Fixed
2.70000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXXI Ltd
55819DAJ5
500000.00000000
PA
USD
501122.00000000
0.196988135104
Long
ABS-CBDO
CORP
KY
N
2
2031-01-23
Floating
7.73801000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
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IRS USD
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1.00000000
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USD
151824.35000000
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N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-05-03
304.00000000
USD
0.00000000
USD
13000000.00000000
USD
151520.35000000
N
N
N
TEMPUR SEALY INTL INC
549300HFEKVR3US71V91
Tempur Sealy International Inc
88023UAJ0
75000.00000000
PA
USD
61821.00000000
0.024301474491
Long
DBT
CORP
US
N
2
2031-10-15
Fixed
3.87500000
N
N
N
N
N
N
UBS AG LONDON
BFM8T61CT2L1QCEMIK50
UBS AG/London
902674ZW3
200000.00000000
PA
USD
200978.63000000
0.079003527124
Long
DBT
CORP
CH
N
2
2028-09-11
Fixed
5.65000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAV5
200000.00000000
PA
USD
198011.58000000
0.077837197076
Long
DBT
CORP
GB
N
2
N/A
Fixed
8.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFM2
309000.00000000
PA
USD
297448.49000000
0.116925266371
Long
DBT
CORP
US
N
2
2039-02-07
Fixed
5.94200000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJP5
143000.00000000
PA
USD
117960.65000000
0.046369643438
Long
DBT
CORP
US
N
2
2032-03-11
Fixed
2.65100000
N
N
N
N
N
N
CUMMINS INC
ZUNI8PYC725B6H8JU438
Cummins Inc
231021AV8
30000.00000000
PA
USD
29656.14000000
0.011657655646
Long
DBT
CORP
US
N
2
2029-02-20
Fixed
4.90000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
1421.82000000
0.000558909148
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-14107661.08000000
MYR
2954298.39000000
USD
2024-06-28
1421.82000000
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAQ4
92000.00000000
PA
USD
91815.60000000
0.036092176790
Long
DBT
CORP
US
N
2
2033-06-30
Fixed
5.95000000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VBB6
25000.00000000
PA
USD
24086.22000000
0.009468152584
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
4.80000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS CLP
000000000
1.00000000
NC
-3098.54000000
-0.00121801799
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2034-04-17
0.00000000
CLP
0.00000000
CLP
1097281000.00000000
CLP
-3098.54000000
N
N
N
NORFOLK SOUTHERN CORP
54930036C8MWP850MI84
Norfolk Southern Corp
655844CE6
29000.00000000
PA
USD
25079.63000000
0.009858656260
Long
DBT
CORP
US
N
2
2029-11-01
Fixed
2.55000000
N
N
N
N
N
N
ESSENTIAL UTILITIES INC
549300ILTEOF3E3QY357
Essential Utilities Inc
29670GAH5
46000.00000000
PA
USD
44319.83000000
0.017421866650
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
5.37500000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122EB0
44000.00000000
PA
USD
46648.12000000
0.018337103868
Long
DBT
CORP
US
N
2
2053-11-15
Fixed
6.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398N2X1
2168792.13000000
PA
USD
107673.59000000
0.042325860157
Long
ABS-MBS
USGSE
US
N
2
2040-11-25
Floating
0.62550000
N
N
N
N
N
N
BDS Ltd
N/A
BDS 2020-FL5 LTD
05492QAG1
935646.48000000
PA
USD
930887.92000000
0.365926611387
Long
ABS-CBDO
CORP
KY
N
2
2037-02-16
Floating
7.48337000
N
N
N
N
N
N
ENTERGY CORP
4XM3TW50JULSLG8BNC79
Entergy Corp
29364GAL7
157000.00000000
PA
USD
133984.27000000
0.052668434993
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137B8UZ8
649221.34000000
PA
USD
62578.90000000
0.024599400560
Long
ABS-MBS
USGSE
US
N
2
2039-04-15
Fixed
5.00000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
054989AD0
67000.00000000
PA
USD
70179.10000000
0.027586994848
Long
DBT
CORP
US
N
2
2053-08-02
Fixed
7.08100000
N
N
N
N
N
N
DUKE ENERGY OHIO INC
L6KC0HABGHNFU1Z6QY21
Duke Energy Ohio Inc
26442EAJ9
26000.00000000
PA
USD
25389.85000000
0.009980601933
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
5.25000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BT3
350000.00000000
PA
USD
357113.58000000
0.140379265217
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
7.12500000
N
N
N
N
N
N
Apidos CLO Ltd
549300PPHIOJQEKPJH29
Apidos CLO XXIV
03759CAX8
400000.00000000
PA
USD
400480.40000000
0.157426509196
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
7.63617000
N
N
N
N
N
N
CIGNA GROUP/THE
549300VIWYMSIGT1U456
Cigna Group/The
125523CS7
35000.00000000
PA
USD
34397.41000000
0.013521421227
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
5.40000000
N
N
N
N
N
IMOLA MERGER CORP
N/A
Imola Merger Corp
45258LAA5
175000.00000000
PA
USD
161283.64000000
0.063399658099
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.75000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
054989AC2
61000.00000000
PA
USD
63243.03000000
0.024860466189
Long
DBT
CORP
US
N
2
2043-08-02
Fixed
7.07900000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BX9
32000.00000000
PA
USD
30564.71000000
0.012014809213
Long
DBT
CORP
US
N
2
2054-03-15
Fixed
5.45000000
N
N
N
N
N
N
ELI LILLY & CO
FRDRIPF3EKNDJ2CQJL29
Eli Lilly & Co
532457CM8
54000.00000000
PA
USD
50254.58000000
0.019754782257
Long
DBT
CORP
US
N
2
2054-02-09
Fixed
5.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBR6
201000.00000000
PA
USD
181754.42000000
0.071446602309
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
2.18200000
N
N
N
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VBJ2
96000.00000000
PA
USD
85624.29000000
0.033658408943
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
2.70000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-17876.32000000
-0.00702707711
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2033-04-06
0.00000000
JPY
0.00000000
JPY
130000000.00000000
JPY
-17876.32000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GA95
85000.00000000
PA
USD
85078.42000000
0.033443830630
Long
DBT
CORP
US
N
2
2035-04-25
Fixed
5.85100000
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WSE3
1009198.76000000
PA
USD
41593.62000000
0.016350209402
Long
ABS-MBS
USGSE
US
N
2
2031-02-15
Variable
2.50000000
N
N
N
N
N
N
RFM RE-REMIC TRUST 2022-FRR1
N/A
RFM Reremic Trust 2022-FRR1
74971BBP9
150000.00000000
PA
USD
128131.53000000
0.050367757038
Long
ABS-MBS
CORP
US
N
2
2049-11-08
Variable
2.40000000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
Exelon Corp
30161NBJ9
97000.00000000
PA
USD
95745.91000000
0.037637158725
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
5.15000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378FTX8
240135.16000000
PA
USD
7439.58000000
0.002924455502
Long
ABS-MBS
USGA
US
N
2
2028-01-20
Fixed
3.00000000
N
N
N
N
N
N
BATH & BODY WORKS INC
GR3KVMWVCR54YWQNXU90
Bath & Body Works Inc
501797AM6
180000.00000000
PA
USD
175827.23000000
0.069116658494
Long
DBT
CORP
US
N
2
2036-07-01
Fixed
6.75000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
-15582.79000000
-0.00612550385
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-3160667.07000000
USD
4848585.87000000
AUD
2024-06-14
-15582.79000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396WGC4
48993.94000000
PA
USD
39996.61000000
0.015722434086
Long
ABS-MBS
USGSE
US
N
2
2037-06-25
Floating
1.38875000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RLV2
38000.00000000
PA
USD
24671.82000000
0.009698348528
Long
DBT
CORP
US
N
2
2059-09-15
Fixed
3.65000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WRW4
2526121.84000000
PA
USD
184052.23000000
0.072349858017
Long
ABS-MBS
USGSE
US
N
2
2031-02-15
Fixed
3.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-21121.96000000
-0.00830291926
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2054-04-30
0.00000000
USD
0.00000000
USD
402000.00000000
USD
-21121.96000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
TRS VOL USDCAD STRIKE 5.555
000000000
1.00000000
NC
USD
-2614.74000000
-0.00102783904
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Y
Performance Leg
Performance Leg
2024-10-10
0.00000000
USD
0.00000000
USD
14000.00000000
USD
-2614.74
N
N
N
MINERVA LUXEMBOURG SA
222100NM3G3RCPGZ2Z17
Minerva Luxembourg SA
000000000
200000.00000000
PA
USD
163687.50000000
0.064344601444
Long
DBT
CORP
LU
N
2
2031-03-18
Fixed
4.37500000
N
N
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537AX9
47000.00000000
PA
USD
45964.67000000
0.018068443660
Long
DBT
CORP
US
N
2
2033-03-01
Fixed
5.62500000
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
254484.81000000
0.100036494375
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2031-01-08
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
254484.81000000
N
N
N
BX Trust
N/A
BX Trust 2021-LBA
05609BAM1
500000.00000000
PA
USD
490219.30000000
0.192702347330
Long
ABS-MBS
CORP
US
N
2
2036-02-15
Floating
7.43548000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137F82T9
7036142.69000000
PA
USD
310445.52000000
0.122034323051
Long
ABS-MBS
USGSE
US
N
2
2030-11-25
Variable
0.96825400
N
N
N
N
N
N
CLEVELAND-CLIFFS INC
549300TM2WLI2BJMDD86
Cleveland-Cliffs Inc
185899AP6
80000.00000000
PA
USD
78230.58000000
0.030751984671
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
7.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-631.99000000
-0.00024843158
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2054-05-02
0.00000000
USD
0.00000000
USD
671000.00000000
USD
-631.99000000
N
N
N
MERCK & CO INC
4YV9Y5M8S0BRK1RP0397
Merck & Co Inc
58933YBK0
25000.00000000
PA
USD
23642.09000000
0.009293567672
Long
DBT
CORP
US
N
2
2033-05-17
Fixed
4.50000000
N
N
N
N
N
QUEST DIAGNOSTICS INC
8MCWUBXQ0WE04KMXBX50
Quest Diagnostics Inc
74834LBD1
62000.00000000
PA
USD
64962.42000000
0.025536348369
Long
DBT
CORP
US
N
2
2033-11-30
Fixed
6.40000000
N
N
N
N
N
N
SMRT
N/A
SMRT 2022-MINI
78457JAA0
1000000.00000000
PA
USD
990244.70000000
0.389259415371
Long
ABS-MBS
CORP
US
N
2
2039-01-15
Floating
6.32100000
N
N
N
N
N
N
CUMMINS INC
ZUNI8PYC725B6H8JU438
Cummins Inc
231021AT3
106000.00000000
PA
USD
84829.99000000
0.033346174246
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
1.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CKP5
464000.00000000
PA
USD
462260.00000000
0.181711709590
Long
DBT
UST
US
N
2
2029-04-30
Fixed
4.62500000
N
N
N
N
N
N
ENTERGY TEXAS INC
LWXX58X12AJXISQ28573
Entergy Texas Inc
29365TAN4
18000.00000000
PA
USD
17678.31000000
0.006949240541
Long
DBT
CORP
US
N
2
2053-09-01
Fixed
5.80000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PEC6
265000.00000000
PA
USD
256991.34000000
0.101021796697
Long
DBT
CORP
US
N
2
2035-01-23
Fixed
5.33600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397LLL1
526574.66000000
PA
USD
43072.49000000
0.016931544572
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
Floating
1.35550000
N
N
N
N
N
N
AMERICAN HOMES 4 RENT
549300N4PXZ37U8QKI55
American Homes 4 Rent LP
02666TAG2
155000.00000000
PA
USD
149514.82000000
0.058773403606
Long
DBT
CORP
US
N
2
2034-02-01
Fixed
5.50000000
N
N
N
N
N
N
INGERSOLL RAND INC
5299004C02FMZCUOIR50
Ingersoll Rand Inc
45687VAB2
18000.00000000
PA
USD
17887.07000000
0.007031302879
Long
DBT
CORP
US
N
2
2033-08-14
Fixed
5.70000000
N
N
N
N
N
N
CUMMINS INC
ZUNI8PYC725B6H8JU438
Cummins Inc
231021AX4
26000.00000000
PA
USD
25047.38000000
0.009845978974
Long
DBT
CORP
US
N
2
2054-02-20
Fixed
5.45000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAU2
52000.00000000
PA
USD
36800.66000000
0.014466124783
Long
DBT
CORP
N/A
N
2
2041-05-11
Fixed
3.25000000
N
N
N
N
N
N
AGCO CORP
LYOM0B2GCF1JWXK5ZG04
AGCO Corp
001084AS1
40000.00000000
PA
USD
39152.36000000
0.015390564336
Long
DBT
CORP
US
N
2
2034-03-21
Fixed
5.80000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABR5
2000.00000000
PA
USD
1887.42000000
0.000741933792
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
2.25000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2023-2
46656DAH4
2134003.85000000
PA
USD
2010133.46000000
0.790171737811
Long
ABS-MBS
CORP
US
N
2
2053-07-25
Variable
5.00000000
N
N
N
N
N
N
CSX CORP
549300JVQR4N1MMP3Q88
CSX Corp
126408HA4
56000.00000000
PA
USD
46658.44000000
0.018341160600
Long
DBT
CORP
US
N
2
2054-08-01
Fixed
4.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2015-3
12649XBB4
99185.18000000
PA
USD
92659.94000000
0.036424081919
Long
ABS-MBS
CORP
US
N
2
2045-03-25
Variable
3.80720800
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3C5
64000.00000000
PA
USD
62993.48000000
0.024762369540
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
4.54000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
19429.76000000
0.007637725320
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2052-09-30
0.00000000
GBP
0.00000000
GBP
200000.00000000
GBP
19429.76000000
N
N
N
ANTERO MIDSTREAM PART/FI
N/A
Antero Midstream Partners LP / Antero Midstream Finance Corp
03690AAK2
150000.00000000
PA
USD
149664.90000000
0.058832399179
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
6.62500000
N
N
N
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBW8
80000.00000000
PA
USD
76970.10000000
0.030256497335
Long
DBT
CORP
US
N
2
2034-02-15
Fixed
4.87500000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDM0
64000.00000000
PA
USD
51697.66000000
0.020322048588
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
1.95000000
N
N
N
N
N
N
PUBLIC SERVICE ELECTRIC
549300RUHPVD434XUK18
Public Service Electric and Gas Co
74456QCQ7
50000.00000000
PA
USD
48893.27000000
0.019219659237
Long
DBT
CORP
US
N
2
2034-03-01
Fixed
5.20000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140BY5
56000.00000000
PA
USD
53474.45000000
0.021020494373
Long
DBT
CORP
US
N
2
2027-08-05
Fixed
3.75000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2022-6
46655KAD8
711787.91000000
PA
USD
573452.07000000
0.225420663712
Long
ABS-MBS
CORP
US
N
2
2052-11-25
Variable
3.00000000
N
N
N
N
N
N
FEDEX CORP
549300E707U7WNPZN687
FedEx Corp
31428XCA2
42000.00000000
PA
USD
37945.03000000
0.014915969955
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
5.25000000
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCG4
771000.00000000
PA
USD
766057.94000000
0.301132907719
Long
DBT
UST
US
N
2
2024-06-15
Fixed
0.25000000
N
N
N
N
N
N
SOLVENTUM CORP
254900I70403OSGY4M28
Solventum Corp
83444MAG6
77000.00000000
PA
USD
74291.60000000
0.029203594609
Long
DBT
CORP
US
N
2
2034-03-23
Fixed
5.60000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
3388.12000000
0.001331850208
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1416017.81000000
USD
1327624.19000000
EUR
2024-06-14
3388.12000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFD2
82000.00000000
PA
USD
80682.95000000
0.031715997013
Long
DBT
CORP
US
N
2
2029-04-20
Fixed
5.16400000
N
N
N
N
N
N
UTAH ACQUISITION SUB
254900JOFV74IJ7H9933
Utah Acquisition Sub Inc
62854AAP9
33000.00000000
PA
USD
26384.43000000
0.010371565529
Long
DBT
CORP
US
N
2
2046-06-15
Fixed
5.25000000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAD2
283640.00000000
PA
USD
238115.78000000
0.093601924164
Long
DBT
CORP
JE
N
2
2034-03-31
Fixed
2.16000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2K8
53000.00000000
PA
USD
51503.56000000
0.020245749010
Long
DBT
CORP
US
N
2
2026-02-11
Fixed
2.16400000
N
N
N
N
N
N
SINGAPORE EXCHANGE LIMITED
549300IQ650PPXM76X03
10YR MINI JGB
000000000
22.00000000
NC
-13714.21000000
-0.00539097595
N/A
DIR
CORP
SG
N
1
SINGAPORE EXCHANGE LIMITED
549300IQ650PPXM76X03
Long
JAPAN (10 YEAR ISSUE)
Japan Government Ten Year Bond
2024-06-12
2029096.39000000
USD
-13714.21000000
N
N
N
JEFFERIES FIN GROUP INC
549300HOF34RGOJ5YL07
Jefferies Financial Group Inc
47233WEJ4
60000.00000000
PA
USD
59342.48000000
0.023327182737
Long
DBT
CORP
US
N
2
2034-04-14
Fixed
6.20000000
N
N
N
N
N
N
BLACKSTONE HOLDINGS FINA
549300D2L6J4NC1QVZ22
Blackstone Holdings Finance Co LLC
09261BAD2
62000.00000000
PA
USD
47310.13000000
0.018597336138
Long
DBT
CORP
US
N
2
2032-01-30
Fixed
2.00000000
N
N
N
N
N
N
ALLEGHANY CORP
549300DCJE6AYX159479
Alleghany Corp
017175AD2
86000.00000000
PA
USD
78191.11000000
0.030736469244
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
4.90000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BY9
230000.00000000
PA
USD
235390.63000000
0.092530683595
Long
DBT
NUSS
PA
N
2
2038-03-01
Fixed
8.00000000
N
N
N
N
N
N
JONES LANG LASALLE INC
6SYKCME112RT8TQUO411
Jones Lang LaSalle Inc
48020QAB3
66000.00000000
PA
USD
68443.39000000
0.026904697371
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
6.87500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-8556.92000000
-0.00336367533
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-12-28
0.00000000
JPY
0.00000000
JPY
60000000.00000000
JPY
-8556.92000000
N
N
N
Oak Hill Credit Partners
N/A
OHA Credit Funding 8 Ltd
67707GAJ8
250000.00000000
PA
USD
250297.25000000
0.098390388965
Long
ABS-CBDO
CORP
KY
N
2
2034-01-18
Floating
7.48854000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAZ2
44000.00000000
PA
USD
42773.71000000
0.016814095897
Long
DBT
CORP
US
N
2
2034-04-18
Fixed
5.40000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
SWOP IRS EUR
000000000
-8849000.00000000
NC
-39914.84000000
-0.01569029077
N/A
DIR
CORP
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Written
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
IRS EUR
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
CH
US
2034-04-11
0.00000000
USD
0.00000000
USD
0.00000000
EUR
1.00000000
USD
3.00000000
EUR
2029-04-09
XXXX
-39914.84000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A1T92
68294.42060000
PA
USD
64934.72000000
0.025525459661
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
CD Commercial Mortgage Trust
N/A
CD 2016-CD1 Mortgage Trust
12514MBD6
2661117.54000000
PA
USD
52362.81000000
0.020583515173
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Variable
1.49453500
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
USD CALL VERSUS JPY PUT
000000000
2055300.00000000
NC
USD
42504.27000000
0.016708180605
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Call
Purchased
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
USD CALL VERSUS JPY PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
JPY
2032-09-09
0.01000000
USD
140.00000000
USD
2032-09-09
XXXX
5919.93000000
N
N
N
ARROW ELECTRONICS INC
549300YNNLBXT8N8R512
Arrow Electronics Inc
04273WAE1
50000.00000000
PA
USD
48219.93000000
0.018954973211
Long
DBT
CORP
US
N
2
2034-04-10
Fixed
5.87500000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WL91
123656.96000000
PA
USD
9753.97000000
0.003834228711
Long
ABS-MBS
USGSE
US
N
2
2031-01-15
Variable
4.00000000
N
N
N
N
N
N
ENERGIZER HOLDINGS INC
5493000D6NN0V57UME20
Energizer Holdings Inc
29272WAD1
195000.00000000
PA
USD
172443.69000000
0.067786608657
Long
DBT
CORP
US
N
2
2029-03-31
Fixed
4.37500000
N
N
N
N
N
N
DUKE ENERGY INDIANA LLC
6URPHM2EAWGJ2C6ISB97
Duke Energy Indiana LLC
26443TAD8
32000.00000000
PA
USD
29685.95000000
0.011669373783
Long
DBT
CORP
US
N
2
2053-04-01
Fixed
5.40000000
N
N
N
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-9714.89000000
-0.00381886659
N/A
DFE
CORP
US
N
2
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
-1063368.95000000
GBP
1319324.09000000
USD
2024-06-14
-9714.89000000
N
N
N
AEP TRANSMISSION CO LLC
549300X123Z1I0LA3Y84
AEP Transmission Co LLC
00115AAR0
56000.00000000
PA
USD
53916.00000000
0.021194065102
Long
DBT
CORP
US
N
2
2034-04-01
Fixed
5.15000000
N
N
N
N
N
N
ARTHUR J GALLAGHER & CO
54930049QLLMPART6V29
Arthur J Gallagher & Co
04316JAH2
106000.00000000
PA
USD
103026.28000000
0.040499029705
Long
DBT
CORP
US
N
2
2034-07-15
Fixed
5.45000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179XDA1
199984.04000000
PA
USD
164184.77000000
0.064540075380
Long
ABS-MBS
USGA
US
N
2
2052-08-20
Fixed
2.50000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DK0
117000.00000000
PA
USD
111955.98000000
0.044009242687
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
4.20000000
N
N
N
N
N
N
OPEN TEXT HOLDINGS INC
N/A
Open Text Holdings Inc
683720AC0
225000.00000000
PA
USD
193011.59000000
0.075871730172
Long
DBT
CORP
US
N
2
2031-12-01
Fixed
4.12500000
N
N
N
N
N
MOHAWK INDUSTRIES INC
549300JI1115MG3Q6322
Mohawk Industries Inc
608190AM6
43000.00000000
PA
USD
43477.50000000
0.017090751641
Long
DBT
CORP
US
N
2
2028-09-18
Fixed
5.85000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS Mortgage Trust 2022-C17
054976AG0
8670288.12000000
PA
USD
622594.75000000
0.244738364566
Long
ABS-MBS
CORP
US
N
2
2055-09-15
Variable
1.32483100
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
394593.03000000
0.155112218391
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-04-13
0.00000000
USD
0.00000000
USD
15000000.00000000
USD
394593.03000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CFF3
151000.00000000
PA
USD
130965.96000000
0.051481954938
Long
DBT
UST
US
N
2
2032-08-15
Fixed
2.75000000
N
N
N
N
N
N
OCP CLO Ltd
254900NXH68CRC058O44
OCP CLO 2014-5 Ltd
67102SAQ7
1000000.00000000
PA
USD
996302.00000000
0.391640504668
Long
ABS-CBDO
CORP
KY
N
2
2031-04-26
Floating
7.38606000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDL2
408600.00000000
PA
USD
354556.27000000
0.139374001573
Long
DBT
UST
US
N
2
2028-11-30
Fixed
1.50000000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBL3
84000.00000000
PA
USD
83536.09000000
0.032837549704
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
4.25500000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71643VAB1
387000.00000000
PA
USD
317959.20000000
0.124987906831
Long
DBT
CORP
MX
N
2
2032-02-16
Fixed
6.70000000
N
N
N
N
N
N
AMERIPRISE FINANCIAL INC
6ZLKQF7QB6JAEKQS5388
Ameriprise Financial Inc
03076CAN6
64000.00000000
PA
USD
64730.62000000
0.025445229141
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
5.70000000
N
N
N
N
N
N
EXTRA SPACE STORAGE LP
549300YNKSKNZFR8UC42
Extra Space Storage LP
30225VAG2
110000.00000000
PA
USD
85869.02000000
0.033754610879
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
2.35000000
N
N
N
N
N
N
PROLOGIS TARGETED US
5493004DTBWUQ9F2VJ87
Prologis Targeted US Logistics Fund LP
74350LAA2
46000.00000000
PA
USD
45142.62000000
0.017745300600
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
5.25000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BZ6
126000.00000000
PA
USD
123851.61000000
0.048685345451
Long
DBT
CORP
US
N
2
2029-03-30
Fixed
5.35000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
6300000.00000000
PA
900493.72000000
0.353978828659
Long
DBT
NUSS
CN
N
2
2032-11-15
Fixed
2.80000000
N
N
N
N
N
N
ALLEGHANY CORP
549300DCJE6AYX159479
Alleghany Corp
017175AF7
34000.00000000
PA
USD
22497.09000000
0.008843474851
Long
DBT
CORP
US
N
2
2051-08-15
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381WZ84
5565648.54000000
PA
USD
885292.09000000
0.348003156579
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
4.00000000
N
N
N
N
N
N
ROCHE HOLDINGS INC
PVJRP0EQNV6OGDPZGY95
Roche Holdings Inc
771196CG5
215000.00000000
PA
USD
217377.04000000
0.085449646441
Long
DBT
CORP
US
N
2
2030-11-13
Fixed
5.48900000
N
N
N
N
N
N
DEERE & COMPANY
PWFTNG3EI0Y73OXWDH08
Deere & Co
244199BJ3
96000.00000000
PA
USD
85802.04000000
0.033728281431
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.10000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAW1
241000.00000000
PA
USD
202230.17000000
0.079495500197
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
3.00000000
N
N
N
N
N
N
ENTERGY ARKANSAS LLC
549300A0I5ONUIFMLP35
Entergy Arkansas LLC
29366MAC2
10000.00000000
PA
USD
6541.12000000
0.002571276116
Long
DBT
CORP
US
N
2
2052-06-15
Fixed
3.35000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2V4
60000.00000000
PA
USD
56635.89000000
0.022263237996
Long
DBT
CORP
US
N
2
2028-03-24
Fixed
3.52600000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2023-DELC
05610DAA0
750000.00000000
PA
USD
759084.45000000
0.298391669477
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Floating
8.01098000
N
N
N
N
N
N
PFIZER INVESTMENT ENTER
5493000FQO8XF9C0RT95
Pfizer Investment Enterprises Pte Ltd
716973AF9
18000.00000000
PA
USD
16766.18000000
0.006590687559
Long
DBT
CORP
SG
N
2
2043-05-19
Fixed
5.11000000
N
N
N
N
N
N
ASTRAZENECA FINANCE LLC
549300C3HATU4Q460S18
Astrazeneca Finance LLC
04636NAM5
123000.00000000
PA
USD
120583.79000000
0.047400784471
Long
DBT
CORP
US
N
2
2031-02-26
Fixed
4.90000000
N
N
N
N
N
N
INTERSTATE POWER & LIGHT
EF9UQIIO4KY2BWOK3P26
Interstate Power and Light Co
461070AT1
34000.00000000
PA
USD
21035.49000000
0.008268928416
Long
DBT
CORP
US
N
2
2051-11-30
Fixed
3.10000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
0.00000000
0.000000
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
-1.00000000
EUR
1.07000000
USD
2024-06-14
0.00000000
N
N
N
CISCO SYSTEMS INC
549300LKFJ962MZ46593
Cisco Systems Inc
17275RBQ4
34000.00000000
PA
USD
33722.12000000
0.013255968667
Long
DBT
CORP
US
N
2
2027-02-26
Fixed
4.80000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-208361.24000000
-0.08190558805
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2047-10-27
0.00000000
USD
-61.00000000
USD
1465000.00000000
USD
-208300.24000000
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-1342.82000000
-0.00052785470
N/A
DFE
CORP
US
N
2
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
-1189816.36000000
USD
1111624.37000000
EUR
2024-06-14
-1342.82000000
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDD8
86000.00000000
PA
USD
84368.71000000
0.033164847769
Long
DBT
CORP
US
N
2
N/A
Fixed
4.65000000
N
N
N
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
Targa Resources Corp
87612GAA9
30000.00000000
PA
USD
26493.95000000
0.010414617203
Long
DBT
CORP
US
N
2
2033-02-01
Fixed
4.20000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEE8
82000.00000000
PA
USD
59386.07000000
0.023344317711
Long
DBT
CORP
US
N
2
2041-05-15
Fixed
3.05000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
525000.00000000
PA
USD
132352.50000000
0.052026995724
Long
DBT
NUSS
UA
N
2
2034-09-25
Variable
7.37500000
N
Y
N
N
N
N
BANCO BILBAO VIZCAYA ARG
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
05946KAN1
200000.00000000
PA
USD
214372.21000000
0.084268465295
Long
DBT
CORP
ES
N
2
2034-11-15
Fixed
7.88300000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
22488.05000000
0.008839921279
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
-4369132.29000000
PEN
1182264.32000000
USD
2024-06-28
22488.05000000
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
CURRENCY CONTRACT - SGD
000000000
1.00000000
NC
USD
-1003.08000000
-0.00039430489
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
-592026.90000000
USD
804587.65000000
SGD
2024-06-28
-1003.08000000
N
N
N
O'REILLY AUTOMOTIVE INC
549300K2RLMQL149Q332
O'Reilly Automotive Inc
67103HAF4
38000.00000000
PA
USD
35895.46000000
0.014110295944
Long
DBT
CORP
US
N
2
2027-09-01
Fixed
3.60000000
N
N
N
N
N
N
KEYCORP
RKPI3RZGV1V1FJTH5T61
KeyCorp
49326EEP4
128000.00000000
PA
USD
125967.27000000
0.049516999057
Long
DBT
CORP
US
N
2
2035-03-06
Fixed
6.40100000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
4500000.00000000
PA
631377.37000000
0.248190761258
Long
DBT
NUSS
CN
N
2
2026-08-12
Fixed
2.69000000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAU2
45000.00000000
PA
USD
42457.87000000
0.016689941035
Long
DBT
CORP
US
N
2
2033-05-15
Fixed
5.12500000
N
N
N
N
N
N
TITULOS DE TESORERIA
549300MHDRBVRF6B9117
Colombian TES
000000000
2551900000.00000000
PA
578739.11000000
0.227498968296
Long
DBT
NUSS
CO
N
2
2030-09-18
Fixed
7.75000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DR5
95000.00000000
PA
USD
84810.67000000
0.033338579667
Long
DBT
CORP
US
N
2
2030-06-30
Fixed
3.40000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DJ1
96000.00000000
PA
USD
95320.16000000
0.037469798883
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
6.20000000
N
N
N
N
N
N
US BANCORP
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HJQ4
88000.00000000
PA
USD
86800.22000000
0.034120660167
Long
DBT
CORP
US
N
2
2030-01-23
Fixed
5.38400000
N
N
N
N
N
N
HUNT OIL CO OF PERU
549300SVO0550J3IKN50
Hunt Oil Co of Peru LLC Sucursal Del Peru
445640AC9
250000.00000000
PA
USD
266530.00000000
0.104771388303
Long
DBT
CORP
PE
N
2
2033-09-18
Fixed
8.55000000
N
N
N
N
N
N
VMWARE LLC
549300BUDHS3LRWBE814
VMware LLC
928563AJ4
181000.00000000
PA
USD
164629.23000000
0.064714790013
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
1.40000000
N
N
N
N
N
N
EXELON CORP
3SOUA6IRML7435B56G12
Exelon Corp
30161NBM2
83000.00000000
PA
USD
81610.37000000
0.032080560405
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
5.15000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3K7
140000.00000000
PA
USD
136045.07000000
0.053478523452
Long
DBT
CORP
US
N
2
2035-01-23
Fixed
5.49900000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAM6
3000.00000000
PA
USD
2465.36000000
0.000969118635
Long
DBT
CORP
US
N
2
2041-12-15
Fixed
4.25000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2019-INV2 Trust
67112VBB0
49490.62000000
PA
USD
44181.52000000
0.017367497796
Long
ABS-MBS
CORP
US
N
2
2049-05-27
Variable
4.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEV3
245000.00000000
PA
USD
250238.50000000
0.098367294683
Long
DBT
CORP
US
N
2
2028-10-18
Fixed
6.29600000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBV2
131000.00000000
PA
USD
119687.42000000
0.047048426653
Long
DBT
CORP
US
N
2
2037-05-15
Fixed
4.92600000
N
N
N
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
637432PA7
51000.00000000
PA
USD
51738.95000000
0.020338279446
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
5.80000000
N
N
N
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp/The
00130HCH6
76000.00000000
PA
USD
74858.42000000
0.029426408245
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.45000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEB7
166000.00000000
PA
USD
166154.73000000
0.065314455165
Long
DBT
CORP
US
N
2
2025-01-22
Floating
5.82743400
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AX7
200000.00000000
PA
USD
200375.56000000
0.078766463824
Long
DBT
CORP
GB
N
2
2029-03-06
Fixed
5.87100000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCQ5
7000.00000000
PA
USD
6351.35000000
0.002496678636
Long
DBT
CORP
US
N
2
2034-11-01
Fixed
4.40000000
N
N
N
N
N
N
AON NORTH AMERICA INC
N/A
Aon North America Inc
03740MAA8
69000.00000000
PA
USD
68547.18000000
0.026945496615
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
5.12500000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAX4
49000.00000000
PA
USD
46909.74000000
0.018439945164
Long
DBT
CORP
US
N
2
2029-12-05
Fixed
4.45200000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308HN0
24000.00000000
PA
USD
17821.07000000
0.007005358664
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
4.25000000
N
N
N
N
N
N
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
AUST 10Y BOND
000000000
29.00000000
NC
-77141.14000000
-0.03032373216
N/A
DIR
CORP
AU
N
1
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
Long
AUSTRALIAN GOVERNMENT
Australia Government Bond
2024-06-17
2191155.83000000
USD
-77141.14000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD CALL VERSUS JPY PUT
000000000
2055300.00000000
NC
USD
42504.27000000
0.016708180605
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Call
Purchased
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD CALL VERSUS JPY PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
FR
US
N/A
USD
N/A
JPY
2032-09-09
0.01000000
USD
140.00000000
USD
2032-09-09
XXXX
3289.15000000
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2021-PJ10
36262PAH4
1112858.89000000
PA
USD
947171.12000000
0.372327442325
Long
ABS-MBS
CORP
US
N
2
2052-03-25
Variable
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179WFG8
2036732.33000000
PA
USD
1670617.03000000
0.656709809612
Long
ABS-MBS
USGA
US
N
2
2051-05-20
Fixed
2.50000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BV5
161000.00000000
PA
USD
164214.10000000
0.064551604832
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
6.20000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
1800000.00000000
PA
258683.79000000
0.101687088919
Long
DBT
NUSS
CN
N
2
2033-02-25
Fixed
2.88000000
N
N
N
N
N
N
PUBLIC SERVICE ELECTRIC
549300RUHPVD434XUK18
Public Service Electric and Gas Co
74456QCN4
65000.00000000
PA
USD
63745.71000000
0.025058066765
Long
DBT
CORP
US
N
2
2033-08-01
Fixed
5.20000000
N
N
N
N
N
N
NORFOLK SOUTHERN CORP
54930036C8MWP850MI84
Norfolk Southern Corp
655844CT3
42000.00000000
PA
USD
42159.54000000
0.016572669253
Long
DBT
CORP
US
N
2
2034-03-15
Fixed
5.55000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2007-HY2 Trust
92926UAA9
257986.74000000
PA
USD
224670.62000000
0.088316710195
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Variable
4.03661200
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT)
000000000
-54.00000000
NC
USD
57240.06000000
0.022500733698
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
2024-06-28
-5713318.19000000
USD
57240.06000000
N
N
N
BECTON DICKINSON & CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson & Co
075887CQ0
86000.00000000
PA
USD
83705.55000000
0.032904163441
Long
DBT
CORP
US
N
2
2028-02-13
Fixed
4.69300000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R01
20754FAK8
5752.32000000
PA
USD
5760.18000000
0.002264293158
Long
ABS-MBS
CORP
US
N
2
2031-07-25
Floating
7.89450000
N
N
N
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587DD6
74000.00000000
PA
USD
72946.31000000
0.028674768957
Long
DBT
CORP
US
N
2
2027-08-01
Variable
5.11300000
N
N
N
N
N
N
Bluemountain CLO Ltd
N/A
BlueMountain CLO XXXI Ltd
09631BAA1
650000.00000000
PA
USD
650481.65000000
0.255700542288
Long
ABS-CBDO
CORP
KY
N
2
2034-04-19
Floating
6.73817000
N
N
N
N
N
N
MEDLINE BORROWER LP
254900QT3R363TVK6F09
Medline Borrower LP
62482BAA0
205000.00000000
PA
USD
183853.44000000
0.072271714828
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
3.87500000
N
N
N
N
N
N
DTE ELECTRIC CO
9N0FWODEJVKHC2DYLO03
DTE Electric Co
23338VAD8
82000.00000000
PA
USD
67590.06000000
0.026569258326
Long
DBT
CORP
US
N
2
2044-07-01
Fixed
4.30000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DL6
15000.00000000
PA
USD
15454.98000000
0.006075262487
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
6.60000000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BW4
109000.00000000
PA
USD
106834.84000000
0.041996152425
Long
DBT
CORP
US
N
2
2035-01-22
Fixed
5.67600000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-194582.69000000
-0.07648932041
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-05-08
0.00000000
USD
-691.00000000
USD
2500000.00000000
USD
-193891.69000000
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2007-23CB
02151EAC6
145604.32000000
PA
USD
56667.37000000
0.022275612600
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
5.93133000
N
N
N
N
N
N
BRITISH COLUMBIA PROV OF
54930058TO7MEKUHWL16
Province of British Columbia Canada
11070TAM0
1501000.00000000
PA
USD
1406912.58000000
0.553049128532
Long
DBT
NUSS
CA
N
2
2033-07-06
Fixed
4.20000000
N
N
N
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
5943.87000000
0.002336500625
N/A
DFE
CORP
US
N
2
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
-3410953.42000000
EUR
3652704.40000000
USD
2024-06-14
5943.87000000
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR12 Trust
93363NAA3
36343.60000000
PA
USD
32134.73000000
0.012631974917
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Variable
4.48109700
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CH0
24000.00000000
PA
USD
22451.74000000
0.008825648030
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.12500000
N
N
N
N
N
N
SCHLUMBERGER INVESTMENT
529900EZ29I5KXPV2J32
Schlumberger Investment SA
806854AL9
24000.00000000
PA
USD
23232.47000000
0.009132548439
Long
DBT
CORP
LU
N
2
2033-05-15
Fixed
4.85000000
N
N
N
N
N
N
BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The
06417XAG6
50000.00000000
PA
USD
44152.11000000
0.017355936897
Long
DBT
CORP
CA
N
2
2037-05-04
Fixed
4.58800000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJS9
319000.00000000
PA
USD
292726.45000000
0.115069059991
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
1.73400000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
5493007CD1Q2V06I4172
Wells Fargo Commercial Mortgage Trust 2014-LC18
94989AAZ8
350000.00000000
PA
USD
341756.00000000
0.134342290102
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Fixed
3.95900000
N
N
N
N
N
N
CIFC Funding Ltd
549300PC4RPZFE70AI24
CIFC Funding 2013-I Ltd
12549AAQ3
750000.00000000
PA
USD
751032.75000000
0.295226593173
Long
ABS-CBDO
CORP
KY
N
2
2030-07-16
Floating
7.98927000
N
N
N
N
N
N
CNTL AMR BOTTLING CORP
N/A
Central American Bottling Corp / CBC Bottling Holdco SL / Beliv Holdco SL
000000000
250000.00000000
PA
USD
233625.00000000
0.091836624741
Long
DBT
CORP
VG
N
2
2029-04-27
Fixed
5.25000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2022-PJ1
36263NAD7
351775.36000000
PA
USD
268734.56000000
0.105637987979
Long
ABS-MBS
CORP
US
N
2
2052-05-28
Variable
2.50000000
N
N
N
N
N
N
NATIONSTAR MTG HLD INC
N/A
Nationstar Mortgage Holdings Inc
63861CAD1
190000.00000000
PA
USD
170884.08000000
0.067173535063
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2HT9
125898.03880000
PA
USD
119703.98000000
0.047054936292
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
AUST 3YR BOND
000000000
27.00000000
NC
-25132.51000000
-0.00987944308
N/A
DIR
CORP
AU
N
1
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
Long
AUSTRALIAN GOVERNMENT
Australia Government Bond
2024-06-17
1870642.13000000
USD
-25132.51000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-1766.04000000
-0.00069422002
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2054-05-02
0.00000000
USD
0.00000000
USD
324000.00000000
USD
-1766.04000000
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
THREE MONTH EURO EURIBOR
000000000
65.00000000
NC
13873.62000000
0.005453639095
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Put
Purchased
ICE FUTURES EUROPE
549300UF4R84F48NCH34
ICE FUTURES EUROPE
549300UF4R84F48NCH34
3 Month Euro Euribor
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
GB
US
Short
INTERCONTINENTAL EXCHANGE, INC.
3 MONTH EURO INTERBANK OFFER RATE
2024-12-16
0.00000000
USD
1000000.00000000
96.37500000
EUR
2024-12-16
XXXX
4985.47000000
N
N
N
QUEENSLAND TREASURY CORP
98INKCEEHOU5YJS0HQ88
Queensland Treasury Corp
000000000
837000.00000000
PA
394715.14000000
0.155160219120
Long
DBT
NUSS
AU
N
2
2034-07-20
Fixed
1.75000000
N
N
N
N
N
N
TRITON CONTAINER
549300O4LZFLCX53XZ54
Triton Container International Ltd
89680YAC9
164000.00000000
PA
USD
131134.40000000
0.051548167719
Long
DBT
CORP
BM
N
2
2031-06-15
Fixed
3.15000000
N
N
N
N
N
N
GreenPoint Mortgage Funding Tr
N/A
GreenPoint Mortgage Funding Trust 2006-AR3
39538WHF8
152724.22000000
PA
USD
128974.60000000
0.050699162937
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
5.85133000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
510774.81000000
0.200782598409
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-09-26
0.00000000
USD
0.00000000
USD
7000000.00000000
USD
510774.81000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
2866.48000000
0.001126796567
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2054-05-02
0.00000000
USD
0.00000000
USD
894427.00000000
USD
2866.48000000
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325EL5
303000.00000000
PA
USD
305727.00000000
0.120179500363
Long
DBT
NUSS
CO
N
2
2035-11-14
Fixed
8.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179W5B0
348154.83000000
PA
USD
285705.15000000
0.112309027917
Long
ABS-MBS
USGA
US
N
2
2052-05-20
Fixed
2.50000000
N
N
N
N
N
N
SOUTHWESTERN ELEC POWER
R64UBJHEC74EB3HGQ410
Southwestern Electric Power Co
845437BU5
38000.00000000
PA
USD
36233.69000000
0.014243252184
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
5.30000000
N
N
N
N
N
N
Cedar Funding Ltd
549300PTCF9P2JDL1E69
Cedar Funding VIII Clo Ltd
15032EAN9
450000.00000000
PA
USD
450598.05000000
0.177127465070
Long
ABS-CBDO
CORP
KY
N
2
2034-10-17
Floating
7.02868000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDH1
168000.00000000
PA
USD
133209.79000000
0.052363991422
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.75000000
N
N
N
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
Novelis Corp
670001AE6
190000.00000000
PA
USD
174034.45000000
0.068411927134
Long
DBT
CORP
US
N
2
2030-01-30
Fixed
4.75000000
N
N
N
N
N
N
CIFC Funding Ltd
549300ZXX0SJBZWIWI81
CIFC Funding 2015-IV Ltd
12550TBE4
865000.00000000
PA
USD
860720.85000000
0.338344345462
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
7.48617000
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
Johnson & Johnson
478160CF9
118000.00000000
PA
USD
100039.87000000
0.039325089354
Long
DBT
CORP
US
N
2
2037-03-03
Fixed
3.62500000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAZ4
44000.00000000
PA
USD
40783.52000000
0.016031763817
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
2.90000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2G5
250000.00000000
PA
USD
226857.54000000
0.089176375690
Long
DBT
CORP
CH
N
2
2026-08-07
Fixed
1.25000000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
SWOP IRS USD
000000000
-2236000.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Call
Written
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
SWOP IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2054-05-02
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.98500000
USD
2024-04-30
XXXX
27950.00000000
N
N
N
ARES CLO Ltd
635400KWVNFDFINX3H10
Ares XXVIIIR CLO Ltd
04017QAC9
300000.00000000
PA
USD
300566.40000000
0.118150898605
Long
ABS-CBDO
CORP
KY
N
2
2030-10-17
Floating
6.97868000
N
N
N
N
N
N
INTUIT INC
VI90HBPH7XSFMB9E4M29
Intuit Inc
46124HAH9
91000.00000000
PA
USD
89043.09000000
0.035002319281
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
5.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-5230.63000000
-0.00205613014
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2054-05-02
0.00000000
USD
0.00000000
USD
716000.00000000
USD
-5230.63000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - SEK
000000000
1.00000000
NC
USD
-25816.45000000
-0.01014829590
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-925254.52000000
USD
9892509.38000000
SEK
2024-06-14
-25816.45000000
N
N
N
CANADIAN PACIFIC RAILWAY
54930036474DURYNB481
Canadian Pacific Railway Co
13648TAC1
47000.00000000
PA
USD
41466.86000000
0.016300380785
Long
DBT
CORP
CA
N
2
2029-11-15
Fixed
2.87500000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBY0
30000.00000000
PA
USD
30001.07000000
0.011793245617
Long
DBT
CORP
US
N
2
2031-02-20
Fixed
5.83400000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3D3
125000.00000000
PA
USD
120509.57000000
0.047371609022
Long
DBT
CORP
US
N
2
2034-04-24
Fixed
5.38900000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2021-1 Mortgage Loan Trust
19688EAA6
986855.42000000
PA
USD
798073.14000000
0.313717896091
Long
ABS-MBS
CORP
US
N
2
2066-06-25
Variable
0.91000000
N
N
N
N
N
N
ASBURY AUTOMOTIVE GROUP
549300JH4DTA7U42GL91
Asbury Automotive Group Inc
043436AV6
185000.00000000
PA
USD
167885.98000000
0.065994999441
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.75000000
N
N
N
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
30000.00000000
PA
29979.24000000
0.011784664372
Long
DBT
NUSS
DE
N
2
2026-08-15
None
0.00000000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAP9
10000.00000000
PA
USD
7375.50000000
0.002899266027
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
3.75000000
N
N
N
N
N
N
SAN DIEGO G & E
KNIRVXKVNJJ4P8OTMS63
San Diego Gas & Electric Co
797440CE2
73000.00000000
PA
USD
71962.32000000
0.028287968228
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.95000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XAX8
527000.00000000
PA
USD
490297.78000000
0.192733197360
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
2.75000000
N
N
N
N
N
N
UNIVISION COMMUNICATIONS
549300YQDE2JSGTL8V47
Univision Communications Inc
914906AV4
195000.00000000
PA
USD
169807.29000000
0.066750255195
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.50000000
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
92553PAU6
32000.00000000
PA
USD
25346.47000000
0.009963549508
Long
DBT
CORP
US
N
2
2043-09-01
Fixed
5.85000000
N
N
N
N
N
N
MONDELEZ INTERNATIONAL
549300DV9GIB88LZ5P30
Mondelez International Inc
609207BC8
58000.00000000
PA
USD
56408.81000000
0.022173974172
Long
DBT
CORP
US
N
2
2029-02-20
Fixed
4.75000000
N
N
N
N
N
N
AMERICAN HONDA FINANCE
B6Q2VFHD1797Q7NZ3E43
American Honda Finance Corp
02665WEV9
55000.00000000
PA
USD
55771.19000000
0.021923329469
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
5.65000000
N
N
N
N
N
N
CANTOR FITZGERALD SECURITIES
549300DWZ3YOKJO5X179
CANTOR FITZGERALD SECURITIES
000000000
1000000.00000000
PA
USD
1000000.00000000
0.393094166897
Long
RA
CORP
US
N
2
Repurchase
N
5.39000000
2024-05-01
2844750.72160000
USD
1015628.48133600
USD
AMBS
1511.20000000
USD
1223.64999200
USD
ADAS
3166.16000000
USD
3147.86864000
USD
UST
N
N
SUN COMMUNITIES OPER LP
549300PUNBPJCGT6X741
Sun Communities Operating LP
866677AK3
102000.00000000
PA
USD
100267.35000000
0.039414510415
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.50000000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
THREE MONTH EURO EURIBOR
000000000
-65.00000000
NC
-30348.55000000
-0.01192983797
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Put
Written
ICE FUTURES EUROPE
549300UF4R84F48NCH34
ICE FUTURES EUROPE
549300UF4R84F48NCH34
3 Month Euro Euribor
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
GB
US
Short
INTERCONTINENTAL EXCHANGE, INC.
3 MONTH EURO INTERBANK OFFER RATE
2024-12-16
0.00000000
USD
1000000.00000000
96.62500000
EUR
2024-12-16
XXXX
-12829.97000000
N
N
N
PECO ENERGY CO
YH65D4JBECK76IFEJ279
PECO Energy Co
693304BF3
32000.00000000
PA
USD
30887.27000000
0.012141605668
Long
DBT
CORP
US
N
2
2033-06-15
Fixed
4.90000000
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AU8
25000.00000000
PA
USD
24697.44000000
0.009708419601
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
6.25000000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAQ1
106000.00000000
PA
USD
98391.47000000
0.038677112929
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
2.90000000
N
N
N
N
N
N
ADOBE INC
FU4LY2G4933NH2E1CP29
Adobe Inc
00724PAG4
70000.00000000
PA
USD
68316.12000000
0.026854668277
Long
DBT
CORP
US
N
2
2034-04-04
Fixed
4.95000000
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BQ1
145000.00000000
PA
USD
144254.86000000
0.056705744012
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
5.25000000
N
N
N
N
N
N
CENCORA INC
AI8GXW8LG5WK7E9UD086
Cencora Inc
03073EAU9
81000.00000000
PA
USD
78295.51000000
0.030777508275
Long
DBT
CORP
US
N
2
2034-02-15
Fixed
5.12500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - KRW
000000000
1.00000000
NC
USD
-12663.77000000
-0.00497805411
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-2935526.07000000
USD
4039401296.00000000
KRW
2024-06-28
-12663.77000000
N
N
N
ZF NA CAPITAL
529900JYGMS9CW9IQX78
ZF North America Capital Inc
98877DAE5
150000.00000000
PA
USD
153524.38000000
0.060349538254
Long
DBT
CORP
US
N
2
2030-04-14
Fixed
7.12500000
N
N
N
N
N
N
TELECOM ITALIA CAPITAL
549300777DJZOR5C4L39
Telecom Italia Capital SA
87927VAV0
200000.00000000
PA
USD
186149.48000000
0.073174274759
Long
DBT
CORP
LU
N
2
2038-06-04
Fixed
7.72100000
N
N
N
N
N
N
ENTERGY ARKANSAS LLC
549300A0I5ONUIFMLP35
Entergy Arkansas LLC
29366MAA6
28000.00000000
PA
USD
21850.93000000
0.008589473124
Long
DBT
CORP
US
N
2
2049-04-01
Fixed
4.20000000
N
N
N
N
N
N
JOHN DEERE CAPITAL CORP
E0KSF7PFQ210NWI8Z391
John Deere Capital Corp
24422EXH7
54000.00000000
PA
USD
52546.20000000
0.020655604712
Long
DBT
CORP
US
N
2
2029-01-16
Fixed
4.50000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AK0
57000.00000000
PA
USD
55049.75000000
0.021639735614
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.75000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668CF7
205000.00000000
PA
USD
203287.82000000
0.079911256243
Long
DBT
CORP
US
N
2
2027-03-22
Fixed
5.30000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DN2
67000.00000000
PA
USD
67195.30000000
0.026414080472
Long
DBT
CORP
US
N
2
2064-05-01
Fixed
7.00800000
N
N
N
N
N
N
O'REILLY AUTOMOTIVE INC
549300K2RLMQL149Q332
O'Reilly Automotive Inc
67103HAG2
92000.00000000
PA
USD
88921.88000000
0.034954672337
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
4.35000000
N
N
N
N
N
N
Venture CDO Ltd
549300JZGSLL2771YV05
Venture XXVII CLO Ltd
92331LBG4
600000.00000000
PA
USD
596189.40000000
0.234358575506
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
7.88617000
N
N
N
N
N
N
ENBRIDGE INC
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NCC7
40000.00000000
PA
USD
39150.01000000
0.015389640564
Long
DBT
CORP
CA
N
2
2034-04-05
Fixed
5.62500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AKWP2
4333285.88000000
PA
USD
387963.42000000
0.152506157371
Long
ABS-MBS
USGSE
US
N
2
2042-01-15
Floating
1.03054000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31393APM3
84724.46000000
PA
USD
85075.04000000
0.033442501972
Long
ABS-MBS
USGSE
US
N
2
2033-04-25
Fixed
6.00000000
N
N
N
N
N
N
PFIZER INVESTMENT ENTER
5493000FQO8XF9C0RT95
Pfizer Investment Enterprises Pte Ltd
716973AD4
60000.00000000
PA
USD
58039.61000000
0.022815032140
Long
DBT
CORP
SG
N
2
2030-05-19
Fixed
4.65000000
N
N
N
N
N
N
INTUIT INC
VI90HBPH7XSFMB9E4M29
Intuit Inc
46124HAG1
84000.00000000
PA
USD
82942.35000000
0.032604153973
Long
DBT
CORP
US
N
2
2033-09-15
Fixed
5.20000000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-53T2
12668AKU8
60518.52000000
PA
USD
32793.13000000
0.012890788117
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
5.93133000
N
N
N
N
N
N
MISSISSIPPI POWER CO
LNZ0J6YZ5SC6ILIRU850
Mississippi Power Co
605417BZ6
168000.00000000
PA
USD
135261.54000000
0.053170522379
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000KIGZAWUOW4E32
Freddie Mac STACR REMIC Trust 2023-HQA2
35564K2G3
950000.00000000
PA
USD
1005904.65000000
0.395415250370
Long
ABS-MBS
CORP
US
N
2
2043-06-25
Floating
8.68002000
N
N
N
N
N
N
PROLOGIS LP
GL16H1DHB0QSHP25F723
Prologis LP
74340XCK5
27000.00000000
PA
USD
24676.31000000
0.009700113521
Long
DBT
CORP
US
N
2
2054-03-15
Fixed
5.25000000
N
N
N
N
N
N
TRUST FIBRAUNO
N/A
Trust Fibra Uno
89834JAA1
225000.00000000
PA
USD
221013.00000000
0.086878921108
Long
DBT
CORP
MX
N
2
2034-02-13
Fixed
7.37500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
UNITED STATES TREASURY NOTE/BOND
91282CKN0
3324000.00000000
PA
USD
3308678.42000000
1.300622187041
Long
DBT
UST
US
N
2
2031-04-30
Fixed
4.62500000
N
N
N
N
N
N
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
SWOP IRS USD
000000000
-2236000.00000000
NC
USD
-17894.60000000
-0.00703426287
N/A
DIR
CORP
US
N
2
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
Put
Written
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
7H6GLXDRUGQFU57RNE97
SWOP IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2054-05-02
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.98500000
USD
2024-04-30
XXXX
10055.40000000
N
N
N
AMERICAN WATER CAPITAL C
5IDHQUFVC8Q2KIBBFF06
American Water Capital Corp
03040WBD6
50000.00000000
PA
USD
48483.22000000
0.019058470974
Long
DBT
CORP
US
N
2
2034-03-01
Fixed
5.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FLV35
1214594.25000000
PA
USD
1079185.94000000
0.424221698011
Long
ABS-MBS
USGSE
US
N
2
2049-05-15
Fixed
4.00000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDE3
102000.00000000
PA
USD
82023.95000000
0.032243136290
Long
DBT
CORP
US
N
2
2031-01-08
Fixed
2.35000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.HY.42.V1
000000000
1.00000000
NC
USD
174395.41000000
0.068553818404
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.42.V1
Y
Default Event
2029-06-20
156114.00000000
USD
0.00000000
USD
-2700000.00000000
USD
18281.41000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396QW54
147528.15000000
PA
USD
100023.89000000
0.039318807709
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Floating
0.01000000
N
N
N
N
N
N
AMERICAN HONDA FINANCE
B6Q2VFHD1797Q7NZ3E43
American Honda Finance Corp
02665WEZ0
14000.00000000
PA
USD
13342.67000000
0.005244925747
Long
DBT
CORP
US
N
2
2034-01-10
Fixed
4.90000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818EF1
40000.00000000
PA
USD
31839.20000000
0.012515803798
Long
DBT
CORP
US
N
2
2045-11-15
Fixed
4.05000000
N
N
N
N
N
N
CAMDEN PROPERTY TRUST
5493002MYX22OHYJBD89
Camden Property Trust
133131BB7
103000.00000000
PA
USD
96853.46000000
0.038072530169
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
4.90000000
N
N
N
N
N
N
BURLINGTN NORTH SANTA FE
N/A
Burlington Northern Santa Fe LLC
12189LAZ4
100000.00000000
PA
USD
77460.23000000
0.030449164579
Long
DBT
CORP
US
N
2
2046-08-01
Fixed
3.90000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-1145.89000000
-0.00045044267
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
-2938396.55000000
CZK
123564.01000000
USD
2024-06-28
-1145.89000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DJ1
45000.00000000
PA
USD
45207.04000000
0.017770623726
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
6.29800000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89115A2U5
65000.00000000
PA
USD
65235.75000000
0.025643792798
Long
DBT
CORP
CA
N
2
2028-07-17
Fixed
5.52300000
N
N
N
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-6663.29000000
-0.00261930043
N/A
DFE
CORP
US
N
2
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
-1316877.46000000
EUR
1401252.96000000
USD
2024-06-14
-6663.29000000
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205BA1
475000.00000000
PA
USD
424234.38000000
0.166764060175
Long
DBT
NUSS
ZA
N
2
2029-09-30
Fixed
4.85000000
N
N
N
N
N
N
AMER AIRLINE 16-1 AA PTT
N/A
American Airlines 2016-1 Class AA Pass Through Trust
02376UAA3
60456.11000000
PA
USD
56638.63000000
0.022264315074
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.57500000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19
61764PAA0
21550000.00000000
PA
USD
41257.48000000
0.016218074728
Long
ABS-MBS
CORP
US
N
2
2047-12-15
Variable
0.52841900
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2016-C2
17291CBX2
8581000.00000000
PA
USD
138150.67000000
0.054306222529
Long
ABS-MBS
CORP
US
N
2
2049-08-10
Variable
0.94182000
N
N
N
N
N
N
Citimortgage Alternative Loan
N/A
CitiMortgage Alternative Loan Trust Series 2006-A3
17309KAG2
253158.73000000
PA
USD
217453.78000000
0.085479812487
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-244155.49000000
-0.09597609893
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2052-06-28
0.00000000
JPY
0.00000000
JPY
262000000.00000000
JPY
-244155.49000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-310088.01000000
-0.12189378795
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2047-05-20
0.00000000
JPY
0.00000000
JPY
350000000.00000000
JPY
-310088.01000000
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140CJ7
17000.00000000
PA
USD
16244.28000000
0.006385531713
Long
DBT
CORP
US
N
2
2053-02-10
Fixed
5.70000000
N
N
N
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537AP6
60000.00000000
PA
USD
38805.72000000
0.015254302174
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
3.25000000
N
N
N
N
N
N
CIMIC FINANCE USA PTY LT
213800GNWSV32LXHCZ50
CIMIC Finance USA Pty Ltd
171873AB8
35000.00000000
PA
USD
34573.63000000
0.013590692281
Long
DBT
CORP
AU
N
2
2034-03-25
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Pool
31329QM65
770552.75000000
PA
USD
699840.94000000
0.275103391270
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
4.00000000
N
N
N
N
N
N
LADDER CAP FIN LLLP/CORP
N/A
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp
505742AP1
220000.00000000
PA
USD
196518.94000000
0.077250448998
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.75000000
N
N
N
N
N
OVINTIV INC
2549003MEX7YMKLGI239
Ovintiv Inc
69047QAB8
30000.00000000
PA
USD
29980.29000000
0.011785077120
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
5.65000000
N
N
N
N
N
N
RYDER SYSTEM INC
ZXJ6Y2OSPZXIVGRILD15
Ryder System Inc
78355HKW8
86000.00000000
PA
USD
85263.90000000
0.033516741736
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396PVA6
329866.16000000
PA
USD
16660.29000000
0.006549062817
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Floating
0.63550000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
86788LAA8
50000.00000000
PA
USD
47275.81000000
0.018583845146
Long
DBT
CORP
US
N
2
2028-03-15
Floating
6.24088000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-350.13000000
-0.00013763406
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
-187832.18000000
GBP
234409.68000000
USD
2024-06-14
-350.13000000
N
N
N
TEXAS INSTRUMENTS INC
WDJNR2L6D8RWOEB8T652
Texas Instruments Inc
882926AA6
92000.00000000
PA
USD
83408.69000000
0.032787469507
Long
DBT
CORP
US
N
2
2063-05-18
Fixed
5.05000000
N
N
N
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
000000000
300000.00000000
PA
USD
288990.00000000
0.113600283291
Long
DBT
CORP
MX
N
2
N/A
Fixed
5.12500000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2020-C55
95002EBF3
5097772.00000000
PA
USD
265068.09000000
0.104196720009
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Variable
1.42122200
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDC5
91000.00000000
PA
USD
71756.88000000
0.028207210962
Long
DBT
CORP
US
N
2
2046-08-15
Fixed
4.12500000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2017-C4
17326FAF4
2767059.19000000
PA
USD
72627.42000000
0.028549415158
Long
ABS-MBS
CORP
US
N
2
2050-10-12
Variable
1.12700400
N
N
N
N
N
N
ENTERGY LOUISIANA LLC
0V5453U14HDZO63CGH17
Entergy Louisiana LLC
29364WBM9
21000.00000000
PA
USD
20380.36000000
0.008011400635
Long
DBT
CORP
US
N
2
2034-03-15
Fixed
5.35000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BQ5
40000.00000000
PA
USD
38378.34000000
0.015086301589
Long
DBT
CORP
US
N
2
2034-05-15
Fixed
5.30000000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DS6
69000.00000000
PA
USD
66575.00000000
0.026170244161
Long
DBT
CORP
US
N
2
2043-03-02
Fixed
5.60000000
N
N
N
N
N
N
Morgan Stanley Residential Mor
N/A
Morgan Stanley Residential Mortgage Loan Trust 2021-2
61772LBL4
288815.74000000
PA
USD
221169.55000000
0.086940460000
Long
ABS-MBS
CORP
US
N
2
2051-05-25
Variable
2.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABF1
46000.00000000
PA
USD
42110.58000000
0.016553423362
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.87500000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGJ7
6000.00000000
PA
USD
4982.08000000
0.001958426587
Long
DBT
CORP
US
N
2
2031-03-21
Fixed
2.55000000
N
N
N
N
N
N
COLUMBIA PIPELINE HOLDCO
N/A
Columbia Pipelines Holding Co LLC
19828AAB3
33000.00000000
PA
USD
33310.16000000
0.013094029594
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
6.04200000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816DE6
36000.00000000
PA
USD
35718.51000000
0.014040737931
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
4.99000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBU8
254000.00000000
PA
USD
236010.49000000
0.092774346945
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
2.80000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202E3G2
9920.95000000
PA
USD
10147.09000000
0.003988761889
Long
ABS-MBS
USGA
US
N
2
2039-03-20
Fixed
5.50000000
N
N
N
N
N
N
PARAMOUNT GLOBAL
5KYC8KF17ROCY24M3H09
Paramount Global
92556HAC1
17000.00000000
PA
USD
11873.23000000
0.004667297455
Long
DBT
CORP
US
N
2
2050-05-19
Fixed
4.95000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-147726.49000000
-0.05807042151
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2037-07-15
0.00000000
JPY
0.00000000
JPY
400000000.00000000
JPY
-147726.49000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD CALL VERSUS JPY PUT
000000000
-2055300.00000000
NC
USD
-90234.63000000
-0.03547070670
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Call
Written
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
USD CALL VERSUS JPY PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
FR
US
N/A
USD
N/A
JPY
2027-09-09
0.01000000
USD
140.00000000
USD
2027-09-09
XXXX
-33919.41000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2020-5
46653JBM2
67410.54000000
PA
USD
55654.26000000
0.021877364968
Long
ABS-MBS
CORP
US
N
2
2050-12-25
Variable
3.00000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-937632.82000000
-0.36857799223
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-27945025.66000000
USD
4230847822.00000000
JPY
2024-06-14
-937632.82000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDR2
135000.00000000
PA
USD
122326.33000000
0.048085766780
Long
DBT
CORP
US
N
2
2039-03-15
Fixed
4.81200000
N
N
N
N
N
N
CLEVELAND-CLIFFS INC
549300TM2WLI2BJMDD86
Cleveland-Cliffs Inc
185899AN1
170000.00000000
PA
USD
166216.62000000
0.065338783763
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
6.75000000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
06406RBW6
234000.00000000
PA
USD
225147.24000000
0.088504066737
Long
DBT
CORP
US
N
2
2035-03-14
Fixed
5.18800000
N
N
N
N
N
N
ATHENE GLOBAL FUNDING
549300LM1QSI4MSIL320
Athene Global Funding
04685A3S8
207000.00000000
PA
USD
206607.12000000
0.081216053711
Long
DBT
CORP
US
N
2
2026-02-23
Fixed
5.68400000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
THREE MONTH EURO EURIBOR
000000000
65.00000000
NC
7803.91000000
0.003067671499
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Call
Purchased
ICE FUTURES EUROPE
549300UF4R84F48NCH34
ICE FUTURES EUROPE
549300UF4R84F48NCH34
3 Month Euro Euribor
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
GB
US
Long
INTERCONTINENTAL EXCHANGE, INC.
3 MONTH EURO INTERBANK OFFER RATE
2024-12-16
0.00000000
USD
1000000.00000000
97.37500000
EUR
2024-12-16
XXXX
-9886.49000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)
000000000
-118.00000000
NC
USD
124017.21000000
0.048750441845
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
2024-06-18
-12801642.21000000
USD
124017.21000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
121515.51000000
0.047767038168
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2052-09-13
0.00000000
GBP
0.00000000
GBP
500000.00000000
GBP
121515.51000000
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corp Nacional del Cobre de Chile
21987BBG2
250000.00000000
PA
USD
243359.38000000
0.095663152737
Long
DBT
CORP
CL
N
2
2034-01-08
Fixed
5.95000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NAF8
70000.00000000
PA
USD
70077.37000000
0.027547005378
Long
DBT
CORP
US
N
2
2035-06-15
Fixed
5.65000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
342251.69000000
0.134537142949
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-02-17
0.00000000
USD
0.00000000
USD
2000000.00000000
USD
342251.69000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396VQY7
817387.18000000
PA
USD
60516.00000000
0.023788486603
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Floating
1.32550000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
1110000.00000000
PA
162240.72000000
0.063775880665
Long
DBT
NUSS
CN
N
2
2029-05-23
Fixed
3.29000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
N/A
CSAIL 2018-C14 Commercial Mortgage Trust
12596GBE8
500000.00000000
PA
USD
438999.40000000
0.172568103411
Long
ABS-MBS
CORP
US
N
2
2051-11-15
Variable
5.04077500
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CQ7
175000.00000000
PA
USD
158765.95000000
0.062409968846
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
5.00000000
N
N
N
N
N
N
VW CR INC DISC 06/06/2024
N/A
VW CR INC DISC 06/06/2024
000000000
2000000.00000000
PA
USD
1988540.96000000
0.781683852012
Long
DBT
CORP
US
N
2
2024-06-06
None
0.00000000
N
N
N
N
N
N
VENTURE GLOBAL LNG INC
54930011XLBUWMQUC829
Venture Global LNG Inc
92332YAB7
350000.00000000
PA
USD
359405.33000000
0.141280138774
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
8.37500000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61761J3R8
681000.00000000
PA
USD
647446.23000000
0.254507336392
Long
DBT
CORP
US
N
2
2026-07-27
Fixed
3.12500000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300Y2YE54ON4DJE28
Neuberger Berman Loan Advisers Clo 40 Ltd
64134JAE3
600000.00000000
PA
USD
598688.40000000
0.235340917829
Long
ABS-CBDO
CORP
KY
N
2
2033-04-16
Floating
7.33927000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BP9
139000.00000000
PA
USD
131021.68000000
0.051503858145
Long
DBT
CORP
US
N
2
N/A
Fixed
6.25000000
N
N
N
N
N
N
SWISS RE SUB FIN PLC
636700H29EH5Z8ZU8L04
Swiss RE Subordinated Finance PLC
87088QAA2
200000.00000000
PA
USD
194200.40000000
0.076339044449
Long
DBT
CORP
GB
N
2
2035-04-05
Fixed
5.69800000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CURRENCY CONTRACT - TRY
000000000
1.00000000
NC
USD
3551.55000000
0.001396093588
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
-203322.55000000
USD
9424000.00000000
TRY
2025-04-03
3551.55000000
N
N
N
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
4541.77000000
0.001785343294
N/A
DFE
CORP
US
N
2
Bank of Montreal
NQQ6HPCNCCU6TUTQYE16
-1426725.50000000
USD
1145162.18000000
GBP
2024-06-14
4541.77000000
N
N
N
FIRSTENERGY PENN ELECTRI
N/A
FirstEnergy Pennsylvania Electric Co
708696CA5
49000.00000000
PA
USD
48308.23000000
0.018989683426
Long
DBT
CORP
US
N
2
2026-03-30
Fixed
5.15000000
N
N
N
N
N
N
META PLATFORMS INC
BQ4BKCS1HXDV9HN80Z93
Meta Platforms Inc
30303M8R6
137000.00000000
PA
USD
136631.35000000
0.053708986700
Long
DBT
CORP
US
N
2
2063-05-15
Fixed
5.75000000
N
N
N
N
N
N
NBN CO LTD
2549007CRZ2NT7S96A24
NBN Co Ltd
62878U2E1
271000.00000000
PA
USD
220209.85000000
0.086563207528
Long
DBT
CORP
AU
N
2
2032-01-08
Fixed
2.50000000
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2006-13T1
12668BZK2
103592.75000000
PA
USD
49996.41000000
0.019653297136
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Fixed
6.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFR0
9000.00000000
PA
USD
7110.13000000
0.002794950628
Long
DBT
CORP
US
N
2
2031-01-20
Fixed
1.75000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CD4
78000.00000000
PA
USD
65127.53000000
0.025601252147
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
2.25000000
N
N
N
N
N
N
MEDTRONIC GLOBAL HLDINGS
549300JXMTTP8GKYIX14
Medtronic Global Holdings SCA
58507LBC2
50000.00000000
PA
USD
47125.51000000
0.018524763093
Long
DBT
CORP
LU
N
2
2033-03-30
Fixed
4.50000000
N
N
N
N
N
N
BONOS DE TESORERIA
254900STKLK2DBJJZ530
Peru Government Bond
000000000
4000000.00000000
PA
1083189.76000000
0.425795576299
Long
DBT
NUSS
PE
N
2
2028-08-12
Fixed
6.35000000
N
N
N
N
N
N
PFIZER INVESTMENT ENTER
5493000FQO8XF9C0RT95
Pfizer Investment Enterprises Pte Ltd
716973AE2
177000.00000000
PA
USD
168702.59000000
0.066316004069
Long
DBT
CORP
SG
N
2
2033-05-19
Fixed
4.75000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corp Trust 2017-SLP
36255MAN7
1760000.00000000
PA
USD
1699281.06000000
0.667977472605
Long
ABS-MBS
CORP
US
N
2
2032-10-10
Variable
4.74434300
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
CURRENCY CONTRACT - JPY
000000000
1.00000000
NC
USD
-314.44000000
-0.00012360452
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
-13606.99000000
USD
2082346.00000000
JPY
2024-06-14
-314.44000000
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BTP
000000000
32.00000000
NC
-55822.06000000
-0.02194332617
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUONI POLIENNALI DEL TES
Italy Buoni Poliennali Del Tesoro
2024-06-06
4051083.68000000
USD
-55822.06000000
N
N
N
ARTHUR J GALLAGHER & CO
54930049QLLMPART6V29
Arthur J Gallagher & Co
04316JAE9
23000.00000000
PA
USD
21770.84000000
0.008557990212
Long
DBT
CORP
US
N
2
2053-03-02
Fixed
5.75000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31398WRX4
292230.96000000
PA
USD
31829.39000000
0.012511947544
Long
ABS-MBS
USGSE
US
N
2
2040-02-15
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397LN70
278633.15000000
PA
USD
18876.31000000
0.007420167353
Long
ABS-MBS
USGSE
US
N
2
2038-07-25
Floating
0.65550000
N
N
N
N
N
N
SOLVENTUM CORP
254900I70403OSGY4M28
Solventum Corp
83444MAJ0
28000.00000000
PA
USD
26159.99000000
0.010283339475
Long
DBT
CORP
US
N
2
2054-04-30
Fixed
5.90000000
N
N
N
N
N
N
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-4017.40000000
-0.00157921650
N/A
DFE
CORP
US
N
2
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
-5269543.62000000
BRL
1005018.59000000
USD
2024-06-28
-4017.40000000
N
N
N
Wells Fargo Alternative Loan T
N/A
Wells Fargo Alternative Loan 2007-PA2 Trust
94985FAG3
63073.39000000
PA
USD
51288.03000000
0.020161025424
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
5.86133000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2016-P4
29429EAK7
1400000.00000000
PA
USD
1243879.28000000
0.488961689292
Long
ABS-MBS
CORP
US
N
2
2049-07-10
Variable
4.09523200
N
N
N
N
N
N
TOTALENERGIES CAPITAL SA
529900QI55ZLJVCMPA71
TotalEnergies Capital SA
89157XAB7
65000.00000000
PA
USD
63292.10000000
0.024879755320
Long
DBT
CORP
FR
N
2
2054-04-05
Fixed
5.48800000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816DP1
70000.00000000
PA
USD
69229.35000000
0.027213653663
Long
DBT
CORP
US
N
2
2028-02-16
Fixed
5.09800000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBC8
440000.00000000
PA
USD
427990.79000000
0.168240683034
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
2.95000000
N
N
N
N
N
N
OBRIGACOES DO TESOURO
549300P6U1FJ3IMP7K42
Portugal Obrigacoes do Tesouro OT
000000000
1664000.00000000
PA
1643844.40000000
0.646185644927
Long
DBT
NUSS
PT
N
2
2034-04-18
Fixed
2.25000000
N
N
N
N
N
N
Rad CLO Ltd
N/A
Rad CLO 10 Ltd
48662LAE1
250000.00000000
PA
USD
249832.25000000
0.098207600177
Long
ABS-CBDO
CORP
KY
N
2
2034-04-23
Floating
7.33801000
N
N
N
N
N
N
QUEST DIAGNOSTICS INC
8MCWUBXQ0WE04KMXBX50
Quest Diagnostics Inc
74834LBC3
30000.00000000
PA
USD
25063.93000000
0.009852484682
Long
DBT
CORP
US
N
2
2031-06-30
Fixed
2.80000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
3356.48000000
0.001319412709
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-2366844.43000000
USD
2216938.80000000
EUR
2024-06-14
3356.48000000
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBF9
13000.00000000
PA
USD
9960.38000000
0.003915367278
Long
DBT
CORP
US
N
2
2062-03-15
Fixed
5.39100000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
TRS VOL USDCAD STRIKE 5.187
000000000
1.00000000
NC
USD
3083.29000000
0.001212023313
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Y
Performance Leg
Performance Leg
2024-09-13
0.00000000
USD
0.00000000
USD
22000.00000000
USD
3083.29
N
N
N
Sound Point CLO LTD
549300W2FX6HEXN27U70
Sound Point CLO IX Ltd
83609GBN4
1000000.00000000
PA
USD
1000136.00000000
0.393147627704
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
6.79617000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - NZD
000000000
1.00000000
NC
USD
-5636.71000000
-0.00221575782
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-414775.95000000
USD
694340.25000000
NZD
2024-06-14
-5636.71000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-3331.98000000
-0.00130978190
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-9424000.00000000
TRY
203542.12000000
USD
2025-04-03
-3331.98000000
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBE2
41000.00000000
PA
USD
31422.68000000
0.012352072216
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
5.14100000
N
N
N
N
N
N
RTX CORP
I07WOS4YJ0N7YRFE7309
RTX Corp
913017BT5
149000.00000000
PA
USD
126668.86000000
0.049792789993
Long
DBT
CORP
US
N
2
2042-06-01
Fixed
4.50000000
N
N
N
N
N
N
THAILAND GOVERNMENT BOND
254900PHJ6MSKT6C7026
Thailand Government Bond
000000000
1200000.00000000
PA
32341.07000000
0.012713085968
Long
DBT
NUSS
TH
N
2
2024-06-17
Fixed
0.75000000
N
N
N
N
N
N
Flagstar Mortgage Trust
N/A
Flagstar Mortgage Trust 2018-2
33851HBA0
862895.56000000
PA
USD
753408.26000000
0.296160392298
Long
ABS-MBS
CORP
US
N
2
2048-04-25
Variable
4.00850500
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BY4
22000.00000000
PA
USD
22823.65000000
0.008971843682
Long
DBT
CORP
US
N
2
2063-11-15
Fixed
5.90000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XBA6
58000.00000000
PA
USD
55408.60000000
0.021780797455
Long
DBT
CORP
US
N
2
2054-04-18
Fixed
5.75000000
N
N
N
N
N
N
META PLATFORMS INC
BQ4BKCS1HXDV9HN80Z93
Meta Platforms Inc
30303M8J4
72000.00000000
PA
USD
59986.93000000
0.023580512273
Long
DBT
CORP
US
N
2
2052-08-15
Fixed
4.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A3ZG9
138731.06000000
PA
USD
12287.09000000
0.004829983407
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Floating
1.00550000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP
353800CI5L6DDAN5XZ33
Mizuho Financial Group Inc
60687YDE6
200000.00000000
PA
USD
194906.32000000
0.076616537483
Long
DBT
CORP
JP
N
2
2035-05-26
Fixed
5.57900000
N
N
N
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-3148.72000000
-0.00123774346
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-4537899.75000000
RON
969129.77000000
USD
2024-06-28
-3148.72000000
N
N
N
AMER AIRLINE 21-1A EETC
N/A
American Airlines 2021-1 Class A Pass Through Trust
02379KAA2
381619.57000000
PA
USD
319668.94000000
0.125659995652
Long
DBT
CORP
US
N
2
2034-07-11
Fixed
2.87500000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738BJ6
74000.00000000
PA
USD
73291.64000000
0.028810516166
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.15000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DCF0
227000.00000000
PA
USD
210021.83000000
0.082558356294
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
4.25000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2017-1
59981HAC5
300000.00000000
PA
USD
288216.54000000
0.113296240677
Long
ABS-MBS
CORP
US
N
2
2058-11-25
Variable
3.25000000
N
N
N
N
N
N
SMBC AVIATION CAPITAL FI
549300OD7VKRVNWB2J98
SMBC Aviation Capital Finance DAC
78448TAK8
202000.00000000
PA
USD
196784.25000000
0.077354740812
Long
DBT
CORP
IE
N
2
2033-07-25
Fixed
5.70000000
N
N
N
N
N
N
AEP TEXAS INC
5493001L78U618KXNZ75
AEP Texas Inc
0010EPAN8
332000.00000000
PA
USD
322219.36000000
0.126662550877
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
3.85000000
N
N
N
N
N
N
Shackleton CLO LTD
549300O6RVX5OXLL7335
Shackleton 2019-XV CLO Ltd
81883MAQ6
650000.00000000
PA
USD
650794.95000000
0.255823698691
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Floating
7.74017000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - ILS
000000000
1.00000000
NC
USD
2151.33000000
0.000845675274
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-285411.26000000
USD
1073194.85000000
ILS
2024-06-28
2151.33000000
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BUXL 30Y BND
000000000
30.00000000
NC
-195789.05000000
-0.07696353349
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2024-06-06
4323298.30000000
USD
-195789.05000000
N
N
N
Adjustable Rate Mortgage Trust
N/A
Adjustable Rate Mortgage Trust 2006-2
007034AA9
230649.36000000
PA
USD
198736.25000000
0.078122060626
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Variable
4.84681400
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-44071.29000000
-0.01732416702
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2054-04-30
0.00000000
USD
0.00000000
USD
3220000.00000000
USD
-44071.29000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TV0
778500.00000000
PA
USD
774729.14000000
0.304541505859
Long
DBT
UST
US
N
2
2053-11-15
Fixed
4.75000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2282.90000000
-0.00089739467
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-363706.80000000
GBP
452291.70000000
USD
2024-06-14
-2282.90000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F5YQ6
1121324.39000000
PA
USD
1000707.00000000
0.393372084473
Long
ABS-MBS
USGSE
US
N
2
2048-06-15
Fixed
4.00000000
N
N
N
N
N
N
PANTHER ESCROW ISSUER
N/A
Panther Escrow Issuer LLC
69867RAA5
265000.00000000
PA
USD
266543.94000000
0.104776868035
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
7.12500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GLG2
64000.00000000
PA
USD
63029.02000000
0.024776340107
Long
DBT
CORP
US
N
2
2029-04-25
Fixed
5.20200000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
23400000.00000000
PA
3276991.22000000
1.288166133556
Long
DBT
NUSS
CN
N
2
2033-08-25
Fixed
2.52000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468J1
107000.00000000
PA
USD
106186.10000000
0.041741136515
Long
DBT
CORP
US
N
2
2025-07-22
Fixed
2.72000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NEG2
119000.00000000
PA
USD
110941.87000000
0.043610601961
Long
DBT
CORP
US
N
2
2064-05-15
Fixed
5.50000000
N
N
N
N
N
N
REALTY INCOME CORP
549300CUWDAUZSH43859
Realty Income Corp
756109CG7
90000.00000000
PA
USD
85632.02000000
0.033661447561
Long
DBT
CORP
US
N
2
2034-02-15
Fixed
5.12500000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISBDRXIMCHZ70
Freddie Mac STACR REMIC Trust 2022-DNA1
35564KPV5
1000000.00000000
PA
USD
1009557.60000000
0.396851203707
Long
ABS-MBS
CORP
US
N
2
2042-01-25
Floating
7.18002000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TU2
1531500.00000000
PA
USD
1430756.02000000
0.562421845715
Long
DBT
UST
US
N
2
2043-08-15
Fixed
4.37500000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FXQX9
5490905.80000000
PA
USD
350801.62000000
0.137898070560
Long
ABS-MBS
USGSE
US
N
2
2035-10-25
Variable
0.95322300
N
N
N
N
N
N
CISCO SYSTEMS INC
549300LKFJ962MZ46593
Cisco Systems Inc
17275RBU5
42000.00000000
PA
USD
40443.97000000
0.015898288693
Long
DBT
CORP
US
N
2
2054-02-26
Fixed
5.30000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
36000.00000000
PA
USD
30727.64000000
0.012078856046
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397UGJ2
2239525.37000000
PA
USD
188162.91000000
0.073965742347
Long
ABS-MBS
USGSE
US
N
2
2041-06-25
Floating
1.11550000
N
N
N
N
N
N
VIATRIS INC
254900ZZTSW7NL773X71
Viatris Inc
92556VAE6
39000.00000000
PA
USD
27560.83000000
0.010834001507
Long
DBT
CORP
US
N
2
2040-06-22
Fixed
3.85000000
N
N
N
N
N
N
TRANSATLANTIC HOLDINGS
RN37QJVS1BV19MNIC295
Transatlantic Holdings Inc
893521AB0
7000.00000000
PA
USD
8657.28000000
0.003403126269
Long
DBT
CORP
US
N
2
2039-11-30
Fixed
8.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AFGS5
296117.42000000
PA
USD
4585.91000000
0.001802694470
Long
ABS-MBS
USGSE
US
N
2
2040-07-15
Floating
0.60550000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WE4G1
12997.16000000
PA
USD
12112.11000000
0.004761199789
Long
ABS-MBS
USGSE
US
N
2
2030-07-01
Fixed
2.50000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
1092000.00000000
PA
961292.83000000
0.377878604153
Long
DBT
NUSS
ES
N
2
2048-10-31
Fixed
2.70000000
N
N
N
N
N
N
HILCORP ENERGY I/HILCORP
N/A
Hilcorp Energy I LP / Hilcorp Finance Co
431318BC7
175000.00000000
PA
USD
187865.65000000
0.073848891175
Long
DBT
CORP
US
N
2
2033-11-01
Fixed
8.37500000
N
N
N
N
N
N
Rate Mortgage Trust
N/A
RATE Mortgage Trust 2021-HB1
75409XBG0
528542.25000000
PA
USD
403773.51000000
0.158721011528
Long
ABS-MBS
CORP
US
N
2
2051-12-25
Variable
2.50000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2015-2
12649RAX0
144721.45000000
PA
USD
133159.58000000
0.052344254164
Long
ABS-MBS
CORP
US
N
2
2045-02-25
Variable
3.88676000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668CC4
200000.00000000
PA
USD
206872.03000000
0.081320188287
Long
DBT
CORP
US
N
2
2030-11-16
Fixed
6.45000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
EUR CALL VERSUS MXN PUT
000000000
-2212000.00000000
NC
-15707.82000000
-0.00617465241
N/A
DFE
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Call
Written
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
EUR CALL VERSUS MXN PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
DE
US
N/A
EUR
N/A
MXN
2024-07-19
0.01000000
USD
19.50000000
EUR
2024-07-19
XXXX
8883.84000000
N
N
N
BHP BILLITON FIN USA LTD
5493003NUVITP3TMY274
BHP Billiton Finance USA Ltd
055451BD9
70000.00000000
PA
USD
69468.00000000
0.027307465586
Long
DBT
CORP
AU
N
2
2030-09-08
Fixed
5.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-36295.98000000
-0.01426773801
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2038-04-06
0.00000000
JPY
0.00000000
JPY
130000000.00000000
JPY
-36295.98000000
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2019-PJ2
36257LAA5
9344.83000000
PA
USD
8470.65000000
0.003329763104
Long
ABS-MBS
CORP
US
N
2
2049-11-25
Variable
4.00000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
CURRENCY CONTRACT - CNY
000000000
1.00000000
NC
USD
21344.52000000
0.008390406307
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
-1256921.50000000
USD
9096907.75000000
CNY
2024-06-28
21344.52000000
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CW7
30000.00000000
PA
USD
28433.62000000
0.011177090165
Long
DBT
CORP
US
N
2
2064-04-01
Fixed
6.10000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XEV4
55000.00000000
PA
USD
53816.07000000
0.021154783202
Long
DBT
CORP
US
N
2
2034-04-04
Fixed
5.95000000
N
N
N
N
N
N
HESS CORP
UASVRYNXNK17ULIGK870
Hess Corp
42809HAG2
129000.00000000
PA
USD
124872.93000000
0.049086820386
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
4.30000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBW9
22000.00000000
PA
USD
21253.44000000
0.008354603290
Long
DBT
CORP
US
N
2
2034-04-10
Fixed
4.98900000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BV3
40000.00000000
PA
USD
39498.01000000
0.015526437335
Long
DBT
CORP
US
N
2
2053-09-15
Fixed
5.70000000
N
N
N
N
N
N
GENERAL MILLS INC
2TGYMUGI08PO8X8L6150
General Mills Inc
370334CL6
248000.00000000
PA
USD
216026.58000000
0.084918788492
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.87500000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAL7
5000.00000000
PA
USD
4709.21000000
0.001851162981
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
4.40000000
N
N
N
N
N
MSILF Government Portfolio
549300BI6Y5SI6BYPB26
MSILF Government Portfolio
61747C707
442000.00000000
NS
USD
442000.00000000
0.173747621768
Long
STIV
RF
US
N
1
N
N
N
Babson CLO Ltd
N/A
Barings CLO Ltd 2024-I
06763VAA3
850000.00000000
PA
USD
855057.50000000
0.336118115611
Long
ABS-CBDO
CORP
KY
N
2
2037-01-20
Floating
6.89900000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAJ2
400000.00000000
PA
USD
353857.17000000
0.139099189441
Long
DBT
CORP
GB
N
2
2027-09-02
Fixed
1.75000000
N
N
N
N
N
N
US AIRWAYS 2012-1A PTT
N/A
US Airways 2012-1 Class A Pass Through Trust
90345WAA2
29435.07000000
PA
USD
29384.58000000
0.011550906994
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
5.90000000
N
N
N
N
N
N
EUROPEAN BK RECON & DEV
549300HTGDOVDU6OGK19
European Bank for Reconstruction & Development
000000000
800000.00000000
PA
USD
827152.00000000
0.325148626337
Long
DBT
NUSS
N/A
N
3
2025-03-19
Fixed
20.00000000
N
N
N
N
N
N
Galaxy CLO Ltd
549300MJK1HWQWCLYA68
Galaxy XV CLO Ltd
36318WAM2
1000000.00000000
PA
USD
1000914.00000000
0.393453454966
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
7.44017000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
MXN CALL VERSUS EUR PUT
000000000
221000.00000000
NC
16654.86000000
0.006546928316
N/A
DFE
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Put
Purchased
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
MXN CALL VERSUS EUR PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
DE
US
N/A
MXN
N/A
EUR
2024-07-19
0.01000000
USD
17.50000000
EUR
2024-07-19
XXXX
-7914.56000000
N
N
N
LOUISVILLE GAS & ELEC
KO3GRIB3RPH1XDX50U72
Louisville Gas and Electric Co
546676AZ0
28000.00000000
PA
USD
27737.88000000
0.010903598830
Long
DBT
CORP
US
N
2
2033-04-15
Fixed
5.45000000
N
N
N
N
N
N
ENTERGY MISSISSIPPI LLC
54930043I78H35DVVW89
Entergy Mississippi LLC
29366WAD8
75000.00000000
PA
USD
71389.04000000
0.028062615204
Long
DBT
CORP
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
SEAGATE HDD CAYMAN
529900BD50TRWEG1SF63
Seagate HDD Cayman
81180WBM2
114750.00000000
PA
USD
128809.61000000
0.050634306331
Long
DBT
CORP
KY
N
2
2032-12-01
Fixed
9.62500000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAN8
92000.00000000
PA
USD
83456.80000000
0.032806381267
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
1.40000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89788MAR3
123000.00000000
PA
USD
120524.81000000
0.047377599777
Long
DBT
CORP
US
N
2
2030-01-24
Fixed
5.43500000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DBU4
220000.00000000
PA
USD
199001.10000000
0.078226171616
Long
ABS-MBS
CORP
US
N
2
2048-05-27
None
0.00000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CW0
89000.00000000
PA
USD
88115.07000000
0.034637520032
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.90000000
N
N
N
N
N
N
KEYCORP
RKPI3RZGV1V1FJTH5T61
KeyCorp
49326EEN9
58000.00000000
PA
USD
51466.33000000
0.020231114114
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
4.78900000
N
N
N
N
N
N
PUGET SOUND ENERGY INC
8MNFJR7KOMBQ7X62LK44
Puget Sound Energy Inc
745332CJ3
34000.00000000
PA
USD
22111.24000000
0.008691799466
Long
DBT
CORP
US
N
2
2049-09-15
Fixed
3.25000000
N
N
N
N
N
N
LIBERTY UTILITIES CO
549300UN1FEYPC5BKW09
Liberty Utilities Co
531542AB4
153000.00000000
PA
USD
149557.59000000
0.058790216244
Long
DBT
CORP
US
N
2
2034-01-31
Fixed
5.86900000
N
N
N
N
N
N
ANGLOGOLD HOLDINGS PLC
213800745ZIXC4L6A131
AngloGold Ashanti Holdings PLC
03512TAE1
225000.00000000
PA
USD
194835.94000000
0.076588871515
Long
DBT
CORP
IM
N
2
2030-10-01
Fixed
3.75000000
N
N
N
N
N
N
FLORIDA POWER & LIGHT CO
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081FF9
94000.00000000
PA
USD
77624.84000000
0.030513871810
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
4.12500000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XEU6
105000.00000000
PA
USD
103369.14000000
0.040633805971
Long
DBT
CORP
US
N
2
2029-07-15
Fixed
5.55000000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
LONG GILT
000000000
45.00000000
NC
-113271.65000000
-0.04452642488
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long
UNITED KINGDOM GILT
United Kingdom Gilt
2024-06-26
5498944.34000000
USD
-113271.65000000
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAR1
319000.00000000
PA
USD
302472.20000000
0.118900057468
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.00000000
N
N
N
N
N
N
BLACKROCK FUNDING INC
N/A
BlackRock Funding Inc
09290DAC5
63000.00000000
PA
USD
59525.16000000
0.023398993179
Long
DBT
CORP
US
N
2
2054-03-14
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BSLA9
7863388.88000000
PA
USD
665132.61000000
0.261459749204
Long
ABS-MBS
USGSE
US
N
2
2046-10-15
Floating
0.55550000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
14943.87000000
0.005874348127
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2054-04-30
0.00000000
USD
0.00000000
USD
1342000.00000000
USD
14943.87000000
N
N
N
Wells Fargo Mortgage Backed Se
N/A
Wells Fargo Mortgage Backed Securities 2021-1 Trust
95003AAS3
364662.20000000
PA
USD
279251.31000000
0.109772061059
Long
ABS-MBS
CORP
US
N
2
2050-12-25
Variable
2.50000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
TRY CALL VERSUS USD PUT
000000000
265000.00000000
NC
USD
18721.84000000
0.007359446097
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
TRY CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
TRY
N/A
USD
2025-04-02
0.01000000
USD
36.00000000
USD
2025-04-02
XXXX
-225.66000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-8
46591KAJ2
331412.25000000
PA
USD
285041.48000000
0.112048143111
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.50000000
N
N
N
N
N
N
REXFORD INDUSTRIAL REALT
549300028US163ELJN70
Rexford Industrial Realty LP
76169XAB0
35000.00000000
PA
USD
27383.63000000
0.010764345221
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
2.15000000
N
N
N
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89788MAS1
97000.00000000
PA
USD
94177.30000000
0.037020547284
Long
DBT
CORP
US
N
2
2035-01-24
Fixed
5.71100000
N
N
N
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
06406RBV8
105000.00000000
PA
USD
102845.04000000
0.040427785318
Long
DBT
CORP
US
N
2
2030-03-14
Fixed
4.97500000
N
N
N
N
N
N
NUCOR CORP
549300GGJCRSI2TIEJ46
Nucor Corp
670346AY1
52000.00000000
PA
USD
50519.37000000
0.019858869662
Long
DBT
CORP
US
N
2
2027-05-23
Fixed
4.30000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2017-GS6
36253PAE2
7380458.99000000
PA
USD
176866.06000000
0.069525016508
Long
ABS-MBS
CORP
US
N
2
2050-05-10
Variable
1.15433200
N
N
N
N
N
N
SALLY HOLDINGS/SALLY CAP
N/A
Sally Holdings LLC / Sally Capital Inc
79546VAQ9
360000.00000000
PA
USD
348357.12000000
0.136937151869
Long
DBT
CORP
US
N
2
2032-03-01
Fixed
6.75000000
N
N
N
N
N
N
BLACKROCK FUNDING INC
N/A
BlackRock Funding Inc
09290DAB7
39000.00000000
PA
USD
37896.06000000
0.014896720134
Long
DBT
CORP
US
N
2
2034-03-14
Fixed
5.00000000
N
N
N
N
N
N
IBM INTERNAT CAPITAL
2549007KTXQQBYZO7485
IBM International Capital Pte Ltd
449276AF1
101000.00000000
PA
USD
93391.71000000
0.036711736437
Long
DBT
CORP
SG
N
2
2044-02-05
Fixed
5.25000000
N
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XBB4
64000.00000000
PA
USD
60926.50000000
0.023949851759
Long
DBT
CORP
US
N
2
2064-04-18
Fixed
5.90000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - CHF
000000000
1.00000000
NC
USD
-12198.63000000
-0.00479521029
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-1333544.76000000
USD
1208642.42000000
CHF
2024-06-14
-12198.63000000
N
N
N
Bluemountain CLO Ltd
N/A
BlueMountain CLO XXXI Ltd
09631BAC7
500000.00000000
PA
USD
500571.50000000
0.196771736765
Long
ABS-CBDO
CORP
KY
N
2
2034-04-19
Floating
6.98817000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2021-3 Mortgage Loan Trust
19688FAA3
279842.28000000
PA
USD
221864.05000000
0.087213463899
Long
ABS-MBS
CORP
US
N
2
2066-09-27
Variable
0.95600000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DT4
30000.00000000
PA
USD
28810.39000000
0.011325196255
Long
DBT
CORP
US
N
2
2053-03-02
Fixed
5.65000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78016HZS2
65000.00000000
PA
USD
64652.88000000
0.025414670001
Long
DBT
CORP
CA
N
2
2028-08-01
Fixed
5.20000000
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
13833000000.00000000
PA
941375.12000000
0.370049068534
Long
DBT
NUSS
ID
N
2
2039-04-15
Fixed
8.37500000
N
N
N
N
N
N
BANCO DEL ESTADO -CHILE
5493004R4EJC0W0XVQ72
BANCO DEL ESTADO DE CHILE
05957AAC3
200000.00000000
PA
USD
201981.00000000
0.079397552924
Long
DBT
CORP
CL
N
2
N/A
Fixed
7.95000000
N
N
N
N
N
N
CISCO SYSTEMS INC
549300LKFJ962MZ46593
Cisco Systems Inc
17275RBV3
50000.00000000
PA
USD
47624.52000000
0.018720921013
Long
DBT
CORP
US
N
2
2064-02-26
Fixed
5.35000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272BV9
22000.00000000
PA
USD
20845.58000000
0.008194275903
Long
DBT
CORP
US
N
2
2054-04-04
Fixed
5.89300000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-6293.30000000
-0.00247385952
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2054-04-30
0.00000000
USD
0.00000000
USD
134000.00000000
USD
-6293.30000000
N
N
N
INTUIT INC
VI90HBPH7XSFMB9E4M29
Intuit Inc
46124HAF3
147000.00000000
PA
USD
146636.40000000
0.057641913494
Long
DBT
CORP
US
N
2
2028-09-15
Fixed
5.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FV94
72471.60000000
PA
USD
69337.12000000
0.027256017421
Long
ABS-MBS
USGA
US
N
2
2041-08-20
Fixed
4.50000000
N
N
N
N
N
N
SYSCO CORP-DIS 05/01/2024
N/A
SYSCO CORP-DIS 05/01/2024
000000000
400000.00000000
PA
USD
399940.36000000
0.157214222622
Long
DBT
CORP
US
N
2
2024-05-01
None
0.00000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CW0
162000.00000000
PA
USD
159288.75000000
0.062615478477
Long
DBT
CORP
US
N
2
2030-08-10
Fixed
4.97700000
N
N
N
N
N
N
POLAND GOVERNMENT BOND
259400R9L8QEP0TPXS31
Republic of Poland Government Bond
000000000
1525000.00000000
PA
403103.92000000
0.158457799605
Long
DBT
NUSS
PL
N
2
2028-07-25
Fixed
7.50000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BP7
31000.00000000
PA
USD
30109.80000000
0.011835986746
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.87500000
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ACN5
129000.00000000
PA
USD
130533.31000000
0.051311882746
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
6.10000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-SCHATZ
000000000
101.00000000
NC
-63329.45000000
-0.02489443738
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUNDESSCHATZANWEISUNGEN
Bundesschatzanweisungen
2024-06-06
11392860.00000000
USD
-63329.45000000
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556DA7
95000.00000000
PA
USD
94177.29000000
0.037020543353
Long
DBT
CORP
US
N
2
2029-01-31
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397FHA3
579191.16000000
PA
USD
33320.81000000
0.013098216047
Long
ABS-MBS
USGSE
US
N
2
2037-02-15
Floating
0.60550000
N
N
N
N
N
N
DUKE ENERGY CORP
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CAS4
804000.00000000
PA
USD
753625.34000000
0.296245725180
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
2.65000000
N
N
N
N
N
N
RYDER SYSTEM INC
ZXJ6Y2OSPZXIVGRILD15
Ryder System Inc
78355HKY4
77000.00000000
PA
USD
80869.84000000
0.031789462381
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
6.60000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CC1
44000.00000000
PA
USD
35244.99000000
0.013854599981
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.37500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GMA4
226000.00000000
PA
USD
219871.51000000
0.086430208047
Long
DBT
CORP
US
N
2
2035-01-23
Fixed
5.46800000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ATEB4
3341708.95000000
PA
USD
687442.33000000
0.270229570001
Long
ABS-MBS
USGSE
US
N
2
2041-10-15
Fixed
5.00000000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAT5
60000.00000000
PA
USD
59538.26000000
0.023404142713
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
5.45000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT)
000000000
115.00000000
NC
USD
-134846.77000000
-0.05300747871
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
2024-06-28
23440315.52000000
USD
-134846.77000000
N
N
N
UTAH ACQUISITION SUB
254900JOFV74IJ7H9933
Utah Acquisition Sub Inc
62854AAN4
261000.00000000
PA
USD
250349.90000000
0.098411085373
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.95000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAT8
118000.00000000
PA
USD
109979.90000000
0.043232457165
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.62500000
N
N
N
N
N
N
NUVEEN LLC
N/A
Nuveen LLC
67080LAC9
153000.00000000
PA
USD
151891.30000000
0.059707584032
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.55000000
N
N
N
N
N
N
TYSON FOODS INC
WD6L6041MNRW1JE49D58
Tyson Foods Inc
902494BL6
63000.00000000
PA
USD
62364.15000000
0.024514983588
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
5.40000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308KH9
33000.00000000
PA
USD
34047.21000000
0.013383759650
Long
DBT
CORP
US
N
2
2053-01-15
Fixed
6.75000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCA5
51000.00000000
PA
USD
43235.38000000
0.016995575681
Long
DBT
CORP
US
N
2
2039-11-21
Fixed
4.05000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
Commercial Mortgage Pass Through Certificates
12624NAE0
11071670.58000000
PA
USD
37449.93000000
0.014721349033
Long
ABS-MBS
CORP
US
N
2
2030-10-05
Variable
0.92865000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DM4
30000.00000000
PA
USD
30138.26000000
0.011847174206
Long
DBT
CORP
US
N
2
2054-05-01
Fixed
6.85800000
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AG2
205000.00000000
PA
USD
181725.82000000
0.071435359816
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
4.37500000
N
N
N
N
N
N
H&E EQUIPMENT SERVICES
254900KVLRCDMQRYY541
H&E Equipment Services Inc
404030AJ7
185000.00000000
PA
USD
163904.95000000
0.064430079770
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.87500000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XCH6
63000.00000000
PA
USD
64989.69000000
0.025547068047
Long
DBT
CORP
US
N
2
2029-11-09
Fixed
6.15000000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BX1
200000.00000000
PA
USD
203312.50000000
0.079920957807
Long
DBT
NUSS
PA
N
2
2031-03-01
Fixed
7.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F042665
1790000.00000000
PA
USD
1650030.74000000
0.648617459095
Long
ABS-MBS
USGSE
US
N
2
2054-06-15
Fixed
4.50000000
N
N
N
N
N
N
FLORIDA POWER & LIGHT CO
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081GP6
49000.00000000
PA
USD
47517.57000000
0.018678879592
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.62500000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703DBN0
49000.00000000
PA
USD
47492.80000000
0.018669142649
Long
DBT
CORP
US
N
2
2034-04-15
Fixed
5.40000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172DG1
83000.00000000
PA
USD
81056.32000000
0.031862766582
Long
DBT
CORP
US
N
2
2029-02-13
Fixed
4.87500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377XVA7
242055.09000000
PA
USD
3983.89000000
0.001566043920
Long
ABS-MBS
USGA
US
N
2
2026-08-16
Fixed
4.00000000
N
N
N
N
N
N
LCM Ltd Partnership
N/A
LCM XXIV Ltd
50188YAJ3
400000.00000000
PA
USD
398824.40000000
0.156775545256
Long
ABS-CBDO
CORP
KY
N
2
2030-03-20
Floating
7.48617000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PFD9
50000.00000000
PA
USD
47483.13000000
0.018665341429
Long
DBT
CORP
US
N
2
2064-04-15
Fixed
5.50000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2016-CR28 Mortgage Trust
12593YBH5
5791207.64000000
PA
USD
48568.25000000
0.019091895771
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Variable
0.77482700
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YDV8
45000.00000000
PA
USD
43544.68000000
0.017117159707
Long
DBT
CORP
US
N
2
2044-03-15
Fixed
5.35000000
N
N
N
N
N
N
RAIZEN FUELS FINANCE
52990010NH26VC32Q522
Raizen Fuels Finance SA
75102XAB2
200000.00000000
PA
USD
199765.00000000
0.078526456250
Long
DBT
CORP
LU
N
2
2034-03-05
Fixed
6.45000000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
641000.00000000
PA
638828.06000000
0.251119584036
Long
DBT
NUSS
IT
N
2
2049-09-01
Fixed
3.85000000
N
N
N
N
N
N
AMERICAN TRANSMISSION SY
N/A
American Transmission Systems Inc
030288AC8
86000.00000000
PA
USD
69609.07000000
0.027362919380
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.65000000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAK0
60000.00000000
PA
USD
49898.51000000
0.019614813217
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.10000000
N
N
N
N
N
N
CBOE FUTURES EXCHANGE, LLC
254900O9GJPIWCP8RH13
CBOE VIX
000000000
44.00000000
NC
USD
4231.08000000
0.001663212867
N/A
DE
CORP
US
N
1
CBOE FUTURES EXCHANGE, LLC
254900O9GJPIWCP8RH13
Long
CBOE FUTURES EXCHANGE, LLC
THE CBOE VOLATILITY INDEX
2024-06-18
697656.92000000
USD
4231.08000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31397LF61
546706.00000000
PA
USD
28283.78000000
0.011118188935
Long
ABS-MBS
USGSE
US
N
2
2038-07-25
Floating
0.65550000
N
N
N
N
N
N
Neuberger Berman CLO Ltd
549300WWWM7IDWOVIL36
Neuberger Berman Loan Advisers CLO 30 Ltd
64132MAW8
1100000.00000000
PA
USD
1098499.60000000
0.431813785099
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
7.33617000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJZ3
75000.00000000
PA
USD
65270.39000000
0.025657409580
Long
DBT
CORP
US
N
2
2029-06-14
Fixed
2.08700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XJC35
189846.51000000
PA
USD
185446.32000000
0.072897866664
Long
ABS-MBS
USGSE
US
N
2
2042-05-01
Fixed
5.00000000
N
N
N
N
N
N
INGERSOLL RAND INC
5299004C02FMZCUOIR50
Ingersoll Rand Inc
45687VAA4
37000.00000000
PA
USD
36915.33000000
0.014511200892
Long
DBT
CORP
US
N
2
2028-08-14
Fixed
5.40000000
N
N
N
N
N
N
BHP BILLITON FIN USA LTD
5493003NUVITP3TMY274
BHP Billiton Finance USA Ltd
055451BE7
65000.00000000
PA
USD
63739.26000000
0.025055531308
Long
DBT
CORP
AU
N
2
2033-09-08
Fixed
5.25000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DK3
3000.00000000
PA
USD
2397.57000000
0.000942470781
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.12500000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FL7
13000.00000000
PA
USD
8917.18000000
0.003505291443
Long
DBT
CORP
US
N
2
2070-02-05
Fixed
3.75000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YDT3
123000.00000000
PA
USD
120695.73000000
0.047444787432
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
4.95000000
N
N
N
N
N
N
KSL Commercial Mortgage Trust
N/A
KSL Commercial Mortgage Trust 2023-HT
48268TAA0
1000000.00000000
PA
USD
1006808.50000000
0.395770548532
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
7.61117000
N
N
N
N
N
N
NORTHERN TRUST CORP
549300GLF98S992BC502
Northern Trust Corp
665859AS3
65000.00000000
PA
USD
60163.92000000
0.023650086009
Long
DBT
CORP
US
N
2
2032-05-08
Fixed
3.37500000
N
N
N
N
N
N
ROSS STORES INC
549300ENZFLPGRDFZQ60
Ross Stores Inc
778296AC7
28000.00000000
PA
USD
27242.26000000
0.010708773499
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
4.70000000
N
N
N
N
N
N
HP INC
WHKXQACZ14C5XRO8LW03
HP Inc
40434LAJ4
42000.00000000
PA
USD
34621.25000000
0.013609411425
Long
DBT
CORP
US
N
2
2031-06-17
Fixed
2.65000000
N
N
N
N
N
N
EQUINOR ASA
OW6OFBNCKXC4US5C7523
Equinor ASA
29446MAF9
56000.00000000
PA
USD
50420.91000000
0.019820165610
Long
DBT
CORP
NO
N
2
2030-04-06
Fixed
3.12500000
N
N
N
N
N
N
KENVUE INC
5493008HSF8L4M2LIJ82
Kenvue Inc
49177JAR3
50000.00000000
PA
USD
46326.93000000
0.018210845953
Long
DBT
CORP
US
N
2
2063-03-22
Fixed
5.20000000
N
N
N
N
N
N
AMERICAN INTERNATIONAL
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DS3
77000.00000000
PA
USD
73893.86000000
0.029047245335
Long
DBT
CORP
US
N
2
2033-03-27
Fixed
5.12500000
N
N
N
N
N
N
MINERVA LUXEMBOURG SA
222100NM3G3RCPGZ2Z17
Minerva Luxembourg SA
603374AH2
275000.00000000
PA
USD
283146.88000000
0.111303386903
Long
DBT
CORP
LU
N
2
2033-09-13
Fixed
8.87500000
N
N
N
N
N
N
DUKE ENERGY FLORIDA LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAK7
93000.00000000
PA
USD
75954.38000000
0.029857223728
Long
DBT
CORP
US
N
2
2031-12-15
Fixed
2.40000000
N
N
N
N
N
N
EMRLD BOR / EMRLD CO-ISS
N/A
EMRLD Borrower LP / Emerald Co-Issuer Inc
29103CAA6
165000.00000000
PA
USD
163727.77000000
0.064360431346
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
6.62500000
N
N
N
N
N
N
NORTHWESTERN MUTUAL LIFE
1DU7IM20QESYGDO4HO54
Northwestern Mutual Life Insurance Co/The
668138AC4
6000.00000000
PA
USD
3925.99000000
0.001543283768
Long
DBT
CORP
US
N
2
2059-09-30
Fixed
3.62500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEWE5
31052.61000000
PA
USD
28959.01000000
0.011383617910
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YDU0
75000.00000000
PA
USD
73179.30000000
0.028766355967
Long
DBT
CORP
US
N
2
2034-03-15
Fixed
5.05000000
N
N
N
N
N
N
JOHN DEERE CAPITAL CORP
E0KSF7PFQ210NWI8Z391
John Deere Capital Corp
24422EWZ8
184000.00000000
PA
USD
179292.56000000
0.070478859504
Long
DBT
CORP
US
N
2
2030-06-10
Fixed
4.70000000
N
N
N
N
N
N
WESTLAKE CORP
GOXNEVUM0LL78B1OS344
Westlake Corp
960413AZ5
29000.00000000
PA
USD
17612.41000000
0.006923335636
Long
DBT
CORP
US
N
2
2051-08-15
Fixed
3.12500000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
THREE MONTH EURO EURIBOR
000000000
-65.00000000
NC
-4769.06000000
-0.00187468966
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Call
Written
ICE FUTURES EUROPE
549300UF4R84F48NCH34
ICE FUTURES EUROPE
549300UF4R84F48NCH34
3 Month Euro Euribor
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
GB
US
Long
INTERCONTINENTAL EXCHANGE, INC.
3 MONTH EURO INTERBANK OFFER RATE
2024-12-16
0.00000000
USD
1000000.00000000
97.62500000
EUR
2024-12-16
XXXX
5707.72000000
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DG2
7000.00000000
PA
USD
6279.12000000
0.002468285445
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.25000000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK
2IGI19DL77OX0HC3ZE78
Canadian Imperial Bank of Commerce
13608JAA5
85000.00000000
PA
USD
83721.86000000
0.032910574807
Long
DBT
CORP
CA
N
2
2029-04-08
Fixed
5.26000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QSYY8
41689.67000000
PA
USD
38033.54000000
0.014950762720
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
NIAGARA MOHAWK POWER
3T97Y9RR5EN5Y18QHB56
Niagara Mohawk Power Corp
65364UAU0
71000.00000000
PA
USD
66889.93000000
0.026294041307
Long
DBT
CORP
US
N
2
2054-01-17
Fixed
5.66400000
N
N
N
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
63743HFP2
55000.00000000
PA
USD
53433.15000000
0.021004259583
Long
DBT
CORP
US
N
2
2031-02-07
Fixed
5.00000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WSG8
820144.99000000
PA
USD
57385.05000000
0.022557728422
Long
ABS-MBS
USGSE
US
N
2
2031-02-15
Variable
3.50000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust
92922F2Q0
5524872.65550000
PA
USD
5292.00000000
0.002080254331
Long
ABS-MBS
CORP
US
N
2
2045-08-25
Variable
0.01000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCJ3
291000.00000000
PA
USD
254391.68000000
0.099999885515
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
2.06900000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAS8
53000.00000000
PA
USD
52095.48000000
0.020478429309
Long
DBT
CORP
US
N
2
2034-01-15
Fixed
5.75000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CY6
44000.00000000
PA
USD
42954.27000000
0.016885072980
Long
DBT
CORP
US
N
2
2043-08-10
Fixed
5.40400000
N
N
N
N
N
ZIMMER BIOMET HOLDINGS
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings Inc
98956PAX0
71000.00000000
PA
USD
70705.04000000
0.027793738794
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
5.35000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAH5
435000.00000000
PA
USD
396468.05000000
0.155849277816
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.37500000
N
N
N
N
N
N
HILCORP ENERGY I/HILCORP
N/A
Hilcorp Energy I LP / Hilcorp Finance Co
431318AV6
200000.00000000
PA
USD
191678.40000000
0.075347660960
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
6.00000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WQA3
430740.18000000
PA
USD
55767.41000000
0.021921843573
Long
ABS-MBS
USGSE
US
N
2
2046-02-15
Variable
3.50000000
N
N
N
N
N
N
Clover CLO
N/A
Clover CLO 2021-1 LLC
00141YAE5
250000.00000000
PA
USD
247131.75000000
0.097146049380
Long
ABS-CBDO
CORP
KY
N
2
2034-04-22
Floating
7.33617000
N
N
N
N
N
N
TOYOTA MOTOR CREDIT CORP
Z2VZBHUMB7PWWJ63I008
Toyota Motor Credit Corp
89236TLE3
101000.00000000
PA
USD
102045.73000000
0.040113581219
Long
DBT
CORP
US
N
2
2030-11-20
Fixed
5.55000000
N
N
N
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Walmart Inc
931142FC2
97000.00000000
PA
USD
92428.43000000
0.036333076688
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKA6
211000.00000000
PA
USD
168155.65000000
0.066101005145
Long
DBT
CORP
US
N
2
2032-07-21
Fixed
2.29900000
N
N
N
N
N
N
BOOZ ALLEN HAMILTON INC
549300D7XCH2480XU542
Booz Allen Hamilton Inc
09951LAB9
48000.00000000
PA
USD
43985.17000000
0.017290313756
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
4.00000000
N
N
N
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
80413TBH1
200000.00000000
PA
USD
187000.00000000
0.073508609209
Long
DBT
NUSS
SA
N
2
2054-01-16
Fixed
5.75000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
34570000.00000000
PA
5020388.92000000
1.973485600008
Long
DBT
NUSS
CN
N
2
2028-11-22
Fixed
3.25000000
N
N
N
N
N
N
CAMDEN PROPERTY TRUST
5493002MYX22OHYJBD89
Camden Property Trust
133131BA9
90000.00000000
PA
USD
90731.85000000
0.035666160986
Long
DBT
CORP
US
N
2
2026-11-03
Fixed
5.85000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377LJM1
705223.77000000
PA
USD
39340.06000000
0.015464348111
Long
ABS-MBS
USGA
US
N
2
2040-09-16
Floating
1.21623000
N
N
N
N
N
N
UNITED AIRLINES INC
K1OQBWM7XEOO08LDNP29
United Airlines Inc
90932LAH0
105000.00000000
PA
USD
96877.13000000
0.038081834708
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.62500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP IRS USD
000000000
7382300.00000000
NC
USD
69601.95000000
0.027360120549
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Purchased
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2057-05-27
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
0.00000000
USD
2027-05-25
XXXX
69601.94000000
N
N
N
Arbor Realty Collateralized Lo
N/A
Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd
03880RAA7
1000000.00000000
PA
USD
997162.60000000
0.391978801508
Long
ABS-CBDO
CORP
KY
N
2
2036-11-15
Floating
6.78546000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KCW8
50000.00000000
PA
USD
49555.08000000
0.019479812888
Long
DBT
CORP
US
N
2
2054-09-01
Fixed
6.70000000
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-KG01 Mortgage Trust
30298CAN1
50699731.68600000
PA
USD
125578.17000000
0.049364046116
Long
ABS-MBS
CORP
US
N
2
2029-04-25
Fixed
0.10000000
N
N
N
N
N
N
AIR PRODUCTS & CHEMICALS
7QEON6Y1RL5XR3R1W237
Air Products and Chemicals Inc
009158BK1
52000.00000000
PA
USD
49683.00000000
0.019530097493
Long
DBT
CORP
US
N
2
2034-02-08
Fixed
4.85000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BRL CALL VERSUS EUR PUT
000000000
-2759000.00000000
NC
-9209.58000000
-0.00362023217
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Put
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BRL CALL VERSUS EUR PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
BRL
N/A
EUR
2024-09-12
0.01000000
USD
5.25000000
EUR
2024-09-12
XXXX
16211.40000000
N
N
N
OLIN CORP
549300GKK294V7W57P06
Olin Corp
680665AK2
180000.00000000
PA
USD
168156.00000000
0.066101142728
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
5.00000000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAF6
28000.00000000
PA
USD
25717.53000000
0.010109411030
Long
DBT
CORP
US
N
2
2029-04-05
Fixed
3.85000000
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140CF5
75000.00000000
PA
USD
74246.67000000
0.029185932888
Long
DBT
CORP
US
N
2
2030-02-10
Fixed
5.12500000
N
N
N
N
N
N
THAILAND GOVERNMENT BOND
254900PHJ6MSKT6C7026
Thailand Government Bond
000000000
41793000.00000000
PA
1143387.01000000
0.449458764137
Long
DBT
NUSS
TH
N
2
2028-12-17
Fixed
2.87500000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD CALL VERSUS JPY PUT
000000000
511000.00000000
NC
USD
68741.77000000
0.027021988809
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 JPY PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
JPY
2025-11-26
0.01000000
USD
165.00000000
USD
2025-11-26
XXXX
36548.77000000
N
N
N
FIRST HORIZON BANK
COOWI3L2W9TPYR3WJX37
First Horizon Bank
337158AJ8
500000.00000000
PA
USD
461699.99000000
0.181491572925
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.75000000
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816DU0
85000.00000000
PA
USD
84875.95000000
0.033364240854
Long
DBT
CORP
US
N
2
2030-04-25
Fixed
5.53200000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308GZ4
31000.00000000
PA
USD
24238.81000000
0.009528134823
Long
DBT
CORP
US
N
2
2042-04-15
Fixed
4.45000000
N
N
N
N
N
N
LSEG US FIN CORP
2138007FV67QQ13CGJ43
Lseg US Fin Corp
50222CAB6
200000.00000000
PA
USD
194416.83000000
0.076424121819
Long
DBT
CORP
US
N
2
2034-03-28
Fixed
5.29700000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136BAF33
3598203.55000000
PA
USD
451076.91000000
0.177315702143
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
2.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
118.22000000
0.000046471592
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-126435.65000000
USD
2061305760.73000000
IDR
2024-06-28
118.22000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
249253.21000000
0.097979982931
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-02-01
0.00000000
USD
0.00000000
USD
10000000.00000000
USD
249253.21000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-21940.48000000
-0.00862467470
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2054-04-30
0.00000000
USD
0.00000000
USD
447000.00000000
USD
-21940.48000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFL4
86000.00000000
PA
USD
83699.98000000
0.032901973907
Long
DBT
CORP
US
N
2
2035-01-18
Fixed
5.46600000
N
N
N
N
N
N
EVERGY KANSAS CENTRAL
J75GNWGEO73W89ZV3S44
Evergy Kansas Central Inc
30036FAC5
34000.00000000
PA
USD
34471.53000000
0.013550557367
Long
DBT
CORP
US
N
2
2033-11-15
Fixed
5.90000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-161534.39000000
-0.06349822646
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-08-25
0.00000000
USD
0.00000000
USD
7800000.00000000
USD
-161534.39000000
N
N
N
TOYOTA MOTOR CREDIT CORP
Z2VZBHUMB7PWWJ63I008
Toyota Motor Credit Corp
89236TKJ3
105000.00000000
PA
USD
102665.52000000
0.040357217053
Long
DBT
CORP
US
N
2
2027-09-20
Fixed
4.55000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US LONG BOND(CBT)
000000000
-23.00000000
NC
USD
104544.53000000
0.041095844924
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
2024-06-18
-2722232.03000000
USD
104544.53000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DL6
42000.00000000
PA
USD
42347.78000000
0.016646665299
Long
DBT
CORP
US
N
2
2034-05-01
Fixed
6.52800000
N
N
N
N
N
N
DUKE ENERGY FLORIDA LLC
7MOHLM3DKE63RX2ZCN83
Duke Energy Florida LLC
26444HAQ4
37000.00000000
PA
USD
37835.99000000
0.014873106967
Long
DBT
CORP
US
N
2
2033-11-15
Fixed
5.87500000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668CG5
215000.00000000
PA
USD
210784.87000000
0.082858302867
Long
DBT
CORP
US
N
2
2029-03-22
Fixed
5.25000000
N
N
N
N
N
N
KENTUCKY UTILITIES CO
AGX0G2MXE54NFNNICD28
Kentucky Utilities Co
491674BN6
28000.00000000
PA
USD
27812.05000000
0.010932754624
Long
DBT
CORP
US
N
2
2033-04-15
Fixed
5.45000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
250000.00000000
PA
USD
62600.00000000
0.024607694847
Long
DBT
NUSS
UA
N
2
2035-03-15
Variable
7.25300000
N
Y
N
N
N
N
OVINTIV INC
2549003MEX7YMKLGI239
Ovintiv Inc
69047QAD4
35000.00000000
PA
USD
37827.85000000
0.014869907181
Long
DBT
CORP
US
N
2
2053-07-15
Fixed
7.10000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376JGA6
8035603.07480000
PA
USD
178321.28000000
0.070097055001
Long
ABS-MBS
USGA
US
N
2
2034-01-16
Floating
1.16623000
N
N
N
N
N
N
CNH INDUSTRIAL CAP LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAR5
105000.00000000
PA
USD
104677.97000000
0.041148299409
Long
DBT
CORP
US
N
2
2029-01-12
Fixed
5.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-132334.15000000
-0.05201978244
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2032-08-08
5723.00000000
USD
0.00000000
USD
1600000.00000000
USD
-138057.15000000
N
N
N
DT MIDSTREAM INC
N/A
DT Midstream Inc
23345MAB3
185000.00000000
PA
USD
164369.04000000
0.064612510842
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
4.37500000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
J.P. Morgan Mortgage Trust 2022-4
46655GAW5
439693.50000000
PA
USD
350954.25000000
0.137958068522
Long
ABS-MBS
CORP
US
N
2
2052-10-25
Variable
3.00000000
N
N
N
N
N
N
DUKE ENERGY OHIO INC
L6KC0HABGHNFU1Z6QY21
Duke Energy Ohio Inc
26442EAE0
3000.00000000
PA
USD
2190.61000000
0.000861116012
Long
DBT
CORP
US
N
2
2046-06-15
Fixed
3.70000000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK5
06541WAY8
6299438.03150000
PA
USD
145652.77000000
0.057255254279
Long
ABS-MBS
CORP
US
N
2
2060-06-15
Variable
1.08232200
N
N
N
N
N
N
STANDARD INDUSTRIES INC
54930064UHXCIUWVI755
Standard Industries Inc/NJ
853496AH0
190000.00000000
PA
USD
155809.99000000
0.061247998213
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.37500000
N
N
N
N
N
N
CAMB Commercial Mortgage Trust
N/A
CAMB Commercial Mortgage Trust 2021-CX2
12477BAG9
440000.00000000
PA
USD
338077.52000000
0.132896301071
Long
ABS-MBS
CORP
US
N
2
2046-11-10
Variable
2.86357300
N
N
N
N
N
N
ALABAMA POWER CO
0RL818ELFOHP5JHOFU19
Alabama Power Co
010392GB8
47000.00000000
PA
USD
47970.11000000
0.018856770426
Long
DBT
CORP
US
N
2
2033-11-15
Fixed
5.85000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
SWOP IRS USD
000000000
-4472000.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Call
Written
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
SWOP IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
DE
US
2054-05-02
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.85600000
USD
2024-04-30
XXXX
63726.00000000
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VBD2
58000.00000000
PA
USD
57669.12000000
0.022669394682
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.60000000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp
86359BHM6
1722.13570000
PA
USD
1659.59000000
0.000652375148
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
4.87044600
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ADB65
556749.61000000
PA
USD
46775.10000000
0.018387018966
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
3.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
361879.87000000
0.142252866014
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-06-14
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
361879.87000000
N
N
N
SELECTIVE INSURANCE GROU
549300R3WGJWLE40R258
Selective Insurance Group Inc
816300AH0
61000.00000000
PA
USD
54949.91000000
0.021600489092
Long
DBT
CORP
US
N
2
2049-03-01
Fixed
5.37500000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBV1
63000.00000000
PA
USD
59806.90000000
0.023509743530
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.65000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
1284000.00000000
PA
1271259.07000000
0.499724525032
Long
DBT
NUSS
ES
N
2
2029-04-30
Fixed
1.45000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DDC2
215000.00000000
PA
USD
206519.72000000
0.081181697281
Long
ABS-MBS
CORP
US
N
2
2050-08-27
None
0.00000000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAP4
118000.00000000
PA
USD
116853.48000000
0.045934421369
Long
DBT
CORP
US
N
2
2052-12-15
Fixed
6.87500000
N
N
N
N
N
N
HONEYWELL INTERNATIONAL
ISRPG12PN4EIEOEMW547
Honeywell International Inc
438516CT1
101000.00000000
PA
USD
95817.41000000
0.037665264958
Long
DBT
CORP
US
N
2
2054-03-01
Fixed
5.25000000
N
N
N
N
N
N
AMERICAN HONDA FINANCE
B6Q2VFHD1797Q7NZ3E43
American Honda Finance Corp
02665WER8
81000.00000000
PA
USD
82972.04000000
0.032615824939
Long
DBT
CORP
US
N
2
2030-10-04
Fixed
5.85000000
N
N
N
N
N
N
CITIZENS FINANCIAL GROUP
2138004JDDA4ZQUPFW65
Citizens Financial Group Inc
174610BE4
93000.00000000
PA
USD
84727.35000000
0.033305827061
Long
DBT
CORP
US
N
2
2037-05-21
Fixed
5.64100000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DBG3
64000.00000000
PA
USD
50392.99000000
0.019809190421
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
5.30000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DV9
35000.00000000
PA
USD
32307.65000000
0.012699948761
Long
DBT
CORP
US
N
2
2053-02-21
Fixed
5.62500000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CS6
2000.00000000
PA
USD
1599.12000000
0.000628604744
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
4.37500000
N
N
N
N
N
N
WEYERHAEUSER CO
08IRJODWFYBI7QWRGS31
Weyerhaeuser Co
962166CC6
50000.00000000
PA
USD
49235.35000000
0.019354128890
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
4.75000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ACA1
7000.00000000
PA
USD
6190.19000000
0.002433327580
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
2.05000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F032658
3791000.00000000
PA
USD
3267823.08000000
1.284562191201
Long
ABS-MBS
USGSE
US
N
2
2054-05-15
Fixed
3.50000000
N
N
N
N
N
N
META PLATFORMS INC
BQ4BKCS1HXDV9HN80Z93
Meta Platforms Inc
30303M8K1
20000.00000000
PA
USD
16654.48000000
0.006546778940
Long
DBT
CORP
US
N
2
2062-08-15
Fixed
4.65000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F030652
3390000.00000000
PA
USD
2799538.75000000
1.100482352628
Long
ABS-MBS
USGSE
US
N
2
2054-05-15
Fixed
3.00000000
N
N
N
N
N
N
CT TRUST
213800MJB7WO427HQD34
CT Trust
000000000
325000.00000000
PA
USD
283450.38000000
0.111422690982
Long
DBT
CORP
GT
N
2
2032-02-03
Fixed
5.12500000
N
N
N
N
N
N
BLUE OWL CREDIT INCOME
5493003I42XBWPE05N35
Blue Owl Credit Income Corp
69120VAX9
35000.00000000
PA
USD
33707.19000000
0.013250099771
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
6.65000000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AP9
180000.00000000
PA
USD
170922.02000000
0.067188449056
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
5.50000000
N
N
N
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
40000.00000000
PA
41487.34000000
0.016308431354
Long
DBT
NUSS
DE
N
2
2025-08-15
Fixed
1.00000000
N
N
N
N
N
N
HUNTINGTON BANCSHARES
549300XTVCVV9I7B5T19
Huntington Bancshares Inc/OH
446150BD5
152000.00000000
PA
USD
145787.99000000
0.057308408472
Long
DBT
CORP
US
N
2
2035-02-02
Fixed
5.70900000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAE0
274734.00000000
PA
USD
212403.72000000
0.083494663359
Long
DBT
CORP
JE
N
2
2040-09-30
Fixed
2.94000000
N
N
N
N
N
N
Bank
N/A
BANK 2017-BNK4
06541FBF5
500000.00000000
PA
USD
422440.40000000
0.166058857101
Long
ABS-MBS
CORP
US
N
2
2050-05-15
Variable
4.37200000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397E58
200000.00000000
PA
USD
196596.56000000
0.077280960968
Long
DBT
CORP
US
N
2
2029-03-08
Fixed
5.80000000
N
N
N
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AP8
26000.00000000
PA
USD
22917.53000000
0.009008747362
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
3.25000000
N
N
N
N
N
N
KENVUE INC
5493008HSF8L4M2LIJ82
Kenvue Inc
49177JAF9
42000.00000000
PA
USD
41856.06000000
0.016453373035
Long
DBT
CORP
US
N
2
2028-03-22
Fixed
5.05000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-INV3
46591LAC5
83839.93000000
PA
USD
73340.69000000
0.028829797435
Long
ABS-MBS
CORP
US
N
2
2050-05-25
Variable
3.50000000
N
N
N
N
N
N
QUEST DIAGNOSTICS INC
8MCWUBXQ0WE04KMXBX50
Quest Diagnostics Inc
74834LBB5
25000.00000000
PA
USD
21656.14000000
0.008512902311
Long
DBT
CORP
US
N
2
2030-06-30
Fixed
2.95000000
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-78389.06000000
-0.03081428223
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2027-02-03
0.00000000
MXN
0.00000000
MXN
59905000.00000000
MXN
-78389.06000000
N
N
N
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
CURRENCY CONTRACT - PLN
000000000
1.00000000
NC
USD
316.78000000
0.000124524370
N/A
DFE
CORP
US
N
2
HSBC BANK USA, NATIONAL ASSOCIATION
1IE8VN30JCEQV1H4R804
-227506.65000000
USD
924793.37000000
PLN
2024-06-28
316.78000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HRY8
604000.00000000
PA
USD
576399.56000000
0.226579304838
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
3.78200000
N
N
N
N
N
N
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
JAPAN 10Y BOND(OSE)
000000000
5.00000000
NC
-30435.33000000
-0.01196395069
N/A
DIR
CORP
JP
N
1
OSAKA EXCHANGE,INC
3538001249AILNPRUX57
Long
JAPAN (10 YEAR ISSUE)
Japan Government Ten Year Bond
2024-06-13
4611483.42000000
USD
-30435.33000000
N
N
N
WILLIS NORTH AMERICA INC
5493004KVU1HWZCP0C66
Willis North America Inc
970648AN1
40000.00000000
PA
USD
38392.37000000
0.015091816700
Long
DBT
CORP
US
N
2
2054-03-05
Fixed
5.90000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TG3
222700.00000000
PA
USD
156768.62000000
0.061624830074
Long
DBT
UST
US
N
2
2052-05-15
Fixed
2.87500000
N
N
N
N
N
N
KLA CORP
549300H0BF5JCG96TJ81
KLA Corp
482480AP5
39000.00000000
PA
USD
37116.54000000
0.014590295369
Long
DBT
CORP
US
N
2
2034-02-01
Fixed
4.70000000
N
N
N
N
N
N
GOLDMAN SACHS BDC INC
6D01AGSGBNZIJSN77043
Goldman Sachs BDC Inc
38147UAE7
85000.00000000
PA
USD
85351.55000000
0.033551196440
Long
DBT
CORP
US
N
2
2027-03-11
Fixed
6.37500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - NOK
000000000
1.00000000
NC
USD
-5149.19000000
-0.00202411655
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-208059.45000000
USD
2251501.70000000
NOK
2024-06-14
-5149.19000000
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAN3
61000.00000000
PA
USD
55004.19000000
0.021621826243
Long
DBT
CORP
US
N
2
2062-06-01
Fixed
5.25000000
N
N
N
N
N
N
NIPPON LIFE INSURANCE
549300Y0HHMFW3EVWY08
Nippon Life Insurance Co
654579AN1
70000.00000000
PA
USD
68107.99000000
0.026772853588
Long
DBT
CORP
JP
N
2
2054-04-16
Fixed
5.95000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
29170000.00000000
PA
4146544.81000000
1.629982577590
Long
DBT
NUSS
CN
N
2
2026-06-06
Fixed
3.25000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CV9
34000.00000000
PA
USD
32426.15000000
0.012746530419
Long
DBT
CORP
US
N
2
2054-04-01
Fixed
6.00000000
N
N
N
N
N
N
CHARLES SCHWAB CORP
549300VSGCJ7E698NM85
Charles Schwab Corp/The
808513BJ3
32000.00000000
PA
USD
26083.94000000
0.010253444663
Long
DBT
CORP
US
N
2
N/A
Fixed
4.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B23 Mortgage Trust
08162RAF4
6400648.16000000
PA
USD
359959.65000000
0.141498038733
Long
ABS-MBS
CORP
US
N
2
2054-02-15
Variable
1.37152100
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2138.68000000
-0.00084070263
N/A
DFE
CORP
US
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
-24888519.94000000
THB
672511.84000000
USD
2024-06-28
-2138.68000000
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GA46
40000.00000000
PA
USD
41285.70000000
0.016229167846
Long
DBT
CORP
US
N
2
2029-10-24
Fixed
6.48400000
N
N
N
N
N
N
LSEGA FINANCING PLC
2138009YFYTGEHZNNZ09
LSEGA Financing PLC
50220PAE3
240000.00000000
PA
USD
173515.30000000
0.068207852297
Long
DBT
CORP
GB
N
2
2041-04-06
Fixed
3.20000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
5098.42000000
0.002004159162
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2054-05-02
0.00000000
USD
0.00000000
USD
1341573.00000000
USD
5098.42000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394CSK9
2257647.97670000
PA
USD
51459.70000000
0.020228507900
Long
ABS-MBS
USGSE
US
N
2
2035-03-25
Floating
0.01000000
N
N
N
N
N
N
OHA Credit Partners Ltd
549300LXLBAFTIMXZT54
OHA Credit Partners VII Ltd
67102QBD9
1000000.00000000
PA
USD
1001243.00000000
0.393582782946
Long
ABS-CBDO
CORP
KY
N
2
2034-02-20
Floating
7.38070000
N
N
N
N
N
N
SAMMONS FINANCIAL GROUP
254900SHCOQLVJ21CT59
Sammons Financial Group Inc
79588TAF7
55000.00000000
PA
USD
54285.25000000
0.021339215123
Long
DBT
CORP
US
N
2
2034-04-15
Fixed
6.87500000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-LTV3
46651HBH9
9949.08000000
PA
USD
9607.21000000
0.003776538211
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.50000000
N
N
N
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBQ1
22000.00000000
PA
USD
18898.90000000
0.007429047350
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
2.00000000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
USD CALL VERSUS JPY PUT
000000000
-2055300.00000000
NC
USD
-90234.63000000
-0.03547070670
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
USD CALL VERSUS JPY PUT
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DFE
CORP
US
N/A
USD
N/A
JPY
2027-09-09
0.01000000
USD
140.00000000
USD
2027-09-09
XXXX
-32028.53000000
N
N
N
WEC ENERGY GROUP INC
549300IGLYTZUK3PVP70
WEC Energy Group Inc
92939UAH9
20000.00000000
PA
USD
19813.77000000
0.007788677411
Long
DBT
CORP
US
N
2
2025-09-27
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136APVH2
5824850.35000000
PA
USD
332731.18000000
0.130794686002
Long
ABS-MBS
USGSE
US
N
2
2045-08-25
Floating
0.20550000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379JGH8
8268745.19100000
PA
USD
1742631.43000000
0.685018250185
Long
ABS-MBS
USGA
US
N
2
2045-01-20
Fixed
4.50000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119CT4
70000.00000000
PA
USD
68561.14000000
0.026950984209
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
5.45000000
N
N
N
N
N
N
TEMPUR SEALY INTL INC
549300HFEKVR3US71V91
Tempur Sealy International Inc
88023UAH4
215000.00000000
PA
USD
191367.76000000
0.075225550188
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137BKG87
5168399.35000000
PA
USD
459429.87000000
0.180599201995
Long
ABS-MBS
USGSE
US
N
2
2045-06-15
Floating
0.73550000
N
N
N
N
N
N
ELI LILLY & CO
FRDRIPF3EKNDJ2CQJL29
Eli Lilly & Co
532457CL0
50000.00000000
PA
USD
47891.36000000
0.018825814260
Long
DBT
CORP
US
N
2
2034-02-09
Fixed
4.70000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BOBL
000000000
119.00000000
NC
-218627.55000000
-0.08594121462
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUNDESOBLIGATION
Bundesobligation
2024-06-06
15004888.40000000
USD
-218627.55000000
N
N
N
MARVELL TECHNOLOGY INC
N/A
Marvell Technology Inc
573874AP9
52000.00000000
PA
USD
52256.43000000
0.020541697815
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
5.75000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GZM9
99000.00000000
PA
USD
82395.49000000
0.032389186497
Long
DBT
CORP
US
N
2
2033-02-24
Fixed
3.10200000
N
N
N
N
N
N
RFM RE-REMIC TRUST 2022-FRR1
N/A
RFM Reremic Trust 2022-FRR1
74971BAE5
60000.00000000
PA
USD
49666.99000000
0.019523804056
Long
ABS-MBS
CORP
US
N
2
2049-03-28
None
0.00000000
N
N
N
N
N
N
NEVADA POWER CO
MJZFGXRJ52U8U4MKJ519
Nevada Power Co
641423CG1
22000.00000000
PA
USD
21973.68000000
0.008637725433
Long
DBT
CORP
US
N
2
2054-03-15
Fixed
6.00000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
TRS VOL GBPUSD STRIKE 6.625
000000000
1.00000000
NC
USD
2171.90000000
0.000853761221
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Y
Performance Leg
Performance Leg
2024-09-17
0.00000000
USD
0.00000000
USD
11000.00000000
USD
2171.9
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCP9
268000.00000000
PA
USD
243102.82000000
0.095562300498
Long
DBT
CORP
US
N
2
2027-09-22
Fixed
1.47000000
N
N
N
N
N
N
Symphony CLO Ltd
N/A
Symphony CLO XXVI Ltd
87190GAJ0
300000.00000000
PA
USD
295185.90000000
0.116035855440
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Floating
7.58617000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325VBR4
7474721.25000000
PA
USD
1589657.19000000
0.624884968755
Long
ABS-MBS
USGSE
US
N
2
2039-06-15
Fixed
6.00000000
N
N
N
N
N
N
NUTRIEN LTD
5493002QQ7GD21OWF963
Nutrien Ltd
67077MAF5
7000.00000000
PA
USD
6992.25000000
0.002748612688
Long
DBT
CORP
CA
N
2
2036-12-01
Fixed
5.87500000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-IRON
05608JAJ2
1888000.00000000
PA
USD
1798537.50000000
0.706994600196
Long
ABS-MBS
CORP
US
N
2
2038-02-15
Floating
7.78548000
N
N
N
N
N
N
PUBLIC SERVICE ELECTRIC
549300RUHPVD434XUK18
Public Service Electric and Gas Co
74456QBQ8
6000.00000000
PA
USD
4580.35000000
0.001800508867
Long
DBT
CORP
US
N
2
2046-03-01
Fixed
3.80000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137A0PK5
1236644.30000000
PA
USD
107558.87000000
0.042280764395
Long
ABS-MBS
USGSE
US
N
2
2040-07-15
Floating
1.05550000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAH6
655000.00000000
PA
USD
616977.15000000
0.242530118774
Long
DBT
CORP
GB
N
2
2025-09-02
Fixed
1.20000000
N
N
N
N
N
N
NORFOLK SOUTHERN CORP
54930036C8MWP850MI84
Norfolk Southern Corp
655844CU0
75000.00000000
PA
USD
75218.91000000
0.029568114761
Long
DBT
CORP
US
N
2
2064-03-15
Fixed
5.95000000
N
N
N
N
N
N
ANTOFAGASTA PLC
213800MY6QVH4FVLD628
Antofagasta PLC
03718NAC0
250000.00000000
PA
USD
250250.00000000
0.098371815266
Long
DBT
CORP
GB
N
2
2034-05-02
Fixed
6.25000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFR1
105000.00000000
PA
USD
104996.94000000
0.041273684656
Long
DBT
CORP
US
N
2
2035-04-19
Fixed
5.83100000
N
N
N
N
N
N
FED CAISSES DESJARDINS
549300B2Q47IR0CR5B54
Federation des Caisses Desjardins du Quebec
31429KAL7
238000.00000000
PA
USD
233846.32000000
0.091923624342
Long
DBT
CORP
CA
N
2
2029-04-26
Fixed
5.25000000
N
N
N
N
N
N
NATIONAL BANK OF CANADA
BSGEFEIOM18Y80CKCV46
National Bank of Canada
63307A2X2
253000.00000000
PA
USD
252585.64000000
0.099289941726
Long
DBT
CORP
CA
N
2
2028-12-18
Fixed
5.60000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - HUF
000000000
1.00000000
NC
USD
1781.56000000
0.000700320843
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-143903.29000000
USD
53585310.71000000
HUF
2024-06-28
1781.56000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375JRN7
134446.84000000
PA
USD
144396.20000000
0.056761303942
Long
ABS-MBS
USGA
US
N
2
2037-03-20
Floating
4.44238000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378WYV9
677828.26000000
PA
USD
76466.62000000
0.030058582284
Long
ABS-MBS
USGA
US
N
2
2043-01-16
Fixed
4.50000000
N
N
N
N
N
N
WF-RBS COMMERCIAL MORTGAGE TRU
N/A
WFRBS Commercial Mortgage Trust 2014-C24
92939KAG3
585000.00000000
PA
USD
564870.85000000
0.222047436185
Long
ABS-MBS
CORP
US
N
2
2047-11-15
Fixed
3.93100000
N
N
N
N
N
N
CISCO SYSTEMS INC
549300LKFJ962MZ46593
Cisco Systems Inc
17275RBT8
85000.00000000
PA
USD
83189.48000000
0.032701299335
Long
DBT
CORP
US
N
2
2034-02-26
Fixed
5.05000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEW8
30000.00000000
PA
USD
27312.26000000
0.010736290090
Long
DBT
CORP
US
N
2
2053-04-15
Fixed
5.05000000
N
N
N
N
N
N
AON NORTH AMERICA INC
N/A
Aon North America Inc
03740MAB6
130000.00000000
PA
USD
128322.50000000
0.050442826231
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
5.15000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
-388773.18000000
-0.15282446930
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-54265147.70000000
USD
50392616.24000000
EUR
2024-06-14
-388773.18000000
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122EL8
42000.00000000
PA
USD
40230.34000000
0.015814311986
Long
DBT
CORP
US
N
2
2064-02-22
Fixed
5.65000000
N
N
N
N
N
N
ALGONQUIN PWR & UTILITY
549300K5VIUTJXQL7X75
Algonquin Power & Utilities Corp
015857AF2
55000.00000000
PA
USD
54438.62000000
0.021399503975
Long
DBT
CORP
CA
N
2
2026-06-15
Variable
5.36500000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP IRS EUR
000000000
-11915000.00000000
NC
-9073.80000000
-0.00356685785
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP IRS EUR
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
GB
US
2028-04-27
0.00000000
USD
0.00000000
USD
0.00000000
EUR
1.00000000
USD
3.10000000
EUR
2026-04-23
XXXX
-9073.80000000
N
N
N
SUMMIT MATERIALS LLC/FIN
N/A
Summit Materials LLC / Summit Materials Finance Corp
86614RAP2
180000.00000000
PA
USD
185050.62000000
0.072742319302
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
7.25000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
IRS BRL
000000000
1.00000000
NC
-21745.36000000
-0.00854797417
N/A
DIR
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Y
2025-01-02
0.00000000
BRL
0.00000000
BRL
65627567.91000000
BRL
-21745.36000000
N
N
N
FLORIDA POWER & LIGHT CO
A89MY1K3YLIGJMYWVX50
Florida Power & Light Co
341081GE1
11000.00000000
PA
USD
6777.57000000
0.002664223232
Long
DBT
CORP
US
N
2
2051-12-04
Fixed
2.87500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CP7
102000.00000000
PA
USD
100623.74000000
0.039554605245
Long
DBT
CORP
US
N
2
2034-02-01
Fixed
6.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396QW96
93200.08000000
PA
USD
59781.94000000
0.023499931899
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Floating
0.01000000
N
N
N
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
637432NQ4
250000.00000000
PA
USD
235701.37000000
0.092652833676
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
3.90000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
CURRENCY CONTRACT - DKK
000000000
1.00000000
NC
USD
-3758.51000000
-0.00147744835
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
-523823.70000000
USD
3626351.87000000
DKK
2024-06-14
-3758.51000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEC5
65000.00000000
PA
USD
59369.80000000
0.023337922069
Long
DBT
CORP
US
N
2
2027-07-20
Fixed
1.51200000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-KG01 Mortgage Trust
30298CAU5
1800000.00000000
PA
USD
1111995.63000000
0.437118995768
Long
ABS-MBS
CORP
US
N
2
2029-05-25
None
0.00000000
N
N
N
N
N
N
Octagon Investment Partners 43
N/A
Octagon Investment Partners 43 Ltd
67573LAQ2
1350000.00000000
PA
USD
1352068.20000000
0.531490122667
Long
ABS-CBDO
CORP
KY
N
2
2032-10-25
Floating
7.77354840
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DBG5
173000.00000000
PA
USD
164457.96000000
0.064647464775
Long
ABS-MBS
CORP
US
N
2
2047-10-27
None
0.00000000
N
N
N
N
N
N
BUILDERS FIRSTSOURCE INC
549300W0SKP6L3H7DP63
Builders FirstSource Inc
12008RAS6
135000.00000000
PA
USD
132663.46000000
0.052149232286
Long
DBT
CORP
US
N
2
2034-03-01
Fixed
6.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
56092.58000000
0.022049666004
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2033-11-03
0.00000000
MXN
0.00000000
MXN
24686000.00000000
MXN
56092.58000000
N
N
N
RYDER SYSTEM INC
ZXJ6Y2OSPZXIVGRILD15
Ryder System Inc
78355HKX6
62000.00000000
PA
USD
63874.74000000
0.025108787706
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
6.30000000
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBG0
301000.00000000
PA
USD
298564.87000000
0.117364108837
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
5.25000000
N
N
N
N
N
N
VIASAT INC
UFC8NYMNFSYIHNSM2I38
Viasat Inc
92552VAL4
215000.00000000
PA
USD
196965.00000000
0.077425792582
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.62500000
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
-174730.39000000
-0.06868549708
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2028-07-20
0.00000000
MXN
0.00000000
MXN
59816000.00000000
MXN
-174730.39000000
N
N
N
CNH INDUSTRIAL CAP LLC
549300PNSJ5B81UMVO28
CNH Industrial Capital LLC
12592BAS3
100000.00000000
PA
USD
97898.08000000
0.038483164198
Long
DBT
CORP
US
N
2
2029-04-20
Fixed
5.10000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBZ7
97000.00000000
PA
USD
96459.34000000
0.037917603896
Long
DBT
CORP
US
N
2
2034-02-20
Fixed
6.00000000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AQ6
355000.00000000
PA
USD
331227.81000000
0.130203720025
Long
DBT
CORP
NL
N
2
2029-04-09
Fixed
4.05000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-OAT
000000000
57.00000000
NC
-181654.96000000
-0.07140750516
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
FRANCE (GOVT OF)
French Republic Government Bond OAT
2024-06-06
7814057.34000000
USD
-181654.96000000
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDM8
158000.00000000
PA
USD
145461.23000000
0.057179961022
Long
DBT
CORP
US
N
2
N/A
Fixed
4.35000000
N
N
N
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
141781BM5
41000.00000000
PA
USD
34315.27000000
0.013489132472
Long
DBT
CORP
US
N
2
2030-04-23
Fixed
2.12500000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBH3
89000.00000000
PA
USD
81408.53000000
0.032001218278
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
4.25000000
N
N
N
N
N
N
GEORGIA POWER CO
D981X4Z4RWS7PDMJUZ03
Georgia Power Co
373334KS9
40000.00000000
PA
USD
38904.89000000
0.015293285322
Long
DBT
CORP
US
N
2
2028-05-16
Fixed
4.65000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CKK6
39000.00000000
PA
USD
38884.98000000
0.015285458817
Long
DBT
UST
US
N
2
2026-04-30
Fixed
4.87500000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCX5
655000.00000000
PA
USD
645224.24000000
0.253633885084
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.80000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B9 Mortgage Trust
08160JAY3
280000.00000000
PA
USD
167065.61000000
0.065672516780
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Fixed
3.00000000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BW8
39000.00000000
PA
USD
38937.10000000
0.015305946885
Long
DBT
CORP
US
N
2
2033-01-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-SBT1
20753VCZ9
1000000.00000000
PA
USD
1066861.70000000
0.419377111156
Long
ABS-MBS
CORP
US
N
2
2040-02-25
Floating
9.09450000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
7750000.00000000
PA
1097602.91000000
0.431461301490
Long
DBT
NUSS
CN
N
2
2032-08-15
Fixed
2.69000000
N
N
N
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
141781BQ6
43000.00000000
PA
USD
34279.12000000
0.013474922118
Long
DBT
CORP
US
N
2
2031-02-02
Fixed
1.70000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
TRS VOL USDCAD STRIKE 5.2
000000000
1.00000000
NC
USD
3449.75000000
0.001356076602
N/A
DFE
CORP
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Y
Performance Leg
Performance Leg
2024-10-03
0.00000000
USD
0.00000000
USD
13000.00000000
USD
3449.75
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2019-PJ3
36257QAA4
12293.15000000
PA
USD
10974.47000000
0.004314000141
Long
ABS-MBS
CORP
US
N
2
2050-03-25
Variable
3.50000000
N
N
N
N
N
N
CHUBB INA HOLDINGS LLC
CZCBJZWDMLTHWJDXU843
Chubb INA Holdings LLC
171239AJ5
20000.00000000
PA
USD
12382.16000000
0.004867354869
Long
DBT
CORP
US
N
2
2061-12-15
Fixed
3.05000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AQ27
867109.66000000
PA
USD
774760.39000000
0.304553790052
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.50000000
N
N
N
N
N
N
RFM RE-REMIC TRUST 2022-FRR1
N/A
RFM Reremic Trust 2022-FRR1
74971BBM6
180000.00000000
PA
USD
153543.74000000
0.060357148557
Long
ABS-MBS
CORP
US
N
2
2049-03-28
None
0.00000000
N
N
N
N
N
N
NUTRIEN LTD
5493002QQ7GD21OWF963
Nutrien Ltd
67077MAY4
31000.00000000
PA
USD
31159.32000000
0.012248546936
Long
DBT
CORP
CA
N
2
2025-11-07
Fixed
5.95000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISA3AUOXQEF68
Freddie Mac STACR REMIC Trust 2022-DNA2
35564KRN1
500000.00000000
PA
USD
525746.60000000
0.206667921726
Long
ABS-MBS
CORP
US
N
2
2042-02-25
Floating
9.08002000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AH8
214000.00000000
PA
USD
212466.24000000
0.083519239606
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
5.37500000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AS9
600000.00000000
PA
USD
595578.00000000
0.234118237732
Long
DBT
CORP
GB
N
2
2024-09-11
Fixed
3.62500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746SH5
81000.00000000
PA
USD
76203.48000000
0.029955143485
Long
DBT
CORP
US
N
2
2026-10-23
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3132QSYA0
40628.38000000
PA
USD
37193.37000000
0.014620496794
Long
ABS-MBS
USGSE
US
N
2
2045-09-01
Fixed
4.00000000
N
N
N
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
141781BS2
108000.00000000
PA
USD
86284.74000000
0.033918027986
Long
DBT
CORP
US
N
2
2031-11-10
Fixed
2.12500000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
31335BM60
410621.55000000
PA
USD
361667.83000000
0.142169514327
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
OFFICE CHERIFIEN DES PHO
213800D26TAPVTCVWG40
OCP SA
67091TAF2
250000.00000000
PA
USD
246750.00000000
0.096995985681
Long
DBT
CORP
MA
N
2
2034-05-02
Fixed
6.75000000
N
N
N
N
N
N
AMERN AIRLINE 16-2 A PTT
N/A
American Airlines 2016-2 Class A Pass Through Trust
023764AA1
16188.00000000
PA
USD
14641.84000000
0.005755621896
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
3.65000000
N
N
N
N
N
N
KENVUE INC
5493008HSF8L4M2LIJ82
Kenvue Inc
49177JAK8
100000.00000000
PA
USD
96853.35000000
0.038072486929
Long
DBT
CORP
US
N
2
2033-03-22
Fixed
4.90000000
N
N
N
N
N
N
RYDER SYSTEM INC
ZXJ6Y2OSPZXIVGRILD15
Ryder System Inc
78355HLB3
65000.00000000
PA
USD
64659.22000000
0.025417162218
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.50000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AN9
250000.00000000
PA
USD
239761.25000000
0.094248748823
Long
DBT
CORP
CO
N
2
2030-04-29
Fixed
6.87500000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2020-B21 Mortgage Trust
08163LAL3
10326906.53000000
PA
USD
646321.84000000
0.254065345242
Long
ABS-MBS
CORP
US
N
2
2053-12-17
Variable
1.55557100
N
N
N
N
N
N
INTEL CORP
KNX4USFCNGPY45LOCE31
Intel Corp
458140CM0
36000.00000000
PA
USD
33900.00000000
0.013325892257
Long
DBT
CORP
US
N
2
2054-02-21
Fixed
5.60000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJT7
190000.00000000
PA
USD
156622.87000000
0.061567536599
Long
DBT
CORP
US
N
2
2032-04-22
Fixed
2.68700000
N
N
N
N
N
N
Woodward Capital Management
N/A
RCKT Mortgage Trust 2021-1
749350AA2
806646.37000000
PA
USD
622254.11000000
0.244604460968
Long
ABS-MBS
CORP
US
N
2
2051-03-25
Variable
2.50000000
N
N
N
N
N
N
RFM RE-REMIC TRUST 2022-FRR1
N/A
RFM Reremic Trust 2022-FRR1
74971BBR5
230000.00000000
PA
USD
194139.83000000
0.076315234735
Long
ABS-MBS
CORP
US
N
2
2050-03-01
Variable
2.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac Gold Pool
3128MJYD6
67779.62000000
PA
USD
62192.53000000
0.024447520767
Long
ABS-MBS
USGSE
US
N
2
2046-05-01
Fixed
4.00000000
N
N
N
N
N
N
BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The
06417XAP6
51000.00000000
PA
USD
49416.80000000
0.019425455826
Long
DBT
CORP
CA
N
2
2030-02-01
Fixed
4.85000000
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WSH6
2902862.53000000
PA
USD
486853.30000000
0.191379192364
Long
ABS-MBS
USGSE
US
N
2
2046-02-15
Variable
4.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599EF8
90000.00000000
PA
USD
91200.60000000
0.035850423877
Long
DBT
CORP
US
N
2
2031-01-01
Fixed
6.12500000
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-10388.01000000
-0.00408346613
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
-3973322.86000000
CNY
547929.58000000
USD
2024-06-28
-10388.01000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
226373AQ1
200000.00000000
PA
USD
198197.88000000
0.077910430519
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.62500000
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
47938000.00000000
PA
269314.61000000
0.105866002251
Long
DBT
NUSS
RU
N
2
2029-05-23
Fixed
6.90000000
N
Y
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H052652
720000.00000000
PA
USD
705945.31000000
0.277502983509
Long
ABS-MBS
USGA
US
N
2
2054-05-15
Fixed
5.50000000
N
N
N
N
N
N
PRIMO WATER HOLDINGS INC
9845008F9A5F2E1D4832
Primo Water Holdings Inc
74168LAA4
195000.00000000
PA
USD
178169.12000000
0.070037241793
Long
DBT
CORP
US
N
2
2029-04-30
Fixed
4.37500000
N
N
N
N
N
N
Octagon Investment Partners XX
549300XIS9D4AHDX5A35
Octagon Investment Partners XXI Ltd
67590QBN6
1000000.00000000
PA
USD
997535.00000000
0.392125189776
Long
ABS-CBDO
CORP
KY
N
2
2031-02-14
Floating
7.31814000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546AV6
74000.00000000
PA
USD
72730.38000000
0.028589888134
Long
DBT
CORP
US
N
2
2025-04-09
Fixed
3.85000000
N
N
N
N
N
N
Sequoia Mortgage Trust
549300ZUG1L9OO3W6B29
Sequoia Mortgage Trust 2018-CH1
81747DAU3
17259.09000000
PA
USD
15546.30000000
0.006111159846
Long
ABS-MBS
CORP
US
N
2
2048-03-25
Variable
4.00000000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAQ2
63000.00000000
PA
USD
63046.70000000
0.024783290012
Long
DBT
CORP
US
N
2
2033-09-15
Fixed
6.05000000
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAY6
43000.00000000
PA
USD
41874.47000000
0.016460609898
Long
DBT
CORP
US
N
2
2034-05-15
Fixed
5.55000000
N
N
N
N
N
AMERICAN ELEC 05/15/2024
N/A
AMERICAN ELEC 05/15/2024
000000000
1300000.00000000
PA
USD
1297032.20000000
0.509855792098
Long
DBT
CORP
US
N
2
2024-05-15
None
0.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31394FFH3
70958.89000000
PA
USD
64478.16000000
0.025345988588
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Floating
2.22201700
N
N
N
N
N
N
DTE ELECTRIC CO
9N0FWODEJVKHC2DYLO03
DTE Electric Co
23338VAK2
266000.00000000
PA
USD
224842.09000000
0.088384114052
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.25000000
N
N
N
N
N
N
BELGIUM KINGDOM
549300SZ25JZFHRHWD76
Kingdom of Belgium Government International Bond
000000000
1954000.00000000
PA
USD
1870320.52000000
0.735212086640
Long
DBT
NUSS
BE
N
2
2055-06-10
Fixed
4.87500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
117188.43000000
0.046066088260
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-11-03
25.00000000
USD
0.00000000
USD
4000000.00000000
USD
117163.43000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
77586RAU4
194000.00000000
PA
USD
189877.50000000
0.074639737675
Long
DBT
NUSS
RO
N
2
2034-01-30
Fixed
6.37500000
N
N
N
N
N
N
HUNTINGTON BANCSHARES
549300XTVCVV9I7B5T19
Huntington Bancshares Inc/OH
446150AX2
35000.00000000
PA
USD
25808.61000000
0.010145214046
Long
DBT
CORP
US
N
2
2036-08-15
Fixed
2.48700000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137FQFH1
9421228.96000000
PA
USD
696483.19000000
0.273783479331
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Floating
0.55550000
N
N
N
N
N
N
FIRSTENERGY PENN ELECTRI
N/A
FirstEnergy Pennsylvania Electric Co
591894CB4
374000.00000000
PA
USD
366869.13000000
0.144214115017
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376TUC4
75769.04000000
PA
USD
3013.65000000
0.001184648236
Long
ABS-MBS
USGA
US
N
2
2039-11-20
Fixed
5.00000000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BV7
199000.00000000
PA
USD
197845.23000000
0.077771805861
Long
DBT
CORP
US
N
2
2024-09-01
Fixed
4.25000000
N
N
N
N
N
N
STATE STREET CORP
549300ZFEEJ2IP5VME73
State Street Corp
857477CF8
83000.00000000
PA
USD
83912.79000000
0.032985628277
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
5.68400000
N
N
N
N
N
N
SIEMENS FINANCIERINGSMAT
TAFO772JB70PDRN5VS48
Siemens Financieringsmaatschappij NV
82620KAL7
290000.00000000
PA
USD
270916.08000000
0.106495530766
Long
DBT
CORP
NL
N
2
2026-10-15
Fixed
2.35000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDY5
158000.00000000
PA
USD
110777.88000000
0.043546138449
Long
DBT
CORP
US
N
2
2040-05-15
Fixed
2.75000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
TRS VOL USDCAD STRIKE 5.2
000000000
1.00000000
NC
USD
2802.95000000
0.001101823295
N/A
DFE
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Y
Performance Leg
Performance Leg
2024-09-13
0.00000000
USD
0.00000000
USD
22000.00000000
USD
2802.95
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370DB3
210000.00000000
PA
USD
206072.33000000
0.081005830881
Long
DBT
CORP
US
N
2
2032-08-19
Fixed
6.10000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
6651.82000000
0.002614791641
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2054-04-30
0.00000000
USD
0.00000000
USD
492000.00000000
USD
6651.82000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-4785.53000000
-0.00188116392
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-06-20
0.00000000
JPY
0.00000000
JPY
100000000.00000000
JPY
-4785.53000000
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BRL CALL VERSUS EUR PUT
000000000
2603000.00000000
NC
4375.49000000
0.001719979596
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Put
Purchased
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BRL CALL VERSUS EUR PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
BRL
N/A
EUR
2024-06-12
0.01000000
USD
5.40000000
EUR
2024-06-12
XXXX
-6715.75000000
N
N
N
RFM RE-REMIC TRUST 2022-FRR1
N/A
RFM Reremic Trust 2022-FRR1
74971BAS4
70000.00000000
PA
USD
54276.75000000
0.021335873823
Long
ABS-MBS
CORP
US
N
2
2049-11-08
None
0.00000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DBW0
220000.00000000
PA
USD
196936.43000000
0.077414561882
Long
ABS-MBS
CORP
US
N
2
2048-05-27
None
0.00000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBV1
39000.00000000
PA
USD
37487.86000000
0.014736259095
Long
DBT
CORP
US
N
2
2033-09-11
Fixed
4.89300000
N
N
N
N
N
N
PPG INDS INC 0 05/06/2024
N/A
PPG INDS INC 0 05/06/2024
000000000
580000.00000000
PA
USD
579475.24000000
0.227788336705
Long
DBT
CORP
US
N
2
2024-05-06
None
0.00000000
N
N
N
N
N
N
Recette CLO LLC
549300392I5L5XOJ0016
Recette Clo Ltd
75620TAY4
1000000.00000000
PA
USD
983996.00000000
0.386803087850
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
7.33617000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48126HAA8
463000.00000000
PA
USD
463000.00000000
0.182002599273
Long
DBT
CORP
US
N
2
N/A
Floating
8.86803840
N
N
N
N
N
N
OLD REPUBLIC INTL CORP
549300IV6O2YY2A1KH37
Old Republic International Corp
680223AM6
220000.00000000
PA
USD
214323.76000000
0.084249419883
Long
DBT
CORP
US
N
2
2034-03-28
Fixed
5.75000000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830CE7
48000.00000000
PA
USD
44605.20000000
0.017534043933
Long
DBT
CORP
US
N
2
2064-02-15
Fixed
5.20000000
N
N
N
N
N
N
EVERGY KANSAS CENTRAL
J75GNWGEO73W89ZV3S44
Evergy Kansas Central Inc
95709TAH3
65000.00000000
PA
USD
52404.37000000
0.020599852166
Long
DBT
CORP
US
N
2
2042-03-01
Fixed
4.12500000
N
N
N
N
N
N
Winwater Mortgage Loan Trust
N/A
WinWater Mortgage Loan Trust 2015-5
97654DCC8
269718.57000000
PA
USD
236935.68000000
0.093138033737
Long
ABS-MBS
CORP
US
N
2
2045-08-20
Variable
3.75444400
N
N
N
N
N
N
BAE SYSTEMS PLC
8SVCSVKSGDWMW2QHOH83
BAE Systems PLC
05523RAJ6
205000.00000000
PA
USD
201305.26000000
0.079131923471
Long
DBT
CORP
GB
N
2
2029-03-26
Fixed
5.12500000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CC6
49000.00000000
PA
USD
30358.63000000
0.011933800367
Long
DBT
CORP
US
N
2
2061-12-01
Fixed
4.40000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JBB3
86000.00000000
PA
USD
68513.28000000
0.026932170723
Long
DBT
CORP
US
N
2
2041-09-01
Fixed
5.50000000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBZ2
12000.00000000
PA
USD
11346.23000000
0.004460136829
Long
DBT
CORP
GB
N
2
2063-02-10
Fixed
5.75000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HRV4
802000.00000000
PA
USD
758559.40000000
0.298185275385
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
2.95000000
N
N
N
N
N
N
SEALED AIR CORP
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211KAZ3
108000.00000000
PA
USD
97107.84000000
0.038172525464
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
1.57300000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Trust 2015-3
46644MAS5
162148.54000000
PA
USD
143229.84000000
0.056302814629
Long
ABS-MBS
CORP
US
N
2
2045-05-25
Variable
3.50000000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AL0
118000.00000000
PA
USD
92693.81000000
0.036437396018
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
1.75000000
N
N
N
N
N
N
Bluemountain CLO Ltd
549300KGXMRFX2DKIX03
BlueMountain CLO 2013-2 Ltd
09626YAU4
500000.00000000
PA
USD
494214.50000000
0.194272837146
Long
ABS-CBDO
CORP
KY
N
2
2030-10-22
Floating
7.53617000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBP9
144000.00000000
PA
USD
115396.22000000
0.045361580964
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
3.80000000
N
N
N
N
N
N
SMITH & NEPHEW PLC
213800ZTMDN8S67S1H61
Smith & Nephew PLC
83192PAD0
75000.00000000
PA
USD
72319.85000000
0.028428511185
Long
DBT
CORP
GB
N
2
2034-03-20
Fixed
5.40000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380BA88
3252317.38000000
PA
USD
561964.67000000
0.220905033779
Long
ABS-MBS
USGA
US
N
2
2046-11-20
Fixed
5.50000000
N
N
N
N
N
N
OWENS-BROCKWAY
V2UQUCDZJ9WY98W8QU33
Owens-Brockway Glass Container Inc
69073TAU7
175000.00000000
PA
USD
175486.50000000
0.068982719519
Long
DBT
CORP
US
N
2
2031-05-15
Fixed
7.25000000
N
N
N
N
N
N
MATCH GROUP HLD II LLC
5493003RFFE030RC9167
Match Group Holdings II LLC
57667JAA0
210000.00000000
PA
USD
173576.21000000
0.068231795663
Long
DBT
CORP
US
N
2
2031-10-01
Fixed
3.62500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT
000000000
5.00000000
NC
USD
-35481.93000000
-0.01394773971
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
2024-06-18
633294.43000000
USD
-35481.93000000
N
N
N
TOTALENERGIES CAPITAL SA
529900QI55ZLJVCMPA71
TotalEnergies Capital SA
89157XAA9
70000.00000000
PA
USD
69006.09000000
0.027125891459
Long
DBT
CORP
FR
N
2
2034-04-05
Fixed
5.15000000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CBK9
19000.00000000
PA
USD
17701.49000000
0.006958352464
Long
DBT
CORP
US
N
2
2053-01-15
Fixed
5.35000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IRODEKU3J3Q16
Freddie Mac STACR REMIC Trust 2022-HQA1
35564KTJ8
1100000.00000000
PA
USD
1192271.96000000
0.468675152831
Long
ABS-MBS
CORP
US
N
2
2042-03-25
Floating
10.58002000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-1308.87000000
-0.00051450916
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1271661170.16000000
COP
319968.69000000
USD
2024-06-28
-1308.87000000
N
N
N
KLA CORP
549300H0BF5JCG96TJ81
KLA Corp
482480AN0
43000.00000000
PA
USD
39884.12000000
0.015678214923
Long
DBT
CORP
US
N
2
2062-07-15
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3133TSSK0
71187.98000000
PA
USD
6912.35000000
0.002717204464
Long
ABS-MBS
USGSE
US
N
2
2031-04-15
Floating
3.25550000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
33665.04000000
0.013233530852
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2054-04-30
0.00000000
USD
0.00000000
USD
805000.00000000
USD
33665.04000000
N
N
N
NORTHWESTERN MUTUAL LIFE
1DU7IM20QESYGDO4HO54
Northwestern Mutual Life Insurance Co/The
668138AE0
20000.00000000
PA
USD
13539.70000000
0.005322377091
Long
DBT
CORP
US
N
2
2051-03-30
Fixed
3.45000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
12602.50000000
0.004953969238
N/A
DFE
CORP
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
-111393281.00000000
JPY
723675.61000000
USD
2024-06-14
12602.50000000
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-VOLT
05609VAA3
1000000.00000000
PA
USD
990684.60000000
0.389432337495
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
6.13546000
N
N
N
N
N
N
Sound Point CLO LTD
549300YVZ0M0XDDYS744
Sound Point Clo XV Ltd
83609RAQ4
1000000.00000000
PA
USD
1005433.00000000
0.395229847506
Long
ABS-CBDO
CORP
KY
N
2
2029-01-23
Floating
7.63801000
N
N
N
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DaVita Inc
23918KAS7
220000.00000000
PA
USD
192944.15000000
0.075845219901
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
4.62500000
N
N
N
N
N
N
DUKE ENERGY PROGRESS LLC
0NIFZ782LS46WOC9QK20
Duke Energy Progress LLC
144141DD7
3000.00000000
PA
USD
2377.17000000
0.000934451660
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
4.10000000
N
N
N
N
N
N
CISCO SYSTEMS INC
549300LKFJ962MZ46593
Cisco Systems Inc
17275RBS0
84000.00000000
PA
USD
82660.16000000
0.032493226730
Long
DBT
CORP
US
N
2
2031-02-26
Fixed
4.95000000
N
N
N
N
N
N
META PLATFORMS INC
BQ4BKCS1HXDV9HN80Z93
Meta Platforms Inc
30303M8G0
48000.00000000
PA
USD
45631.81000000
0.017937598335
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.50000000
N
N
N
N
N
N
ESSENTIAL UTILITIES INC
549300ILTEOF3E3QY357
Essential Utilities Inc
29670GAD4
118000.00000000
PA
USD
100391.41000000
0.039463277677
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.70400000
N
N
N
N
N
N
CSL FINANCE PLC
2549007CCNBNAF4HBC02
CSL Finance PLC
12661PAB5
81000.00000000
PA
USD
76211.96000000
0.029958476923
Long
DBT
CORP
GB
N
2
2029-04-27
Fixed
4.05000000
N
N
N
N
N
N
PFIZER INVESTMENT ENTER
5493000FQO8XF9C0RT95
Pfizer Investment Enterprises Pte Ltd
716973AH5
208000.00000000
PA
USD
190958.92000000
0.075064837569
Long
DBT
CORP
SG
N
2
2063-05-19
Fixed
5.34000000
N
N
N
N
N
N
BOFA SECURITIES, INC.
549300HN4UKV1E2R3U73
BOFA SECURITIES INC
000000000
688342.00000000
PA
USD
688342.00000000
0.270583225030
Long
RA
CORP
US
N
2
Repurchase
N
5.30000000
2024-05-01
768393.38865047
USD
702108.84001147
USD
UST
N
N
CSL FINANCE PLC
2549007CCNBNAF4HBC02
CSL Finance PLC
12661PAF6
20000.00000000
PA
USD
17137.31000000
0.006736576597
Long
DBT
CORP
GB
N
2
2062-04-27
Fixed
4.95000000
N
N
N
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2020-INV1 Trust
67113CAX4
149800.06000000
PA
USD
128478.94000000
0.050504321883
Long
ABS-MBS
CORP
US
N
2
2049-12-25
Variable
3.50000000
N
N
N
N
N
N
AMERICAN HONDA FINANCE
B6Q2VFHD1797Q7NZ3E43
American Honda Finance Corp
02665WEM9
49000.00000000
PA
USD
48694.84000000
0.019141657562
Long
DBT
CORP
US
N
2
2028-07-07
Fixed
5.12500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PFB3
60000.00000000
PA
USD
58060.38000000
0.022823196705
Long
DBT
CORP
US
N
2
2034-04-15
Fixed
5.00000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
TRS VOL GBPUSD STRIKE 6.6
000000000
1.00000000
NC
USD
2441.31000000
0.000959664720
N/A
DFE
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Y
Performance Leg
Performance Leg
2024-09-17
0.00000000
USD
0.00000000
USD
11000.00000000
USD
2441.31
N
N
N
ORGANON & CO/ORG
N/A
Organon & Co / Organon Foreign Debt Co-Issuer BV
68622TAA9
250000.00000000
PA
USD
227926.70000000
0.089596656250
Long
DBT
CORP
US
N
2
2028-04-30
Fixed
4.12500000
N
N
N
N
N
N
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
EUR CALL VERSUS BRL PUT
000000000
-2759000.00000000
NC
-55165.13000000
-0.02168509081
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
Call
Written
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
BANK OF AMERICA, NATIONAL ASSOCIATION
B4TYDEB6GKMZO031MB27
EUR CALL VERSUS BRL PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
US
US
N/A
EUR
N/A
BRL
2024-09-12
0.01000000
USD
5.75000000
EUR
2024-09-12
XXXX
-8894.93000000
N
N
N
DAIWA CAPITAL MARKETS AMERICA INC.
M67H5PRC0NQKM73ZAS82
DAIWA CAPITAL MARKETS AMERICA INC
000000000
1000000.00000000
PA
USD
1000000.00000000
0.393094166897
Long
RA
CORP
US
N
2
Repurchase
N
5.35000000
2024-05-01
1107067.52370370
USD
865950.82700000
USD
AMBS
11949.62962963
USD
11953.18000000
USD
ADAS
135457.03703703
USD
142096.02729629
USD
UST
N
N
TOTALENERGIES CAPITAL SA
529900QI55ZLJVCMPA71
TotalEnergies Capital SA
89157XAC5
60000.00000000
PA
USD
58636.57000000
0.023049693633
Long
DBT
CORP
FR
N
2
2064-04-05
Fixed
5.63800000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BUND
000000000
37.00000000
NC
-120955.58000000
-0.04754693295
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2024-06-06
5257354.63000000
USD
-120955.58000000
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAT7
37000.00000000
PA
USD
36472.84000000
0.014337260654
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
5.05000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHD4
245000.00000000
PA
USD
227155.79000000
0.089293616025
Long
DBT
CORP
US
N
2
2028-12-20
Fixed
3.41900000
N
N
N
N
N
N
MIDAMERICAN ENERGY CO
NINLOILYRTLIMK26MZ18
MidAmerican Energy Co
595620AY1
53000.00000000
PA
USD
53360.34000000
0.020975638397
Long
DBT
CORP
US
N
2
2054-09-15
Fixed
5.85000000
N
N
N
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZR7
200000.00000000
PA
USD
190624.61000000
0.074933422258
Long
DBT
CORP
US
N
2
2029-05-03
Fixed
5.11300000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
3400000.00000000
PA
517825.61000000
0.203554226761
Long
DBT
NUSS
CN
N
2
2052-10-25
Fixed
3.12000000
N
N
N
N
N
N
LIBERTY MUTUAL GROUP INC
QUR0DG15Z6FFGYCHH861
Liberty Mutual Group Inc
53079EBK9
36000.00000000
PA
USD
24323.30000000
0.009561347349
Long
DBT
CORP
US
N
2
2060-05-15
Fixed
3.95000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-21M
05609CAN7
700000.01000000
PA
USD
689741.37000000
0.271133309214
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
7.60648000
N
N
N
N
N
N
ADT SEC CORP
5493009JEEDYLVRA0J13
ADT Security Corp/The
00109LAA1
185000.00000000
PA
USD
167371.98000000
0.065792949040
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
4.12500000
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
23745.67000000
0.009334284366
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-09-13
0.00000000
GBP
0.00000000
GBP
800000.00000000
GBP
23745.67000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GLH0
92000.00000000
PA
USD
88658.58000000
0.034851170643
Long
DBT
CORP
US
N
2
2034-04-25
Fixed
5.28800000
N
N
N
N
N
N
COLT Funding LLC
N/A
COLT 2021-2 Mortgage Loan Trust
19685WAA9
703075.45000000
PA
USD
560957.61000000
0.220509164367
Long
ABS-MBS
CORP
US
N
2
2066-08-25
Variable
0.92400000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
-36488.59000000
-0.01434345188
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-6618381.33000000
USD
9054402.33000000
CAD
2024-06-14
-36488.59000000
N
N
N
PROLOGIS LP
GL16H1DHB0QSHP25F723
Prologis LP
74340XCB5
37000.00000000
PA
USD
29498.09000000
0.011595527113
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
2.25000000
N
N
N
N
N
N
AMERICAN WATER CAPITAL C
5IDHQUFVC8Q2KIBBFF06
American Water Capital Corp
03040WBC8
99000.00000000
PA
USD
93441.16000000
0.036731174944
Long
DBT
CORP
US
N
2
2054-03-01
Fixed
5.45000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PFC1
45000.00000000
PA
USD
42775.75000000
0.016814897809
Long
DBT
CORP
US
N
2
2054-04-15
Fixed
5.37500000
N
N
N
N
N
N
MARS INC
54930073HKEO6GZBSS03
Mars Inc
571676AN5
135000.00000000
PA
USD
89059.18000000
0.035008644166
Long
DBT
CORP
US
N
2
2040-07-16
Fixed
2.37500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A4DR7
406700.23000000
PA
USD
5522.09000000
0.002170701368
Long
ABS-MBS
USGSE
US
N
2
2040-09-25
Floating
1.10550000
N
N
N
N
N
N
Palmer Square CLO Ltd
5493006ZPBFJJGSXB826
Palmer Square CLO 2015-1 Ltd
69689ABN9
1000000.00000000
PA
USD
1001231.00000000
0.393578065816
Long
ABS-CBDO
CORP
KY
N
2
2034-05-21
Floating
7.42563000
N
N
N
N
N
N
CONSTELLATION SOFTWARE
549300B6PYHMCTDWQV29
Constellation Software Inc/Canada
21037XAC4
72000.00000000
PA
USD
70441.17000000
0.027690013036
Long
DBT
CORP
CA
N
2
2029-02-16
Fixed
5.15800000
N
N
N
N
N
N
L3HARRIS TECH INC
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
502431AS8
53000.00000000
PA
USD
51846.85000000
0.020380694307
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
5.05000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859CA8
74000.00000000
PA
USD
72172.04000000
0.028370407937
Long
DBT
CORP
US
N
2
2031-04-15
Fixed
5.37500000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BD8
46000.00000000
PA
USD
39982.49000000
0.015716883597
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
4.90000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ASCZ5
39554.07000000
PA
USD
79.34000000
0.000031188091
Long
ABS-MBS
USGSE
US
N
2
2040-08-15
Floating
1.25550000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830CD9
56000.00000000
PA
USD
53568.37000000
0.021057413777
Long
DBT
CORP
US
N
2
2034-08-15
Fixed
4.80000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BX6
267000.00000000
PA
USD
248150.39000000
0.097546470822
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.12500000
N
N
N
N
N
N
BROOKFLD FIN LLC/FIN INC
N/A
Brookfield Finance LLC / Brookfield Finance Inc
11271RAB5
67000.00000000
PA
USD
44471.78000000
0.017481597309
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.45000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B9 Mortgage Trust
08160JAG2
1361445.93030000
PA
USD
49902.51000000
0.019616385594
Long
ABS-MBS
CORP
US
N
2
2052-03-15
Variable
1.18144600
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VGW8
54000.00000000
PA
USD
51319.50000000
0.020173396098
Long
DBT
CORP
US
N
2
2054-02-23
Fixed
5.50000000
N
N
N
N
N
N
GMRF Mortgage Acquisition Co.,
N/A
Galton Funding Mortgage Trust 2018-2
36418GBA1
183740.03000000
PA
USD
169762.94000000
0.066732821469
Long
ABS-MBS
CORP
US
N
2
2058-10-25
Variable
4.50000000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
3.24000000
0.000001273625
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-879.38000000
USD
825.55000000
EUR
2024-06-14
3.24000000
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAV3
215000.00000000
PA
USD
211006.65000000
0.082945483291
Long
DBT
CORP
DK
N
2
2025-12-20
Fixed
3.24400000
N
N
N
N
N
N
REPUBLIC OF PANAMA
549300SHS4T08CL0LP14
Panama Government International Bond
698299BW3
200000.00000000
PA
USD
189375.00000000
0.074442207856
Long
DBT
NUSS
PA
N
2
2036-01-31
Fixed
6.87500000
N
N
N
N
N
N
DOMINION 3/27/2008 3.20%
N/A
DOMINION RES I 05/13/2024
000000000
1000000.00000000
PA
USD
998033.12000000
0.392320997842
Long
DBT
CORP
US
N
2
2024-05-13
None
0.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AQ7G7
909581.61000000
PA
USD
44907.86000000
0.017653017813
Long
ABS-MBS
USGSE
US
N
2
2032-05-15
Floating
1.18550000
N
N
N
N
N
N
WISCONSIN POWER & LIGHT
JWBYHVQVMY66CVCOSO49
Wisconsin Power and Light Co
976826BS5
51000.00000000
PA
USD
49612.45000000
0.019502364700
Long
DBT
CORP
US
N
2
2034-03-30
Fixed
5.37500000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DCE9
557000.00000000
PA
USD
449981.58000000
0.176885134309
Long
ABS-MBS
CORP
US
N
2
2050-11-27
Variable
2.00000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAP5
200000.00000000
PA
USD
118800.00000000
0.046699587027
Long
DBT
NUSS
MX
N
2
2071-04-19
Fixed
3.75000000
N
N
N
N
N
N
CONOCOPHILLIPS COMPANY
6VJJ5GQWIRDQ06DUXG89
ConocoPhillips Co
20826FBH8
69000.00000000
PA
USD
67794.94000000
0.026649795459
Long
DBT
CORP
US
N
2
2063-09-15
Fixed
5.70000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CV5
100000.00000000
PA
USD
90857.54000000
0.035715568992
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
5.70500000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78016HZW3
41000.00000000
PA
USD
39620.92000000
0.015574752539
Long
DBT
CORP
CA
N
2
2034-02-01
Fixed
5.15000000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
641000.00000000
PA
749446.61000000
0.294603090792
Long
DBT
NUSS
IT
N
2
2034-08-01
Fixed
5.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCB0
121000.00000000
PA
USD
111700.02000000
0.043908626304
Long
DBT
CORP
US
N
2
2027-04-22
Fixed
1.57800000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PEH5
170000.00000000
PA
USD
170184.58000000
0.066898565693
Long
DBT
CORP
US
N
2
2035-04-22
Fixed
5.76600000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661ER4
32000.00000000
PA
USD
31126.99000000
0.012235838202
Long
DBT
CORP
US
N
2
2053-07-01
Fixed
5.75000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175CK8
30000.00000000
PA
USD
22533.90000000
0.008857944647
Long
DBT
CORP
US
N
2
2053-04-01
Fixed
5.25000000
N
N
N
N
N
PACCAR FINANCIAL CORP
PH3S12DWZBHHQKVYZ297
PACCAR Financial Corp
69371RS98
81000.00000000
PA
USD
78760.75000000
0.030960391405
Long
DBT
CORP
US
N
2
2034-03-22
Fixed
5.00000000
N
N
N
N
N
N
HEALTHPEAK OP LLC
N/A
Healthpeak OP LLC
42250PAE3
100000.00000000
PA
USD
96211.14000000
0.037820037924
Long
DBT
CORP
US
N
2
2032-12-15
Fixed
5.25000000
N
N
N
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VAQ4
40000.00000000
PA
USD
30073.42000000
0.011821685980
Long
DBT
CORP
US
N
2
2050-07-01
Fixed
4.15000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government Bond
000000000
55875000.00000000
PA
2389613.85000000
0.939343265572
Long
DBT
NUSS
ZA
N
2
2035-02-28
Fixed
8.87500000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XEP7
48000.00000000
PA
USD
47706.39000000
0.018753103632
Long
DBT
CORP
US
N
2
2034-01-07
Fixed
6.10000000
N
N
N
N
N
N
MEDCO MAPLE TREE PTE LTD
254900T5AQZNR0THA508
Medco Maple Tree Pte Ltd
000000000
250000.00000000
PA
USD
257343.75000000
0.101160327012
Long
DBT
CORP
SG
N
2
2029-04-27
Fixed
8.96000000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
SWOP IRS USD
000000000
-4472000.00000000
NC
USD
-133944.71000000
-0.05265288418
N/A
DIR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
SWOP IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
DE
US
2054-05-02
0.00000000
USD
0.00000000
USD
0.00000000
USD
0.01000000
USD
3.85600000
USD
2024-04-30
XXXX
-70218.71000000
N
N
N
TRUIST FINANCIAL CORP
549300DRQQI75D2JP341
Truist Financial Corp
89788NAA8
141000.00000000
PA
USD
127025.93000000
0.049933152127
Long
DBT
CORP
US
N
2
2033-07-28
Fixed
4.91600000
N
N
N
N
N
N
IPALCO ENTERPRISES INC
5493000YFVK2DZX0JV43
IPALCO Enterprises Inc
462613AP5
196000.00000000
PA
USD
179970.11000000
0.070745200456
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
4.25000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YDW6
57000.00000000
PA
USD
55225.82000000
0.021708947704
Long
DBT
CORP
US
N
2
2054-03-15
Fixed
5.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WEUR8
22589.43000000
PA
USD
21097.08000000
0.008293139086
Long
ABS-MBS
USGSE
US
N
2
2030-06-01
Fixed
2.50000000
N
N
N
N
N
N
TIME WARNER CABLE LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAY4
4000.00000000
PA
USD
3308.90000000
0.001300709288
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
5.87500000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GAY8
58000.00000000
PA
USD
43099.60000000
0.016942201355
Long
DBT
CORP
US
N
2
2039-08-16
Fixed
2.99500000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
2970000.00000000
PA
467646.94000000
0.183829284281
Long
DBT
NUSS
CN
N
2
2052-04-15
Fixed
3.32000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AN3C9
3957164.61000000
PA
USD
929218.62000000
0.365270419294
Long
ABS-MBS
USGSE
US
N
2
2045-06-25
Fixed
6.50000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TZ1
2576000.00000000
PA
USD
2446395.00000000
0.961663604427
Long
DBT
UST
US
N
2
2044-02-15
Fixed
4.50000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAE3
10000.00000000
PA
USD
8882.23000000
0.003491552802
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
2.85000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAK4
41000.00000000
PA
USD
38588.31000000
0.015168839571
Long
DBT
CORP
US
N
2
2028-07-22
Variable
3.59100000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAR5
3000.00000000
PA
USD
2261.42000000
0.000888951010
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
3.87500000
N
N
N
N
N
N
AMERICAN HONDA FINANCE
B6Q2VFHD1797Q7NZ3E43
American Honda Finance Corp
02665WED9
86000.00000000
PA
USD
84466.99000000
0.033203481064
Long
DBT
CORP
US
N
2
2028-01-12
Fixed
4.70000000
N
N
N
N
N
N
Babson CLO Ltd
549300QO1I8V07FLPQ13
Barings Clo Ltd 2019-IV
06761VAJ6
750000.00000000
PA
USD
750831.75000000
0.295147581246
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
8.39017000
N
N
N
N
N
N
SCHLUMBERGER INVESTMENT
529900EZ29I5KXPV2J32
Schlumberger Investment SA
806854AJ4
53000.00000000
PA
USD
45890.82000000
0.018039413656
Long
DBT
CORP
LU
N
2
2030-06-26
Fixed
2.65000000
N
N
N
N
N
DTE ENERGY CO
549300IX8SD6XXD71I78
DTE Energy Co
233331BK2
167000.00000000
PA
USD
163093.78000000
0.064111213575
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
5.10000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
35120000.00000000
PA
4971130.15000000
1.954122264853
Long
DBT
NUSS
CN
N
2
2027-06-04
Fixed
2.85000000
N
N
N
N
N
N
AGCO CORP
LYOM0B2GCF1JWXK5ZG04
AGCO Corp
001084AR3
60000.00000000
PA
USD
59803.56000000
0.023508430595
Long
DBT
CORP
US
N
2
2027-03-21
Fixed
5.45000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBF8
262000.00000000
PA
USD
259108.17000000
0.101853910222
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
3.60000000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Trust 2022-PJ6
36267JBM1
1369537.17000000
PA
USD
1093136.22000000
0.429705471706
Long
ABS-MBS
CORP
US
N
2
2053-01-25
Variable
3.00000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B
000000000
1310000.00000000
PA
1064833.28000000
0.418579751086
Long
DBT
NUSS
BR
N
2
2050-08-15
Fixed
6.00000000
N
N
N
N
N
N
Bank
N/A
BANK 2019-BNK16
065405AJ1
926108.21720000
PA
USD
32440.00000000
0.012751974774
Long
ABS-MBS
CORP
US
N
2
2052-02-15
Variable
1.10077800
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BKGL8
24895406.41000000
PA
USD
418336.19000000
0.164445516091
Long
ABS-MBS
USGSE
US
N
2
2030-04-25
Variable
0.49812500
N
N
N
N
N
N
CARDINAL HEALTH INC
CCU46N3GJMF4OK4N7U60
Cardinal Health Inc
14149YBP2
20000.00000000
PA
USD
19611.34000000
0.007709103359
Long
DBT
CORP
US
N
2
2034-02-15
Fixed
5.45000000
N
N
N
N
N
N
BUNDESREPUB. DEUTSCHLAND
529900AQBND3S6YJLY83
Bundesrepublik Deutschland Bundesanleihe
000000000
60000.00000000
PA
59120.97000000
0.023240108448
Long
DBT
NUSS
DE
N
2
2028-02-15
Fixed
0.50000000
N
N
N
N
N
N
MALAYSIA GOVERNMENT
254900GSIL471JOBYY43
Malaysia Government Bond
000000000
18342000.00000000
PA
3799839.79000000
1.493694856594
Long
DBT
NUSS
MY
N
2
2034-07-05
Fixed
3.82800000
N
N
N
N
N
N
Galaxy CLO Ltd
549300BW4412X0TZDD77
Galaxy XXI CLO Ltd
36320WAQ9
600000.00000000
PA
USD
600463.20000000
0.236038581356
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
7.33617000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179X2J4
1510284.94000000
PA
USD
1407523.22000000
0.553289167554
Long
ABS-MBS
USGA
US
N
2
2053-05-20
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YEG6
218000.00000000
PA
USD
213029.95000000
0.083740830719
Long
DBT
CORP
US
N
2
2025-10-21
Fixed
1.16400000
N
N
N
N
N
N
Carlyle Global Market Strategi
549300VC6J79YJCFU884
Carlyle US Clo 2017-2 Ltd
14315JAU3
300000.00000000
PA
USD
300154.20000000
0.117988865189
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
7.18617000
N
N
N
N
N
N
WEC ENERGY GROUP INC
549300IGLYTZUK3PVP70
WEC Energy Group Inc
92939UAJ5
28000.00000000
PA
USD
27712.21000000
0.010893508102
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
5.15000000
N
N
N
N
N
N
NATIONAL GRID PLC
8R95QZMKZLJX5Q2XR704
National Grid PLC
636274AF9
116000.00000000
PA
USD
111586.16000000
0.043863868602
Long
DBT
CORP
GB
N
2
2034-01-11
Fixed
5.41800000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BG1
25000.00000000
PA
USD
16579.03000000
0.006517119985
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.30000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
7626.87000000
0.002998078108
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2054-05-02
0.00000000
USD
0.00000000
USD
850000.00000000
USD
7626.87000000
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BC9
72000.00000000
PA
USD
67820.64000000
0.026659897979
Long
DBT
CORP
US
N
2
2027-08-22
Fixed
3.15000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F1EN4
11651171.96000000
PA
USD
2318903.63000000
0.911547490550
Long
ABS-MBS
USGSE
US
N
2
2041-10-15
Fixed
4.50000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AG6
190000.00000000
PA
USD
167837.01000000
0.065975749620
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.50000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280DA4
217000.00000000
PA
USD
211607.99000000
0.083181866537
Long
DBT
CORP
GB
N
2
2026-03-10
Fixed
2.99900000
N
N
N
N
N
N
SEALED AIR/SEALED AIR US
N/A
Sealed Air Corp/Sealed Air Corp US
812127AB4
175000.00000000
PA
USD
178373.65000000
0.070117641343
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
7.25000000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AQ7
185000.00000000
PA
USD
167198.36000000
0.065724700030
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.62500000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DZ0
19000.00000000
PA
USD
18113.01000000
0.007120118575
Long
DBT
CORP
US
N
2
2053-06-01
Fixed
5.87500000
N
N
N
N
N
N
CON EDISON CO OF NY INC
VZFZPMWDHTQCFKYOBP05
Consolidated Edison Co of New York Inc
209111FF5
49000.00000000
PA
USD
40507.64000000
0.015923316998
Long
DBT
CORP
US
N
2
2054-12-01
Fixed
4.62500000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137FWHG8
3517956.97000000
PA
USD
348297.44000000
0.136913692009
Long
ABS-MBS
USGSE
US
N
2
2035-07-25
Variable
1.43589400
N
N
N
N
N
N
DOLLAR GENERAL CORP
OPX52SQVOZI8IVSWYU66
Dollar General Corp
256677AG0
28000.00000000
PA
USD
25112.19000000
0.009871455407
Long
DBT
CORP
US
N
2
2030-04-03
Fixed
3.50000000
N
N
N
N
N
N
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
2946.01000000
0.001158059346
N/A
DFE
CORP
US
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
-231813.80000000
USD
187832.18000000
GBP
2024-06-14
2946.01000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ADD4
43000.00000000
PA
USD
43305.38000000
0.017023092273
Long
DBT
CORP
US
N
2
2054-06-15
Fixed
6.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-76800.01000000
-0.03018963594
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-08-08
18.00000000
USD
0.00000000
USD
1200000.00000000
USD
-76818.01000000
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust 2006-WF1
17307G4K1
343979.87000000
PA
USD
159735.51000000
0.062791097227
Long
ABS-O
CORP
US
N
2
2036-03-25
Variable
4.57065900
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31395VEC9
539070.98000000
PA
USD
28380.96000000
0.011156389826
Long
ABS-MBS
USGSE
US
N
2
2033-02-15
Floating
1.55550000
N
N
N
N
N
N
CANADIAN GOVERNMENT
4BFD7AQU0A75QLAHK410
Canadian Government Bond
135087H72
1100000.00000000
PA
565002.00000000
0.222098990485
Long
DBT
NUSS
CA
N
2
2051-12-01
Fixed
2.00000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Goldman Sachs Bank USA/New York NY
38151LAF7
105000.00000000
PA
USD
104347.34000000
0.041018330685
Long
DBT
CORP
US
N
2
2027-03-18
Fixed
5.28300000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2019-INV3
46591LBH3
50304.03000000
PA
USD
43904.19000000
0.017258480991
Long
ABS-MBS
CORP
US
N
2
2050-05-25
Variable
3.50000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WSF0
1244160.47000000
PA
USD
69420.67000000
0.027288860439
Long
ABS-MBS
USGSE
US
N
2
2031-02-15
Variable
3.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U3F8
40000.00000000
PA
USD
39007.41000000
0.015333585336
Long
DBT
CORP
US
N
2
2034-07-25
Fixed
5.55700000
N
N
N
N
N
N
HEICO CORP
529900O1DTDLCJ7L0I14
HEICO Corp
422806AA7
111000.00000000
PA
USD
109856.87000000
0.043184094790
Long
DBT
CORP
US
N
2
2028-08-01
Fixed
5.25000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBQ2
72000.00000000
PA
USD
60687.25000000
0.023855803980
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
2.65000000
N
N
N
N
N
N
CODELCO INC
549300UVMBCBCIPSUI70
Corp Nacional del Cobre de Chile
21987BBK3
200000.00000000
PA
USD
199687.50000000
0.078495991452
Long
DBT
CORP
CL
N
2
2036-01-26
Fixed
6.44000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308HL4
20000.00000000
PA
USD
14943.58000000
0.005874234130
Long
DBT
CORP
US
N
2
2045-03-15
Fixed
4.30000000
N
N
N
N
N
N
AMEREN CORP
XRZQ5S7HYJFPHJ78L959
Ameren Corp
023608AQ5
97000.00000000
PA
USD
94637.53000000
0.037201461012
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.00000000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AP3
200000.00000000
PA
USD
193633.21000000
0.076116085368
Long
DBT
CORP
CH
N
2
2028-05-12
Fixed
4.75100000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137F64U8
12362543.25000000
PA
USD
1198343.35000000
0.471061780825
Long
ABS-MBS
USGSE
US
N
2
2040-11-25
Fixed
2.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
3804.95000000
0.001495703650
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2054-04-30
0.00000000
USD
0.00000000
USD
671000.00000000
USD
3804.95000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ADGU7
365510.95000000
PA
USD
23268.46000000
0.009146695898
Long
ABS-MBS
USGSE
US
N
2
2043-02-25
Fixed
4.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-1991.07000000
-0.00078267800
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2054-05-02
0.00000000
USD
0.00000000
USD
604000.00000000
USD
-1991.07000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGR4
83000.00000000
PA
USD
78035.19000000
0.030675178001
Long
DBT
CORP
US
N
2
2028-07-21
Fixed
3.59300000
N
N
N
N
N
N
MONTREAL EXCHANGE, INC.
549300DKBYNOI0B1NP44
CAN 10YR BOND
000000000
64.00000000
NC
-135611.83000000
-0.05330821933
N/A
DIR
CORP
CA
N
1
MONTREAL EXCHANGE, INC.
549300DKBYNOI0B1NP44
Long
CANADIAN GOVERNMENT
Canadian Government Bond
2024-06-19
5574437.97000000
USD
-135611.83000000
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
58700000.00000000
PA
3035741.65000000
1.193332334822
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
4121.88000000
0.001620286984
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-1192506.57000000
EUR
1279069.19000000
USD
2024-06-14
4121.88000000
N
N
N
CROWN CASTLE INC
54930012H97VSM0I2R19
Crown Castle Inc
22822VBE0
77000.00000000
PA
USD
76311.01000000
0.029997412901
Long
DBT
CORP
US
N
2
2034-03-01
Fixed
5.80000000
N
N
N
N
N
N
Verus Securitization Trust
N/A
Verus Securitization Trust 2021-1
92537QAG6
1000000.00000000
PA
USD
733786.30000000
0.288447114279
Long
ABS-MBS
CORP
US
N
2
2066-01-25
Variable
1.96800000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBQ3
222000.00000000
PA
USD
170311.44000000
0.066948433619
Long
DBT
CORP
US
N
2
2036-11-15
Fixed
3.18700000
N
N
N
N
N
N
US AIRWAYS 2012-2A PTT
N/A
US Airways 2012-2 Class A Pass Through Trust
90345WAD6
8112.69000000
PA
USD
8008.61000000
0.003148137875
Long
DBT
CORP
US
N
2
2025-06-03
Fixed
4.62500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
-41841.40000000
-0.01644761027
N/A
DFE
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
-11998121.75000000
USD
9566263.68000000
GBP
2024-06-14
-41841.40000000
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WR79
5401433.94000000
PA
USD
1145259.02000000
0.450194640348
Long
ABS-MBS
USGSE
US
N
2
2046-02-15
Fixed
4.00000000
N
N
N
N
N
N
INVERSIONES CMPC SA
549300G475ACIABB4385
Inversiones CMPC SA
46128MAT8
250000.00000000
PA
USD
247103.75000000
0.097135042743
Long
DBT
CORP
CL
N
2
2034-02-26
Fixed
6.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
13899.82000000
0.005463938162
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2054-04-30
0.00000000
USD
0.00000000
USD
335500.00000000
USD
13899.82000000
N
N
N
ATHENE HOLDING LTD
549300H316CT32FQXI76
Athene Holding Ltd
04686JAH4
15000.00000000
PA
USD
14591.75000000
0.005735931809
Long
DBT
CORP
US
N
2
2054-04-01
Fixed
6.25000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-LBA
05609BBH1
395404.89000000
PA
USD
388396.42000000
0.152676367145
Long
ABS-MBS
CORP
US
N
2
2036-02-15
Floating
7.43548000
N
N
N
N
N
N
DUKE ENERGY OHIO INC
L6KC0HABGHNFU1Z6QY21
Duke Energy Ohio Inc
26442EAK6
15000.00000000
PA
USD
14391.35000000
0.005657155738
Long
DBT
CORP
US
N
2
2053-04-01
Fixed
5.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136ATFA7
10617631.13500000
PA
USD
863405.59000000
0.339399701095
Long
ABS-MBS
USGSE
US
N
2
2046-08-25
Floating
0.55550000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
NatWest Group PLC
78009PEH0
200000.00000000
PA
USD
193314.72000000
0.075990888807
Long
DBT
CORP
GB
N
2
2030-01-27
Fixed
5.07600000
N
N
N
N
N
N
PUBLIC SERVICE ENTERPRIS
PUSS41EMO3E6XXNV3U28
Public Service Enterprise Group Inc
744573AU0
149000.00000000
PA
USD
119970.56000000
0.047159727335
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
2.45000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-KG01 Mortgage Trust
30298CAQ4
5680000.00000000
PA
USD
20563.02000000
0.008083203215
Long
ABS-MBS
CORP
US
N
2
2029-05-25
Fixed
0.10000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YDX4
57000.00000000
PA
USD
55000.09000000
0.021620214557
Long
DBT
CORP
US
N
2
2064-03-15
Fixed
5.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
-1207552.29000000
-0.47468176142
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2052-04-14
0.00000000
GBP
0.00000000
GBP
2400000.00000000
GBP
-1207552.29000000
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2017-C41
95001ABH8
950000.00000000
PA
USD
827304.65000000
0.325208632162
Long
ABS-MBS
CORP
US
N
2
2050-11-15
Variable
4.18800000
N
N
N
N
N
N
CISCO SYSTEMS INC
549300LKFJ962MZ46593
Cisco Systems Inc
17275RBR2
67000.00000000
PA
USD
66192.23000000
0.026019779506
Long
DBT
CORP
US
N
2
2029-02-26
Fixed
4.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31398GUK3
1616166.84000000
PA
USD
90957.38000000
0.035754815514
Long
ABS-MBS
USGSE
US
N
2
2040-01-25
Floating
0.80550000
N
N
N
N
N
N
AMERICAN HOMES 4 RENT
549300N4PXZ37U8QKI55
American Homes 4 Rent LP
02666TAE7
33000.00000000
PA
USD
28239.24000000
0.011100680521
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
3.62500000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
CURRENCY CONTRACT - HKD
000000000
1.00000000
NC
USD
58.69000000
0.000023070696
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN & CO.
5493006KMX1VFTPYPW14
-69991.35000000
USD
547036.76000000
HKD
2024-06-28
58.69000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ATCK6
8079082.13000000
PA
USD
641731.19000000
0.252260787505
Long
ABS-MBS
USGSE
US
N
2
2042-08-15
Floating
0.55550000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
9950000.00000000
PA
1737908.37000000
0.683161642849
Long
DBT
NUSS
CN
N
2
2048-10-22
Fixed
4.08000000
N
N
N
N
N
N
CRESCENT ENERGY FINANCE
54930061FUL6DBLFUW14
Crescent Energy Finance LLC
45344LAC7
155000.00000000
PA
USD
163891.61000000
0.064424835894
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
9.25000000
N
N
N
N
N
N
Gam Resecuritization Trust
N/A
GAM RE-REMIC Trust 2022-FRR3
36459DDE8
215000.00000000
PA
USD
204529.97000000
0.080399538162
Long
ABS-MBS
CORP
US
N
2
2050-08-27
None
0.00000000
N
N
N
N
N
N
CIGNA GROUP/THE
549300VIWYMSIGT1U456
Cigna Group/The
125523AZ3
390000.00000000
PA
USD
361961.23000000
0.142284848156
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
3.05000000
N
N
N
N
N
N
AVNET INC
XJI53DCPL7QABOWK4Z75
Avnet Inc
053807AV5
67000.00000000
PA
USD
62984.24000000
0.024758737350
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
5.50000000
N
N
N
N
N
N
NAVIENT CORP
54930067J0ZNOEBRW338
Navient Corp
63938CAK4
180000.00000000
PA
USD
169858.04000000
0.066770204724
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
35609.77000000
0.013997992871
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2054-04-30
0.00000000
USD
0.00000000
USD
1297000.00000000
USD
35609.77000000
N
N
N
CIGNA GROUP/THE
549300VIWYMSIGT1U456
Cigna Group/The
125523CW8
117000.00000000
PA
USD
110276.46000000
0.043349033172
Long
DBT
CORP
US
N
2
2054-02-15
Fixed
5.60000000
N
N
N
N
N
N
COREBRIDGE FINANCIAL INC
549300XY1661QCIA7J65
Corebridge Financial Inc
21871XAH2
257000.00000000
PA
USD
224319.69000000
0.088178761659
Long
DBT
CORP
US
N
2
2032-04-05
Fixed
3.90000000
N
N
N
N
N
N
BOOZ ALLEN HAMILTON INC
549300D7XCH2480XU542
Booz Allen Hamilton Inc
09951LAA1
57000.00000000
PA
USD
52776.45000000
0.020746114644
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.87500000
N
N
N
N
N
N
CSN RESOURCES SA
222100ZEX458NMOXZP08
CSN Resources SA
12644VAF5
325000.00000000
PA
USD
324967.50000000
0.127742828681
Long
DBT
CORP
LU
N
2
2030-12-05
Fixed
8.87500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
360846.98000000
0.141846842980
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-03-24
0.00000000
USD
0.00000000
USD
5000000.00000000
USD
360846.98000000
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAW0
75000.00000000
PA
USD
70735.10000000
0.027805555204
Long
DBT
CORP
US
N
2
2054-05-15
Fixed
5.95000000
N
N
N
N
N
N
SPRINT CAPITAL CORP
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AD4
97000.00000000
PA
USD
101659.40000000
0.039961717150
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
6.87500000
N
N
N
N
N
N
MONONGAHELA POWER CO
N/A
Monongahela Power Co
609935AA9
75000.00000000
PA
USD
74806.58000000
0.029406030243
Long
DBT
CORP
US
N
2
2034-02-15
Fixed
5.85000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISA3AUOXQEF68
Freddie Mac STACR REMIC Trust 2022-DNA2
35564KRF8
600000.00000000
PA
USD
613878.12000000
0.241311908158
Long
ABS-MBS
CORP
US
N
2
2042-02-25
Floating
7.73002000
N
N
N
N
N
N
Bluemountain CLO Ltd
5493001GLQHON6UV2U40
BlueMountain CLO XXVIII Ltd
09630PAG8
250000.00000000
PA
USD
248178.00000000
0.097557324152
Long
ABS-CBDO
CORP
KY
N
2
2034-04-15
Floating
7.59017000
N
N
N
N
N
N
AVNET INC
XJI53DCPL7QABOWK4Z75
Avnet Inc
053807AW3
52000.00000000
PA
USD
52700.95000000
0.020716436034
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
6.25000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
TRS VOL GBPUSD STRIKE 6.5
000000000
1.00000000
NC
USD
3249.53000000
0.001277371288
N/A
DFE
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
Performance Leg
Performance Leg
2024-09-17
0.00000000
USD
0.00000000
USD
11000.00000000
USD
3249.53
N
N
N
MED Trust
N/A
Med Trust 2021-MDLN
58403YAR7
1492835.54000000
PA
USD
1488245.97000000
0.585020809715
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
7.43548000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAM6
215000.00000000
PA
USD
144386.43000000
0.056757463412
Long
DBT
CORP
US
N
2
2031-03-15
Fixed
3.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCV6
48000.00000000
PA
USD
46743.09000000
0.018374436021
Long
DBT
CORP
US
N
2
2026-02-24
Fixed
2.59500000
N
N
N
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBT5
40000.00000000
PA
USD
38758.47000000
0.015235728474
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.62500000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAX6
58000.00000000
PA
USD
55859.78000000
0.021958153682
Long
DBT
CORP
US
N
2
2034-01-01
Fixed
5.50000000
N
N
N
N
N
N
AES PANAMA GENERATION HL
N/A
AES Panama Generation Holdings SRL
00109AAB3
245523.61000000
PA
USD
207096.71000000
0.081408508684
Long
DBT
CORP
PA
N
2
2030-05-31
Fixed
4.37500000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CBC7
31000.00000000
PA
USD
31688.37000000
0.012456513405
Long
DBT
CORP
US
N
2
2034-03-15
Fixed
5.90000000
N
N
N
N
N
N
FORTIS INC
549300MQYQ9Y065XPR71
Fortis Inc/Canada
349553AM9
192000.00000000
PA
USD
180863.50000000
0.071096386854
Long
DBT
CORP
CA
N
2
2026-10-04
Fixed
3.05500000
N
N
N
N
N
N
MACY'S RETAIL HLDGS LLC
N/A
Macy's Retail Holdings LLC
55616XAM9
205000.00000000
PA
USD
174917.89000000
0.068759202245
Long
DBT
CORP
US
N
2
2034-12-15
Fixed
4.50000000
N
N
N
N
N
N
SISECAM UK PLC
789000T82YRLMLUOC889
Sisecam UK PLC
829688AA8
275000.00000000
PA
USD
280254.15000000
0.110166271613
Long
DBT
CORP
GB
N
2
2029-05-02
Fixed
8.25000000
N
N
N
N
N
N
CITIZENS FINANCIAL GROUP
2138004JDDA4ZQUPFW65
Citizens Financial Group Inc
174610AS4
96000.00000000
PA
USD
79307.39000000
0.031175272400
Long
DBT
CORP
US
N
2
2030-02-06
Fixed
2.50000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PEX6
49000.00000000
PA
USD
44669.67000000
0.017559386714
Long
DBT
CORP
US
N
2
2063-04-15
Fixed
5.20000000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300F4XPHJ7NOSP309
Cenovus Energy Inc
15135UAR0
42000.00000000
PA
USD
37554.60000000
0.014762494200
Long
DBT
CORP
CA
N
2
2047-06-15
Fixed
5.40000000
N
N
N
N
N
N
CLEVELAND ELECTRIC ILLUM
N/A
Cleveland Electric Illuminating Co/The
186108CK0
259000.00000000
PA
USD
238701.43000000
0.093832139763
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.50000000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ACR6
87000.00000000
PA
USD
89657.82000000
0.035243966058
Long
DBT
CORP
US
N
2
2029-01-16
Fixed
6.50000000
N
N
N
N
N
N
ARTHUR J GALLAGHER & CO
54930049QLLMPART6V29
Arthur J Gallagher & Co
04316JAG4
10000.00000000
PA
USD
10778.17000000
0.004236835756
Long
DBT
CORP
US
N
2
2054-02-15
Fixed
6.75000000
N
N
N
N
N
N
AUTOZONE INC
GA3JGKJ41LJKXDN23E90
AutoZone Inc
053332BG6
36000.00000000
PA
USD
37110.73000000
0.014588011492
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
6.25000000
N
N
N
N
N
DIAMONDBACK ENERGY INC
549300R22LSX6OHWEN64
Diamondback Energy Inc
25278XAT6
84000.00000000
PA
USD
64546.55000000
0.025372872298
Long
DBT
CORP
US
N
2
2052-03-15
Fixed
4.25000000
N
N
N
N
N
N
GRAY TELEVISION INC
529900TM5726KDN7UU35
Gray Television Inc
389284AA8
180000.00000000
PA
USD
163960.46000000
0.064451900427
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076CB6
79000.00000000
PA
USD
68868.51000000
0.027071809563
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.70000000
N
N
N
N
N
N
NEW YORK LIFE INSURANCE
TAE73CY392TBWJ3O3305
New York Life Insurance Co
64952GAQ1
12000.00000000
PA
USD
9181.68000000
0.003609264850
Long
DBT
CORP
US
N
2
2069-05-15
Fixed
4.45000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
800000.00000000
PA
USD
229600.00000000
0.090254420719
Long
DBT
NUSS
UA
N
2
2027-09-01
Variable
7.75000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-6526.86000000
-0.00256567059
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2054-05-02
0.00000000
USD
0.00000000
USD
1342000.00000000
USD
-6526.86000000
N
N
N
HUNTINGTON NATIONAL BANK
2WHM8VNJH63UN14OL754
Huntington National Bank/The
87227LAA5
150000.00000000
PA
USD
146294.10000000
0.057507357361
Long
DBT
CORP
US
N
2
2029-07-02
Fixed
4.12500000
N
N
N
N
N
N
TCI-Flatiron CLO Ltd
N/A
TCI-Flatiron Clo 2018-1 Ltd
87232AAQ7
350000.00000000
PA
USD
350082.60000000
0.137615427992
Long
ABS-CBDO
CORP
KY
N
2
2032-01-29
Floating
7.33648000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-SDMF
12434CAL8
1103140.67000000
PA
USD
1079770.41000000
0.424451449759
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Floating
6.82248000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
36859.20000000
0.014489136516
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2054-04-30
0.00000000
USD
0.00000000
USD
671000.00000000
USD
36859.20000000
N
N
N
Oaktree CLO Ltd
549300BJ8TRWJ20BLC43
Oaktree CLO 2019-1 Ltd
67401XAS0
800000.00000000
PA
USD
801537.60000000
0.315079755109
Long
ABS-CBDO
CORP
KY
N
2
2030-04-22
Floating
6.69617000
N
N
N
N
N
N
THAILAND GOVERNMENT BOND
254900PHJ6MSKT6C7026
Thailand Government Bond
000000000
8250000.00000000
PA
232540.47000000
0.091410302324
Long
DBT
NUSS
TH
N
2
2033-06-17
Fixed
3.35000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CKJ9
292000.00000000
PA
USD
289057.19000000
0.113626695288
Long
DBT
UST
US
N
2
2027-04-15
Fixed
4.50000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AV1
180000.00000000
PA
USD
175275.00000000
0.068899580102
Long
DBT
CORP
CO
N
2
2036-01-19
Fixed
8.37500000
N
N
N
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DaVita Inc
23918KAT5
210000.00000000
PA
USD
173000.69000000
0.068005562108
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.75000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61747YFE0
130000.00000000
PA
USD
124793.51000000
0.049055600847
Long
DBT
CORP
US
N
2
2034-04-21
Fixed
5.25000000
N
N
N
N
N
N
CZECH REPUBLIC
3157007EFDLQABN47912
Czech Republic Government Bond
000000000
9220000.00000000
PA
364826.31000000
0.143411094391
Long
DBT
NUSS
CZ
N
2
2029-07-23
Fixed
2.75000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CJZ5
1971700.00000000
PA
USD
1867261.52000000
0.734009611584
Long
DBT
UST
US
N
2
2034-02-15
Fixed
4.00000000
N
N
N
N
N
N
XHR LP
549300M88BPT83ZL2164
XHR LP
98372MAC9
185000.00000000
PA
USD
169026.30000000
0.066443252582
Long
DBT
CORP
US
N
2
2029-06-01
Fixed
4.87500000
N
N
N
N
N
N
MOTOROLA SOLUTIONS INC
6S552MUG6KGJVEBSEC55
Motorola Solutions Inc
620076BY4
53000.00000000
PA
USD
51847.98000000
0.020381138503
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.00000000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WSJ2
5764931.74000000
PA
USD
1032838.25000000
0.406002691423
Long
ABS-MBS
USGSE
US
N
2
2046-02-15
Variable
3.50000000
N
N
N
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
7.21000000
0.000002834208
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-825.55000000
EUR
889.83000000
USD
2024-06-14
7.21000000
N
N
N
NEW YORK LIFE INSURANCE
TAE73CY392TBWJ3O3305
New York Life Insurance Co
64952GAT5
2000.00000000
PA
USD
1448.78000000
0.000569506967
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.75000000
N
N
N
N
N
N
TARGA RESOURCES CORP
5493003QENHHS261UR94
Targa Resources Corp
87612GAF8
36000.00000000
PA
USD
37529.97000000
0.014752812290
Long
DBT
CORP
US
N
2
2034-03-30
Fixed
6.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
1620966.06000000
0.637192302924
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2029-01-24
0.00000000
USD
0.00000000
USD
12000000.00000000
USD
1620966.06000000
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2020-4
81748RAH0
300000.00000000
PA
USD
202235.16000000
0.079497461737
Long
ABS-MBS
CORP
US
N
2
2050-11-25
Variable
2.50000000
N
N
N
N
N
N
CAMPBELL SOUP CO
5493007JDSMX8Z5Z1902
Campbell Soup Co
134429BN8
80000.00000000
PA
USD
78892.28000000
0.031012095081
Long
DBT
CORP
US
N
2
2029-03-21
Fixed
5.20000000
N
N
N
N
N
N
MF1 Multifamily Housing Mortga
N/A
MF1 2021-FL7 Ltd
55284AAJ7
600000.00000000
PA
USD
562284.18000000
0.221030631296
Long
ABS-CBDO
CORP
KY
N
2
2036-10-16
Floating
7.98337000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GA87
40000.00000000
PA
USD
40076.95000000
0.015754015272
Long
DBT
CORP
US
N
2
2030-04-25
Fixed
5.72700000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661ES2
24000.00000000
PA
USD
23260.01000000
0.009143374252
Long
DBT
CORP
US
N
2
2063-04-01
Fixed
5.85000000
N
N
N
N
N
N
STATE STREET CORP
549300ZFEEJ2IP5VME73
State Street Corp
857477CG6
250000.00000000
PA
USD
253630.93000000
0.099700839127
Long
DBT
CORP
US
N
2
2034-11-21
Fixed
6.12300000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10YR ULTRA
000000000
-62.00000000
NC
USD
231109.14000000
0.090847654850
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
2024-06-18
-7064671.64000000
USD
231109.14000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379F5N5
719171.15000000
PA
USD
63170.63000000
0.024832006172
Long
ABS-MBS
USGA
US
N
2
2044-05-20
Fixed
4.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-265446.31000000
-0.10434539608
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2042-06-10
0.00000000
JPY
0.00000000
JPY
400000000.00000000
JPY
-265446.31000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
251824.42000000
0.098990710584
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-02-08
0.00000000
USD
-1426.00000000
USD
5000000.00000000
USD
253250.42000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TX6
500.00000000
PA
USD
457.89000000
0.000179993888
Long
DBT
UST
US
N
2
2054-02-15
Fixed
4.25000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650EA4
12000.00000000
PA
USD
11499.82000000
0.004520512162
Long
DBT
CORP
US
N
2
2063-06-01
Fixed
6.00000000
N
N
N
N
N
N
GCI LLC
549300N3IE9H88Q20221
GCI LLC
36166TAB6
185000.00000000
PA
USD
165236.53000000
0.064953516101
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.75000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
30489.41000000
0.011985209223
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-06-20
0.00000000
JPY
0.00000000
JPY
3150000000.00000000
JPY
30489.41000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AXNG4
411142.62000000
PA
USD
27948.37000000
0.010986341221
Long
ABS-MBS
USGSE
US
N
2
2041-12-15
Fixed
4.00000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703TAD8
66000.00000000
PA
USD
66409.59000000
0.026105222455
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.02000000
N
N
N
N
N
N
EVERGY KANSAS CENTRAL
J75GNWGEO73W89ZV3S44
Evergy Kansas Central Inc
95709TAQ3
54000.00000000
PA
USD
35215.82000000
0.013843133424
Long
DBT
CORP
US
N
2
2049-09-01
Fixed
3.25000000
N
N
N
N
N
N
S&P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S&P Global Inc
78409VAS3
25000.00000000
PA
USD
19771.68000000
0.007772132077
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
1.25000000
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBQ5
76000.00000000
PA
USD
77912.60000000
0.030626988587
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
6.20000000
N
N
N
N
N
N
CSL FINANCE PLC
2549007CCNBNAF4HBC02
CSL Finance PLC
12661PAH2
70000.00000000
PA
USD
65932.70000000
0.025917759777
Long
DBT
CORP
GB
N
2
2054-04-03
Fixed
5.41700000
N
N
N
N
N
N
NORFOLK SOUTHERN CORP
54930036C8MWP850MI84
Norfolk Southern Corp
655844CR7
45000.00000000
PA
USD
44243.40000000
0.017391822463
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
5.05000000
N
N
N
N
N
N
JOHN DEERE CAPITAL CORP
E0KSF7PFQ210NWI8Z391
John Deere Capital Corp
24422EXN4
125000.00000000
PA
USD
122196.09000000
0.048034570196
Long
DBT
CORP
US
N
2
2031-03-07
Fixed
4.90000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAQ7
20000.00000000
PA
USD
17265.47000000
0.006786955545
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.72200000
N
N
N
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBP4
89000.00000000
PA
USD
89191.80000000
0.035060776315
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
6.05100000
N
N
N
N
N
N
GS Mortgage-Backed Securities
N/A
GS Mortgage-Backed Securities Corp Trust 2021-PJ3
36262AAD6
773211.98000000
PA
USD
591648.82000000
0.232573699993
Long
ABS-MBS
CORP
US
N
2
2051-08-25
Variable
2.50000000
N
N
N
N
N
N
FORTUNE BRANDS INNOVATIO
54930032LHW54PQUJD44
Fortune Brands Innovations Inc
34964CAH9
56000.00000000
PA
USD
55746.05000000
0.021913447082
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
5.87500000
N
N
N
N
N
N
CENTERPOINT ENERGY INC
21TPXMRRHFKOBHDC8J74
CenterPoint Energy Inc
15189TAV9
86000.00000000
PA
USD
80731.97000000
0.031735266489
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
4.25000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDP4
425000.00000000
PA
USD
417934.38000000
0.164287566923
Long
DBT
CORP
MX
N
2
2033-02-07
Fixed
10.00000000
N
N
N
N
N
N
REYNOLDS AMERICAN INC
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BB1
18000.00000000
PA
USD
16235.93000000
0.006382249377
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.85000000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-LGCY
12434DAL6
600000.00000000
PA
USD
586177.92000000
0.230423121116
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
6.73748000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
JPY CALL VERSUS USD PUT
000000000
1867000.00000000
NC
USD
846.63000000
0.000332805314
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
Put
Purchased
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
JPY CALL VERSUS USD PUT
000000000
0.00000000
NC
0.00000000
0.00000000
DFE
CORP
FR
US
N/A
JPY
N/A
USD
2025-02-27
0.01000000
USD
107.50000000
USD
2025-02-27
XXXX
-91756.57000000
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust
93362FAD5
125857.90000000
PA
USD
109313.17000000
0.042970369492
Long
ABS-MBS
CORP
US
N
2
2046-08-25
Variable
4.38215500
N
N
N
N
N
N
SOLVENTUM CORP
254900I70403OSGY4M28
Solventum Corp
83444MAE1
70000.00000000
PA
USD
67853.81000000
0.026672936912
Long
DBT
CORP
US
N
2
2031-03-13
Fixed
5.45000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122EC8
60000.00000000
PA
USD
63971.25000000
0.025146725224
Long
DBT
CORP
US
N
2
2063-11-15
Fixed
6.40000000
N
N
N
N
N
N
NATIONAL RURAL UTIL COOP
4NYF266XZC35SCTGX023
National Rural Utilities Cooperative Finance Corp
637432NZ4
83000.00000000
PA
USD
74910.67000000
0.029446947415
Long
DBT
CORP
US
N
2
2032-12-15
Fixed
4.15000000
N
N
N
N
N
N
SOUTHERN CALIF GAS CO
XY0N0J73VHV5F4CUJV89
Southern California Gas Co
842434CZ3
44000.00000000
PA
USD
42831.08000000
0.016836647709
Long
DBT
CORP
US
N
2
2033-06-01
Fixed
5.20000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKD0
152000.00000000
PA
USD
122674.71000000
0.048222712926
Long
DBT
CORP
US
N
2
2032-10-20
Fixed
2.57200000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2017-2
59980AAC1
300000.00000000
PA
USD
277208.16000000
0.108968910712
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WESG5
43332.84000000
PA
USD
39721.24000000
0.015614187745
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030666
1618000.00000000
PA
USD
1377642.28000000
0.541543144339
Long
ABS-MBS
USGA
US
N
2
2054-06-15
Fixed
3.00000000
N
N
N
N
N
N
TCW CLO 2021-1, Ltd.
N/A
TCW CLO 2021-1 Ltd
87190KAG7
450000.00000000
PA
USD
447134.40000000
0.175765924459
Long
ABS-CBDO
CORP
KY
N
2
2034-03-18
Floating
7.48617000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-45339.95000000
-0.01782286987
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-45811813.76000000
ZAR
2377337.15000000
USD
2024-06-28
-45339.95000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS BRL
000000000
1.00000000
NC
-91455.70000000
-0.03595070219
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2026-01-02
0.00000000
BRL
0.00000000
BRL
30413435.76000000
BRL
-91455.70000000
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137AAW33
2037296.39000000
PA
USD
162915.67000000
0.064041199573
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Floating
1.10550000
N
N
N
N
N
N
JSW STEEL LTD
335800EK6HZSC4CVAJ09
JSW Steel Ltd
000000000
200000.00000000
PA
USD
172250.00000000
0.067710470248
Long
DBT
CORP
IN
N
2
2032-04-05
Fixed
5.05000000
N
N
N
N
N
N
Dryden Senior Loan Fund
549300VCB8LYR1RGV869
Dryden 49 Senior Loan Fund
26244QAS2
1000000.00000000
PA
USD
1000985.00000000
0.393481364651
Long
ABS-CBDO
CORP
KY
N
2
2030-07-18
Floating
7.63854000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDE9
150000.00000000
PA
USD
118912.50000000
0.046743810121
Long
DBT
CORP
MX
N
2
2031-01-28
Fixed
5.95000000
N
N
N
N
N
N
FMC CORP
CKDHZ2X64EEBQCSP7013
FMC Corp
302491AW5
35000.00000000
PA
USD
34577.30000000
0.013592134937
Long
DBT
CORP
US
N
2
2026-05-18
Fixed
5.15000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810TH1
96700.00000000
PA
USD
77703.74000000
0.030544886940
Long
DBT
UST
US
N
2
2042-05-15
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136A0J73
896019.30000000
PA
USD
43243.06000000
0.016998594644
Long
ABS-MBS
USGSE
US
N
2
2041-09-25
Floating
0.50550000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475BU8
45000.00000000
PA
USD
47786.11000000
0.018784441099
Long
DBT
CORP
US
N
2
2034-10-20
Fixed
6.87500000
N
N
N
N
N
N
AES CORP/THE
2NUNNB7D43COUIRE5295
AES Corp/The
00130HCG8
139000.00000000
PA
USD
111890.70000000
0.043983581500
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
2.45000000
N
N
N
N
N
N
NEWMONT / NEWCREST FIN
N/A
Newmont Corp / Newcrest Finance Pty Ltd
65163LAN9
73000.00000000
PA
USD
72565.20000000
0.028524956839
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.30000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AJ3
301000.00000000
PA
USD
251947.47000000
0.099039080821
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
5.30000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GKJ7
105000.00000000
PA
USD
96731.03000000
0.038024403650
Long
DBT
CORP
US
N
2
2028-02-04
Fixed
2.55100000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140XLVZ8
4984177.55000000
PA
USD
3790344.17000000
1.489962183760
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISHRHX47NOH65
Freddie Mac STACR REMIC Trust 2021-HQA3
35564KJP5
700000.00000000
PA
USD
702453.50000000
0.276130373366
Long
ABS-MBS
CORP
US
N
2
2041-09-25
Floating
7.43002000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325WR61
7148111.26000000
PA
USD
1344697.69000000
0.528592818179
Long
ABS-MBS
USGSE
US
N
2
2046-02-15
Fixed
3.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS JPY
000000000
1.00000000
NC
-11845.94000000
-0.00465656991
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-06-10
0.00000000
JPY
0.00000000
JPY
200000000.00000000
JPY
-11845.94000000
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBC1
175000.00000000
PA
USD
162583.38000000
0.063910578312
Long
DBT
CORP
US
N
2
2029-07-01
Fixed
5.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GLU1
304000.00000000
PA
USD
304693.07000000
0.119773068511
Long
DBT
CORP
US
N
2
2034-09-15
Fixed
5.87200000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBA0
146000.00000000
PA
USD
137604.66000000
0.054091589183
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.75500000
N
N
N
N
N
N
HEALTHPEAK OP LLC
N/A
Healthpeak OP LLC
42250PAA1
152000.00000000
PA
USD
131913.52000000
0.051854435246
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
3.00000000
N
N
N
N
N
N
PROLOGIS TARGETED US
5493004DTBWUQ9F2VJ87
Prologis Targeted US Logistics Fund LP
74350LAB0
35000.00000000
PA
USD
33978.02000000
0.013356561464
Long
DBT
CORP
US
N
2
2034-04-01
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136APW65
11117501.72000000
PA
USD
1944469.95000000
0.764359795052
Long
ABS-MBS
USGSE
US
N
2
2037-03-25
Fixed
6.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
31397T4J8
1738551.74000000
PA
USD
100280.53000000
0.039419691396
Long
ABS-MBS
USGSE
US
N
2
2038-04-15
Floating
0.45550000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YAV1
3000.00000000
PA
USD
2702.47000000
0.001062325193
Long
DBT
CORP
US
N
2
2036-05-14
Fixed
4.30000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-10002.62000000
-0.00393197157
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2054-04-30
0.00000000
USD
0.00000000
USD
671000.00000000
USD
-10002.62000000
N
N
N
ELEVANCE HEALTH INC
8MYN82XMYQH89CTMTH67
Elevance Health Inc
28622HAA9
37000.00000000
PA
USD
36557.96000000
0.014370720829
Long
DBT
CORP
US
N
2
2026-02-08
Fixed
4.90000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAX9
92000.00000000
PA
USD
74021.84000000
0.029097553527
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
2.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP IRS USD
000000000
3136000.00000000
NC
USD
41239.27000000
0.016210916484
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Purchased
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
GB
US
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2057-06-16
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
0.00000000
USD
2027-06-14
XXXX
41239.27000000
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ACV7
24000.00000000
PA
USD
23477.92000000
0.009229033402
Long
DBT
CORP
US
N
2
2031-01-08
Fixed
5.40000000
N
N
N
N
N
N
VMED O2 UK FINANCING I
213800MRR46ECNGZ7L69
Vmed O2 UK Financing I PLC
92858RAD2
200000.00000000
PA
USD
197081.54000000
0.077471603777
Long
DBT
CORP
GB
N
2
2032-04-15
Fixed
7.75000000
N
N
N
N
N
N
CIGNA GROUP/THE
549300VIWYMSIGT1U456
Cigna Group/The
125523CV0
75000.00000000
PA
USD
72307.63000000
0.028423707575
Long
DBT
CORP
US
N
2
2034-02-15
Fixed
5.25000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CX1
25000.00000000
PA
USD
21875.40000000
0.008599092138
Long
DBT
CORP
US
N
2
2060-05-01
Fixed
5.93000000
N
N
N
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
74977RDT8
260000.00000000
PA
USD
256090.88000000
0.100667831123
Long
DBT
CORP
NL
N
2
2030-03-05
Fixed
5.44700000
N
N
N
N
N
N
HYUNDAI CAPITAL AMERICA
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891ACH8
80000.00000000
PA
USD
79709.13000000
0.031333194051
Long
DBT
CORP
US
N
2
2028-06-26
Fixed
5.68000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172DJ5
56000.00000000
PA
USD
54047.01000000
0.021245564369
Long
DBT
CORP
US
N
2
2034-02-13
Fixed
5.25000000
N
N
N
N
N
N
CASCADES INC/USA INC
N/A
Cascades Inc/Cascades USA Inc
14739LAB8
175000.00000000
PA
USD
164314.59000000
0.064591106865
Long
DBT
CORP
N/A
N
2
2028-01-15
Fixed
5.37500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
-120844.40000000
-0.04750322874
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-04-14
0.00000000
GBP
0.00000000
GBP
3500000.00000000
GBP
-120844.40000000
N
N
N
ELEMENT FLEET MANAGEMENT
5493000PGBS1C22ELQ16
Element Fleet Management Corp
286181AM4
125000.00000000
PA
USD
124151.02000000
0.048803041776
Long
DBT
CORP
CA
N
2
2027-03-13
Fixed
5.64300000
N
N
N
N
N
N
Freddiemac Strip
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325YYT9
6958095.79000000
PA
USD
660484.02000000
0.259632415591
Long
ABS-MBS
USGSE
US
N
2
2042-04-15
Fixed
2.00000000
N
N
N
N
N
N
VMED O2 UK FINAN
213800MRR46ECNGZ7L69
Vmed O2 UK Financing I PLC
92858RAB6
245000.00000000
PA
USD
204702.08000000
0.080467193599
Long
DBT
CORP
GB
N
2
2031-07-15
Fixed
4.75000000
N
N
N
N
N
N
IBM INTERNAT CAPITAL
2549007KTXQQBYZO7485
IBM International Capital Pte Ltd
449276AD6
147000.00000000
PA
USD
140883.09000000
0.055380320893
Long
DBT
CORP
SG
N
2
2031-02-05
Fixed
4.75000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2007-7
12544TAG9
320884.06000000
PA
USD
153262.57000000
0.060246622270
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
5.75000000
N
N
N
N
N
N
BX Trust
N/A
BX 2021-MFM1
05608VAJ5
191565.47000000
PA
USD
189465.03000000
0.074477598124
Long
ABS-MBS
CORP
US
N
2
2034-01-15
Floating
6.93548000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396LMM9
62927.17000000
PA
USD
73392.10000000
0.028850006406
Long
ABS-MBS
USGSE
US
N
2
2036-11-25
Floating
6.22750000
N
N
N
N
N
N
PFIZER INVESTMENT ENTER
5493000FQO8XF9C0RT95
Pfizer Investment Enterprises Pte Ltd
716973AG7
41000.00000000
PA
USD
38261.54000000
0.015040388190
Long
DBT
CORP
SG
N
2
2053-05-19
Fixed
5.30000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PCW4
337000.00000000
PA
USD
313746.80000000
0.123332036962
Long
DBT
CORP
US
N
2
2028-02-24
Fixed
2.94700000
N
N
N
N
N
N
AMGEN INC
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162DU1
49000.00000000
PA
USD
46847.04000000
0.018415298160
Long
DBT
CORP
US
N
2
2063-03-02
Fixed
5.75000000
N
N
N
N
N
N
PUBLIC SERVICE ENTERPRIS
PUSS41EMO3E6XXNV3U28
Public Service Enterprise Group Inc
744573AY2
158000.00000000
PA
USD
155122.02000000
0.060977561219
Long
DBT
CORP
US
N
2
2029-04-01
Fixed
5.20000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023DK8
35000.00000000
PA
USD
35186.08000000
0.013831442803
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
6.38800000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBFD5
90276.71000000
PA
USD
84458.01000000
0.033199951078
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
3.50000000
N
N
N
N
N
N
ARTHUR J GALLAGHER & CO
54930049QLLMPART6V29
Arthur J Gallagher & Co
04316JAJ8
30000.00000000
PA
USD
28529.78000000
0.011214890100
Long
DBT
CORP
US
N
2
2054-07-15
Fixed
5.75000000
N
N
N
N
N
N
WARNERMEDIA HOLDINGS INC
549300DXR29GD4N0A520
Warnermedia Holdings Inc
55903VBD4
25000.00000000
PA
USD
20023.65000000
0.007871180014
Long
DBT
CORP
US
N
2
2042-03-15
Fixed
5.05000000
N
N
N
N
N
N
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
CURRENCY CONTRACT - CLP
000000000
1.00000000
NC
USD
-713.97000000
-0.00028065744
N/A
DFE
CORP
US
N
2
THE TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
-160674.02000000
USD
153647743.00000000
CLP
2024-06-28
-713.97000000
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122EG9
51000.00000000
PA
USD
50200.48000000
0.019733515863
Long
DBT
CORP
US
N
2
2031-02-22
Fixed
5.10000000
N
N
N
N
N
N
CITIZENS FINANCIAL GROUP
2138004JDDA4ZQUPFW65
Citizens Financial Group Inc
174610BG9
75000.00000000
PA
USD
75242.83000000
0.029577517573
Long
DBT
CORP
US
N
2
2035-04-25
Fixed
6.64500000
N
N
N
N
N
N
LSTAR Commercial Mortgage Trus
N/A
LSTAR Commercial Mortgage Trust 2017-5
54910TBA9
3522736.91500000
PA
USD
48935.04000000
0.019236078780
Long
ABS-MBS
CORP
US
N
2
2050-03-10
Variable
0.98354200
N
N
N
N
N
N
ENLINK MIDSTREAM LLC
54930000GY1H533OBE23
EnLink Midstream LLC
29336TAD2
165000.00000000
PA
USD
167199.95000000
0.065725325050
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
6.50000000
N
N
N
N
N
N
EVERSOURCE ENERGY
SJ7XXD41SQU3ZNWUJ746
Eversource Energy
30040WAW8
76000.00000000
PA
USD
76895.40000000
0.030227133201
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
5.95000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
88339WAB2
27000.00000000
PA
USD
26254.15000000
0.010320353221
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.90000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F022659
3544000.00000000
PA
USD
2804332.93000000
1.102366916821
Long
ABS-MBS
USGSE
US
N
2
2054-05-15
Fixed
2.50000000
N
N
N
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756CH1
200000.00000000
PA
USD
191400.00000000
0.075238223544
Long
DBT
NUSS
BR
N
2
2034-03-15
Fixed
6.12500000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAF8
482000.00000000
PA
USD
434814.11000000
0.170922890325
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
1.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
3136AVMM8
4130975.34000000
PA
USD
601254.79000000
0.236349750768
Long
ABS-MBS
USGSE
US
N
2
2047-03-25
Fixed
4.50000000
N
N
N
N
N
N
2024-06-24
Voya Mutual Funds
Dorothy Roman
Dorothy Roman
Vice President, Fund Administration